TDC Options History — November 2017

In November 2017, TDC traded between $33.21 and $37.94. ATM implied volatility averaged 25.5%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 20.2% (HV 20d: 45.8%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2017-11-02: Highest Volume — 6,264 contracts
  • 2017-11-02: Largest IV drop — 51.3% change
  • 2017-11-01: Highest IV Rank — 81.7%
  • 2017-11-01: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.01$33.21$37.94$33.21$37.94
Max Pain$34.40$32.50$35.00$32.50$35.00
ATM IV25.5%20.5%54.6%54.6%23.3%
Expected Move7.2%5.9%15.7%15.7%6.7%
HV 20d45.8%19.4%48.6%19.4%45.9%
HV 60d30.2%18.3%31.2%18.3%30.5%
IV Rank18.8%7.9%81.7%81.7%13.9%
IV Percentile44.6%7.9%98.8%98.8%38.1%
Term Structure-0.8%-19.0%1.6%-19.0%0.2%
VWIV25.6%22.0%54.5%54.5%23.5%
Skew 25d3.6%1.6%9.1%6.9%3.4%
Skew 10d7.3%0.7%18.5%18.5%6.8%
Call IV 25d23.6%17.8%51.1%51.1%22.8%
Put IV 25d27.1%23.3%57.9%57.9%26.2%
Bid-Ask Spread %22.387.5061.1625.9722.91
Gamma HHI0.320.280.370.300.36
Net GEX462.3K291.4K644.8K291.4K644.8K
Net DEX-12.7M-23.2M-6.5M-6.5M-14.7M
Net VEX-39.0K-45.8K-34.3K-45.8K-34.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.064.880.230.38
Total Volume1,786.6193606,2642,696900
Total OI17,336.33314,67419,68015,83015,752

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$33.21$32.5054.6%15.7%19.4%81.7%54.5%6.9%-19.0%291.4K-6.5M-45.8K0.2325.97N/AN/A2,2004967,9327,898
2017-11-02$37.19$32.5026.6%7.0%44.8%21.1%24.6%1.7%-0.3%565.2K-23.2M-35.1K0.0642.40N/AN/A5,9293359,3218,158
2017-11-03$36.08$32.5026.0%7.2%46.4%19.8%23.7%2.2%-1.3%611.9K-16.5M-40.4K0.5754.93N/AN/A3,2051,8279,8418,220
2017-11-06$35.53$32.5028.2%7.0%46.7%24.6%24.2%3.0%-0.5%458.8K-12.8M-44.8K0.4013.84N/AN/A2,9291,1819,7399,321
2017-11-07$34.63$32.5024.8%6.8%47.8%17.2%26.1%2.9%0.2%407.5K-10.9M-42.4K0.6613.41N/AN/A1,7221,1299,7339,336
2017-11-08$35.63$35.0024.3%7.0%48.4%16.0%24.3%3.0%-0.3%476.0K-13.5M-42.5K0.7249.97N/AN/A1,0797829,6979,359
2017-11-09$35.24$35.0025.3%7.3%48.6%18.3%25.4%2.8%-0.0%400.4K-12.3M-44.6K0.1761.16N/AN/A1,0111739,7149,966
2017-11-10$35.29$35.0025.1%7.2%48.3%17.8%25.3%2.2%-0.2%466.6K-12.6M-42.6K0.178.70N/AN/A1,0491789,7039,386
2017-11-13$35.85$35.0025.8%7.4%48.4%19.4%25.1%2.8%-0.4%503.8K-14.4M-41.3K0.1542.07N/AN/A1,0121569,6939,392
2017-11-14$35.76$35.0025.1%7.2%47.0%17.9%25.2%2.3%0.0%499.4K-14.4M-40.5K0.1617.13N/AN/A9841569,6859,395
2017-11-15$35.41$35.0024.8%7.1%47.4%17.1%26.5%1.6%0.2%519.3K-13.2M-39.3K0.1522.18N/AN/A1,0681639,6649,395
2017-11-16$35.87$35.0024.0%6.9%47.4%15.5%23.5%3.3%0.2%490.0K-14.3M-38.4K0.1311.57N/AN/A1,2201639,5809,395
2017-11-17$35.83$35.0023.6%6.8%47.5%14.6%22.0%2.2%0.6%387.6K-13.1M-38.0K0.1413.16N/AN/A1,1921679,2189,384
2017-11-20$36.16$35.0023.5%6.7%47.1%14.4%22.5%3.1%0.5%422.1K-9.9M-35.3K0.6812.81N/AN/A2962007,1277,547
2017-11-21$36.38$35.0022.1%6.3%47.1%11.3%23.3%3.8%0.2%441.1K-10.3M-35.5K4.887.50N/AN/A1648007,1897,584
2017-11-22$36.42$35.0022.1%6.3%47.1%11.4%22.9%3.4%0.3%404.0K-10.1M-36.7K4.679.23N/AN/A1758177,1868,091
2017-11-24$36.76$35.0020.5%5.9%47.1%7.9%23.0%5.7%1.6%417.7K-10.6M-35.4K3.1112.85N/AN/A2638177,1978,118
2017-11-27$36.57$35.0021.9%6.3%46.5%10.9%24.7%4.5%0.8%382.5K-10.2M-36.7K0.988.00N/AN/A2021987,2568,118
2017-11-28$36.95$35.0021.2%6.1%46.5%9.3%23.3%5.5%0.8%441.8K-11.1M-35.6K1.439.59N/AN/A1482127,2448,150
2017-11-29$37.57$35.0023.5%6.7%46.2%14.3%23.7%9.1%-0.9%476.4K-12.6M-34.4K0.3510.56N/AN/A6092127,2408,139
2017-11-30$37.94$35.0023.3%6.7%45.9%13.9%23.5%3.4%0.2%644.8K-14.7M-34.3K0.3822.91N/AN/A6522487,6138,139