TDC Options History — March 2016

In March 2016, TDC traded between $25.42 and $27.47. ATM implied volatility averaged 34.2%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 1.9% (HV 20d: 32.3%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.06.

Notable Days

  • 2016-03-30: Highest Volume — 5,216 contracts
  • 2016-03-31: Largest IV drop — 19.6% change
  • 2016-03-08: Highest IV Rank — 49.0%
  • 2016-03-02: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.33$25.42$27.47$25.42$26.23
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV34.2%26.4%42.3%39.1%26.4%
Expected Move9.6%7.6%11.3%11.2%7.6%
HV 20d32.3%25.5%52.6%52.6%28.5%
HV 60d39.8%38.8%41.0%40.5%39.3%
IV Rank30.9%13.5%49.0%41.7%13.5%
IV Percentile46.8%17.1%78.6%66.7%17.1%
Term Structure4.4%-4.0%19.2%-4.0%19.2%
VWIV35.2%28.2%41.2%41.2%28.2%
Skew 25d2.5%-2.4%7.3%2.9%-2.4%
Skew 10d5.0%-13.3%26.7%-5.9%18.1%
Call IV 25d33.7%31.1%38.9%38.9%33.9%
Put IV 25d36.2%31.0%43.7%41.8%31.5%
Bid-Ask Spread %84.8241.3598.5379.5592.94
Gamma HHI0.550.220.830.740.52
Net GEX-249.3K-933.4K118.9K-544.9K-112.1K
Net DEX122.3K-2.9M5.1M5.1M3.6M
Net VEX-38.4K-45.9K-32.7K-45.0K-45.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.593.341.133.34
Total Volume2,472.8641,7555,2161,7555,167
Total OI12,197.9558,05814,75313,85211,645

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$25.42$25.0039.1%11.2%52.6%41.7%41.2%2.9%-4.0%-544.9K5.1M-45.0K1.1379.55N/AN/A8239325,4568,396
2016-03-02$25.54$25.0039.4%11.3%49.4%42.5%39.7%5.7%-3.9%-530.8K4.5M-44.5K1.1688.26N/AN/A8249585,4788,396
2016-03-03$26.45$25.0035.3%9.7%50.4%33.4%36.0%7.3%3.0%-492.6K1.1M-42.5K0.9788.92N/AN/A9949645,4698,383
2016-03-04$26.74$25.0034.9%9.4%43.3%32.3%35.9%3.3%3.0%-336.8K-376.7K-42.4K1.0079.03N/AN/A9929885,5548,389
2016-03-07$27.47$25.0038.6%9.8%30.2%40.8%34.8%4.3%3.1%-106.7K-2.6M-39.6K1.0484.42N/AN/A9751,0115,5858,411
2016-03-08$26.79$25.0042.3%10.0%31.2%49.0%37.4%4.3%2.0%-311.6K-888.8K-42.1K1.0794.95N/AN/A9421,0115,6208,436
2016-03-09$26.51$25.0034.3%9.8%30.2%31.0%34.8%0.9%3.5%-341.3K724.5K-43.6K1.0385.90N/AN/A9429685,6958,436
2016-03-10$26.06$25.0037.4%10.7%30.7%38.1%36.4%4.6%-0.3%-618.0K2.3M-40.0K1.0487.17N/AN/A9599935,6958,447
2016-03-11$26.71$25.0032.8%9.4%29.4%27.6%32.6%6.2%3.7%-411.7K-1.3M-36.6K0.8280.26N/AN/A1,2059935,7198,459
2016-03-14$26.18$25.0036.4%10.4%30.8%35.8%36.1%2.8%1.2%-480.1K664.4K-38.0K0.8341.35N/AN/A1,2881,0745,9278,459
2016-03-15$25.87$25.0035.4%10.1%31.0%33.4%36.4%5.2%1.7%-933.4K1.3M-37.4K0.6146.45N/AN/A1,5669516,0888,411
2016-03-16$26.17$25.0035.5%10.2%26.7%33.7%37.9%6.2%1.7%-593.9K234.2K-36.1K0.6198.53N/AN/A1,5619516,3478,406
2016-03-17$26.40$25.0032.3%9.3%26.5%26.6%37.0%1.8%2.5%-408.4K-958.1K-38.4K0.5989.17N/AN/A1,5769276,3478,406
2016-03-18$26.77$25.0031.4%9.0%26.8%24.7%36.0%0.9%3.0%118.9K-2.9M-36.6K0.6195.62N/AN/A1,5729546,3478,394
2016-03-21$26.63$25.0031.2%8.9%26.9%24.1%35.8%0.0%7.7%108.1K-1.6M-35.3K0.7290.58N/AN/A1,4361,0405,5002,628
2016-03-22$26.74$25.0029.2%8.4%25.5%19.7%34.5%-0.7%8.5%107.5K-1.6M-34.6K0.6990.32N/AN/A1,4249785,5002,558
2016-03-23$25.92$25.0031.1%8.9%28.3%23.9%30.6%-0.0%9.0%39.2K-557.7K-32.7K0.6992.51N/AN/A1,4369905,5282,616
2016-03-24$25.85$25.0032.0%9.2%28.0%25.9%32.8%-0.4%8.9%87.8K-740.0K-33.6K0.7590.34N/AN/A1,2789645,5642,631
2016-03-28$26.15$25.0034.7%9.9%28.3%31.9%34.4%-0.2%6.9%90.2K-975.1K-33.4K0.7290.14N/AN/A1,3309605,6152,698
2016-03-29$26.46$25.0030.8%8.8%28.4%23.1%33.3%2.1%8.5%97.6K-1.4M-33.7K0.7389.37N/AN/A1,3279635,6442,688
2016-03-30$26.11$25.0032.9%9.4%28.5%27.9%32.2%1.3%7.0%87.8K-1.0M-33.2K3.2190.18N/AN/A1,2403,9765,6932,691
2016-03-31$26.23$25.0026.4%7.6%28.5%13.5%28.2%-2.4%19.2%-112.1K3.6M-45.9K3.3492.94N/AN/A1,1913,9765,9315,714