TLT Options History — May 2007

In May 2007, TLT traded between $86.36 and $88.84. ATM implied volatility averaged 6.8%. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 0.4% (HV 20d: 6.4%). Max pain ranged from $88.00 to $90.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 2.23.

Notable Days

  • 2007-05-18: Highest Volume — 8,905 contracts
  • 2007-05-31: Largest IV spike — 13.9% change
  • 2007-05-31: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.59$86.36$88.84$88.49$86.38
Max Pain$89.45$88.00$90.00$88.00$89.00
ATM IV6.8%6.0%8.1%7.4%8.1%
Expected Move2.0%1.7%2.3%2.1%2.3%
HV 20d6.4%4.6%7.2%7.1%4.7%
HV 60d6.8%6.0%7.3%7.3%6.0%
Term Structure-0.1%-0.7%0.5%-0.1%-0.6%
VWIV6.7%5.5%7.7%7.1%7.7%
Skew 25d0.6%-0.3%2.2%0.3%1.0%
Skew 10d-0.2%-2.3%2.8%1.1%-1.6%
Call IV 25d6.6%5.4%7.3%7.2%7.3%
Put IV 25d7.2%6.5%8.2%7.5%8.2%
Bid-Ask Spread %14.928.4519.9519.2518.84
Gamma HHI0.200.160.260.230.22
Net GEX18.5M348.9K43.2M24.2M4.8M
Net DEX-98.6M-261.4M59.2M-218.5M59.2M
Net VEX-3.0M-3.2M-2.6M-3.2M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.058.330.572.42
Total Volume3,366.7733278,9051,6423,040
Total OI172,365.955159,333187,807159,333187,807

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$88.49$88.007.4%2.1%7.1%0.0%7.1%0.3%-0.1%24.2M-218.5M-3.2M0.5719.25N/AN/A1,048594102,26657,067
2007-05-02$88.44$88.006.9%2.0%7.1%0.0%7.1%0.1%0.2%24.5M-212.9M-3.1M3.2517.67N/AN/A77250102,87256,481
2007-05-03$88.24$88.007.1%2.1%7.2%0.0%7.1%0.6%-0.0%26.8M-197.3M-3.1M1.1513.17N/AN/A627721102,85856,616
2007-05-04$88.60$90.006.7%1.9%7.1%0.0%6.7%0.5%0.1%22.1M-213.5M-3.1M0.1919.95N/AN/A6,3051,207103,40556,817
2007-05-07$88.84$90.007.1%1.9%6.7%0.0%6.7%0.4%0.1%34.6M-261.4M-3.1M0.6615.04N/AN/A822539109,26357,066
2007-05-08$88.64$90.006.6%1.9%6.7%0.0%5.8%0.3%-0.2%34.4M-238.8M-3.2M3.5714.64N/AN/A184657109,85557,220
2007-05-09$88.29$90.006.4%2.0%6.9%0.0%6.9%-0.3%-0.7%30.7M-209.3M-3.1M0.1215.97N/AN/A2,974342109,89257,751
2007-05-10$88.50$90.006.8%1.9%6.9%0.0%6.5%0.8%-0.2%43.2M-229.9M-3.0M0.9416.02N/AN/A228215111,67957,917
2007-05-11$88.19$90.006.4%1.8%7.0%0.0%6.3%-0.1%-0.1%35.2M-183.0M-3.1M0.9218.36N/AN/A198183111,74558,037
2007-05-14$87.96$90.006.5%1.9%6.8%0.0%6.5%0.2%-0.1%24.2M-143.1M-2.9M2.2217.20N/AN/A4981,105111,74458,065
2007-05-15$87.93$90.006.3%1.8%6.5%0.0%6.7%0.5%0.2%27.4M-112.7M-2.9M5.5618.42N/AN/A1,1876,596111,85758,583
2007-05-16$87.87$90.006.0%1.7%6.2%0.0%5.5%0.9%-0.1%20.0M-101.0M-3.0M1.9714.88N/AN/A169333111,82963,315
2007-05-17$87.51$90.006.3%1.8%6.3%0.0%6.3%0.0%-0.4%15.2M-69.0M-3.0M8.3312.50N/AN/A4763,966111,91763,136
2007-05-18$86.93$90.007.0%2.0%6.7%0.0%6.7%0.5%-0.1%10.6M-2.9M-2.9M3.8014.06N/AN/A1,8567,049111,82465,072
2007-05-21$87.19$90.007.1%2.0%6.6%0.0%7.0%1.1%-0.3%7.6M-27.9M-3.0M0.8510.39N/AN/A1,3901,183106,71766,449
2007-05-22$86.74$90.007.0%2.0%6.6%0.0%7.0%0.4%-0.4%3.6M31.1M-2.8M4.428.45N/AN/A1,1995,302107,76767,009
2007-05-23$86.49$89.007.2%2.1%6.6%0.0%7.2%-0.1%-0.1%1.6M56.5M-3.0M4.059.89N/AN/A1,6996,873108,79770,383
2007-05-24$86.57$89.006.6%1.9%6.2%0.0%7.0%0.5%0.4%348.9K25.4M-3.0M2.6611.49N/AN/A1,3253,525110,24272,759
2007-05-25$86.37$89.006.9%2.0%6.2%0.0%5.7%2.2%-0.2%6.2M14.9M-2.9M0.8613.75N/AN/A560482110,92271,406
2007-05-29$86.36$89.006.8%1.9%4.6%0.0%7.0%1.4%0.1%4.7M30.5M-3.0M0.5313.33N/AN/A645344111,19371,374
2007-05-30$86.54$89.007.1%2.0%4.7%0.0%7.0%1.6%0.5%4.6M33.4M-3.0M0.0515.02N/AN/A5,814282111,66471,413
2007-05-31$86.38$89.008.1%2.3%4.7%0.0%7.7%1.0%-0.6%4.8M59.2M-2.6M2.4218.84N/AN/A8892,151116,71671,091