TDC Options History — October 2015

In October 2015, TDC traded between $27.78 and $29.90. ATM implied volatility averaged 37.8%, placing in the 51.5% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 11.0% (HV 20d: 26.8%). Max pain ranged from $27.50 to $40.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.14.

Notable Days

  • 2015-10-01: Highest Volume — 8,265 contracts
  • 2015-10-12: Largest IV spike — 63.1% change
  • 2015-10-30: Highest IV Rank — 79.3%
  • 2015-10-30: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.67$27.78$29.90$28.24$28.14
Max Pain$30.00$27.50$40.00$40.00$30.00
ATM IV37.8%27.1%46.9%33.3%46.9%
Expected Move11.5%9.5%13.4%9.5%13.4%
HV 20d26.8%24.5%28.5%26.1%24.8%
HV 60d44.1%27.9%45.4%44.4%27.9%
IV Rank51.5%19.4%79.3%37.6%79.3%
IV Percentile79.9%44.8%98.0%72.2%98.0%
Term Structure-5.8%-10.5%7.1%7.1%-10.5%
VWIV39.6%33.7%46.6%33.7%46.6%
Skew 25d2.6%-1.5%6.0%0.4%1.3%
Skew 10d6.3%-10.7%28.2%1.4%0.8%
Call IV 25d39.7%31.8%47.2%34.0%47.2%
Put IV 25d42.3%32.7%48.5%34.5%48.5%
Bid-Ask Spread %80.7870.9898.9994.7384.41
Gamma HHI0.250.180.350.200.25
Net GEX81.2K-133.5K395.8K130.4K-133.5K
Net DEX18.4M5.7M30.0M28.6M9.3M
Net VEX-41.9K-55.2K-33.6K-46.0K-42.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.282.832.730.68
Total Volume2,549.3641518,2658,265747
Total OI31,310.45519,26241,31640,04121,903

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$28.24$40.0033.3%9.5%26.1%37.6%33.7%0.4%7.1%130.4K28.6M-46.0K2.7394.73N/AN/A2,2166,04926,35913,682
2015-10-02$28.97$40.0036.6%10.5%27.6%47.3%34.4%0.9%6.1%199.0K27.7M-51.6K2.8398.99N/AN/A2,1356,05226,44013,783
2015-10-05$29.20$27.5030.5%10.9%27.7%29.4%38.2%5.2%-5.5%211.1K26.9M-51.6K0.6181.06N/AN/A945726,47313,789
2015-10-06$29.53$27.5029.1%11.0%25.4%25.6%38.8%4.1%-5.5%242.4K26.8M-49.6K0.5376.49N/AN/A2,0891,09926,46913,840
2015-10-07$29.90$27.5028.5%11.1%25.7%23.8%38.9%5.4%-5.0%315.1K25.6M-55.2K0.4570.98N/AN/A2,4651,09926,48213,848
2015-10-08$29.73$27.5027.7%10.9%25.8%21.3%38.5%2.2%-5.0%395.8K25.9M-53.8K0.5374.07N/AN/A2,0931,11226,87813,984
2015-10-09$29.54$27.5027.1%10.8%25.9%19.4%37.1%3.2%-5.4%375.0K27.1M-50.1K0.5974.34N/AN/A2,1361,26126,91514,062
2015-10-12$28.56$27.5044.1%11.5%28.5%69.2%35.8%4.2%-6.7%178.9K29.0M-38.7K0.4977.34N/AN/A2,1881,08326,94613,875
2015-10-13$28.41$27.5030.5%11.3%27.9%29.6%37.1%3.5%-6.6%9.5K29.9M-33.9K0.3679.56N/AN/A1,34048626,97813,871
2015-10-14$28.38$27.5039.6%11.4%27.6%56.1%38.2%2.1%-7.2%8.7K29.2M-39.7K0.5880.43N/AN/A1,42682626,97013,858
2015-10-15$28.63$30.0040.3%11.6%27.4%58.1%39.0%6.0%-8.9%11.6K29.6M-39.6K0.5781.91N/AN/A1,50586427,03514,221
2015-10-16$28.59$30.0039.9%11.4%26.8%58.4%38.9%2.8%-8.4%3.2K30.0M-38.7K0.7678.19N/AN/A1,27096427,01714,299
2015-10-19$28.87$30.0039.3%11.3%26.9%56.5%40.2%4.8%-5.8%-1.2K6.1M-34.7K0.2875.63N/AN/A1,11531114,2105,052
2015-10-20$28.99$30.0039.4%11.3%25.3%56.9%39.6%1.0%-6.0%15.9K5.7M-37.1K0.3075.80N/AN/A1,20436114,2895,081
2015-10-21$28.00$30.0040.1%11.5%28.2%58.9%40.5%-1.2%-6.0%-2.1K6.7M-33.6K0.3776.73N/AN/A1,13641814,3095,125
2015-10-22$28.14$30.0040.7%11.7%28.3%60.8%40.9%3.4%-7.1%11.9K6.2M-38.6K0.7983.49N/AN/A43234014,3495,243
2015-10-23$28.32$30.0040.4%11.6%27.9%60.0%40.1%1.2%-6.9%15.1K5.8M-39.6K1.3278.81N/AN/A42656114,3905,266
2015-10-26$28.13$30.0043.5%12.5%27.1%69.3%43.0%3.0%-7.9%-16.6K6.8M-35.2K2.7280.32N/AN/A4651,26314,3905,392
2015-10-27$27.78$30.0043.6%12.5%24.5%69.3%43.1%3.0%-7.7%-68.3K8.0M-37.2K2.6482.44N/AN/A4761,25814,4446,084
2015-10-28$28.67$30.0043.7%12.5%27.2%69.8%42.7%2.5%-8.0%-58.8K7.3M-36.1K2.5890.35N/AN/A4801,23814,4706,098
2015-10-29$28.08$30.0045.6%13.1%26.6%75.4%45.7%-1.5%-9.9%-56.8K7.5M-38.5K2.3381.10N/AN/A5841,36214,5126,149
2015-10-30$28.14$30.0046.9%13.4%24.8%79.3%46.6%1.3%-10.5%-133.5K9.3M-42.1K0.6884.41N/AN/A44430314,6607,243