TLT Options History — January 2007

In January 2007, TLT traded between $86.72 and $89.60. ATM implied volatility averaged 7.7%. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 1.5% (HV 20d: 6.2%). Max pain ranged from $87.00 to $90.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.78.

Notable Days

  • 2007-01-31: Highest Volume — 14,554 contracts
  • 2007-01-11: Largest IV spike — 17.2% change
  • 2007-01-11: Largest Expected Move — 2.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.14$86.72$89.60$89.07$87.55
Max Pain$88.65$87.00$90.00$90.00$87.00
ATM IV7.7%7.1%8.3%7.8%7.8%
Expected Move2.2%2.0%2.4%2.2%2.2%
HV 20d6.2%5.9%6.7%6.4%6.7%
Term Structure-0.2%-0.9%0.3%0.3%-0.6%
VWIV7.6%5.3%8.2%7.9%7.7%
Skew 25d0.4%-0.2%1.8%0.5%0.2%
Skew 10d-0.5%-3.4%2.5%-1.5%-0.1%
Call IV 25d7.5%5.9%8.0%7.7%7.7%
Put IV 25d7.9%7.3%8.3%8.2%7.9%
Bid-Ask Spread %17.529.2325.989.2314.09
Gamma HHI0.220.160.620.170.22
Net GEX-8.5M-133.3M20.0M2.3M20.0M
Net DEX-128.9M-287.4M21.4M-235.5M-129.2M
Net VEX-3.4M-3.6M-3.1M-3.6M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.0810.620.950.22
Total Volume5,115.649914,5543,64614,554
Total OI194,112.1154,847233,976208,426167,497

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$89.07$90.007.8%2.2%0.0%0.0%7.9%0.5%0.3%2.3M-235.5M-3.6M0.959.23N/AN/A1,8731,773126,88681,540
2007-01-04$89.60$90.007.9%2.3%0.0%0.0%7.9%-0.1%0.3%10.3M-287.4M-3.6M0.6012.05N/AN/A1,418847126,70982,000
2007-01-05$89.21$89.007.2%2.2%0.0%0.0%8.0%0.4%-0.2%2.1M-256.0M-3.6M1.3618.84N/AN/A4,0645,538126,78682,064
2007-01-08$89.37$89.007.6%2.3%0.0%0.0%5.3%-0.2%-0.3%-3.3M-260.8M-3.5M0.7617.27N/AN/A1,101834129,22286,291
2007-01-09$89.37$89.007.2%2.3%0.0%0.0%6.4%0.3%-0.4%-2.6M-261.5M-3.6M1.4319.65N/AN/A205294129,29186,855
2007-01-10$88.97$89.007.1%2.2%0.0%0.0%8.1%0.3%0.0%-4.3M-197.2M-3.6M3.8918.99N/AN/A1,0524,092129,40586,932
2007-01-11$88.45$89.008.3%2.4%0.0%0.0%8.2%0.8%-0.9%-11.9M-142.6M-3.6M0.6721.88N/AN/A2,2071,471129,66288,694
2007-01-12$88.04$89.007.7%2.2%0.0%0.0%7.8%0.0%-0.3%-11.8M-71.7M-3.4M1.7425.98N/AN/A1,9443,389130,84986,322
2007-01-16$88.20$89.007.9%2.3%0.0%0.0%8.0%0.8%-0.1%-7.6M-106.1M-3.5M2.9217.38N/AN/A6441,881131,54887,416
2007-01-17$87.96$89.008.1%2.3%0.0%0.0%7.8%0.2%-0.2%-13.5M-103.7M-3.4M10.6216.64N/AN/A5726,076131,24082,619
2007-01-18$88.23$89.007.9%2.3%0.0%0.0%7.6%0.5%-0.0%-61.7M-116.9M-3.4M0.1920.56N/AN/A6,2951,212131,33296,659
2007-01-19$87.99$89.007.3%2.1%0.0%0.0%7.5%1.8%-0.3%-133.3M-56.7M-3.5M2.8823.39N/AN/A2,4617,094136,30997,667
2007-01-22$88.20$89.007.4%2.1%0.0%0.0%7.2%0.4%0.2%10.7M-153.5M-3.4M0.2814.59N/AN/A1,87152395,91758,930
2007-01-23$87.62$88.007.1%2.0%0.0%0.0%7.0%0.6%0.0%4.4M-54.1M-3.1M1.0618.53N/AN/A55258397,51459,420
2007-01-24$87.61$88.007.2%2.1%0.0%0.0%7.4%0.7%0.0%3.0M-85.5M-3.4M1.1014.37N/AN/A1,5171,66397,77459,780
2007-01-25$86.98$88.008.1%2.3%6.4%0.0%8.0%-0.1%-0.9%3.7M-15.4M-3.3M0.9818.67N/AN/A3,1063,05999,05360,306
2007-01-26$86.91$88.007.7%2.2%6.2%0.0%7.9%0.4%-0.2%3.9M21.4M-3.1M2.2316.30N/AN/A1,1462,557100,48558,678
2007-01-29$86.72$88.008.0%2.3%6.0%0.0%8.0%0.3%-0.6%6.1M-19.1M-3.2M0.0813.54N/AN/A7,006570101,05257,362
2007-01-30$86.82$87.007.9%2.3%5.9%0.0%7.9%0.4%-0.2%14.5M-45.7M-3.3M1.5718.47N/AN/A2,0493,219106,92657,250
2007-01-31$87.55$87.007.8%2.2%6.7%0.0%7.7%0.2%-0.6%20.0M-129.2M-3.3M0.2214.09N/AN/A11,9492,605108,74458,753