TDC Options History — December 2017

In December 2017, TDC traded between $37.38 and $39.22. ATM implied volatility averaged 22.9%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.5% (HV 20d: 18.4%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.81.

Notable Days

  • 2017-12-27: Highest Volume — 1,609 contracts
  • 2017-12-13: Largest IV drop — 12.1% change
  • 2017-12-05: Highest IV Rank — 22.1%
  • 2017-12-01: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.46$37.38$39.22$37.70$38.48
Max Pain$34.63$32.50$35.00$35.00$35.00
ATM IV22.9%20.2%27.1%24.0%21.3%
Expected Move6.4%5.8%6.9%6.9%6.1%
HV 20d18.4%17.1%23.1%23.1%17.3%
HV 60d30.4%29.8%30.6%30.4%30.4%
IV Rank13.1%7.3%22.1%15.5%9.7%
IV Percentile33.2%6.3%72.2%47.2%15.5%
Term Structure9.2%-0.4%13.6%-0.4%12.9%
VWIV25.5%23.1%27.0%23.6%27.0%
Skew 25d3.0%-4.4%6.6%-4.4%2.6%
Skew 10d8.5%-5.5%14.5%-5.5%12.1%
Call IV 25d20.7%16.2%24.1%24.1%20.0%
Put IV 25d23.7%19.6%26.0%19.6%22.6%
Bid-Ask Spread %16.5510.3626.4814.0126.47
Gamma HHI0.500.340.620.340.59
Net GEX518.0K358.3K757.0K659.2K416.3K
Net DEX-14.5M-17.3M-12.9M-14.1M-13.1M
Net VEX-26.3K-35.9K-19.1K-35.7K-19.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.333.450.412.23
Total Volume1,259.26161,6098431,224
Total OI15,659.0514,66516,75716,02414,964

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$37.70$35.0024.0%6.9%23.1%15.5%23.6%-4.4%-0.4%659.2K-14.1M-35.7K0.4114.01N/AN/A5962477,8238,201
2017-12-04$37.95$32.5026.4%6.8%20.0%20.7%23.6%2.4%6.8%717.4K-15.0M-33.6K0.3320.06N/AN/A6712227,8198,209
2017-12-05$38.54$32.5027.1%6.9%19.3%22.1%23.1%2.9%6.8%757.0K-16.7M-33.7K0.5316.11N/AN/A4032137,8998,209
2017-12-06$37.38$32.5024.9%6.7%20.4%17.5%25.8%2.9%7.3%687.7K-13.6M-33.5K3.4517.01N/AN/A2568847,8948,223
2017-12-07$37.58$35.0023.6%6.7%18.2%14.6%25.4%2.4%7.7%650.1K-13.5M-35.9K2.8717.35N/AN/A2988547,9068,851
2017-12-08$38.18$35.0024.2%6.7%18.0%15.9%26.5%4.7%7.4%672.0K-14.8M-33.8K2.8923.30N/AN/A2968547,8178,851
2017-12-11$38.40$35.0026.8%6.8%18.0%21.4%25.3%2.5%7.0%646.0K-15.8M-32.0K1.9819.33N/AN/A4328547,8178,851
2017-12-12$38.61$35.0024.2%6.7%17.5%15.9%26.5%2.9%6.8%645.2K-16.4M-28.7K1.6213.92N/AN/A5278547,7308,851
2017-12-13$38.97$35.0021.3%6.1%17.4%9.5%26.2%2.7%7.9%572.0K-17.3M-24.9K1.7726.48N/AN/A4828547,5568,851
2017-12-14$38.72$35.0022.5%6.5%17.1%12.2%25.5%2.5%7.6%411.1K-16.6M-24.5K2.0523.80N/AN/A4188567,4408,850
2017-12-15$38.51$35.0022.6%6.5%17.2%12.3%24.9%2.4%7.6%358.3K-16.3M-23.9K2.0612.24N/AN/A4168577,4478,845
2017-12-18$39.22$35.0020.4%5.9%17.8%7.7%25.8%6.6%11.8%394.7K-14.3M-22.2K1.5311.21N/AN/A5528435,9918,731
2017-12-19$38.99$35.0020.6%5.9%18.1%8.1%25.5%5.5%11.7%387.3K-13.8M-21.4K1.6311.41N/AN/A5298615,9348,731
2017-12-20$38.88$35.0020.2%5.8%18.2%7.3%25.3%4.4%12.4%392.7K-13.6M-21.0K1.6113.06N/AN/A5358635,9398,750
2017-12-21$38.65$35.0021.9%6.3%18.5%10.9%24.6%3.5%12.0%386.6K-13.3M-20.5K1.6514.26N/AN/A5368825,9308,752
2017-12-22$38.51$35.0021.5%6.2%18.5%10.0%25.3%3.2%12.6%382.8K-12.9M-20.9K1.7210.36N/AN/A5871,0085,9338,777
2017-12-26$38.67$35.0023.0%6.6%18.3%13.3%26.1%3.2%11.6%399.1K-13.3M-20.4K1.7113.20N/AN/A5881,0085,9978,932
2017-12-27$38.81$35.0020.4%5.9%18.1%7.7%27.0%4.0%13.6%419.9K-13.4M-20.4K1.6813.29N/AN/A6011,0086,0008,932
2017-12-28$38.49$35.0021.8%6.3%17.6%10.7%26.2%2.9%13.6%404.1K-12.9M-19.5K2.3914.04N/AN/A3588576,0158,933
2017-12-29$38.48$35.0021.3%6.1%17.3%9.7%27.0%2.6%12.9%416.3K-13.1M-19.1K2.2326.47N/AN/A3798456,0228,942