TDC Options History — January 2014

In January 2014, TDC traded between $41.12 and $47.63. ATM implied volatility averaged 40.3%, placing in the 51.0% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 9.2% (HV 20d: 31.1%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 2.31.

Notable Days

  • 2014-01-15: Highest Volume — 14,338 contracts
  • 2014-01-15: Largest IV spike — 53.5% change
  • 2014-01-15: Highest IV Rank — 100.0%
  • 2014-01-31: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.91$41.12$47.63$44.73$41.12
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV40.3%32.5%58.3%33.2%52.3%
Expected Move9.9%9.5%10.2%9.9%10.2%
HV 20d31.1%27.2%39.8%39.8%32.8%
HV 60d36.6%29.9%51.7%51.6%30.6%
IV Rank51.0%30.2%100.0%32.3%83.3%
IV Percentile83.5%64.7%100.0%68.3%98.4%
Term Structure-4.4%-11.8%3.3%2.0%-11.8%
VWIV34.3%31.6%36.4%33.9%34.8%
Skew 25d0.9%-1.6%5.3%-1.6%3.8%
Skew 10d0.5%-4.0%5.4%-3.0%5.4%
Call IV 25d40.9%36.9%49.7%38.7%49.7%
Put IV 25d41.7%37.0%53.6%37.0%53.6%
Bid-Ask Spread %23.9514.5540.4821.0724.34
Gamma HHI0.260.180.490.240.38
Net GEX111.1K-2.0M1.9M848.7K-2.0M
Net DEX-1.8M-32.2M39.9M-6.8M39.9M
Net VEX-277.9K-314.2K-253.1K-271.0K-314.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.310.0619.070.620.29
Total Volume3,048.47633114,3381,2655,052
Total OI50,845.90536,09764,80456,13348,672

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$44.73$40.0033.2%9.9%39.8%32.3%0.0%-1.6%2.0%848.7K-6.8M-271.0K0.6221.07N/AN/A78048531,71624,417
2014-01-03$45.36$40.0032.5%9.7%32.2%30.2%0.0%-0.9%3.3%1.2M-13.5M-268.9K0.3422.12N/AN/A81527732,34824,393
2014-01-06$45.54$40.0037.1%9.8%30.8%43.8%0.0%0.6%-3.3%1.3M-15.8M-265.9K3.1922.96N/AN/A7732,46732,61824,450
2014-01-07$45.98$40.0035.5%10.0%30.8%39.2%0.0%0.9%-3.5%1.2M-17.5M-271.3K0.3114.55N/AN/A1,37242132,98225,835
2014-01-08$45.87$40.0033.6%9.9%30.9%33.3%33.9%0.9%-3.4%1.1M-16.8M-263.7K0.1127.63N/AN/A2,07823733,24025,806
2014-01-09$45.39$40.0033.0%9.9%30.1%31.8%33.5%0.6%-3.3%710.1K-9.0M-258.2K0.2715.63N/AN/A50813532,65725,857
2014-01-10$44.31$40.0032.7%9.9%29.7%30.8%36.4%1.0%-3.4%323.8K1.5M-254.7K0.9224.26N/AN/A34932032,94225,817
2014-01-13$44.03$40.0039.9%9.9%29.2%52.1%34.2%-0.3%-3.6%102.8K6.5M-253.1K1.7121.40N/AN/A8121,38732,97425,913
2014-01-14$45.79$40.0038.0%9.9%29.6%46.5%0.0%0.3%-3.4%445.0K-12.7M-257.5K0.6335.63N/AN/A55835133,08826,744
2014-01-15$47.63$40.0058.3%9.7%31.8%100.0%33.5%2.6%-6.4%1.9M-32.2M-257.9K0.8324.52N/AN/A7,8546,48432,20925,659
2014-01-16$47.30$40.0039.6%10.0%32.2%48.0%0.0%1.2%-4.7%1.3M-18.2M-305.3K0.9725.27N/AN/A29628834,38330,377
2014-01-17$47.24$40.0040.2%9.8%32.3%49.5%0.0%-0.2%-5.2%-282.4K-20.8M-287.0K0.0621.63N/AN/A4,93231734,39330,411
2014-01-21$46.86$40.0041.0%10.0%32.7%52.0%0.0%0.2%-5.6%-183.4K-8.9M-294.3K0.8119.44N/AN/A33827315,85220,245
2014-01-22$45.75$40.0041.7%10.0%27.2%53.8%34.8%0.6%-5.3%-327.5K-2.4M-291.8K2.2224.20N/AN/A7311,62415,97220,261
2014-01-23$45.00$40.0040.1%9.6%27.6%49.3%0.0%0.5%-4.2%-585.5K4.1M-294.1K2.2926.55N/AN/A6341,44916,28221,580
2014-01-24$43.78$40.0040.7%10.0%29.3%51.1%0.0%-1.6%-4.2%-681.1K10.0M-291.9K2.4416.52N/AN/A5541,35116,39121,521
2014-01-27$43.40$40.0041.8%9.5%29.3%54.1%0.0%-0.1%-4.6%-751.9K12.8M-278.9K3.6925.95N/AN/A23084916,21721,362
2014-01-28$43.90$40.0041.4%9.6%29.6%53.0%31.6%0.4%-5.7%-670.1K10.5M-279.3K1.5526.31N/AN/A13020116,23121,154
2014-01-29$42.07$40.0045.8%9.9%33.1%65.2%35.0%4.1%-7.3%-795.8K20.4M-267.9K19.0740.48N/AN/A63712,14716,24521,196
2014-01-30$42.13$40.0047.9%10.2%32.3%71.1%35.3%5.3%-9.0%-1.9M32.1M-308.4K6.1022.48N/AN/A4963,02616,54830,806
2014-01-31$41.12$40.0052.3%10.2%32.8%83.3%34.8%3.8%-11.8%-2.0M39.9M-314.2K0.2924.34N/AN/A3,9141,13816,70931,963