TDC Options History — December 2014

In December 2014, TDC traded between $40.93 and $45.22. ATM implied volatility averaged 24.8%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 3.0% (HV 20d: 21.9%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.15.

Notable Days

  • 2014-12-03: Highest Volume — 3,223 contracts
  • 2014-12-08: Largest IV spike — 14.4% change
  • 2014-12-16: Highest IV Rank — 18.8%
  • 2014-12-31: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.64$40.93$45.22$44.47$43.68
Max Pain$43.21$42.50$45.00$42.50$45.00
ATM IV24.8%22.1%28.4%24.0%26.2%
Expected Move8.0%7.5%8.7%7.7%8.7%
HV 20d21.9%15.4%27.6%20.2%27.6%
HV 60d26.9%26.1%27.9%26.2%27.9%
IV Rank10.6%4.4%18.8%8.7%13.7%
IV Percentile27.4%4.8%47.6%20.2%41.7%
Term Structure2.8%-0.5%5.7%1.4%3.9%
VWIV28.4%26.6%33.2%27.8%33.2%
Skew 25d1.5%-1.6%4.2%-0.4%0.3%
Skew 10d4.4%-2.9%25.5%-2.9%-0.2%
Call IV 25d25.0%21.6%29.0%26.7%26.5%
Put IV 25d26.5%23.6%29.4%26.3%26.8%
Bid-Ask Spread %66.7859.0982.0164.4059.09
Gamma HHI0.250.190.380.300.19
Net GEX-207.2K-1.1M548.0K242.3K-212.4K
Net DEX1.4M-14.9M22.9M-3.6M-3.0M
Net VEX-116.9K-141.6K-98.8K-140.6K-98.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.333.301.191.16
Total Volume1,565.909673,2231,34667
Total OI35,718.04534,34036,59134,36136,591

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$44.47$42.5024.0%7.7%20.2%8.7%27.8%-0.4%1.4%242.3K-3.6M-140.6K1.1964.40N/AN/A61473216,11518,246
2014-12-02$44.57$42.5024.2%7.7%19.5%9.2%27.5%1.8%0.5%357.9K-5.2M-141.6K1.2363.70N/AN/A60874916,10618,252
2014-12-03$45.12$42.5022.8%7.6%19.6%5.9%27.4%3.7%0.8%548.0K-8.6M-137.6K1.6066.72N/AN/A1,2401,98316,11518,225
2014-12-04$44.43$42.5023.3%7.5%19.7%7.2%27.2%-0.3%-0.5%168.5K-3.2M-140.2K3.3068.79N/AN/A4615216,47619,159
2014-12-05$44.50$42.5022.1%7.6%15.4%4.4%27.0%1.6%3.8%191.3K-3.3M-135.6K1.1466.14N/AN/A60568816,45619,123
2014-12-08$43.35$42.5025.3%7.6%18.4%11.6%26.6%-1.6%1.9%-282.8K4.4M-124.0K1.1964.34N/AN/A64276416,45919,132
2014-12-09$43.48$42.5025.2%7.8%17.3%11.4%27.2%2.5%2.4%-316.2K5.0M-125.7K1.3862.81N/AN/A66992116,50219,205
2014-12-10$42.47$42.5026.5%8.0%19.1%14.4%28.2%2.4%2.6%-624.2K11.0M-125.8K1.2966.54N/AN/A75397416,55119,309
2014-12-11$42.45$42.5026.1%8.0%17.4%13.5%28.4%1.1%2.1%-729.9K12.4M-125.9K1.3979.62N/AN/A67293516,56019,344
2014-12-12$41.56$42.5025.9%8.1%18.5%13.2%28.7%0.9%2.3%-1.1M19.4M-113.7K1.9682.01N/AN/A7041,37916,54019,293
2014-12-15$41.72$42.5027.1%8.2%18.6%15.7%29.1%1.1%0.8%-946.5K17.3M-115.0K0.8663.95N/AN/A1,5511,33816,62219,284
2014-12-16$40.93$42.5028.4%8.5%18.7%18.8%29.2%0.3%1.6%-1.1M22.9M-106.7K1.2365.37N/AN/A77194517,21019,175
2014-12-17$41.36$42.5026.6%8.1%19.3%14.7%28.7%4.2%1.8%-1.0M20.3M-106.3K1.5074.98N/AN/A8071,20717,31019,070
2014-12-18$42.85$42.5025.7%8.1%23.9%12.6%28.0%3.3%2.1%-833.4K9.8M-107.1K1.4362.81N/AN/A7441,06217,24019,087
2014-12-19$44.29$42.5024.0%7.9%26.8%8.7%27.3%3.0%3.8%388.0K-4.0M-105.8K0.3367.61N/AN/A72924317,40119,071
2014-12-22$44.18$0.0022.8%8.2%26.8%5.9%28.3%2.1%5.7%-326.0K-3.0M-100.0K0.5064.46N/AN/A1,40670316,10418,357
2014-12-23$44.86$45.0023.9%8.2%26.9%8.5%28.6%1.1%5.1%75.0K-9.7M-103.9K0.4761.22N/AN/A1,41066616,80918,448
2014-12-24$45.22$45.0023.3%8.3%27.0%7.2%28.3%1.3%5.7%501.9K-14.9M-106.8K0.6965.52N/AN/A96366817,40418,465
2014-12-26$45.00$45.0024.0%8.4%27.0%8.7%27.9%3.0%5.3%62.1K-11.3M-107.9K0.5967.17N/AN/A1,09264317,65818,491
2014-12-29$44.93$45.0024.6%8.4%27.0%10.2%29.9%1.7%4.8%81.1K-11.4M-102.0K0.3861.86N/AN/A94635917,85418,498
2014-12-30$44.61$45.0024.4%8.4%26.5%9.7%29.6%0.2%4.7%327.0K-11.0M-100.0K0.5470.11N/AN/A19510518,02418,456
2014-12-31$43.68$45.0026.2%8.7%27.6%13.7%33.2%0.3%3.9%-212.4K-3.0M-98.8K1.1659.09N/AN/A313618,12618,465