TDC Options History — August 2014

In August 2014, TDC traded between $41.62 and $45.67. ATM implied volatility averaged 27.9%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 5.6% (HV 20d: 22.3%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 3.14.

Notable Days

  • 2014-08-08: Highest Volume — 6,390 contracts
  • 2014-08-07: Largest IV drop — 48.5% change
  • 2014-08-06: Highest IV Rank — 75.4%
  • 2014-08-11: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.36$41.62$45.67$42.21$45.67
Max Pain$41.11$40.00$50.00$40.00$42.50
ATM IV27.9%20.2%53.7%44.0%20.8%
Expected Move8.2%7.3%9.3%8.5%7.9%
HV 20d22.3%18.7%25.2%18.7%20.4%
HV 60d19.2%17.4%27.5%27.5%19.0%
IV Rank15.5%0.0%75.4%52.6%1.4%
IV Percentile23.6%0.0%98.4%96.0%0.8%
Term Structure-0.3%-12.5%1.6%-12.5%1.5%
VWIV28.5%25.0%33.1%29.6%25.3%
Skew 25d2.0%0.1%5.1%4.9%2.4%
Skew 10d4.4%-4.8%12.3%6.1%9.6%
Call IV 25d25.2%20.7%43.1%43.1%20.7%
Put IV 25d27.1%21.9%47.9%47.9%23.1%
Bid-Ask Spread %66.5240.72102.1772.5988.26
Gamma HHI0.290.210.390.290.21
Net GEX-1.5M-2.1M-739.1K-1.2M-739.1K
Net DEX15.0M-2.7M28.1M17.2M-2.7M
Net VEX-229.6K-246.2K-208.8K-235.4K-208.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.140.1615.1012.910.31
Total Volume1,423.0481626,3901,725162
Total OI37,80433,88443,06234,77836,751

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$42.21$40.0044.0%8.5%18.7%52.6%29.6%4.9%-12.5%-1.2M17.2M-235.4K12.9172.59N/AN/A1241,60110,17924,599
2014-08-04$43.54$40.0048.4%9.2%21.3%62.8%30.2%5.1%-2.1%-1.2M11.4M-231.5K0.4665.95N/AN/A70232610,20225,785
2014-08-05$43.36$40.0050.6%8.5%20.4%68.0%0.0%2.2%-2.2%-1.1M10.1M-233.2K0.3962.03N/AN/A29811510,66125,819
2014-08-06$43.05$40.0053.7%8.9%20.8%75.4%31.1%3.4%-3.2%-1.1M11.5M-231.8K5.0358.46N/AN/A8754,39910,87525,803
2014-08-07$41.62$40.0027.6%8.8%24.4%14.0%31.2%0.3%0.2%-2.1M28.1M-234.5K3.7363.32N/AN/A6972,59811,42029,427
2014-08-08$42.48$40.0024.8%8.5%25.2%7.5%0.0%2.4%-0.5%-1.8M24.8M-245.4K15.1064.66N/AN/A3975,99311,42830,544
2014-08-11$42.69$40.0026.7%9.3%24.3%11.9%33.1%2.1%0.0%-2.0M24.6M-246.2K3.2568.23N/AN/A5271,71511,31930,752
2014-08-12$42.27$40.0025.6%8.8%24.1%9.2%31.0%1.0%-0.2%-2.1M27.4M-245.2K1.5949.44N/AN/A32151011,57231,369
2014-08-13$42.45$40.0023.5%9.0%24.0%4.3%30.8%1.7%0.3%-1.9M25.4M-241.5K1.0270.90N/AN/A21722111,59231,470
2014-08-14$42.87$40.0024.2%8.7%24.2%6.0%0.0%2.3%0.1%-1.6M19.6M-236.4K1.8045.15N/AN/A10218411,23530,878
2014-08-15$42.87$40.0023.9%8.5%23.7%5.3%29.7%2.0%0.7%-1.7M19.0M-231.3K2.1947.80N/AN/A6591,44411,23530,926
2014-08-18$43.33$0.0022.6%7.7%23.9%2.3%0.0%1.7%1.2%-1.7M15.6M-223.8K0.1666.79N/AN/A403659,20824,676
2014-08-19$43.23$0.0022.2%7.5%22.9%1.2%0.0%0.8%1.2%-1.6M15.6M-223.6K5.1178.30N/AN/A1346859,40524,713
2014-08-20$43.32$0.0021.8%7.8%22.7%0.4%26.1%1.8%1.3%-1.7M15.9M-227.0K0.3440.72N/AN/A4421509,49425,252
2014-08-21$43.43$50.0021.5%7.8%22.0%0.0%27.0%1.0%1.4%-1.6M14.3M-227.5K3.4777.15N/AN/A1535319,81325,284
2014-08-22$43.51$42.5021.4%7.6%21.0%0.0%28.4%1.5%0.9%-1.7M14.8M-232.0K4.4671.09N/AN/A562509,79425,800
2014-08-25$43.90$40.0021.1%7.3%21.0%0.0%25.8%0.1%1.3%-1.6M11.0M-222.7K3.8369.52N/AN/A2138159,83826,019
2014-08-26$44.50$40.0020.2%7.3%21.1%0.0%25.9%0.7%1.6%-1.4M7.8M-219.5K0.1658.06N/AN/A600979,84126,326
2014-08-27$44.84$42.5020.6%7.3%21.2%0.9%25.5%1.4%1.4%-1.2M4.5M-215.7K0.4376.25N/AN/A2931259,93126,337
2014-08-28$45.32$42.5021.1%7.4%20.4%2.1%25.0%2.7%1.0%-973.8K198.7K-209.5K0.23102.17N/AN/A5591269,96726,345
2014-08-29$45.67$42.5020.8%7.9%20.4%1.4%25.3%2.4%1.5%-739.1K-2.7M-208.8K0.3188.26N/AN/A1243810,38226,369