TDC Options History — November 2014

In November 2014, TDC traded between $41.09 and $45.15. ATM implied volatility averaged 27.1%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 1.4% (HV 20d: 28.5%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.95.

Notable Days

  • 2014-11-18: Highest Volume — 13,542 contracts
  • 2014-11-06: Largest IV drop — 39.7% change
  • 2014-11-05: Highest IV Rank — 54.4%
  • 2014-11-05: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.89$41.09$45.15$41.80$45.14
Max Pain$42.11$40.00$42.50$42.50$42.50
ATM IV27.1%22.2%44.1%41.4%22.9%
Expected Move7.8%7.3%8.8%8.5%7.7%
HV 20d28.5%20.1%36.1%35.3%20.1%
HV 60d26.3%25.0%26.8%25.0%26.1%
IV Rank15.7%4.7%54.4%48.4%6.2%
IV Percentile31.4%5.6%93.7%91.3%9.9%
Term Structure-1.0%-11.2%1.9%-9.1%1.3%
VWIV28.1%25.0%30.5%30.1%26.7%
Skew 25d2.0%0.9%3.7%1.9%1.4%
Skew 10d5.1%-3.4%14.5%2.7%4.1%
Call IV 25d27.1%22.6%44.6%42.1%23.2%
Put IV 25d29.1%24.6%47.4%44.0%24.6%
Bid-Ask Spread %62.6352.0976.7464.2559.57
Gamma HHI0.390.210.650.230.37
Net GEX1.7M-264.1K6.9M-61.9K568.7K
Net DEX-10.1M-30.0M14.0M8.6M-10.0M
Net VEX-167.2K-193.9K-146.3K-192.1K-146.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.091.900.941.27
Total Volume2,759.21113613,5422,931218
Total OI39,533.63233,84750,46136,39334,259

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$41.80$42.5041.4%8.5%35.3%48.4%30.1%1.9%-9.1%-61.9K8.6M-192.1K0.9464.25N/AN/A1,5091,42216,36920,024
2014-11-04$41.71$42.5042.0%8.4%34.4%49.7%29.7%2.6%-10.1%-101.4K9.3M-193.9K1.1261.08N/AN/A1,2151,36316,79020,251
2014-11-05$41.09$42.5044.1%8.8%34.3%54.4%30.5%2.8%-11.2%-264.1K14.0M-188.7K1.3663.86N/AN/A3,3014,47516,96020,254
2014-11-06$42.62$42.5026.6%7.9%36.1%14.7%28.9%1.0%-0.1%641.7K-987.2K-184.9K0.8869.81N/AN/A1,6481,45518,54721,809
2014-11-07$42.72$42.5024.8%7.8%34.3%10.5%29.4%1.4%0.1%639.0K866.7K-180.2K0.7570.25N/AN/A1,3921,04418,14521,943
2014-11-10$43.50$40.0027.2%8.0%34.6%16.0%29.1%3.7%-0.2%1.2M-7.3M-173.6K0.7963.77N/AN/A1,5371,21518,13122,023
2014-11-11$43.69$42.5025.6%7.9%31.9%12.3%29.0%3.0%0.3%1.5M-10.4M-167.0K1.1859.07N/AN/A9721,14617,74921,840
2014-11-12$44.56$40.0025.1%7.3%32.2%11.2%28.6%2.7%0.1%2.2M-19.8M-163.4K1.9063.70N/AN/A8541,61918,29422,183
2014-11-13$44.60$40.0024.2%7.5%32.0%9.1%28.8%2.7%0.3%2.4M-21.6M-165.4K1.1057.67N/AN/A1,1171,23318,30622,561
2014-11-14$44.25$42.5023.3%7.6%30.6%7.1%25.8%2.4%1.0%2.4M-17.6M-158.8K0.0959.59N/AN/A3673218,54522,554
2014-11-17$44.76$42.5024.3%7.7%26.7%9.4%28.1%1.3%0.8%3.0M-25.2M-147.9K1.5552.09N/AN/A1,2521,93718,37422,552
2014-11-18$44.80$42.5024.0%7.8%26.4%8.6%27.7%0.9%0.4%3.6M-21.9M-158.0K0.1556.66N/AN/A11,7571,78518,54623,359
2014-11-19$44.77$42.5024.3%7.6%22.5%9.4%0.0%1.6%0.4%6.9M-30.0M-184.5K0.0976.74N/AN/A5655327,08223,379
2014-11-20$44.42$42.5023.8%7.8%22.8%8.3%27.8%1.0%1.1%2.9M-18.2M-159.8K1.0759.59N/AN/A9651,03621,77322,281
2014-11-21$44.52$42.5022.8%7.7%22.0%6.0%27.3%2.6%1.6%3.6M-18.5M-154.9K0.8762.76N/AN/A88476621,84722,274
2014-11-24$45.15$42.5023.4%7.8%22.1%7.3%26.7%2.4%0.7%451.8K-9.2M-154.4K0.8763.74N/AN/A33328915,81418,033
2014-11-25$44.93$42.5022.6%7.6%21.8%5.5%27.0%2.1%1.0%409.7K-7.1M-153.6K1.1159.69N/AN/A72780615,93618,150
2014-11-26$44.86$42.5022.2%7.6%20.6%4.7%25.0%1.4%1.9%440.0K-7.4M-149.7K0.9466.13N/AN/A706616,08218,120
2014-11-28$45.14$42.5022.9%7.7%20.1%6.2%26.7%1.4%1.3%568.7K-10.0M-146.3K1.2759.57N/AN/A9612216,11318,146