TLT Options History — April 2007

In April 2007, TLT traded between $87.12 and $88.80. ATM implied volatility averaged 7.5%. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 2.1% (HV 20d: 5.4%). Max pain ranged from $88.00 to $90.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.88.

Notable Days

  • 2007-04-09: Highest Volume — 3,510 contracts
  • 2007-04-30: Largest IV spike — 9.8% change
  • 2007-04-02: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.97$87.12$88.80$88.10$88.75
Max Pain$88.80$88.00$90.00$90.00$88.00
ATM IV7.5%6.7%9.0%9.0%7.3%
Expected Move2.2%1.9%2.6%2.6%2.1%
HV 20d5.4%4.1%7.1%6.0%7.1%
HV 60d7.1%7.0%7.2%7.1%7.2%
Term Structure-0.2%-0.6%0.1%-0.6%0.0%
VWIV7.5%6.5%9.0%9.0%7.2%
Skew 25d0.2%-0.9%0.7%-0.3%-0.4%
Skew 10d0.2%-4.7%2.8%-0.3%0.4%
Call IV 25d7.5%6.5%9.2%9.2%7.5%
Put IV 25d7.7%6.6%8.9%8.9%7.0%
Bid-Ask Spread %16.3111.1121.1814.1517.01
Gamma HHI0.210.190.240.220.22
Net GEX20.3M12.8M28.3M20.7M25.1M
Net DEX-131.7M-209.8M-46.6M-143.9M-178.3M
Net VEX-3.3M-3.5M-3.1M-3.4M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.318.890.471.00
Total Volume1,923.159283,5101,0491,892
Total OI164,956.5153,071169,875169,065158,444

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$88.10$90.009.0%2.6%6.0%0.0%9.0%-0.3%-0.6%20.7M-143.9M-3.4M0.4714.15N/AN/A713336107,22961,836
2007-04-03$87.99$90.008.3%2.4%6.0%0.0%8.1%0.3%-0.4%18.8M-122.3M-3.5M1.1617.36N/AN/A800927107,86061,695
2007-04-04$88.08$90.008.0%2.3%5.7%0.0%8.1%-0.1%-0.1%20.0M-131.3M-3.5M0.7012.00N/AN/A1,133789108,50261,159
2007-04-05$87.75$90.008.0%2.3%5.8%0.0%8.2%-0.9%-0.1%19.9M-118.7M-3.5M0.3114.61N/AN/A1,942593108,81560,997
2007-04-09$87.17$89.007.4%2.2%5.1%0.0%7.9%0.5%-0.1%19.4M-46.6M-3.3M3.8015.80N/AN/A7312,779109,09560,780
2007-04-10$87.43$89.007.6%2.3%5.0%0.0%7.9%0.4%-0.5%17.4M-75.8M-3.3M2.3616.24N/AN/A8502,007108,99759,021
2007-04-11$87.37$89.007.3%2.2%4.2%0.0%7.6%0.1%-0.2%22.4M-87.8M-3.2M1.8317.91N/AN/A5471,002109,66758,893
2007-04-12$87.39$89.007.4%2.1%4.1%0.0%7.5%0.5%-0.1%16.0M-90.6M-3.2M8.8920.14N/AN/A2832,517109,49257,648
2007-04-13$87.12$89.007.4%2.1%4.1%0.0%7.3%-0.0%-0.3%12.8M-52.3M-3.2M2.0120.89N/AN/A7511,509109,54358,204
2007-04-16$87.60$89.007.4%2.1%4.8%0.0%6.9%0.7%-0.2%17.8M-100.2M-3.2M4.6818.55N/AN/A3711,736110,17858,377
2007-04-17$88.09$89.007.2%2.1%5.3%0.0%7.0%0.5%-0.3%19.3M-135.1M-3.2M1.1016.73N/AN/A681751110,38558,678
2007-04-18$88.53$88.007.4%2.1%5.7%0.0%7.5%0.3%-0.2%20.9M-171.7M-3.1M2.1421.18N/AN/A6861,468110,71958,559
2007-04-19$88.38$89.007.3%2.1%5.7%0.0%7.5%-0.2%0.1%18.8M-186.9M-3.3M0.6316.98N/AN/A992624111,02058,476
2007-04-20$88.15$88.007.1%2.0%5.1%0.0%6.5%0.4%-0.2%18.5M-160.0M-3.2M2.3017.12N/AN/A281647111,10457,780
2007-04-23$88.47$88.007.3%2.1%5.2%0.0%6.9%0.4%-0.3%27.0M-182.1M-3.2M0.6411.11N/AN/A90457898,56554,506
2007-04-24$88.80$88.007.3%2.1%5.4%0.0%7.5%0.4%-0.3%20.9M-209.8M-3.1M0.6714.07N/AN/A1,10573599,23454,761
2007-04-25$88.49$88.007.5%2.1%5.5%0.0%7.6%0.4%-0.0%28.3M-196.1M-3.2M1.1413.94N/AN/A740843100,12755,250
2007-04-26$87.85$88.006.9%2.0%6.0%0.0%6.8%0.2%0.0%21.5M-131.7M-3.2M1.1016.10N/AN/A595653100,67955,810
2007-04-27$87.83$88.006.7%1.9%6.0%0.0%6.7%-0.1%-0.0%20.8M-111.9M-3.1M0.6314.21N/AN/A1,209763100,92156,124
2007-04-30$88.75$88.007.3%2.1%7.1%0.0%7.2%-0.4%0.0%25.1M-178.3M-3.2M1.0017.01N/AN/A945947101,86856,576