TLT Options History — March 2007

In March 2007, TLT traded between $88.28 and $90.43. ATM implied volatility averaged 8.9%. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 0.7% (HV 20d: 8.2%). Max pain ranged from $89.00 to $90.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 2.69.

Notable Days

  • 2007-03-05: Highest Volume — 13,212 contracts
  • 2007-03-12: Largest IV spike — 34.9% change
  • 2007-03-02: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.55$88.28$90.43$89.74$88.28
Max Pain$89.91$89.00$90.00$89.00$90.00
ATM IV8.9%7.3%11.4%9.0%8.8%
Expected Move2.5%2.2%3.0%2.6%2.5%
HV 20d8.2%6.1%9.2%8.3%6.1%
HV 60d7.5%7.2%7.8%7.8%7.2%
Term Structure-0.6%-1.3%-0.0%-0.5%-0.9%
VWIV8.6%7.6%10.8%9.0%7.6%
Skew 25d0.1%-0.8%0.9%-0.8%0.2%
Skew 10d-0.2%-4.1%3.1%-0.3%-3.3%
Call IV 25d8.6%7.6%10.5%9.7%8.2%
Put IV 25d8.7%7.9%10.2%8.8%8.4%
Bid-Ask Spread %26.0816.3244.9925.9621.84
Gamma HHI0.210.180.230.210.21
Net GEX23.3M14.7M45.9M37.4M15.3M
Net DEX-257.8M-405.0M-121.8M-345.9M-121.8M
Net VEX-3.5M-3.8M-3.2M-3.3M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.690.2816.910.282.83
Total Volume4,934.1821,15813,2126,9352,225
Total OI180,735.955160,846209,510166,353169,084

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$89.74$89.009.0%2.6%8.3%0.0%9.0%-0.8%-0.5%37.4M-345.9M-3.3M0.2825.96N/AN/A5,4301,505103,99162,362
2007-03-02$90.20$89.0010.3%3.0%8.1%0.0%10.8%-0.3%-0.8%35.7M-405.0M-3.2M0.7918.78N/AN/A7,0755,613106,27663,206
2007-03-05$90.35$90.0011.4%2.8%8.1%0.0%9.7%0.3%-1.3%22.7M-385.9M-3.3M3.5344.99N/AN/A2,91510,297107,79567,018
2007-03-06$90.08$90.009.3%2.6%8.2%0.0%9.4%0.3%-0.9%19.9M-356.4M-3.5M1.8937.62N/AN/A3,2796,181109,14176,654
2007-03-07$90.43$90.009.7%2.5%8.2%0.0%9.2%0.8%-0.8%22.5M-377.3M-3.6M16.9130.11N/AN/A5629,503110,82782,289
2007-03-08$90.35$90.008.9%2.7%8.2%0.0%9.3%0.3%-1.1%22.0M-350.0M-3.7M5.1426.85N/AN/A6233,200111,14888,681
2007-03-09$89.40$90.007.3%2.3%9.2%0.0%7.8%0.9%-0.8%14.7M-226.5M-3.6M2.7730.91N/AN/A9882,734111,35489,432
2007-03-12$89.75$90.009.9%2.3%8.9%0.0%7.8%0.3%-0.7%20.7M-253.6M-3.6M1.5926.28N/AN/A1,0201,623111,34888,504
2007-03-13$90.29$90.0011.1%2.5%9.0%0.0%8.6%0.2%-0.7%26.5M-344.3M-3.6M1.7325.47N/AN/A3,4666,008112,19888,545
2007-03-14$89.88$90.009.5%2.3%9.2%0.0%8.3%-0.2%-0.3%16.7M-282.9M-3.7M3.5223.43N/AN/A8833,112114,84393,881
2007-03-15$89.87$90.008.2%2.3%8.7%0.0%8.4%0.4%-0.9%23.8M-283.0M-3.8M1.9628.98N/AN/A391767115,50994,001
2007-03-16$89.85$90.008.1%2.3%8.7%0.0%8.0%0.5%-0.6%45.9M-284.6M-3.5M1.9820.27N/AN/A1,8743,715115,31393,531
2007-03-19$89.66$90.007.9%2.3%8.7%0.0%7.9%0.3%-0.1%21.8M-227.5M-3.6M0.4926.60N/AN/A1,101538100,30460,542
2007-03-20$89.71$90.008.1%2.3%8.6%0.0%7.9%0.2%-0.5%27.9M-260.0M-3.6M5.4323.44N/AN/A6133,330101,08659,761
2007-03-21$89.75$90.007.6%2.2%8.6%0.0%8.1%0.2%-0.1%23.6M-232.6M-3.6M1.6333.90N/AN/A9831,606101,49962,849
2007-03-22$89.04$90.007.8%2.2%8.9%0.0%7.6%0.4%-0.2%18.3M-170.7M-3.5M2.6223.23N/AN/A1,0452,733102,05962,996
2007-03-23$88.79$90.008.0%2.3%8.6%0.0%8.3%-0.6%-0.1%19.5M-178.5M-3.5M0.7118.92N/AN/A1,233880102,84462,677
2007-03-26$88.90$90.008.7%2.5%8.2%0.0%8.5%0.3%-0.5%20.2M-171.9M-3.5M0.9216.32N/AN/A1,1551,067103,83162,453
2007-03-27$88.75$90.009.0%2.6%6.7%0.0%8.8%0.2%-0.8%18.0M-150.7M-3.5M0.7219.46N/AN/A2,0171,453104,74562,736
2007-03-28$88.57$90.008.9%2.5%6.6%0.0%9.0%-0.1%-0.0%19.0M-124.8M-3.5M0.4122.24N/AN/A1,663674106,37962,651
2007-03-29$88.45$90.008.4%2.4%6.4%0.0%8.6%-0.7%-0.4%21.3M-138.3M-3.6M1.4128.18N/AN/A610862107,36262,486
2007-03-30$88.28$90.008.8%2.5%6.1%0.0%7.6%0.2%-0.9%15.3M-121.8M-3.5M2.8321.84N/AN/A5811,644106,99262,092