TDC Options History — September 2015

In September 2015, TDC traded between $28.13 and $30.04. ATM implied volatility averaged 33.7%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 0.4% (HV 20d: 33.2%). Max pain ranged from $32.50 to $40.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.98.

Notable Days

  • 2015-09-22: Highest Volume — 9,842 contracts
  • 2015-09-28: Largest IV spike — 38.9% change
  • 2015-09-02: Highest IV Rank — 75.5%
  • 2015-09-02: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.99$28.13$30.04$28.53$28.99
Max Pain$39.29$32.50$40.00$32.50$40.00
ATM IV33.7%27.2%46.3%44.0%35.1%
Expected Move9.5%7.8%13.3%12.6%10.1%
HV 20d33.2%22.2%69.2%69.2%24.4%
HV 60d43.4%43.1%44.3%43.2%44.2%
IV Rank38.7%19.8%75.5%68.9%43.1%
IV Percentile71.3%52.0%96.0%94.8%76.6%
Term Structure3.3%-4.1%9.4%-4.1%5.4%
VWIV32.8%21.1%41.7%41.7%35.5%
Skew 25d5.2%-0.8%16.3%11.2%-0.8%
Skew 10d14.8%-5.4%28.7%28.7%12.3%
Call IV 25d31.1%26.5%36.5%36.5%35.9%
Put IV 25d36.3%29.8%48.5%47.7%35.1%
Bid-Ask Spread %83.6865.2494.1294.1292.32
Gamma HHI0.170.140.230.160.23
Net GEX-146.9K-356.1K161.7K-257.9K140.6K
Net DEX38.7M26.9M45.1M41.0M26.9M
Net VEX-65.0K-91.1K-47.2K-91.1K-53.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.980.086.810.962.78
Total Volume4,097.811549,8421,4758,194
Total OI42,192.8139,59043,98842,95240,018

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$28.53$32.5044.0%12.6%69.2%68.9%41.7%11.2%-4.1%-257.9K41.0M-91.1K0.9694.12N/AN/A75372223,63319,319
2015-09-02$28.69$32.5046.3%13.3%69.1%75.5%41.1%16.3%-3.7%-263.7K44.2M-67.3K0.9187.47N/AN/A74567623,70019,431
2015-09-03$28.49$40.0041.9%10.3%32.0%62.7%34.9%4.7%0.5%-288.2K42.0M-80.1K1.1267.39N/AN/A61769123,74219,429
2015-09-04$28.49$40.0041.2%10.7%31.7%60.8%37.3%6.4%-0.3%-287.6K43.6M-67.6K1.2565.24N/AN/A55469123,73119,448
2015-09-08$29.44$40.0035.0%9.2%32.4%42.8%31.9%6.7%2.2%-295.2K43.5M-73.0K6.8178.65N/AN/A3221823,74719,385
2015-09-09$29.30$40.0031.8%9.1%31.8%33.2%31.6%6.2%2.3%-286.6K43.6M-69.9K1.9782.26N/AN/A5111,00923,74819,391
2015-09-10$29.36$40.0031.9%9.2%31.6%33.7%31.7%3.9%3.0%-272.4K43.1M-76.2K1.6273.34N/AN/A47977723,73719,410
2015-09-11$29.54$40.0030.9%8.9%31.7%30.7%31.1%3.2%3.3%-273.6K43.4M-75.7K1.6478.74N/AN/A47878423,75119,398
2015-09-14$29.37$40.0032.1%9.2%31.7%34.3%33.5%1.9%1.9%-277.2K43.1M-75.4K1.0482.68N/AN/A51353123,74519,426
2015-09-15$29.80$40.0029.4%8.4%32.2%26.2%30.3%1.6%3.6%-356.1K42.5M-77.8K0.0882.95N/AN/A1421223,73719,362
2015-09-16$30.04$40.0028.4%8.1%32.3%23.3%29.1%4.3%4.3%-299.3K43.2M-74.5K0.8377.47N/AN/A57247623,70619,424
2015-09-17$29.55$40.0027.2%7.8%32.2%19.8%28.1%5.0%3.9%-215.5K45.1M-55.8K0.2591.28N/AN/A2,27956023,72519,423
2015-09-18$29.06$40.0028.0%8.0%32.6%22.3%21.1%2.7%4.3%-207.2K44.4M-53.1K3.0280.28N/AN/A5081,53524,97819,010
2015-09-21$28.83$40.0028.9%8.3%31.7%25.0%27.0%1.1%8.2%-192.2K41.5M-64.4K1.9385.50N/AN/A3,2596,29023,13418,396
2015-09-22$28.13$40.0030.0%8.6%30.7%28.2%28.2%4.7%7.4%-39.4K42.9M-49.3K1.8189.35N/AN/A3,5036,33925,41718,566
2015-09-23$28.36$40.0030.5%8.8%26.6%29.6%32.1%4.1%6.3%95.6K28.3M-50.5K2.7387.15N/AN/A2,2896,25325,99113,599
2015-09-24$28.45$40.0030.4%8.7%23.0%29.2%32.0%3.9%6.1%95.6K28.7M-47.2K2.5789.13N/AN/A2,3606,06126,06713,624
2015-09-25$28.84$40.0027.5%7.9%22.2%20.6%32.8%8.3%9.4%161.7K27.5M-55.2K2.4790.39N/AN/A2,4265,98226,15213,721
2015-09-28$28.27$40.0038.1%10.9%23.1%51.8%36.1%6.2%-1.1%92.6K27.8M-51.1K2.9990.74N/AN/A2,0015,98726,19713,724
2015-09-29$29.20$40.0038.0%10.9%26.0%51.5%41.2%6.8%6.3%142.3K27.0M-56.1K2.8090.86N/AN/A2,1706,07526,21013,697
2015-09-30$28.99$40.0035.1%10.1%24.4%43.1%35.5%-0.8%5.4%140.6K26.9M-53.9K2.7892.32N/AN/A2,1706,02426,35913,659