TLT Options History — June 2007

In June 2007, TLT traded between $82.35 and $85.98. ATM implied volatility averaged 9.2%. The 30-day expected move averaged 2.5%. IV traded below realized volatility by 0.5% (HV 20d: 9.7%). Max pain ranged from $84.00 to $89.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.58.

Notable Days

  • 2007-06-19: Highest Volume — 34,269 contracts
  • 2007-06-12: Largest IV spike — 43.8% change
  • 2007-06-12: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.14$82.35$85.98$85.59$85.17
Max Pain$84.95$84.00$89.00$89.00$84.00
ATM IV9.2%6.6%13.9%7.8%7.5%
Expected Move2.5%2.0%3.2%2.2%2.2%
HV 20d9.7%5.5%12.3%5.5%12.3%
HV 60d7.6%6.0%8.7%6.2%8.7%
Term Structure-0.4%-2.1%0.8%-0.2%0.8%
VWIV8.7%6.8%10.8%7.5%8.1%
Skew 25d0.9%-0.0%1.7%-0.0%1.1%
Skew 10d1.6%-2.8%4.9%-0.2%2.5%
Call IV 25d8.6%6.7%10.5%8.2%7.5%
Put IV 25d9.5%7.4%11.6%8.2%8.6%
Bid-Ask Spread %25.5411.9875.8546.2724.71
Gamma HHI0.220.190.250.200.24
Net GEX11.2M-9.6M30.8M-1.9M27.7M
Net DEX122.0M-63.1M311.8M103.8M-63.1M
Net VEX-2.9M-3.2M-2.5M-2.6M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.1411.241.130.59
Total Volume11,727.09538734,2694,31012,133
Total OI215,249.143189,260263,988189,260215,918

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$85.59$89.007.8%2.2%5.5%0.0%7.5%-0.0%-0.2%-1.9M103.8M-2.6M1.1346.27N/AN/A2,0212,289116,87672,384
2007-06-04$85.98$87.006.8%2.0%5.6%0.0%6.8%0.7%-0.9%-372.1K65.4M-2.6M11.2420.47N/AN/A8629,685118,32672,100
2007-06-05$85.44$87.006.6%2.1%5.6%0.0%7.1%0.7%-0.2%-5.9M110.4M-2.6M1.3818.60N/AN/A1,3981,923118,74771,994
2007-06-06$85.40$87.007.3%2.0%5.6%0.0%7.1%0.5%-0.2%1.1M100.3M-2.6M5.9518.12N/AN/A8705,173119,15871,125
2007-06-07$83.87$87.009.3%2.4%8.0%0.0%8.3%0.4%-1.3%-8.9M234.5M-2.5M2.3019.04N/AN/A7,69017,694119,80375,403
2007-06-08$83.80$85.009.1%2.6%7.8%0.0%8.4%1.0%-2.1%-9.6M258.1M-2.6M0.7119.59N/AN/A17,67612,565125,48682,616
2007-06-11$83.56$85.009.7%2.5%7.8%0.0%8.8%0.5%-0.8%4.3M233.5M-2.6M0.9416.28N/AN/A5,3995,085140,16383,680
2007-06-12$82.35$85.0013.9%3.2%8.9%0.0%10.6%0.7%-1.8%2.3M311.8M-2.5M0.7272.18N/AN/A8,8716,406144,86786,017
2007-06-13$83.33$84.0012.6%3.0%10.4%0.0%10.8%1.5%-0.3%11.2M214.8M-3.0M0.4817.83N/AN/A22,56410,944151,65887,293
2007-06-14$83.12$84.0010.4%3.0%10.3%0.0%10.1%0.9%-1.0%30.8M179.1M-3.0M1.3321.76N/AN/A4,7386,309166,09494,085
2007-06-15$83.69$84.009.4%2.7%10.9%0.0%9.7%1.3%-0.6%19.2M155.3M-3.1M0.1416.54N/AN/A23,4833,276166,40997,579
2007-06-18$83.52$84.008.9%2.5%10.7%0.0%8.3%1.7%-0.3%12.4M111.3M-2.9M1.2411.98N/AN/A1,0001,235127,57284,191
2007-06-19$84.30$84.008.4%2.4%11.3%0.0%8.2%1.1%0.4%22.2M41.6M-3.0M0.1514.98N/AN/A29,7954,474128,12284,862
2007-06-20$83.62$84.008.8%2.5%11.5%0.0%8.9%1.5%-0.3%19.1M92.9M-3.1M0.7075.85N/AN/A1,5501,091124,91387,476
2007-06-21$83.29$84.009.5%2.7%11.5%0.0%9.3%0.6%-0.3%12.6M158.5M-3.0M0.1830.02N/AN/A6,1291,111123,16987,988
2007-06-22$83.76$84.009.4%2.7%11.8%0.0%9.5%1.1%0.0%18.8M89.2M-3.1M1.3616.27N/AN/A1,2371,688126,92688,570
2007-06-25$84.22$84.009.3%2.7%12.1%0.0%9.4%1.2%-0.2%19.8M52.5M-3.1M0.3019.10N/AN/A2,062628124,98489,625
2007-06-26$84.24$84.009.2%2.6%12.1%0.0%9.3%1.3%0.4%18.3M65.9M-3.1M0.1722.35N/AN/A33255124,71589,717
2007-06-27$84.32$84.009.3%2.7%12.0%0.0%9.3%0.5%0.5%20.2M14.0M-3.2M0.3621.30N/AN/A2,160767124,69389,804
2007-06-28$84.30$84.009.2%2.6%12.0%0.0%8.3%0.7%-0.4%21.1M31.9M-3.0M1.8413.14N/AN/A6701,231125,36489,760
2007-06-29$85.17$84.007.5%2.2%12.3%0.0%8.1%1.1%0.8%27.7M-63.1M-3.2M0.5924.71N/AN/A7,6144,519125,65190,267