TDC Options History — September 2016

In September 2016, TDC traded between $29.44 and $31.75. ATM implied volatility averaged 27.1%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 2.9% (HV 20d: 24.3%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.27.

Notable Days

  • 2016-09-20: Highest Volume — 2,609 contracts
  • 2016-09-14: Largest IV drop — 22.1% change
  • 2016-09-13: Highest IV Rank — 34.8%
  • 2016-09-13: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.50$29.44$31.75$31.33$31.04
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV27.1%22.4%37.3%23.3%28.3%
Expected Move7.7%6.4%8.4%6.7%8.1%
HV 20d24.3%17.6%28.9%17.6%28.9%
HV 60d30.2%24.9%34.4%33.3%26.0%
IV Rank10.9%0.0%34.8%0.0%13.6%
IV Percentile12.9%0.0%57.5%0.0%17.5%
Term Structure6.8%3.1%11.4%3.1%9.3%
VWIV26.5%23.8%28.8%27.8%27.7%
Skew 25d4.2%-3.6%9.2%3.6%1.6%
Skew 10d7.6%-6.1%21.2%4.2%1.7%
Call IV 25d26.9%23.5%31.0%23.5%26.1%
Put IV 25d31.1%24.7%34.6%27.1%27.6%
Bid-Ask Spread %88.5882.1598.6793.0998.67
Gamma HHI0.390.290.490.480.38
Net GEX213.9K96.0K318.3K132.0K306.9K
Net DEX-5.4M-7.6M-2.9M-6.6M-7.1M
Net VEX-42.9K-44.4K-41.1K-42.1K-42.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.131.621.620.26
Total Volume2,016.2385722,6095721,481
Total OI11,368.6679,85111,7809,85111,716

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$31.33$30.0023.3%6.7%17.6%0.0%27.8%3.6%3.1%132.0K-6.6M-42.1K1.6293.09N/AN/A2183545,8823,969
2016-09-02$31.75$30.0022.4%6.4%18.0%0.0%27.8%9.2%3.1%180.8K-7.6M-43.2K0.2788.56N/AN/A1,2953547,0063,974
2016-09-06$31.20$30.0027.1%8.0%18.7%10.9%25.6%3.5%4.7%146.0K-6.1M-42.2K0.2282.15N/AN/A1,8344067,0523,974
2016-09-07$31.20$30.0022.9%7.6%18.5%1.1%24.2%3.3%5.4%205.5K-6.9M-43.6K0.2284.27N/AN/A1,8324067,5373,914
2016-09-08$31.12$30.0025.2%7.9%18.1%6.4%24.8%5.2%4.4%196.4K-6.7M-44.4K0.3283.08N/AN/A1,2504067,5373,914
2016-09-09$29.90$30.0027.8%8.1%22.6%12.4%26.7%2.0%3.4%134.3K-4.3M-43.2K0.2182.30N/AN/A1,7833717,5403,914
2016-09-12$30.40$30.0031.0%8.2%23.6%20.1%28.6%7.7%3.2%119.5K-4.6M-42.9K0.2486.18N/AN/A1,5653757,5923,908
2016-09-13$29.44$30.0037.3%8.4%25.1%34.8%28.8%3.1%4.4%126.2K-2.9M-42.3K0.1586.16N/AN/A2,1953317,6863,913
2016-09-14$29.56$30.0029.1%8.3%25.1%15.5%28.7%2.9%3.7%127.4K-3.2M-43.6K0.1687.75N/AN/A2,1283317,8633,911
2016-09-15$30.07$30.0028.5%8.2%26.1%14.1%27.5%4.8%4.2%96.0K-4.6M-43.8K0.1989.54N/AN/A1,7423287,8633,906
2016-09-16$29.64$30.0027.2%7.8%26.2%11.2%26.1%3.4%4.1%193.2K-3.0M-41.8K0.1984.46N/AN/A1,7583337,8713,909
2016-09-19$30.09$30.0027.4%7.9%26.9%11.6%26.1%5.9%8.6%209.9K-4.4M-41.1K0.1886.18N/AN/A1,6022866,9853,508
2016-09-20$29.95$30.0027.6%7.9%26.9%12.0%27.5%6.3%8.7%204.5K-4.2M-41.7K0.1388.60N/AN/A2,3043056,9943,505
2016-09-21$30.31$30.0026.2%7.5%27.1%8.7%26.5%3.1%10.6%278.6K-5.5M-44.0K0.1496.87N/AN/A2,2733148,0183,505
2016-09-22$30.65$30.0025.6%7.3%27.2%7.4%24.6%6.3%10.4%294.5K-6.1M-44.2K0.1591.55N/AN/A2,2313268,0343,505
2016-09-23$30.74$30.0026.1%7.5%27.1%8.6%23.8%5.8%9.2%298.3K-6.5M-44.2K0.1586.34N/AN/A2,2703328,0773,528
2016-09-26$30.48$30.0027.4%7.9%26.3%11.5%27.0%4.3%9.7%303.4K-5.9M-42.8K0.1492.29N/AN/A2,1923138,1393,531
2016-09-27$30.43$30.0026.0%7.5%25.9%8.4%24.9%3.8%11.4%318.3K-6.0M-42.1K0.2791.53N/AN/A1,1943288,1443,531
2016-09-28$30.96$30.0026.9%7.7%26.9%10.3%26.9%5.9%9.5%311.1K-6.9M-42.4K0.2583.95N/AN/A1,2113028,1563,525
2016-09-29$30.17$30.0026.9%7.7%27.1%10.4%25.2%-3.6%11.2%308.3K-5.2M-41.7K0.2796.62N/AN/A1,1643188,1613,545
2016-09-30$31.04$30.0028.3%8.1%28.9%13.6%27.7%1.6%9.3%306.9K-7.1M-42.6K0.2698.67N/AN/A1,1733088,1653,551