TLT Options History — February 2007

Name: TLT Options Analytics - February 2007
Creator: Options Analysis Suite

In February 2007, TLT traded between $87.09 and $90.56. ATM implied volatility averaged 7.8%. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 0.8% (HV 20d: 7.0%). Max pain ranged from $87.00 to $89.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.83.

Notable Days

2007-02-28: Highest Volume — 16,565 contracts
2007-02-05: Largest IV spike — 19.5% change
2007-02-27: Largest Expected Move — 2.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.30	$87.09	$90.56	$87.09	$90.15
Max Pain	$88.89	$87.00	$89.00	$87.00	$89.00
ATM IV	7.8%	7.0%	9.4%	7.8%	9.1%
Expected Move	2.2%	2.0%	2.7%	2.2%	2.6%
HV 20d	7.0%	6.2%	8.4%	6.7%	8.4%
Term Structure	-0.4%	-1.7%	6.4%	-0.7%	-0.9%
VWIV	7.7%	6.8%	11.2%	7.6%	11.2%
Skew 25d	0.5%	-0.2%	1.2%	-0.2%	0.3%
Skew 10d	1.2%	-2.6%	13.5%	-2.6%	2.8%
Call IV 25d	7.5%	6.6%	9.4%	7.7%	9.4%
Put IV 25d	8.0%	7.2%	9.7%	7.5%	9.7%
Bid-Ask Spread %	24.34	10.80	116.78	15.69	16.65
Gamma HHI	0.23	0.20	0.30	0.21	0.20
Net GEX	35.6M	17.5M	51.6M	24.2M	37.0M
Net DEX	-232.2M	-397.7M	-119.2M	-142.2M	-397.7M
Net VEX	-3.2M	-3.6M	-3.0M	-3.5M	-3.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.05	2.86	0.14	0.12
Total Volume	4,489.368	931	16,565	6,022	16,565
Total OI	170,910.421	155,004	180,458	174,064	168,638

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-02-01	$87.09	$87.00	7.8%	2.2%	6.7%	0.0%	7.6%	-0.2%	-0.7%	24.2M	-142.2M	-3.5M	0.14	15.69	N/A	N/A	5,305	717	114,721	59,343
2007-02-02	$87.20	$89.00	7.2%	2.1%	6.3%	0.0%	6.8%	0.6%	-1.4%	34.0M	-146.0M	-3.3M	0.97	15.55	N/A	N/A	2,195	2,140	118,681	57,618
2007-02-05	$87.32	$89.00	8.6%	2.4%	6.2%	0.0%	8.2%	1.2%	6.4%	36.7M	-207.8M	-3.6M	2.86	116.78	N/A	N/A	241	690	120,656	58,069
2007-02-06	$87.80	$89.00	7.0%	2.0%	6.6%	0.0%	6.9%	0.8%	-0.8%	43.5M	-162.9M	-3.1M	0.43	22.97	N/A	N/A	1,170	505	119,912	58,000
2007-02-07	$88.06	$89.00	7.8%	2.1%	6.7%	0.0%	7.3%	-0.0%	-0.6%	48.7M	-287.7M	-3.3M	0.24	13.57	N/A	N/A	1,672	396	119,902	57,905
2007-02-08	$88.13	$89.00	7.4%	2.1%	6.6%	0.0%	6.8%	0.6%	-0.7%	51.6M	-278.4M	-3.3M	0.18	11.96	N/A	N/A	996	178	119,793	58,037
2007-02-09	$87.63	$89.00	7.6%	2.2%	6.6%	0.0%	7.5%	0.7%	-1.0%	41.1M	-119.2M	-3.0M	0.05	18.37	N/A	N/A	5,252	285	119,876	58,152
2007-02-12	$87.43	$89.00	7.7%	2.2%	6.4%	0.0%	7.8%	0.0%	-1.7%	41.0M	-173.8M	-3.1M	0.75	20.57	N/A	N/A	668	500	120,603	58,252
2007-02-13	$87.24	$89.00	7.5%	2.1%	6.4%	0.0%	7.4%	0.6%	-0.8%	21.4M	-124.5M	-3.3M	2.37	16.03	N/A	N/A	527	1,248	117,167	58,664
2007-02-14	$88.07	$89.00	7.7%	2.2%	7.3%	0.0%	7.5%	0.3%	-0.6%	42.8M	-245.6M	-3.1M	0.53	17.70	N/A	N/A	5,884	3,129	117,365	58,957
2007-02-15	$88.33	$89.00	7.6%	2.2%	7.3%	0.0%	7.6%	0.9%	-1.0%	47.5M	-310.9M	-3.2M	0.52	17.59	N/A	N/A	1,531	793	119,038	61,420
2007-02-16	$88.64	$89.00	7.1%	2.0%	7.3%	0.0%	7.3%	0.4%	-0.3%	51.1M	-269.3M	-3.0M	0.66	12.69	N/A	N/A	1,260	826	119,040	60,336
2007-02-20	$88.84	$89.00	8.0%	2.3%	7.3%	0.0%	7.9%	0.4%	-0.4%	29.8M	-242.3M	-3.1M	0.96	11.34	N/A	N/A	738	709	100,055	54,949
2007-02-21	$88.69	$89.00	8.0%	2.3%	6.8%	0.0%	7.3%	0.3%	-0.8%	23.9M	-179.7M	-3.0M	1.74	10.80	N/A	N/A	2,750	4,795	100,537	55,479
2007-02-22	$88.21	$89.00	7.5%	2.1%	7.2%	0.0%	7.6%	-0.0%	0.1%	17.5M	-197.7M	-3.2M	0.90	18.37	N/A	N/A	1,538	1,379	101,151	56,887
2007-02-23	$88.84	$89.00	7.5%	2.1%	7.0%	0.0%	7.6%	0.4%	-0.4%	26.9M	-223.1M	-3.2M	1.39	13.88	N/A	N/A	1,617	2,252	101,447	56,929
2007-02-26	$89.43	$89.00	8.0%	2.3%	7.2%	0.0%	7.7%	1.1%	-0.5%	28.2M	-306.1M	-3.2M	0.57	18.97	N/A	N/A	1,130	649	101,604	58,076
2007-02-27	$90.56	$89.00	9.4%	2.7%	8.1%	0.0%	8.7%	0.4%	-0.9%	28.5M	-396.5M	-3.4M	0.38	72.94	N/A	N/A	9,458	3,610	101,756	58,283
2007-02-28	$90.15	$89.00	9.1%	2.6%	8.4%	0.0%	11.2%	0.3%	-0.9%	37.0M	-397.7M	-3.3M	0.12	16.65	N/A	N/A	14,768	1,797	107,676	60,962