TDC Options History — August 2015 In August 2015, TDC traded between $27.98 and $36.53. ATM implied volatility averaged 34.1%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 26.0% (HV 20d: 60.1%). Max pain ranged from $32.50 to $37.50. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.98.
Notable Days 2015-08-20 : Highest Volume — 5,076 contracts2015-08-06 : Largest IV drop — 40.5% change2015-08-05 : Highest IV Rank — 80.0%2015-08-05 : Largest Expected Move — 13.7%Monthly Statistics Metric Avg Min Max Open Close Price $30.82 $27.98 $36.53 $36.53 $29.27 Max Pain $35.12 $32.50 $37.50 $35.00 $32.50 ATM IV 34.1% 26.0% 47.8% 45.0% 33.9% Expected Move 9.7% 7.4% 13.7% 12.9% 9.7% HV 20d 60.1% 20.0% 69.6% 20.1% 69.0% HV 60d 38.5% 19.5% 43.2% 20.0% 43.0% IV Rank 40.4% 16.8% 80.0% 71.9% 39.4% IV Percentile 75.8% 50.4% 97.2% 95.6% 76.2% Term Structure -2.0% -14.5% 11.5% -11.9% -1.3% VWIV 33.8% 24.9% 48.2% 46.0% 36.9% Skew 25d 4.5% 0.7% 13.6% 3.3% 8.5% Skew 10d 8.3% -3.5% 28.6% 5.4% 25.9% Call IV 25d 32.5% 25.8% 47.4% 45.6% 29.7% Put IV 25d 37.0% 28.1% 51.5% 48.9% 38.1% Bid-Ask Spread % 58.95 22.95 93.31 30.01 88.01 Gamma HHI 0.21 0.17 0.29 0.29 0.17 Net GEX -379.8K -632.2K 315.7K 96.4K -317.2K Net DEX 41.7M 13.1M 50.6M 13.1M 43.5M Net VEX -105.9K -238.5K -65.1K -236.3K -69.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.98 0.02 2.22 0.02 1.49 Total Volume 2,540.143 240 5,076 3,901 2,592 Total OI 48,034.952 42,103 53,104 44,145 42,521
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-08-03 $36.53 $35.00 45.0% 12.9% 20.1% 71.9% 46.0% 3.3% -11.9% 96.4K 13.1M -236.3K 0.02 30.01 N/A N/A 3,836 65 25,689 18,456 2015-08-04 $36.00 $35.00 47.6% 13.7% 20.6% 79.6% 46.5% 1.7% -13.9% 308.6K 14.2M -234.5K 1.87 33.09 N/A N/A 560 1,049 27,900 18,489 2015-08-05 $36.28 $35.00 47.8% 13.7% 20.0% 80.0% 48.2% 4.1% -14.5% 315.7K 13.4M -238.5K 0.47 53.90 N/A N/A 3,437 1,605 27,949 18,975 2015-08-06 $30.43 $37.50 28.4% 7.7% 65.8% 23.9% 27.7% 0.7% -0.0% -459.2K 49.5M -92.4K 2.22 56.82 N/A N/A 1,468 3,260 29,935 19,851 2015-08-07 $29.99 $37.50 29.3% 8.1% 65.6% 26.4% 28.3% 3.9% -0.5% -575.4K 50.3M -84.5K 0.78 22.95 N/A N/A 1,355 1,061 30,323 20,447 2015-08-10 $30.84 $37.50 30.5% 8.1% 66.6% 30.0% 27.3% 2.6% -0.4% -632.2K 49.1M -94.2K 0.81 33.94 N/A N/A 1,151 928 30,576 20,697 2015-08-11 $30.25 $37.50 30.2% 8.0% 66.6% 29.2% 27.9% 1.9% 0.4% -622.3K 50.6M -81.1K 1.16 55.29 N/A N/A 287 334 30,612 20,738 2015-08-12 $30.50 $35.00 28.9% 8.3% 66.9% 25.2% 28.1% 3.3% -0.6% -590.2K 49.2M -89.5K 1.05 59.10 N/A N/A 1,151 1,206 30,849 20,653 2015-08-13 $30.56 $35.00 28.5% 8.2% 67.0% 24.2% 28.7% 1.8% -0.2% -605.0K 48.2M -86.6K 1.19 25.03 N/A N/A 1,133 1,347 30,905 20,635 2015-08-14 $30.53 $35.00 27.5% 7.9% 67.0% 21.4% 28.3% 2.2% 0.7% -619.9K 47.9M -87.9K 1.23 32.67 N/A N/A 1,095 1,343 30,913 20,573 2015-08-17 $30.63 $37.50 26.0% 7.4% 65.3% 16.8% 24.9% 3.6% 0.7% -629.8K 47.4M -91.1K 1.24 48.72 N/A N/A 1,146 1,419 30,965 20,615 2015-08-18 $30.40 $37.50 26.6% 7.6% 65.3% 18.8% 26.7% 1.3% 1.1% -567.7K 48.7M -74.9K 1.05 37.34 N/A N/A 1,196 1,251 31,069 20,636 2015-08-19 $29.88 $35.00 27.3% 7.8% 65.3% 20.7% 26.4% 4.3% 0.2% -493.3K 48.3M -76.5K 0.43 61.59 N/A N/A 168 72 31,085 20,400 2015-08-20 $29.63 $35.00 29.5% 8.5% 65.1% 27.0% 29.4% 3.4% 0.1% -473.1K 48.9M -73.6K 0.31 64.80 N/A N/A 3,882 1,194 31,089 20,676 2015-08-21 $30.23 $35.00 34.7% 9.9% 65.9% 42.0% 34.8% 5.2% -2.1% -468.7K 43.2M -99.7K 1.18 84.82 N/A N/A 1,322 1,566 32,208 20,896 2015-08-24 $29.24 $35.00 42.0% 12.0% 66.4% 63.2% 43.2% 9.6% -3.8% -379.0K 42.6M -79.1K 0.94 89.02 N/A N/A 1,077 1,016 23,264 18,839 2015-08-25 $27.98 $32.50 41.6% 11.9% 67.0% 62.1% 39.9% 13.6% 11.5% -245.8K 43.2M -65.1K 0.81 88.71 N/A N/A 1,077 874 23,345 18,846 2015-08-26 $29.02 $32.50 39.8% 11.4% 68.8% 56.9% 40.2% 12.3% -3.4% -325.6K 41.4M -87.7K 0.86 93.31 N/A N/A 1,049 904 23,413 18,903 2015-08-27 $29.64 $32.50 37.2% 10.7% 69.6% 49.2% 36.7% 4.2% -3.7% -364.4K 41.9M -89.9K 0.74 88.80 N/A N/A 1,134 843 23,421 18,899 2015-08-28 $29.48 $32.50 34.1% 9.8% 69.0% 40.0% 33.9% 4.0% -0.3% -327.0K 41.5M -91.4K 0.78 90.03 N/A N/A 1,063 827 23,549 18,930 2015-08-31 $29.27 $32.50 33.9% 9.7% 69.0% 39.4% 36.9% 8.5% -1.3% -317.2K 43.5M -69.5K 1.49 88.01 N/A N/A 1,043 1,549 23,583 18,938
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