TDC Options History — February 2016

In February 2016, TDC traded between $22.63 and $25.53. ATM implied volatility averaged 46.2%, placing in the 57.6% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 4.6% (HV 20d: 50.8%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2016-02-04: Highest Volume — 8,393 contracts
  • 2016-02-04: Largest IV drop — 21.2% change
  • 2016-02-03: Highest IV Rank — 89.7%
  • 2016-02-03: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.16$22.63$25.53$24.41$25.02
Max Pain$24.50$22.50$25.00$22.50$25.00
ATM IV46.2%38.5%60.6%53.1%41.2%
Expected Move12.9%11.0%17.4%15.2%11.8%
HV 20d50.8%34.0%55.9%34.0%52.4%
HV 60d42.6%39.1%54.0%53.4%40.5%
IV Rank57.6%40.3%89.7%73.0%46.4%
IV Percentile83.5%65.9%99.6%97.2%76.2%
Term Structure-4.5%-15.6%-1.7%-10.5%-4.4%
VWIV46.3%39.7%68.5%68.5%41.7%
Skew 25d4.4%2.2%7.4%7.4%2.4%
Skew 10d9.6%-2.5%22.3%22.3%-2.5%
Call IV 25d44.0%37.7%60.0%51.7%39.9%
Put IV 25d48.3%42.1%63.7%59.1%42.2%
Bid-Ask Spread %76.4266.3689.0975.6779.33
Gamma HHI0.550.230.760.230.73
Net GEX-292.7K-501.8K84.7K45.1K-501.8K
Net DEX6.3M-1.1M11.0M352.3K6.1M
Net VEX-35.5K-46.9K-20.6K-20.6K-45.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.423.702.011.10
Total Volume2,0261,0358,3931,7501,802
Total OI12,911.757,53315,2097,59213,789

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$24.41$22.5053.1%15.2%34.0%73.0%68.5%7.4%-10.5%45.1K352.3K-20.6K2.0175.67N/AN/A5821,1684,5573,035
2016-02-02$23.29$22.5060.4%17.3%37.2%89.3%61.7%2.2%-13.5%17.6K1.0M-20.9K0.7482.41N/AN/A6404724,5582,975
2016-02-03$23.69$22.5060.6%17.4%37.2%89.7%60.2%4.9%-15.6%17.2K1.0M-20.8K0.7678.06N/AN/A9297084,5603,160
2016-02-04$25.53$22.5047.8%12.0%43.5%61.1%42.4%6.4%-1.7%84.7K-1.1M-25.2K3.7066.81N/AN/A1,7856,6084,7633,473
2016-02-05$23.50$25.0050.4%12.9%52.1%67.1%43.7%4.2%-2.5%-307.4K8.8M-40.1K0.4769.95N/AN/A1,2105695,5659,020
2016-02-08$23.10$25.0052.7%13.4%52.2%72.0%45.8%3.8%-2.7%-305.6K10.1M-36.6K0.4270.46N/AN/A1,1374825,5818,980
2016-02-09$22.63$25.0051.8%13.3%52.0%70.0%48.1%3.5%-3.8%-298.5K11.0M-34.0K0.8066.36N/AN/A9067295,5808,952
2016-02-10$23.22$25.0049.2%14.1%52.8%64.3%48.6%5.6%-5.2%-308.5K9.7M-36.2K0.8171.28N/AN/A9107335,6168,987
2016-02-11$22.70$25.0047.1%13.5%53.2%59.7%47.0%5.5%-3.2%-305.4K10.9M-33.6K0.7475.56N/AN/A1,0968135,6059,058
2016-02-12$23.10$25.0045.9%13.2%53.2%56.9%49.0%3.8%-2.9%-340.7K10.4M-36.6K0.9071.43N/AN/A9378405,7959,174
2016-02-16$23.59$25.0044.3%12.7%53.6%53.3%44.3%4.2%-2.4%-385.3K9.8M-35.7K0.8480.33N/AN/A9457975,7809,209
2016-02-17$24.74$25.0042.0%12.0%55.9%48.3%42.6%5.1%-3.5%-299.2K6.2M-40.7K0.9674.73N/AN/A9459065,7919,222
2016-02-18$25.06$25.0040.8%11.7%55.5%45.7%42.1%3.8%-2.6%-263.1K5.6M-39.4K0.9173.90N/AN/A1,0429445,8159,256
2016-02-19$25.08$25.0039.7%11.4%55.5%43.1%40.0%4.2%-2.5%-399.1K4.4M-40.2K0.9475.89N/AN/A9819225,9129,297
2016-02-22$25.03$25.0039.7%11.4%55.5%43.2%39.9%4.3%-3.6%-439.7K6.2M-37.4K0.6289.09N/AN/A6373984,8057,741
2016-02-23$24.53$25.0039.4%11.3%55.0%42.4%40.6%4.4%-2.7%-437.5K7.4M-36.2K0.6486.94N/AN/A6544184,8327,755
2016-02-24$24.72$25.0039.4%11.3%54.9%42.5%40.2%4.9%-2.3%-461.1K7.0M-37.5K0.7885.64N/AN/A1,1729134,8647,775
2016-02-25$25.08$25.0039.7%11.4%55.1%43.1%39.7%3.3%-2.5%-468.7K6.1M-46.9K0.7479.76N/AN/A1,1748695,3988,295
2016-02-26$25.12$25.0038.5%11.0%55.0%40.3%39.7%3.5%-2.2%-497.5K5.8M-46.3K1.1174.88N/AN/A8279205,4088,297
2016-02-29$25.02$25.0041.2%11.8%52.4%46.4%41.7%2.4%-4.4%-501.8K6.1M-45.2K1.1079.33N/AN/A8609425,4208,369