TDC Options History — June 2014

In June 2014, TDC traded between $40.20 and $44.28. ATM implied volatility averaged 24.2%, placing in the 3.6% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 5.6% (HV 20d: 18.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.55.

Notable Days

  • 2014-06-27: Highest Volume — 6,721 contracts
  • 2014-06-27: Largest IV drop — 9.4% change
  • 2014-06-04: Highest IV Rank — 7.4%
  • 2014-06-04: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.65$40.20$44.28$41.98$40.20
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV24.2%22.9%25.8%25.7%23.2%
Expected Move9.2%8.7%9.5%9.4%8.9%
HV 20d18.6%11.3%40.9%40.5%17.3%
HV 60d31.8%30.6%32.8%32.7%30.7%
IV Rank3.6%0.4%7.4%7.2%1.1%
IV Percentile4.1%0.8%11.9%6.7%1.6%
Term Structure4.2%-1.0%7.5%-0.7%7.5%
VWIV32.2%30.7%34.1%33.5%30.7%
Skew 25d1.5%-0.1%3.8%2.0%1.4%
Skew 10d2.3%-2.6%7.2%-0.9%5.0%
Call IV 25d24.6%22.7%26.5%25.8%23.5%
Put IV 25d26.1%24.5%28.0%27.9%24.9%
Bid-Ask Spread %37.6529.9858.2031.8933.53
Gamma HHI0.350.270.580.330.57
Net GEX-1.6M-2.2M-1.2M-1.6M-1.8M
Net DEX14.9M5.7M29.2M20.7M29.2M
Net VEX-213.3K-240.0K-192.9K-240.0K-192.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.550.118.932.388.47
Total Volume842.619986,721984,083
Total OI35,135.85731,27836,88635,61833,059

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$41.98$40.0025.7%9.4%40.5%7.2%0.0%2.0%-0.7%-1.6M20.7M-240.0K2.3831.89N/AN/A296911,22424,394
2014-06-03$41.77$40.0025.0%9.4%40.4%5.5%0.0%1.1%0.2%-1.6M23.2M-238.5K1.3140.61N/AN/A486311,22324,423
2014-06-04$41.93$40.0025.8%9.5%40.4%7.4%33.5%1.3%-1.0%-1.6M20.3M-238.4K8.8934.35N/AN/A9988011,23424,410
2014-06-05$42.56$40.0024.2%9.2%40.9%3.6%32.9%3.8%0.8%-1.7M18.3M-234.8K0.7237.44N/AN/A1369811,22324,918
2014-06-06$43.08$40.0024.2%9.2%12.3%3.5%32.1%0.1%4.2%-1.7M14.4M-230.6K1.5434.42N/AN/A15323511,27824,970
2014-06-09$43.23$40.0024.6%9.0%12.3%4.6%0.0%0.9%3.5%-1.8M13.0M-225.5K0.1133.41N/AN/A3123511,29325,077
2014-06-10$43.20$40.0024.0%9.2%11.3%3.0%0.0%1.6%4.3%-1.7M12.8M-225.3K1.0735.76N/AN/A606411,53725,063
2014-06-11$42.87$40.0023.8%8.7%11.6%2.5%0.0%0.9%3.7%-1.7M14.3M-222.5K0.6748.36N/AN/A835611,56925,112
2014-06-12$42.75$40.0024.9%9.2%11.8%5.2%31.2%-0.1%3.7%-1.7M15.8M-222.2K2.4036.92N/AN/A8420211,59025,122
2014-06-13$43.42$40.0024.7%9.1%12.0%4.7%30.7%2.0%4.3%-1.6M12.4M-215.6K0.4936.59N/AN/A904411,58125,184
2014-06-16$44.07$40.0024.4%9.3%12.6%4.1%32.2%3.2%4.5%-2.0M7.1M-210.5K1.6839.98N/AN/A11218811,57825,184
2014-06-17$44.06$40.0024.3%9.1%12.2%3.8%0.0%3.0%4.4%-1.9M6.6M-208.5K2.2035.74N/AN/A5913011,56125,292
2014-06-18$44.28$40.0023.9%8.9%11.3%2.7%0.0%2.8%4.7%-2.2M5.7M-201.0K3.1558.20N/AN/A12138111,58725,299
2014-06-19$43.98$40.0024.0%9.2%11.9%3.2%0.0%0.9%3.9%-1.6M6.5M-196.2K0.6956.82N/AN/A1439911,37725,061
2014-06-20$43.57$40.0023.7%9.2%12.7%2.3%0.0%0.9%5.1%-1.2M9.2M-196.3K5.5732.31N/AN/A13474711,43725,065
2014-06-23$42.83$40.0023.8%9.1%14.6%2.5%34.1%0.5%6.9%-1.3M9.2M-195.4K1.4632.47N/AN/A27740510,06421,214
2014-06-24$42.19$40.0023.3%9.3%15.8%1.4%33.0%0.4%7.3%-1.4M12.6M-196.5K0.7233.65N/AN/A16111610,25721,354
2014-06-25$41.97$40.0023.2%9.3%15.8%1.3%33.0%1.0%7.1%-1.4M15.0M-196.2K0.4929.98N/AN/A1989810,32521,415
2014-06-26$41.12$40.0025.2%9.3%16.6%6.1%31.0%2.8%5.4%-1.5M20.9M-196.4K0.6535.44N/AN/A41426810,47321,474
2014-06-27$40.51$40.0022.9%9.4%17.2%0.4%32.0%2.0%7.5%-1.6M25.1M-195.1K8.9332.81N/AN/A6776,04410,69521,657
2014-06-30$40.20$40.0023.2%8.9%17.3%1.1%30.7%1.4%7.5%-1.8M29.2M-192.9K8.4733.53N/AN/A4313,65210,69522,364