TDC Options History — September 2014

In September 2014, TDC traded between $41.76 and $45.84. ATM implied volatility averaged 23.5%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 5.3% (HV 20d: 18.2%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.25.

Notable Days

  • 2014-09-02: Highest Volume — 2,606 contracts
  • 2014-09-29: Largest IV spike — 8.1% change
  • 2014-09-30: Highest IV Rank — 11.8%
  • 2014-09-26: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.05$41.76$45.84$45.84$41.92
Max Pain$44.64$42.50$45.00$42.50$45.00
ATM IV23.5%21.4%25.3%22.7%25.3%
Expected Move7.6%7.1%7.9%7.7%7.7%
HV 20d18.2%14.1%23.0%17.7%22.5%
HV 60d19.9%18.9%21.2%18.9%21.0%
IV Rank7.6%2.8%11.8%5.7%11.8%
IV Percentile13.5%2.0%29.0%5.2%29.0%
Term Structure3.4%0.7%5.8%0.8%5.0%
VWIV27.6%25.4%34.0%25.8%28.9%
Skew 25d1.0%-1.0%3.5%3.5%-1.0%
Skew 10d1.6%-9.3%11.3%11.3%-9.3%
Call IV 25d24.4%21.7%27.7%21.7%27.7%
Put IV 25d25.4%23.8%27.5%25.2%26.7%
Bid-Ask Spread %65.1746.7180.7366.9170.90
Gamma HHI0.260.190.390.220.28
Net GEX-1.1M-2.5M-28.6K-735.5K-1.2M
Net DEX10.9M-4.7M25.2M-4.7M24.1M
Net VEX-195.0K-219.2K-177.6K-199.3K-187.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.250.0217.904.137.29
Total Volume907.191592,6062,6061,874
Total OI37,495.23833,05340,04536,79934,644

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$45.84$42.5022.7%7.7%17.7%5.7%25.8%3.5%0.8%-735.5K-4.7M-199.3K4.1366.91N/AN/A5082,09810,43126,368
2014-09-03$45.80$42.5022.1%7.4%17.6%4.5%0.0%1.6%0.7%-1.0M-933.1K-210.1K1.9558.42N/AN/A21742410,53127,878
2014-09-04$44.60$42.5022.3%7.3%20.2%4.9%25.4%0.1%1.1%-1.4M8.0M-212.2K3.1556.70N/AN/A17153910,69528,080
2014-09-05$44.53$45.0021.4%7.7%15.4%2.8%0.0%1.5%3.7%-1.7M10.8M-219.2K1.3046.90N/AN/A10814010,73328,294
2014-09-08$44.87$45.0023.0%7.4%14.1%6.4%26.1%1.3%2.6%-1.4M7.4M-211.2K0.5346.71N/AN/A1045510,78528,403
2014-09-09$45.46$45.0023.1%7.4%14.5%6.8%26.6%1.7%2.1%-962.7K2.4M-206.7K0.7971.61N/AN/A33726610,79928,432
2014-09-10$44.64$45.0022.6%7.4%15.8%5.6%0.0%0.5%2.2%-1.4M7.5M-205.2K0.6067.09N/AN/A19111411,00328,587
2014-09-11$44.88$45.0023.6%7.7%15.8%7.8%0.0%1.5%2.7%-1.2M5.9M-201.4K2.4469.94N/AN/A10826411,08228,588
2014-09-12$44.86$45.0023.4%7.6%15.6%7.5%0.0%0.2%3.3%-1.1M5.4M-200.0K1.9446.89N/AN/A8616711,13428,758
2014-09-15$45.04$45.0024.1%7.9%15.6%8.8%27.0%1.4%3.2%-1.1M4.7M-195.6K0.2566.49N/AN/A2225611,18528,722
2014-09-16$45.03$45.0024.0%7.9%15.3%8.6%0.0%1.8%3.3%-451.4K2.8M-190.6K0.0969.98N/AN/A2262011,25628,637
2014-09-17$44.23$45.0023.7%7.1%16.8%8.0%0.0%-0.2%3.3%-585.0K9.2M-190.7K0.0275.19N/AN/A7821911,40228,643
2014-09-18$44.71$45.0023.5%7.3%17.2%7.6%0.0%0.5%2.8%-28.6K5.8M-186.1K6.1979.25N/AN/A10967511,69428,144
2014-09-19$43.57$45.0023.9%7.5%19.7%8.4%0.0%0.5%2.8%-2.5M17.6M-185.6K0.2556.07N/AN/A1,28031711,83728,025
2014-09-22$43.22$45.0024.4%7.7%19.9%9.6%26.9%1.5%4.7%-1.1M15.4M-182.6K0.5470.22N/AN/A40522010,43722,616
2014-09-23$42.65$45.0024.1%7.7%20.1%8.9%26.6%0.7%5.5%-1.1M17.6M-181.0K1.0376.29N/AN/A38739910,59022,753
2014-09-24$43.22$45.0024.2%7.6%20.1%9.3%27.4%1.9%4.8%-1.2M17.5M-188.5K0.8780.73N/AN/A13411610,79123,062
2014-09-25$41.76$45.0024.0%7.6%22.9%8.7%26.6%0.3%5.7%-1.2M24.9M-177.6K10.3875.53N/AN/A1171,21410,90123,074
2014-09-26$42.25$45.0023.4%7.9%23.0%7.2%34.0%0.5%5.8%-1.2M22.1M-181.3K17.9068.84N/AN/A1101,96910,96123,134
2014-09-29$41.90$45.0025.2%7.7%22.6%11.5%29.5%0.5%4.9%-1.2M25.2M-183.1K6.6847.93N/AN/A3262,17711,05723,254
2014-09-30$41.92$45.0025.3%7.7%22.5%11.8%28.9%-1.0%5.0%-1.2M24.1M-187.7K7.2970.90N/AN/A2261,64811,18423,460