TDC Options History — December 2016

In December 2016, TDC traded between $26.39 and $28.70. ATM implied volatility averaged 28.0%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 3.8% (HV 20d: 24.2%). Max pain ranged from $27.50 to $27.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.15.

Notable Days

  • 2016-12-30: Highest Volume — 1,980 contracts
  • 2016-12-12: Largest IV spike — 42.7% change
  • 2016-12-13: Highest IV Rank — 46.7%
  • 2016-12-09: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.60$26.39$28.70$26.39$27.14
Max Pain$27.50$27.50$27.50$27.50$27.50
ATM IV28.0%24.6%42.4%28.7%26.2%
Expected Move7.7%7.1%8.3%8.2%7.5%
HV 20d24.2%21.0%25.8%24.0%23.0%
HV 60d30.9%28.6%31.8%31.8%28.6%
IV Rank12.9%5.1%46.7%14.6%8.8%
IV Percentile19.9%3.6%79.0%24.6%14.3%
Term Structure6.3%-2.3%11.3%-0.4%10.5%
VWIV27.1%25.0%29.1%29.1%26.3%
Skew 25d4.3%1.6%9.5%4.1%9.5%
Skew 10d10.0%0.1%15.6%4.4%13.4%
Call IV 25d25.1%19.0%29.2%28.7%22.6%
Put IV 25d29.4%27.1%32.8%32.8%32.1%
Bid-Ask Spread %87.4860.32100.04100.0490.62
Gamma HHI0.250.230.280.250.24
Net GEX128.7K43.6K227.2K52.3K84.6K
Net DEX-1.1M-3.4M1.6M1.5M-179.8K
Net VEX-22.5K-26.1K-19.6K-21.6K-19.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.235.974.570.63
Total Volume1,241.0487591,9801,1921,980
Total OI8,624.8578,0439,5008,5568,186

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$26.39$27.5028.7%8.2%24.0%14.6%29.1%4.1%-0.4%52.3K1.5M-21.6K4.57100.04N/AN/A2149785,8892,667
2016-12-02$26.46$27.5028.1%8.1%23.8%13.2%27.2%2.1%-2.3%43.6K1.6M-20.7K5.1594.06N/AN/A1869585,8942,669
2016-12-05$27.18$27.5029.6%8.1%25.6%16.8%28.5%4.0%4.2%90.0K270.1K-22.6K1.7680.17N/AN/A5439585,9102,668
2016-12-06$27.42$27.5028.0%7.8%24.3%13.1%28.3%4.4%4.6%128.4K-441.2K-23.7K4.4384.43N/AN/A2199716,1992,668
2016-12-07$27.88$27.5028.7%7.7%24.3%14.6%28.0%2.6%5.3%172.3K-1.7M-24.4K5.7190.33N/AN/A1689606,2432,668
2016-12-08$28.70$27.5029.9%8.2%25.7%17.5%28.5%3.7%3.4%227.2K-3.4M-24.8K5.0092.90N/AN/A2111,0556,2392,670
2016-12-09$28.59$27.5025.0%8.3%25.3%6.1%28.5%3.8%2.6%199.9K-2.6M-24.6K5.9788.55N/AN/A1941,1586,2432,871
2016-12-12$28.22$27.5035.7%7.8%25.6%31.1%27.4%2.9%5.0%182.8K-1.9M-22.8K2.4691.59N/AN/A4711,1596,2402,874
2016-12-13$28.65$27.5042.4%8.2%25.8%46.7%27.4%5.0%3.3%193.7K-2.5M-22.5K1.7996.00N/AN/A6501,1666,1412,878
2016-12-14$28.56$27.5028.5%8.2%25.8%14.1%26.1%5.8%3.7%201.1K-3.2M-26.1K2.0394.71N/AN/A6491,3186,5532,804
2016-12-15$28.18$27.5026.6%7.6%24.8%9.6%26.8%2.2%5.7%166.4K-2.3M-26.0K1.8485.83N/AN/A6301,1606,5432,952
2016-12-16$28.17$27.5026.1%7.5%24.5%8.6%28.1%2.8%5.4%165.6K-2.5M-25.3K1.8289.11N/AN/A6411,1686,5462,954
2016-12-19$28.04$27.5026.2%7.5%21.0%8.7%27.4%4.0%8.9%155.0K-1.9M-23.8K0.2594.40N/AN/A6331585,9412,102
2016-12-20$27.50$27.5025.8%7.4%22.0%7.8%27.2%2.5%9.8%122.2K-1.2M-22.4K0.2493.30N/AN/A6131465,9552,099
2016-12-21$27.32$27.5025.4%7.3%22.1%6.9%26.4%2.0%10.8%103.3K-773.0K-21.8K0.2589.58N/AN/A6281565,9572,122
2016-12-22$26.66$27.5025.8%7.4%23.7%7.8%26.6%1.6%9.1%67.8K-62.1K-20.8K0.2387.02N/AN/A6511535,9692,161
2016-12-23$26.93$27.5024.6%7.1%24.1%5.1%25.0%5.5%10.3%69.0K171.0K-20.3K0.2467.92N/AN/A6291515,9862,162
2016-12-27$27.33$27.5025.3%7.2%24.6%6.6%25.1%8.8%10.9%110.5K-700.7K-20.3K0.2460.32N/AN/A6531545,9982,160
2016-12-28$27.07$27.5025.8%7.4%24.4%7.9%26.4%7.2%10.6%79.5K-66.5K-19.8K0.2473.92N/AN/A6441526,0182,155
2016-12-29$27.22$27.5025.1%7.2%24.2%6.3%25.2%5.5%11.3%87.3K-183.0K-19.8K0.2492.23N/AN/A6271496,0232,145
2016-12-30$27.14$27.5026.2%7.5%23.0%8.8%26.3%9.5%10.5%84.6K-179.8K-19.6K0.6390.62N/AN/A1,2127686,0402,146