TDC Options History — November 2016

In November 2016, TDC traded between $26.44 and $29.07. ATM implied volatility averaged 31.1%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 4.0% (HV 20d: 35.1%). Max pain ranged from $27.50 to $32.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.71.

Notable Days

  • 2016-11-28: Highest Volume — 2,222 contracts
  • 2016-11-09: Largest IV drop — 12.1% change
  • 2016-11-07: Highest IV Rank — 34.2%
  • 2016-11-02: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.59$26.44$29.07$27.11$26.93
Max Pain$28.69$27.50$32.50$30.00$27.50
ATM IV31.1%27.4%37.1%34.8%28.6%
Expected Move8.7%7.9%10.2%10.0%8.2%
HV 20d35.1%22.5%39.4%37.9%23.2%
HV 60d31.5%30.5%32.4%30.6%31.6%
IV Rank20.3%11.5%34.2%28.8%14.4%
IV Percentile32.7%15.1%59.5%48.4%23.8%
Term Structure-1.1%-5.1%0.7%-4.3%-1.4%
VWIV29.2%22.0%36.6%28.3%28.6%
Skew 25d3.2%0.1%7.8%5.9%7.8%
Skew 10d6.1%-2.5%17.9%3.4%8.4%
Call IV 25d30.5%27.2%36.4%34.4%27.6%
Put IV 25d33.7%31.0%40.3%40.3%35.4%
Bid-Ask Spread %61.7215.7395.1515.7395.15
Gamma HHI0.270.230.320.270.26
Net GEX96.3K52.5K173.3K89.8K78.1K
Net DEX954.6K-1.4M4.7M1.5M601.4K
Net VEX-26.5K-30.9K-22.8K-25.5K-22.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.365.552.264.14
Total Volume1,472.9521,0632,2221,1911,224
Total OI10,828.5248,43613,51910,5668,495

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$27.11$30.0034.8%10.0%37.9%28.8%28.3%5.9%-4.3%89.8K1.5M-25.5K2.2615.73N/AN/A3658267,8522,714
2016-11-02$26.80$30.0035.7%10.2%36.9%31.1%35.0%2.7%-5.1%72.7K2.4M-25.9K2.6447.66N/AN/A3148297,9713,048
2016-11-03$26.55$32.5034.8%8.9%36.5%28.8%29.0%3.0%-0.5%64.5K2.9M-24.3K2.3221.23N/AN/A3638428,0583,053
2016-11-04$26.44$32.5036.8%9.1%36.5%33.5%28.4%2.3%-1.0%66.0K2.8M-24.8K2.0827.85N/AN/A4058438,1773,053
2016-11-07$27.09$32.5037.1%8.7%37.6%34.2%28.1%3.1%-1.6%81.3K2.4M-24.7K1.9119.95N/AN/A4177988,2543,056
2016-11-08$27.54$32.5035.7%9.1%37.5%31.0%31.6%3.5%-1.9%97.5K1.9M-26.0K0.5634.18N/AN/A1,1586548,3003,056
2016-11-09$28.03$27.5031.4%9.0%38.1%20.9%36.6%4.3%-1.5%154.5K931.6K-28.3K1.7372.85N/AN/A3896748,9293,235
2016-11-10$28.39$27.5031.4%9.0%37.7%21.0%29.0%2.2%-1.1%139.4K639.7K-29.6K1.4060.76N/AN/A4696568,9303,429
2016-11-11$28.62$27.5032.0%9.2%37.7%22.2%29.5%3.3%-0.9%138.1K-318.0K-30.9K1.4066.68N/AN/A4776698,9733,431
2016-11-14$28.97$27.5029.0%8.3%37.9%15.3%22.0%2.2%0.1%102.8K-1.2M-30.3K1.3673.78N/AN/A4846608,9833,443
2016-11-15$29.07$27.5029.5%8.5%37.9%16.5%28.1%3.0%-1.1%112.6K-1.4M-29.5K1.4478.42N/AN/A6018678,9823,445
2016-11-16$28.38$27.5031.1%8.9%38.0%20.1%29.4%2.5%-2.2%173.3K915.5K-27.3K1.2573.69N/AN/A5847329,1673,597
2016-11-17$28.07$27.5030.7%8.8%37.9%19.3%30.4%4.5%-1.1%150.8K1.5M-25.9K2.3275.48N/AN/A6131,4229,1643,637
2016-11-18$27.13$27.5027.8%8.0%39.4%12.4%27.8%2.7%-0.2%86.1K4.7M-25.3K0.7255.65N/AN/A1,2468989,1574,362
2016-11-21$27.40$27.5027.4%7.9%39.1%11.5%28.0%3.8%0.1%74.1K-87.4K-26.2K0.3634.55N/AN/A1,2524565,7922,679
2016-11-22$27.41$27.5027.5%7.9%39.2%11.9%28.9%2.3%0.4%79.6K-306.8K-26.2K0.5586.03N/AN/A1,1726415,8042,632
2016-11-23$27.32$27.5027.6%7.9%38.7%12.2%28.4%2.6%0.5%56.7K115.0K-26.7K0.5987.91N/AN/A1,1756905,8242,833
2016-11-25$27.35$27.5027.9%8.0%24.3%12.8%28.7%0.1%0.7%52.5K196.7K-25.9K0.4692.29N/AN/A1,1645415,8272,833
2016-11-28$27.54$27.5028.7%8.2%22.5%14.5%28.9%3.2%-0.6%58.8K-176.1K-26.4K0.9083.94N/AN/A1,1711,0515,8302,937
2016-11-29$27.19$27.5028.2%8.1%23.0%13.5%28.4%1.8%-0.1%93.8K51.4K-23.9K5.5592.27N/AN/A1749665,8582,599
2016-11-30$26.93$27.5028.6%8.2%23.2%14.4%28.6%7.8%-1.4%78.1K601.4K-22.8K4.1495.15N/AN/A2389865,8582,637