TDC Options History — July 2015

In July 2015, TDC traded between $35.40 and $37.12. ATM implied volatility averaged 34.6%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 15.4% (HV 20d: 19.3%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.85.

Notable Days

  • 2015-07-14: Highest Volume — 9,153 contracts
  • 2015-07-14: Largest IV spike — 75.8% change
  • 2015-07-14: Highest IV Rank — 70.9%
  • 2015-07-27: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.15$35.40$37.12$36.20$37.12
Max Pain$35.45$35.00$40.00$40.00$35.00
ATM IV34.6%24.2%44.6%24.5%42.5%
Expected Move10.4%6.9%12.2%7.0%12.2%
HV 20d19.3%14.8%21.1%20.5%19.6%
HV 60d23.5%23.0%24.1%23.3%24.0%
IV Rank41.9%11.7%70.9%12.5%64.7%
IV Percentile76.1%32.9%95.6%37.7%92.9%
Term Structure-5.2%-10.5%10.1%10.1%-10.5%
VWIV36.0%23.9%42.8%25.3%42.5%
Skew 25d2.7%-0.3%4.6%-0.3%3.2%
Skew 10d4.5%-11.0%9.0%-11.0%4.4%
Call IV 25d35.5%23.8%41.5%25.7%41.5%
Put IV 25d38.2%23.8%45.2%25.4%44.8%
Bid-Ask Spread %29.0216.4045.1726.7529.54
Gamma HHI0.290.250.380.290.31
Net GEX-115.2K-1.7M243.2K87.3K243.2K
Net DEX23.5M8.0M38.1M27.3M8.0M
Net VEX-249.4K-273.0K-223.3K-273.0K-250.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.295.842.211.34
Total Volume2,131.9559799,1532,8351,240
Total OI49,470.63641,44758,08752,67144,063

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$36.20$40.0024.5%7.0%20.5%12.5%25.3%-0.3%10.1%87.3K27.3M-273.0K2.2126.75N/AN/A8841,95131,93620,735
2015-07-02$36.03$40.0024.2%6.9%19.4%11.7%23.9%0.0%8.7%-2.3K29.1M-266.6K2.4916.40N/AN/A6771,68932,07921,417
2015-07-06$35.60$35.0027.8%9.8%19.5%22.1%33.0%1.4%-4.4%-138.3K33.4M-250.9K2.6621.37N/AN/A6071,61332,14921,411
2015-07-07$35.91$35.0028.2%9.8%20.0%23.3%34.7%2.0%-4.9%-116.4K31.9M-256.3K2.1125.49N/AN/A6261,32032,16521,511
2015-07-08$35.40$35.0028.8%10.0%20.3%25.0%33.5%1.8%-5.0%-193.4K34.0M-247.2K1.9626.91N/AN/A6201,21332,21621,298
2015-07-09$35.65$35.0027.1%9.9%20.4%20.2%32.3%3.2%-5.4%-166.1K33.4M-246.3K1.8221.76N/AN/A6641,21132,19421,318
2015-07-10$35.95$35.0026.5%10.0%20.6%18.3%35.2%3.1%-5.5%-142.1K31.9M-247.2K2.0526.25N/AN/A6071,24632,13221,317
2015-07-13$36.31$35.0025.4%9.7%21.1%15.2%34.4%2.8%-5.8%-52.9K29.7M-256.7K2.3628.41N/AN/A6471,52832,16421,315
2015-07-14$36.34$35.0044.6%9.9%18.4%70.9%36.3%4.4%-5.2%-38.2K29.0M-254.7K5.8437.14N/AN/A1,3387,81531,58921,303
2015-07-15$35.95$35.0035.4%10.1%16.3%44.1%34.8%3.0%-6.1%-980.0K33.5M-248.4K3.1122.54N/AN/A4941,53432,50025,196
2015-07-16$35.72$35.0033.0%9.5%15.7%37.3%32.3%2.2%-3.9%-1.7M38.1M-234.4K2.5843.90N/AN/A5101,31432,49725,151
2015-07-17$35.62$35.0033.9%9.7%14.8%39.9%33.9%2.2%-5.6%-245.7K36.1M-223.3K0.4445.17N/AN/A1,45063532,55825,529
2015-07-20$36.85$35.0037.7%10.8%19.5%50.7%38.7%3.1%-6.2%79.0K12.2M-255.2K0.2923.41N/AN/A2,09361423,81017,637
2015-07-21$36.63$35.0037.8%10.8%19.4%51.0%37.9%3.4%-6.7%177.4K11.4M-257.7K0.9629.61N/AN/A50748525,16517,752
2015-07-22$36.60$35.0038.1%10.9%19.0%51.9%38.9%3.0%-6.3%184.4K10.5M-258.5K1.5826.05N/AN/A42066325,20117,740
2015-07-23$36.70$35.0038.9%11.1%18.6%54.2%38.7%2.1%-7.4%175.2K9.9M-259.0K0.8227.39N/AN/A1,2511,02625,21017,908
2015-07-24$35.88$35.0040.0%11.5%20.1%57.4%39.2%2.3%-6.9%28.7K17.2M-244.6K1.7927.29N/AN/A5961,06925,62118,382
2015-07-27$35.72$35.0042.6%12.2%20.0%64.9%41.0%4.2%-9.3%-22.9K18.8M-230.1K1.6436.54N/AN/A6331,03725,62918,409
2015-07-28$36.12$35.0042.5%12.2%20.4%64.7%40.6%4.5%-9.3%44.0K16.0M-240.6K0.7337.54N/AN/A61544825,61718,400
2015-07-29$36.45$35.0040.7%11.7%20.7%59.5%42.0%3.6%-8.2%93.5K14.4M-239.1K0.9139.14N/AN/A51246725,63518,428
2015-07-30$36.61$35.0042.0%12.0%19.2%63.3%42.8%4.6%-10.0%137.8K11.4M-247.0K1.1019.88N/AN/A49354125,64118,426
2015-07-31$37.12$35.0042.5%12.2%19.6%64.7%42.5%3.2%-10.5%243.2K8.0M-250.4K1.3429.54N/AN/A53071025,65218,411