TDC Options History — August 2016

In August 2016, TDC traded between $28.40 and $32.56. ATM implied volatility averaged 26.8%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 2.8% (HV 20d: 24.0%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.59.

Notable Days

  • 2016-08-02: Highest Volume — 3,865 contracts
  • 2016-08-02: Largest IV drop — 40.5% change
  • 2016-08-01: Highest IV Rank — 62.9%
  • 2016-08-01: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.44$28.40$32.56$28.40$31.78
Max Pain$29.89$27.50$30.00$27.50$30.00
ATM IV26.8%23.4%50.4%50.4%25.0%
Expected Move7.7%6.7%14.4%14.4%7.2%
HV 20d24.0%18.3%27.3%24.3%18.3%
HV 60d33.9%32.7%36.2%36.2%33.1%
IV Rank6.1%0.0%62.9%62.9%3.9%
IV Percentile6.7%0.0%91.3%91.3%3.2%
Term Structure0.5%-11.3%2.8%-11.3%1.4%
VWIV27.3%23.0%51.3%51.3%30.7%
Skew 25d2.8%-4.0%10.7%0.5%6.9%
Skew 10d3.2%-7.5%13.2%-0.6%7.9%
Call IV 25d26.4%20.9%52.3%52.3%24.8%
Put IV 25d29.2%24.0%52.8%52.8%31.6%
Bid-Ask Spread %55.0320.91102.9981.2594.68
Gamma HHI0.420.350.620.490.45
Net GEX255.8K146.2K450.9K175.0K152.2K
Net DEX-9.9M-13.1M-3.7M-3.7M-7.8M
Net VEX-48.8K-55.1K-42.1K-46.4K-42.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.002.922.071.33
Total Volume1,515.565363,8653,554622
Total OI12,449.5659,27414,9439,2749,900

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$28.40$27.5050.4%14.4%24.3%62.9%51.3%0.5%-11.3%175.0K-3.7M-46.4K2.0781.25N/AN/A1,1582,3965,9063,368
2016-08-02$29.39$30.0030.0%8.6%24.4%11.8%31.8%-4.0%-1.8%179.6K-5.3M-49.9K1.0785.85N/AN/A1,8632,0026,5025,147
2016-08-03$30.65$30.0027.5%7.9%27.1%5.7%27.7%4.0%0.3%241.2K-9.8M-52.7K1.6435.71N/AN/A1,1761,9317,1055,569
2016-08-04$31.30$30.0027.6%7.5%27.3%5.8%26.1%3.7%1.0%286.5K-12.0M-55.1K2.0231.91N/AN/A9131,8467,6925,845
2016-08-05$31.57$30.0024.7%7.5%26.4%0.0%27.1%2.7%0.7%347.8K-12.4M-55.1K2.4921.98N/AN/A7211,7948,0026,041
2016-08-08$31.89$30.0027.4%7.8%26.3%6.6%26.2%3.1%0.7%328.7K-12.7M-53.8K1.9220.91N/AN/A8101,5587,8716,142
2016-08-09$31.62$30.0029.0%7.9%24.6%10.5%27.6%0.4%-0.2%363.6K-12.2M-54.8K1.9741.14N/AN/A7431,4668,3936,143
2016-08-10$31.28$30.0027.3%7.8%25.2%6.4%26.8%-1.7%-0.5%394.1K-11.8M-53.0K2.8733.96N/AN/A5141,4778,4756,153
2016-08-11$31.54$30.0026.1%7.5%25.2%3.3%27.6%1.4%0.8%397.5K-11.9M-53.1K2.9233.13N/AN/A5901,7248,4286,191
2016-08-12$31.36$30.0025.9%7.4%25.2%3.0%26.8%-0.5%1.2%360.6K-10.9M-52.8K1.1838.32N/AN/A6087188,3546,309
2016-08-15$31.84$30.0025.2%7.2%25.4%1.2%26.8%3.2%2.4%450.9K-13.1M-50.0K1.3240.14N/AN/A5166828,3576,316
2016-08-16$31.49$30.0025.9%7.4%25.8%2.8%26.5%2.1%0.4%423.0K-12.1M-50.0K1.4723.11N/AN/A5007348,4166,445
2016-08-17$31.35$30.0025.8%7.4%23.1%2.7%26.7%1.7%0.7%232.8K-11.3M-49.0K0.0056.34N/AN/A5908,3716,533
2016-08-18$31.54$30.0024.3%7.0%22.6%0.0%27.3%5.1%2.3%347.5K-12.0M-48.1K0.5941.02N/AN/A51308,3966,533
2016-08-19$31.68$30.0023.9%6.9%22.6%0.0%23.1%4.8%2.4%149.2K-12.6M-46.8K1.2828.02N/AN/A6157898,4176,526
2016-08-22$31.68$30.0024.2%6.9%22.6%0.6%23.3%3.7%1.9%147.6K-7.0M-46.4K1.4333.38N/AN/A3474965,8933,855
2016-08-23$31.97$30.0024.6%7.1%22.6%1.7%23.4%7.6%1.7%146.2K-7.8M-45.0K1.3233.44N/AN/A2973935,8323,855
2016-08-24$31.56$30.0025.1%7.2%23.5%2.8%24.9%2.3%1.3%150.5K-7.4M-44.3K1.7796.57N/AN/A13235,8743,839
2016-08-25$31.72$30.0023.4%6.7%23.5%0.0%25.1%3.6%2.8%149.7K-7.3M-43.8K1.9797.98N/AN/A2585085,8643,871
2016-08-26$32.28$30.0023.5%6.7%23.2%0.2%25.1%10.7%2.0%148.0K-8.1M-44.4K1.25102.99N/AN/A3063835,8903,958
2016-08-29$32.56$30.0025.1%7.2%23.0%4.2%23.0%1.9%1.4%156.4K-8.9M-43.0K1.2294.46N/AN/A2923565,9023,969
2016-08-30$32.56$30.0024.9%7.2%20.7%3.8%23.3%2.0%0.8%155.0K-9.0M-42.6K1.4499.33N/AN/A2383425,9193,973
2016-08-31$31.78$30.0025.0%7.2%18.3%3.9%30.7%6.9%1.4%152.2K-7.8M-42.1K1.3394.68N/AN/A2673555,9263,974