TDC Options History — January 2017

In January 2017, TDC traded between $27.55 and $29.40. ATM implied volatility averaged 39.4%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 16.8% (HV 20d: 22.6%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 2.23.

Notable Days

  • 2017-01-20: Highest Volume — 5,653 contracts
  • 2017-01-11: Largest IV spike — 55.7% change
  • 2017-01-31: Highest IV Rank — 74.9%
  • 2017-01-31: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.59$27.55$29.40$27.55$29.40
Max Pain$28.25$27.50$30.00$27.50$30.00
ATM IV39.4%22.1%50.9%27.4%50.9%
Expected Move12.1%7.9%14.6%7.9%14.6%
HV 20d22.6%20.0%25.7%23.5%20.3%
HV 60d27.4%22.3%29.9%28.7%22.3%
IV Rank44.4%0.0%74.9%11.6%74.9%
IV Percentile65.4%0.0%96.0%20.6%96.0%
Term Structure-7.5%-13.6%12.9%12.7%-13.2%
VWIV41.7%25.0%51.4%25.0%51.4%
Skew 25d3.8%0.9%5.3%3.7%4.5%
Skew 10d7.7%-3.7%16.8%6.5%11.5%
Call IV 25d41.2%26.5%51.6%29.7%51.6%
Put IV 25d45.0%27.3%56.2%33.4%56.2%
Bid-Ask Spread %45.3722.2094.4494.4422.20
Gamma HHI0.270.180.380.220.35
Net GEX144.1K-33.0K387.5K45.8K387.5K
Net DEX-693.6K-5.7M4.3M-582.0K-5.7M
Net VEX-26.2K-35.4K-21.0K-22.7K-35.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.216.151.600.94
Total Volume1,605.74605,6533,133523
Total OI9,528.96,34612,3769,2847,754

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$27.55$27.5027.4%7.9%23.5%11.6%25.0%3.7%12.7%45.8K-582.0K-22.7K1.6094.44N/AN/A1,2051,9286,5402,744
2017-01-04$28.63$30.0027.9%8.0%25.4%12.7%25.4%0.9%12.9%-33.0K494.5K-25.6K1.4494.11N/AN/A9041,2996,5433,778
2017-01-05$28.31$27.5027.6%11.5%25.7%12.0%38.7%3.6%-7.9%5.9K912.6K-24.5K1.7740.34N/AN/A8071,4266,7163,743
2017-01-06$28.71$27.5022.1%11.6%25.5%0.0%40.1%5.0%-8.5%-13.3K50.5K-27.2K6.1530.61N/AN/A2331,4326,7493,723
2017-01-09$28.53$27.5026.6%11.6%23.5%10.3%40.2%2.6%-7.8%43.8K523.6K-23.4K5.0927.04N/AN/A2891,4716,7883,727
2017-01-10$28.37$27.5026.5%11.9%23.5%10.1%40.9%5.0%-8.0%60.6K816.2K-23.3K3.6760.13N/AN/A2348596,8763,774
2017-01-11$28.45$27.5041.3%11.8%23.1%49.7%40.7%5.3%-7.9%16.5K2.3M-23.7K3.4655.51N/AN/A1966796,9354,412
2017-01-12$28.45$27.5040.8%11.7%22.4%48.7%40.9%3.8%-7.3%41.7K1.5M-23.2K3.8051.30N/AN/A1806846,9444,139
2017-01-13$28.55$27.5040.8%11.7%22.4%48.5%39.6%3.8%-8.7%58.3K1.3M-22.8K3.2224.77N/AN/A2066646,9464,115
2017-01-17$28.15$27.5042.8%12.3%22.5%53.6%41.7%3.9%-10.6%88.5K1.6M-21.6K1.6629.53N/AN/A1732876,9824,139
2017-01-18$28.69$27.5043.5%12.5%23.5%55.6%41.8%4.5%-10.7%79.1K1.0M-21.7K4.0676.50N/AN/A1907726,9884,113
2017-01-19$28.34$27.5043.5%12.5%23.9%55.6%40.9%4.1%-11.7%111.4K4.3M-21.2K4.6367.55N/AN/A2211,0237,0475,329
2017-01-20$28.52$27.5042.6%12.2%22.7%53.3%43.6%3.4%-10.4%128.2K3.5M-21.0K0.2981.24N/AN/A4,3891,2647,0605,130
2017-01-23$28.41$27.5046.0%13.2%22.6%62.1%45.0%2.7%-9.2%267.9K-3.5M-28.0K0.5023.59N/AN/A8954445,642704
2017-01-24$28.70$27.5047.3%13.5%20.5%65.3%46.6%3.3%-10.2%292.2K-4.0M-29.4K0.5426.54N/AN/A1,0705765,607774
2017-01-25$29.11$30.0045.5%13.1%20.7%60.8%46.6%3.6%-9.4%311.2K-4.4M-31.3K0.5523.84N/AN/A1,0215655,750918
2017-01-26$28.95$30.0046.9%13.4%20.5%64.3%47.5%3.4%-10.8%304.1K-4.4M-31.1K0.4427.21N/AN/A1,3115785,750924
2017-01-27$29.06$30.0046.8%13.4%20.0%64.0%47.1%4.1%-9.5%332.1K-4.7M-32.7K0.2126.66N/AN/A1,1522456,103992
2017-01-30$29.01$30.0050.6%14.5%20.1%74.1%50.6%4.2%-13.6%353.1K-4.9M-33.7K0.5524.21N/AN/A4632566,6771,003
2017-01-31$29.40$30.0050.9%14.6%20.3%74.9%51.4%4.5%-13.2%387.5K-5.7M-35.4K0.9422.20N/AN/A2702536,7351,019