TDC Options History — December 2015

In December 2015, TDC traded between $26.24 and $30.63. ATM implied volatility averaged 36.3%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 7.4% (HV 20d: 43.6%). Max pain ranged from $27.50 to $27.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.62.

Notable Days

  • 2015-12-31: Highest Volume — 5,419 contracts
  • 2015-12-09: Largest IV drop — 14.7% change
  • 2015-12-08: Highest IV Rank — 59.3%
  • 2015-12-11: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.72$26.24$30.63$30.63$26.49
Max Pain$27.50$27.50$27.50$27.50$27.50
ATM IV36.3%32.4%43.5%37.1%32.8%
Expected Move10.3%9.3%11.6%10.6%9.4%
HV 20d43.6%32.8%81.1%80.6%32.8%
HV 60d52.0%50.5%53.0%50.8%52.1%
IV Rank40.7%30.7%59.3%42.7%31.9%
IV Percentile70.9%55.2%91.3%76.6%57.5%
Term Structure2.7%-2.8%9.2%-2.8%8.1%
VWIV36.6%31.9%42.1%36.4%33.0%
Skew 25d2.2%-1.8%5.2%3.8%1.2%
Skew 10d4.6%-7.4%12.9%11.3%-1.9%
Call IV 25d36.1%32.3%41.1%35.3%34.4%
Put IV 25d38.3%33.7%43.1%39.1%35.5%
Bid-Ask Spread %53.1316.3589.5883.7651.95
Gamma HHI0.300.240.380.300.38
Net GEX627.0K261.6K1.3M1.3M261.6K
Net DEX-1.0M-20.6M9.0M-20.6M7.4M
Net VEX-63.5K-102.7K-37.6K-102.2K-37.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.041.480.040.33
Total Volume1,612.3641745,4198655,419
Total OI40,430.537,10242,96840,94237,467

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$30.63$27.5037.1%10.6%80.6%42.7%36.4%3.8%-2.8%1.3M-20.6M-102.2K0.0483.76N/AN/A8303532,5608,382
2015-12-02$30.09$27.5036.3%10.4%80.8%40.8%35.8%3.2%-1.1%1.3M-19.0M-102.7K0.7882.36N/AN/A76559433,1408,426
2015-12-03$29.42$27.5036.8%10.0%81.1%41.9%36.0%0.9%-0.7%1.1M-13.5M-92.1K0.9285.55N/AN/A65260333,2068,426
2015-12-04$29.71$27.5034.5%9.9%56.8%36.1%35.3%1.3%0.3%1.3M-16.0M-97.8K0.6845.25N/AN/A86358333,2148,448
2015-12-07$28.77$27.5039.0%10.2%39.2%47.8%36.8%0.9%0.2%986.6K-7.8M-83.5K1.1239.00N/AN/A829233,3928,442
2015-12-08$28.07$27.5043.5%10.9%37.3%59.3%38.3%2.8%-2.0%805.6K-3.6M-77.2K0.4426.66N/AN/A90039633,4718,544
2015-12-09$28.16$27.5037.1%10.6%37.3%42.9%37.2%2.3%-0.4%809.2K-3.5M-76.8K0.6227.92N/AN/A77648433,5738,577
2015-12-10$28.62$27.5036.7%10.5%37.7%41.9%36.5%1.2%0.9%947.5K-6.2M-76.1K0.5935.00N/AN/A68440733,6478,681
2015-12-11$27.04$27.5040.5%11.6%40.8%51.6%42.1%2.0%-2.2%543.3K2.3M-66.8K1.4828.35N/AN/A55682233,6438,694
2015-12-14$26.83$27.5039.8%11.4%40.3%49.8%41.7%2.1%0.2%423.0K4.9M-56.5K0.8738.07N/AN/A54647333,6528,744
2015-12-15$26.96$27.5038.2%10.9%40.2%45.6%39.7%3.0%-0.0%505.6K3.4M-61.6K1.1333.16N/AN/A52158933,6478,752
2015-12-16$27.61$27.5037.6%10.8%41.0%44.2%40.2%4.7%-0.8%527.4K1.7M-57.7K1.2047.90N/AN/A49258933,6398,742
2015-12-17$26.85$27.5035.6%10.2%36.2%38.9%37.3%1.0%1.5%343.9K6.3M-49.7K0.4916.35N/AN/A1,52874433,6378,746
2015-12-18$26.24$27.5038.7%11.1%36.6%47.0%37.1%5.2%2.5%282.8K9.0M-46.8K0.4084.64N/AN/A1,49159734,2108,758
2015-12-21$26.29$27.5035.6%10.2%36.6%38.9%36.7%4.9%5.2%273.6K6.6M-44.6K0.3384.29N/AN/A1,45548730,9786,921
2015-12-22$26.91$27.5033.1%9.5%34.0%32.6%33.7%2.9%9.1%372.6K4.0M-47.3K0.3389.58N/AN/A1,47649030,9856,907
2015-12-23$27.20$27.5032.9%9.4%34.2%32.1%31.9%4.9%8.4%363.2K3.5M-46.4K0.4385.95N/AN/A1,26553930,9846,899
2015-12-24$27.22$27.5032.4%9.3%34.2%30.7%32.0%1.0%8.4%446.9K2.6M-49.2K0.5442.40N/AN/A1,01655330,5546,915
2015-12-28$26.78$27.5034.4%9.9%34.5%35.9%36.8%1.6%7.5%310.4K5.7M-42.1K0.3149.65N/AN/A1,32140530,2356,867
2015-12-29$27.04$27.5032.7%9.4%34.7%31.5%33.9%-0.5%8.7%365.9K4.5M-42.4K0.4648.45N/AN/A1,21055130,4796,869
2015-12-30$26.81$27.5032.6%9.3%33.0%31.3%37.2%-1.8%9.2%300.1K6.0M-39.7K0.2642.59N/AN/A1,25933230,4276,991
2015-12-31$26.49$27.5032.8%9.4%32.8%31.9%33.0%1.2%8.1%261.6K7.4M-37.6K0.3351.95N/AN/A4,0891,33030,4487,019