TDC Options History — November 2015

In November 2015, TDC traded between $25.51 and $29.91. ATM implied volatility averaged 40.6%, placing in the 52.6% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 30.3% (HV 20d: 70.9%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2015-11-24: Highest Volume — 11,588 contracts
  • 2015-11-05: Largest IV drop — 41.8% change
  • 2015-11-03: Highest IV Rank — 100.0%
  • 2015-11-04: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.26$25.51$29.91$29.06$29.91
Max Pain$28.13$27.50$30.00$30.00$27.50
ATM IV40.6%32.0%59.4%51.5%36.2%
Expected Move11.2%8.9%17.0%14.8%10.4%
HV 20d70.9%27.4%82.2%27.4%80.9%
HV 60d46.7%28.0%50.9%28.6%50.6%
IV Rank52.6%29.9%100.0%93.1%40.6%
IV Percentile82.2%63.1%100.0%99.6%74.2%
Term Structure-3.2%-18.9%2.8%-13.9%-0.2%
VWIV39.1%31.8%59.4%51.5%37.6%
Skew 25d2.3%0.2%4.8%1.9%3.2%
Skew 10d7.4%-1.9%20.8%20.8%3.7%
Call IV 25d39.0%29.8%58.3%52.3%36.3%
Put IV 25d41.4%33.7%59.8%54.3%39.5%
Bid-Ask Spread %72.6738.0587.6876.1577.32
Gamma HHI0.420.210.640.240.28
Net GEX86.9K-398.9K1.2M-120.0K1.2M
Net DEX4.0M-17.0M17.6M7.9M-15.7M
Net VEX-62.6K-107.9K-31.5K-43.5K-99.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.022.061.770.63
Total Volume3,126.68211,5881,377543
Total OI31,260.721,94940,66521,94940,665

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$29.06$30.0051.5%14.8%27.4%93.1%51.5%1.9%-13.9%-120.0K7.9M-43.5K1.7776.15N/AN/A49788014,6857,264
2015-11-03$29.38$30.0057.2%16.4%27.4%100.0%57.3%3.0%-16.1%-134.3K7.5M-48.6K0.7771.33N/AN/A1,6161,24714,7717,833
2015-11-04$29.80$30.0059.4%17.0%27.5%100.0%59.4%1.5%-18.9%-78.8K6.0M-58.6K1.7468.20N/AN/A1,7403,03315,6748,565
2015-11-05$25.51$30.0034.6%8.9%61.6%36.4%31.8%3.9%-0.4%-123.5K17.6M-31.5K1.0257.68N/AN/A3,0143,08416,7019,182
2015-11-06$28.83$30.0040.3%9.9%77.0%51.0%33.8%0.2%-1.2%-137.7K5.5M-58.6K1.7375.86N/AN/A2,1493,71418,0549,916
2015-11-09$27.67$27.5047.5%10.1%77.5%69.6%35.3%3.3%-1.8%-333.0K10.5M-59.3K0.4887.68N/AN/A1,15855918,91511,926
2015-11-10$27.63$27.5043.8%10.1%77.5%59.9%35.3%3.4%-1.3%-355.5K10.7M-57.0K1.1970.71N/AN/A81396619,06611,769
2015-11-11$27.60$27.5035.5%10.2%77.5%38.7%34.5%3.1%-2.5%-309.3K10.7M-56.5K1.1984.33N/AN/A81396619,19311,723
2015-11-12$26.58$27.5033.6%9.6%78.4%34.0%32.9%4.0%-0.9%-302.2K15.3M-47.0K0.9778.41N/AN/A68166419,30411,689
2015-11-13$26.10$27.5038.1%10.9%78.6%45.4%35.5%2.5%-3.4%-202.5K16.9M-46.4K1.4781.87N/AN/A6941,02019,49511,733
2015-11-16$26.37$27.5033.7%9.7%78.6%34.1%33.5%4.8%-0.7%-256.9K16.8M-43.5K0.0960.34N/AN/A75719,52211,753
2015-11-17$26.56$27.5032.0%9.2%78.6%29.9%33.7%1.0%0.2%-311.2K16.5M-42.3K2.0638.05N/AN/A5401,11019,49411,762
2015-11-18$28.18$27.5043.4%12.4%80.9%59.0%43.1%2.2%-1.3%-398.9K7.7M-52.3K0.1882.01N/AN/A8,3821,48619,48711,649
2015-11-19$28.46$27.5040.2%11.5%80.9%50.7%38.8%1.0%2.8%42.1K-2.1M-73.8K0.6475.25N/AN/A2,2511,44824,74311,798
2015-11-20$28.43$27.5038.3%11.0%80.9%46.0%38.7%1.9%-0.7%396.0K-2.3M-73.9K1.0473.47N/AN/A78081124,86812,342
2015-11-23$29.65$27.5037.0%10.6%82.2%42.6%37.6%0.9%-1.4%430.5K-8.2M-72.2K0.3579.99N/AN/A1,37848721,4227,541
2015-11-24$29.88$27.5035.9%10.3%82.0%39.6%36.3%1.8%-0.2%443.0K-9.1M-74.8K0.0270.91N/AN/A11,32326521,6037,914
2015-11-25$29.87$27.5035.8%10.3%81.3%39.5%36.4%0.5%-1.2%1.2M-17.0M-107.9K1.2069.60N/AN/A53664432,4458,087
2015-11-27$29.80$27.5037.0%10.6%80.9%42.5%37.9%2.6%-1.6%1.1M-15.3M-104.6K1.4074.30N/AN/A48367532,4898,172
2015-11-30$29.91$27.5036.2%10.4%80.9%40.6%37.6%3.2%-0.2%1.2M-15.7M-99.5K0.6377.32N/AN/A33321032,4938,172