TDC Options History — October 2016

In October 2016, TDC traded between $26.92 and $30.64. ATM implied volatility averaged 35.9%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 3.1% (HV 20d: 32.8%). 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 3 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2016-10-26: Highest Volume — 2,260 contracts
  • 2016-10-12: Largest IV spike — 50.1% change
  • 2016-10-26: Highest IV Rank — 60.1%
  • 2016-10-26: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.45$26.92$30.64$29.47$26.98
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV35.9%26.7%48.1%28.3%33.1%
Expected Move11.0%7.6%13.8%8.1%9.5%
HV 20d32.8%30.3%42.5%33.6%37.8%
HV 60d27.7%26.7%30.7%27.8%30.7%
IV Rank31.5%9.9%60.1%13.7%24.9%
IV Percentile49.4%11.1%88.1%17.9%42.5%
Term Structure-4.3%-10.0%13.9%10.4%-3.3%
VWIV38.2%26.0%48.1%29.2%26.0%
Skew 25d3.7%-0.5%6.2%-0.5%4.1%
Skew 10d6.3%-5.5%21.2%-5.1%0.9%
Call IV 25d38.2%27.2%48.3%33.8%33.2%
Put IV 25d41.9%32.3%51.9%33.3%37.3%
Bid-Ask Spread %75.8614.4894.1091.8114.48
Gamma HHI0.440.300.660.400.30
Net GEX350.4K105.3K734.7K269.4K108.7K
Net DEX-3.7M-6.4M686.7K-3.3M646.9K
Net VEX-34.4K-39.2K-24.6K-38.2K-24.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.313.641.053.64
Total Volume1,112.814912,2605511,182
Total OI11,253.4767,87512,49911,73910,156

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$29.47$30.0028.3%8.1%33.6%13.7%29.2%-0.5%10.4%269.4K-3.3M-38.2K1.0591.81N/AN/A2692828,1783,561
2016-10-04$29.52$30.0027.8%8.0%33.3%12.5%28.5%5.1%10.8%289.7K-3.2M-38.8K0.9593.22N/AN/A2862728,2423,573
2016-10-05$30.10$30.0026.7%7.6%34.2%9.9%26.7%0.5%13.9%345.7K-5.1M-38.3K0.9894.10N/AN/A2862808,2603,579
2016-10-06$30.35$30.0027.2%11.2%34.4%11.1%38.1%2.9%-7.2%347.6K-5.6M-39.2K1.3273.33N/AN/A2122798,2803,599
2016-10-07$30.30$30.0026.8%11.3%31.2%10.1%40.0%3.2%-6.6%359.5K-5.5M-38.6K1.4576.77N/AN/A2133088,2823,604
2016-10-10$30.64$30.0026.9%11.5%30.9%10.4%40.2%4.1%-7.1%380.3K-6.4M-37.4K2.0277.60N/AN/A1933908,2803,634
2016-10-11$29.79$30.0026.9%11.3%30.4%10.4%36.2%4.1%-6.9%375.5K-4.0M-35.9K2.3683.13N/AN/A1573718,2813,593
2016-10-12$30.03$30.0040.4%11.6%30.4%41.9%40.6%3.7%-7.2%404.6K-4.5M-35.5K0.5678.57N/AN/A6483618,2913,590
2016-10-13$29.34$30.0040.8%11.7%30.9%42.9%40.6%4.5%-7.1%367.9K-3.0M-36.0K0.5080.51N/AN/A6933468,7903,609
2016-10-14$29.59$30.0040.5%11.6%30.7%42.2%40.2%4.6%-7.1%440.4K-3.8M-37.0K0.3281.84N/AN/A1,1303628,8113,610
2016-10-17$29.34$30.0041.8%12.0%30.3%45.4%41.8%6.2%-8.2%403.9K-3.0M-34.6K0.3480.88N/AN/A1,1013718,8663,612
2016-10-18$29.56$30.0041.6%11.9%30.4%44.8%41.9%5.6%-8.3%518.8K-3.4M-34.0K0.3474.98N/AN/A1,1143788,8663,622
2016-10-19$30.12$30.0042.5%12.2%30.9%46.9%41.9%3.8%-9.0%734.7K-5.7M-34.2K0.3274.61N/AN/A1,2684008,8583,622
2016-10-20$29.70$30.0042.3%12.1%31.0%46.5%42.7%2.7%-8.7%730.2K-4.1M-34.3K0.3177.50N/AN/A1,2823978,8643,635
2016-10-21$29.39$30.0042.4%12.2%31.1%46.7%45.5%4.8%-9.4%216.5K-2.0M-32.4K0.3770.39N/AN/A1,1874348,8553,636
2016-10-24$29.82$30.0043.1%12.4%31.5%48.4%43.9%2.8%-7.4%252.8K-4.6M-33.3K0.4978.06N/AN/A6753326,2111,664
2016-10-25$29.76$30.0044.5%12.7%31.5%51.5%44.6%4.3%-8.5%257.1K-4.6M-33.3K0.3479.79N/AN/A9783336,2881,679
2016-10-26$30.09$30.0048.1%13.8%31.1%60.1%48.1%3.5%-10.0%299.6K-5.8M-34.9K0.6170.48N/AN/A1,4088526,6041,679
2016-10-27$27.62$30.0030.8%8.8%42.5%19.6%32.8%3.0%-0.4%150.4K-247.5K-27.3K0.6860.43N/AN/A8455727,6762,230
2016-10-28$26.92$30.0032.1%9.2%41.3%22.5%33.2%3.8%-1.8%105.3K686.7K-24.7K1.7580.65N/AN/A3355877,7462,307
2016-10-31$26.98$30.0033.1%9.5%37.8%24.9%26.0%4.1%-3.3%108.7K646.9K-24.6K3.6414.48N/AN/A2559277,8252,331