TDC Options History — June 2016

In June 2016, TDC traded between $24.43 and $29.04. ATM implied volatility averaged 30.3%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 1.6% (HV 20d: 31.9%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.98.

Notable Days

  • 2016-06-20: Highest Volume — 1,933 contracts
  • 2016-06-24: Largest IV spike — 21.9% change
  • 2016-06-24: Highest IV Rank — 35.0%
  • 2016-06-27: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.44$24.43$29.04$28.55$25.03
Max Pain$29.89$27.50$30.00$27.50$30.00
ATM IV30.3%25.8%36.7%31.0%28.4%
Expected Move8.8%8.0%10.5%8.9%8.1%
HV 20d31.9%23.2%45.0%45.0%44.3%
HV 60d34.3%32.5%39.8%33.2%39.6%
IV Rank21.1%10.2%35.0%23.7%10.2%
IV Percentile21.9%6.7%51.2%25.8%8.3%
Term Structure5.3%-1.6%10.5%-1.6%10.5%
VWIV31.7%22.8%42.4%29.8%31.0%
Skew 25d3.6%-0.7%12.1%1.2%12.1%
Skew 10d7.0%-2.2%20.9%2.0%19.8%
Call IV 25d30.0%27.2%39.1%28.7%29.3%
Put IV 25d33.6%27.1%41.7%29.9%41.4%
Bid-Ask Spread %76.0822.9999.2446.0097.82
Gamma HHI0.270.140.500.240.25
Net GEX20.4K-23.2K108.6K7.7K5.8K
Net DEX143.3K-3.0M3.9M-1.4M3.7M
Net VEX-46.6K-55.4K-34.3K-53.4K-34.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.981.063.241.201.78
Total Volume1,306.7278511,9339381,473
Total OI10,454.5919,00911,23710,7739,793

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$28.55$27.5031.0%8.9%45.0%23.7%29.8%1.2%-1.6%7.7K-1.4M-53.4K1.2046.00N/AN/A4265125,6075,166
2016-06-02$28.97$30.0028.1%8.0%43.3%17.2%31.8%4.8%4.5%-5.3K-2.5M-55.4K1.6327.73N/AN/A3245275,6995,186
2016-06-03$28.31$30.0030.8%8.6%36.3%23.1%29.6%1.4%4.0%20.9K-958.2K-53.1K1.3351.13N/AN/A4085415,7045,206
2016-06-06$28.69$30.0025.8%8.7%28.5%12.1%31.0%2.8%4.3%22.9K-1.8M-53.7K1.3333.71N/AN/A4085415,8485,225
2016-06-07$28.72$30.0026.4%8.5%25.7%13.4%31.3%2.3%4.7%20.6K-2.2M-53.4K1.2627.16N/AN/A4095175,9035,225
2016-06-08$29.04$30.0028.2%8.1%25.2%17.4%29.2%0.8%4.4%14.4K-3.0M-53.3K1.4322.99N/AN/A4486425,8515,204
2016-06-09$28.68$30.0029.9%8.6%25.6%21.3%29.9%3.7%3.6%-3.6K-1.7M-52.7K1.7481.42N/AN/A3846695,8375,365
2016-06-10$27.83$30.0030.5%8.7%27.7%22.5%33.1%1.3%3.2%41.4K382.0K-50.4K1.7888.16N/AN/A4167425,8175,365
2016-06-13$27.46$30.0031.6%9.0%25.8%24.9%31.7%0.9%4.1%49.7K1.2M-48.5K1.9585.65N/AN/A3817425,8145,423
2016-06-14$27.31$30.0031.6%9.1%25.9%25.1%33.4%5.3%3.6%70.2K2.2M-47.4K2.8682.57N/AN/A3781,0825,8105,423
2016-06-15$27.04$30.0030.4%8.7%26.2%22.3%32.7%3.8%5.6%108.6K1.8M-45.7K3.2489.18N/AN/A4011,2995,8275,110
2016-06-16$27.22$30.0030.2%8.7%24.9%22.0%35.5%5.5%4.4%26.9K2.4M-45.6K3.1890.96N/AN/A4251,3505,8365,365
2016-06-17$27.67$30.0030.6%8.8%25.3%22.9%38.3%7.1%3.6%-20.0K-753.1K-45.5K2.4585.30N/AN/A4251,0405,8225,097
2016-06-20$28.18$30.0030.0%8.6%25.0%21.6%28.2%4.1%8.8%-23.2K-1.5M-45.3K1.0693.62N/AN/A9389954,7884,221
2016-06-21$28.21$30.0029.4%8.4%25.0%20.2%24.2%1.4%7.6%28.1K-1.7M-47.1K2.6393.74N/AN/A3769895,3944,204
2016-06-22$27.85$30.0029.1%8.4%25.5%19.5%25.3%-0.7%7.7%28.3K-1.2M-46.3K2.6499.24N/AN/A3769935,4034,195
2016-06-23$28.50$30.0029.6%8.5%23.2%20.5%22.8%1.9%6.6%26.8K-2.2M-47.1K2.5796.37N/AN/A3779695,4034,203
2016-06-24$26.22$30.0036.1%10.3%38.0%35.0%33.4%0.6%4.3%19.3K1.3M-42.3K1.8293.46N/AN/A5139365,4084,202
2016-06-27$24.43$30.0036.7%10.5%44.7%34.9%42.4%2.6%4.8%6.5K3.6M-35.8K1.6693.18N/AN/A5759575,5224,196
2016-06-28$24.88$30.0031.9%9.1%44.9%19.0%41.1%4.8%9.3%3.2K3.6M-35.3K2.1996.52N/AN/A4289375,4724,203
2016-06-29$24.91$30.0030.5%8.7%44.8%15.4%32.5%11.3%8.7%-5593.9M-34.3K1.7597.94N/AN/A5389415,4354,224
2016-06-30$25.03$30.0028.4%8.1%44.3%10.2%31.0%12.1%10.5%5.8K3.7M-34.7K1.7897.82N/AN/A5299445,5644,229