TDC Options History — January 2015

In January 2015, TDC traded between $41.95 and $45.22. ATM implied volatility averaged 30.9%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 6.2% (HV 20d: 24.6%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2015-01-27: Highest Volume — 8,013 contracts
  • 2015-01-14: Largest IV spike — 35.2% change
  • 2015-01-30: Highest IV Rank — 46.6%
  • 2015-01-30: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.51$41.95$45.22$44.01$44.56
Max Pain$44.50$42.50$45.00$45.00$45.00
ATM IV30.9%21.3%40.7%25.2%40.7%
Expected Move9.5%8.4%11.7%8.4%11.7%
HV 20d24.6%19.5%28.0%27.3%23.2%
HV 60d25.0%23.3%27.7%27.5%23.4%
IV Rank24.3%2.7%46.6%11.5%46.6%
IV Percentile60.5%2.4%90.1%34.9%90.1%
Term Structure-3.4%-8.0%3.8%3.8%-7.7%
VWIV33.0%29.7%40.5%30.1%40.5%
Skew 25d3.4%0.1%6.4%0.1%2.9%
Skew 10d6.6%1.3%18.3%2.5%4.3%
Call IV 25d32.0%26.5%40.6%26.5%40.5%
Put IV 25d35.4%26.6%43.4%26.6%43.4%
Bid-Ask Spread %69.1751.1288.1164.6674.90
Gamma HHI0.240.190.320.190.25
Net GEX-183.0K-683.1K456.4K-219.8K456.4K
Net DEX2.0M-5.2M10.7M-4.3M-5.2M
Net VEX-92.1K-156.0K-67.1K-95.4K-156.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.165.280.450.16
Total Volume2,054.051148,0131,1973,493
Total OI26,816.7510,07537,81436,64922,987

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$44.01$45.0025.2%8.4%27.3%11.5%30.1%0.1%3.8%-219.8K-4.3M-95.4K0.4564.66N/AN/A82836918,13518,514
2015-01-05$43.07$45.0029.0%9.2%27.8%20.2%31.4%3.8%-2.9%-431.5K2.8M-90.8K0.6968.77N/AN/A1278718,17518,541
2015-01-06$42.63$42.5029.4%9.2%28.0%21.1%32.9%1.2%-2.5%-683.1K8.8M-89.3K0.5871.40N/AN/A1307518,22018,511
2015-01-07$42.78$45.0027.6%9.2%26.5%16.8%30.0%1.9%-2.9%-493.6K5.2M-81.6K0.3669.98N/AN/A953418,32018,519
2015-01-08$43.30$45.0025.6%9.2%26.9%12.4%31.3%3.0%-3.4%-346.5K851.4K-82.4K0.3966.90N/AN/A1,04240618,37118,563
2015-01-09$43.45$45.0021.3%9.1%25.4%2.7%31.2%4.2%-3.0%-523.0K2.9M-80.2K0.4269.74N/AN/A1,05244518,44318,567
2015-01-12$42.67$45.0027.8%9.1%26.3%17.4%31.8%3.6%-3.7%-421.8K7.2M-77.4K0.4766.06N/AN/A95744818,64718,539
2015-01-13$42.86$45.0024.2%9.2%25.1%9.2%32.6%4.5%-3.9%-194.7K4.8M-72.0K0.5674.26N/AN/A96053618,60118,433
2015-01-14$42.67$45.0032.7%9.4%25.2%28.6%32.8%6.4%-3.8%-290.6K6.7M-67.1K5.2867.44N/AN/A9505,01418,60018,461
2015-01-15$41.95$45.0032.6%9.4%25.0%28.3%31.9%2.7%-2.6%-532.9K10.7M-77.3K2.6072.25N/AN/A9002,34118,61419,169
2015-01-16$42.93$45.0032.1%9.2%26.0%27.1%31.0%2.9%-3.6%-329.9K330.9K-80.9K0.2862.89N/AN/A1,03729518,61519,199
2015-01-20$43.32$42.5033.1%9.5%23.0%29.5%31.7%4.1%-3.2%-35.0K1.8M-82.5K0.2474.11N/AN/A313744,3895,686
2015-01-21$43.29$42.5032.1%9.2%19.5%27.1%29.7%4.0%-2.9%-18.1K1.6M-81.4K2.4972.31N/AN/A761894,6235,745
2015-01-22$44.18$42.5029.7%8.5%20.9%21.6%30.2%6.3%-2.3%9.0K361.3K-84.3K1.1151.12N/AN/A6707444,6825,933
2015-01-23$43.33$45.0031.1%8.9%21.2%24.8%31.0%4.0%-3.6%-25.0K2.2M-90.2K0.7852.53N/AN/A8556645,0626,244
2015-01-26$44.36$45.0030.3%8.7%22.8%23.0%32.3%5.8%-1.9%-23.6K840.0K-87.7K0.4870.94N/AN/A77374,9976,488
2015-01-27$45.22$45.0036.7%10.5%23.8%37.5%37.4%3.0%-4.8%34.5K-2.3M-88.3K0.4588.11N/AN/A5,5102,5035,0536,524
2015-01-28$44.63$45.0036.6%10.5%24.3%37.4%39.8%1.8%-5.4%91.5K-901.3K-130.5K0.1975.55N/AN/A3,3836559,8808,927
2015-01-29$44.96$45.0039.4%11.3%24.3%43.8%40.3%1.5%-8.0%316.5K-4.4M-147.1K0.2469.50N/AN/A2,99671412,2789,080
2015-01-30$44.56$45.0040.7%11.7%23.2%46.6%40.5%2.9%-7.7%456.4K-5.2M-156.0K0.1674.90N/AN/A3,02347013,6919,296