TDC Options History — September 2020

In September 2020, TDC traded between $22.12 and $23.93. ATM implied volatility averaged 44.4%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 9.7% (HV 20d: 34.6%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2020-09-21: Highest Volume — 3,129 contracts
  • 2020-09-03: Largest IV spike — 13.7% change
  • 2020-09-09: Highest IV Rank — 24.7%
  • 2020-09-09: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.82$22.12$23.93$23.91$22.59
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV44.4%40.0%47.9%40.1%41.7%
Expected Move12.8%11.5%13.7%11.5%12.0%
HV 20d34.6%25.5%67.3%66.9%33.4%
HV 60d45.9%44.5%49.8%49.8%45.0%
IV Rank20.8%15.9%24.7%16.0%17.8%
IV Percentile42.1%29.8%54.8%34.9%29.8%
Term Structure4.9%1.3%8.1%3.5%8.1%
VWIV44.5%39.5%48.0%39.5%41.8%
Skew 25d2.1%-10.8%7.8%6.4%-10.8%
Skew 10d-1.3%-17.0%17.6%6.2%-17.0%
Call IV 25d44.0%35.0%47.6%35.0%43.3%
Put IV 25d46.1%32.4%49.4%41.4%32.4%
Bid-Ask Spread %39.2815.5366.7718.6136.93
Gamma HHI0.410.330.470.400.42
Net GEX244.1K166.5K332.5K332.5K191.5K
Net DEX-2.3M-7.3M848.5K-7.2M848.5K
Net VEX-56.9K-67.5K-49.7K-66.0K-49.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.036.140.050.46
Total Volume423.81923,129169291
Total OI26,314.09524,85627,35025,56827,350

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$23.91$22.5040.1%11.5%66.9%16.0%39.5%6.4%3.5%332.5K-7.2M-66.0K0.0518.61N/AN/A161815,5839,985
2020-09-02$23.93$22.5040.0%11.5%63.9%15.9%41.6%7.8%4.0%327.6K-7.3M-67.5K0.0731.59N/AN/A118815,6509,984
2020-09-03$22.71$22.5045.5%13.1%67.3%22.0%45.3%-0.9%3.9%277.1K-3.1M-62.4K0.1039.17N/AN/A3493515,6229,986
2020-09-04$22.63$22.5043.1%13.5%25.5%19.4%46.9%2.7%1.3%256.8K-2.8M-62.4K0.7848.93N/AN/A18414315,67210,009
2020-09-08$22.12$22.5047.2%13.4%25.9%23.9%46.7%0.6%2.8%246.7K-1.3M-58.9K0.4332.61N/AN/A1325715,85610,129
2020-09-09$22.62$22.5047.9%13.7%27.5%24.7%48.0%1.6%1.9%264.1K-2.7M-60.6K0.2935.23N/AN/A1945715,83310,129
2020-09-10$22.77$22.5045.2%12.9%27.7%21.6%45.2%1.6%4.5%287.7K-3.2M-59.1K0.3262.54N/AN/A2327515,88010,136
2020-09-11$22.95$22.5044.1%12.6%27.4%20.4%44.0%2.7%3.9%298.8K-3.5M-59.8K0.1515.53N/AN/A911415,89510,172
2020-09-14$22.74$22.5044.8%12.8%27.2%21.2%44.2%4.2%3.6%278.6K-2.7M-55.6K0.1457.22N/AN/A811115,89310,186
2020-09-15$22.35$22.5043.1%12.3%27.7%19.3%43.4%1.2%5.2%268.4K-1.2M-52.7K0.6758.74N/AN/A18612415,91110,197
2020-09-16$22.65$22.5043.0%12.3%27.8%19.2%43.3%3.6%4.9%274.0K-2.2M-53.5K0.0359.35N/AN/A250816,03510,296
2020-09-17$22.29$22.5045.1%12.9%26.2%21.5%45.0%3.2%6.1%234.1K-809.8K-52.7K0.7443.19N/AN/A19614616,03410,290
2020-09-18$22.54$22.5041.6%11.9%26.7%17.7%39.6%2.9%7.1%224.4K-1.5M-52.3K0.6666.77N/AN/A1288516,15310,378
2020-09-21$22.28$22.5046.9%13.4%26.9%23.5%47.0%2.3%5.3%276.2K-939.0K-51.2K6.1462.24N/AN/A4382,69114,77710,079
2020-09-22$23.41$22.5047.3%13.6%32.5%24.1%46.7%2.5%4.9%185.6K-3.5M-58.5K0.5745.48N/AN/A53630414,85511,959
2020-09-23$22.88$22.5044.5%12.8%33.2%20.9%44.5%3.5%7.2%177.8K-1.2M-56.9K1.1317.15N/AN/A14816714,93312,112
2020-09-24$22.74$22.5045.5%13.1%33.1%22.1%45.6%1.8%6.3%166.5K-188.0K-55.7K0.3518.49N/AN/A35112314,87312,241
2020-09-25$23.04$22.5044.4%12.7%33.6%20.8%44.8%1.8%6.8%178.9K-1.4M-55.5K0.3340.47N/AN/A2538414,80212,320
2020-09-28$23.19$22.5046.1%13.2%33.5%22.7%45.9%4.4%5.5%193.3K-2.2M-52.4K1.2617.44N/AN/A13016414,82612,291
2020-09-29$22.80$22.5045.0%12.9%33.9%21.5%44.7%1.6%5.3%186.2K-397.8K-51.3K0.6317.22N/AN/A905714,90412,380
2020-09-30$22.59$22.5041.7%12.0%33.4%17.8%41.8%-10.8%8.1%191.5K848.5K-49.7K0.4636.93N/AN/A1999214,93312,417