TDC Options History — February 2015

In February 2015, TDC traded between $41.56 and $46.94. ATM implied volatility averaged 30.7%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 14.0% (HV 20d: 44.8%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.14.

Notable Days

  • 2015-02-12: Highest Volume — 6,301 contracts
  • 2015-02-05: Largest IV drop — 49.1% change
  • 2015-02-04: Highest IV Rank — 76.4%
  • 2015-02-04: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.58$41.56$46.94$45.53$44.54
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV30.7%24.9%53.8%46.8%25.1%
Expected Move8.8%7.1%15.4%13.4%7.2%
HV 20d44.8%23.4%50.6%24.3%48.5%
HV 60d32.0%22.9%34.3%23.8%34.3%
IV Rank27.4%13.8%76.4%60.6%14.2%
IV Percentile56.1%33.3%98.8%95.2%34.5%
Term Structure-2.6%-16.3%0.6%-12.5%0.5%
VWIV31.0%21.7%54.2%47.1%25.8%
Skew 25d1.4%-0.8%4.1%4.1%-0.4%
Skew 10d5.2%-1.8%26.5%26.5%-0.2%
Call IV 25d31.2%25.5%53.9%45.1%26.6%
Put IV 25d32.6%26.3%55.3%49.2%26.3%
Bid-Ask Spread %71.5256.8984.1578.0377.94
Gamma HHI0.270.170.440.270.27
Net GEX1.3M11.9K3.6M664.1K754.1K
Net DEX-8.6M-27.7M14.1M-8.8M-4.8M
Net VEX-130.6K-173.4K-107.5K-157.5K-112.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.054.630.050.85
Total Volume2,202.8956376,3013,253701
Total OI26,670.84221,61431,30223,50521,919

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$45.53$45.0046.8%13.4%24.3%60.6%47.1%4.1%-12.5%664.1K-8.8M-157.5K0.0578.03N/AN/A3,10514814,2009,305
2015-02-03$46.68$45.0049.2%14.1%24.0%66.0%51.0%4.0%-14.1%1.0M-20.6M-168.8K0.2064.55N/AN/A3,97678015,5339,330
2015-02-04$46.94$45.0053.8%15.4%23.4%76.4%54.2%1.4%-16.3%1.3M-27.7M-173.4K1.7757.35N/AN/A1,0761,90017,3159,551
2015-02-05$42.14$45.0027.4%7.8%46.3%16.5%26.6%1.8%0.6%177.4K13.3M-115.5K4.6356.89N/AN/A1,0134,68617,77010,228
2015-02-06$41.56$45.0026.6%7.6%46.3%18.6%21.7%1.1%-0.1%11.9K14.1M-108.1K1.2566.04N/AN/A1,1871,48317,80710,096
2015-02-09$42.54$45.0027.1%7.7%47.1%20.2%27.1%3.2%-0.7%286.5K10.4M-108.4K0.8772.93N/AN/A1,2781,11217,83110,078
2015-02-10$43.62$45.0029.2%7.8%47.6%26.2%28.8%2.2%-1.5%987.7K2.3M-122.7K0.5679.34N/AN/A93252018,13510,098
2015-02-11$43.82$45.0024.9%7.1%47.6%13.8%26.1%3.6%-0.2%1.2M826.1K-125.9K0.6477.55N/AN/A87856318,40010,118
2015-02-12$46.07$45.0029.7%8.5%50.6%27.6%29.8%0.7%-1.0%2.1M-25.2M-154.8K0.1463.87N/AN/A5,54575618,40510,128
2015-02-13$45.73$45.0028.5%8.2%50.1%24.1%28.8%0.6%-1.0%2.9M-26.5M-158.1K0.2865.33N/AN/A2,04758021,14410,158
2015-02-17$45.06$45.0029.3%8.4%50.1%26.6%30.4%1.4%-1.1%2.6M-15.5M-138.7K0.7265.00N/AN/A73853120,69810,165
2015-02-18$45.12$45.0028.3%8.1%50.0%23.7%29.5%0.3%-0.7%2.9M-16.8M-136.5K0.6270.91N/AN/A74346220,50210,109
2015-02-19$45.17$45.0027.5%7.9%50.0%21.4%27.4%0.3%-0.8%3.6M-17.8M-130.1K2.6474.42N/AN/A17546220,2889,961
2015-02-20$45.29$45.0026.0%7.4%49.5%16.8%26.7%1.5%-0.1%1.0M-26.6M-123.6K1.2575.30N/AN/A37847420,36110,153
2015-02-23$44.54$45.0026.1%7.5%49.4%17.3%27.1%0.3%-0.0%774.8K-5.0M-115.6K1.2269.67N/AN/A42451913,9107,704
2015-02-24$44.69$45.0025.8%7.4%48.7%16.2%27.4%0.5%0.1%832.7K-5.9M-114.7K1.5780.52N/AN/A37158413,9207,824
2015-02-25$43.94$45.0026.4%7.6%48.5%18.0%27.1%-0.8%-0.5%550.6K-1.4M-109.3K0.8779.13N/AN/A50443613,9727,795
2015-02-26$43.95$45.0025.9%7.4%48.4%16.6%27.3%0.9%-0.2%534.4K-1.2M-107.5K1.5584.15N/AN/A30947913,9907,845
2015-02-27$44.54$45.0025.1%7.2%48.5%14.2%25.8%-0.4%0.5%754.1K-4.8M-112.3K0.8577.94N/AN/A37832314,0267,893