TDC Options History — March 2014

In March 2014, TDC traded between $44.69 and $49.19. ATM implied volatility averaged 29.3%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 6.6% (HV 20d: 22.7%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2014-03-20: Highest Volume — 4,036 contracts
  • 2014-03-26: Largest IV spike — 8.7% change
  • 2014-03-03: Highest IV Rank — 22.0%
  • 2014-03-03: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.75$44.69$49.19$45.22$49.19
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV29.3%26.7%31.6%31.6%27.1%
Expected Move9.7%9.3%10.0%10.0%9.6%
HV 20d22.7%18.1%26.0%26.0%24.5%
HV 60d29.4%28.1%33.3%33.3%28.3%
IV Rank15.9%9.5%22.0%22.0%10.3%
IV Percentile33.1%8.3%56.7%56.7%9.9%
Term Structure3.3%-0.6%7.2%-0.6%7.2%
VWIV34.5%32.0%37.6%36.2%34.2%
Skew 25d1.2%-0.4%2.3%1.2%2.0%
Skew 10d3.0%-10.2%11.4%3.7%7.9%
Call IV 25d29.7%27.0%32.0%32.0%27.2%
Put IV 25d30.9%28.8%33.2%33.2%29.2%
Bid-Ask Spread %27.689.5666.6520.7366.65
Gamma HHI0.240.200.360.200.33
Net GEX690.7K156.0K2.2M333.8K854.7K
Net DEX-14.1M-30.0M-285.3K-6.6M-23.8M
Net VEX-267.8K-301.3K-233.5K-301.3K-233.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.111.920.110.65
Total Volume1,042.811814,036301713
Total OI40,777.52435,87643,61840,84836,778

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$45.22$40.0031.6%10.0%26.0%22.0%36.2%1.2%-0.6%333.8K-6.6M-301.3K0.1120.73N/AN/A2703118,29422,554
2014-03-04$46.30$40.0030.1%9.7%23.8%18.5%36.0%-0.1%0.8%748.0K-15.7M-295.0K0.4414.60N/AN/A77434318,48022,561
2014-03-05$46.58$40.0030.0%9.8%23.6%18.4%37.6%0.6%1.2%885.7K-17.4M-294.0K0.2119.35N/AN/A58512219,00522,587
2014-03-06$46.98$40.0029.6%10.0%23.6%17.5%0.0%-0.4%1.3%1.1M-23.1M-285.9K0.2720.22N/AN/A2,11156919,46322,561
2014-03-07$46.84$40.0028.5%9.7%23.6%13.9%0.0%1.8%1.8%1.1M-18.8M-292.1K0.8614.71N/AN/A18515919,51322,861
2014-03-10$46.50$40.0029.4%9.7%24.0%15.9%0.0%1.5%1.8%924.8K-16.2M-287.1K0.379.56N/AN/A1756419,60122,980
2014-03-11$45.90$40.0029.6%9.8%25.0%16.3%35.5%1.4%2.5%654.8K-10.7M-283.2K0.6617.06N/AN/A1348819,66723,008
2014-03-12$45.44$40.0030.0%9.8%18.2%17.3%34.1%1.4%2.7%467.4K-6.9M-274.0K0.3216.66N/AN/A2688619,71923,040
2014-03-13$44.95$40.0030.2%9.8%18.1%17.8%0.0%1.8%3.0%239.5K-2.6M-274.4K0.1431.28N/AN/A6849519,73723,006
2014-03-14$44.69$40.0030.4%9.8%18.3%18.3%0.0%1.6%3.1%156.0K-285.3K-270.5K0.1724.41N/AN/A61010319,89823,053
2014-03-17$45.79$40.0030.2%9.9%19.7%17.8%34.5%2.3%2.8%466.3K-8.1M-264.8K0.2223.91N/AN/A46310220,29523,011
2014-03-18$46.29$40.0029.2%9.7%19.9%15.4%0.0%0.8%3.4%726.0K-11.5M-260.6K1.7916.76N/AN/A43177119,71923,012
2014-03-19$46.09$40.0028.5%9.9%19.0%13.7%34.4%1.5%4.4%332.7K-9.6M-256.6K0.3848.48N/AN/A89534419,92623,460
2014-03-20$48.20$40.0029.8%9.8%24.0%16.8%32.2%1.5%2.9%1.4M-30.0M-254.7K0.7038.59N/AN/A2,3761,66019,52723,364
2014-03-21$47.79$40.0028.1%9.3%24.1%12.6%32.0%0.0%3.7%2.2M-25.1M-250.1K0.2319.05N/AN/A2,35454319,40724,211
2014-03-24$47.62$40.0028.4%9.5%24.2%13.4%0.0%1.4%6.9%309.0K-13.0M-250.7K1.1029.39N/AN/A28231014,73221,144
2014-03-25$48.07$40.0028.6%9.5%24.2%13.9%33.2%0.9%6.7%416.5K-15.3M-250.9K0.2621.81N/AN/A98025014,84621,310
2014-03-26$47.40$40.0031.1%9.7%24.5%20.0%0.0%0.2%1.3%285.7K-13.0M-247.9K0.2053.50N/AN/A1,17623115,02321,413
2014-03-27$47.80$40.0028.8%9.7%24.6%14.4%0.0%1.4%6.4%369.9K-12.4M-255.5K1.9233.56N/AN/A6211915,22921,560
2014-03-28$48.10$40.0026.7%9.5%24.4%9.5%0.0%1.8%6.8%506.7K-16.0M-241.3K1.7640.99N/AN/A13824315,19321,580
2014-03-31$49.19$40.0027.1%9.6%24.5%10.3%34.2%2.0%7.2%854.7K-23.8M-233.5K0.6566.65N/AN/A43328015,19821,580