TLT Options History — July 2007

In July 2007, TLT traded between $83.48 and $87.66. ATM implied volatility averaged 9.4%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded below realized volatility by 2.1% (HV 20d: 11.4%). Max pain ranged from $84.00 to $86.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.29.

Notable Days

  • 2007-07-10: Highest Volume — 24,413 contracts
  • 2007-07-26: Largest IV spike — 30.5% change
  • 2007-07-26: Highest IV Rank — 77.6%
  • 2007-07-26: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.36$83.48$87.66$85.29$87.66
Max Pain$85.57$84.00$86.00$84.00$86.00
ATM IV9.4%8.1%12.2%8.3%10.8%
Expected Move2.7%2.4%3.5%2.4%3.1%
HV 20d11.4%10.8%12.8%12.2%11.0%
HV 60d9.6%8.7%10.1%8.7%10.0%
IV Rank43.6%26.1%77.6%32.6%60.2%
IV Percentile84.3%66.4%98.6%74.6%95.8%
Term Structure-0.3%-1.2%0.9%0.0%-0.1%
VWIV9.3%8.3%11.4%8.3%10.7%
Skew 25d0.7%-0.2%1.5%0.9%0.7%
Skew 10d1.9%-0.7%4.8%3.5%4.8%
Call IV 25d9.2%8.1%11.4%8.2%10.8%
Put IV 25d9.9%8.8%12.3%9.1%11.5%
Bid-Ask Spread %32.0310.1273.3110.1235.34
Gamma HHI0.180.140.310.220.14
Net GEX18.3M2.1M44.5M26.5M17.3M
Net DEX-31.6M-288.2M226.2M-109.4M-288.2M
Net VEX-3.3M-3.8M-1.6M-3.2M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.203.101.360.60
Total Volume5,515.76285824,41319,9402,910
Total OI235,805.952150,808256,505216,584245,736

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$85.29$84.008.3%2.4%12.2%0.0%8.3%0.9%0.0%26.5M-109.4M-3.2M1.3610.12N/AN/A8,44011,500123,13593,449
2007-07-03$84.77$84.008.3%2.4%12.2%0.0%8.5%0.3%-0.1%24.3M-21.9M-3.3M1.5514.12N/AN/A1,0751,666127,398103,088
2007-07-05$83.82$84.008.6%2.5%12.8%32.6%8.6%0.1%0.9%9.9M128.1M-3.2M2.5014.11N/AN/A1,2493,119127,682103,473
2007-07-06$83.48$85.008.8%2.5%11.1%35.2%8.7%1.2%-0.3%2.1M226.2M-2.9M3.1016.25N/AN/A1,5244,729128,222105,020
2007-07-09$83.78$85.008.1%2.5%11.2%26.1%8.8%1.1%0.1%7.2M164.2M-3.2M0.8521.40N/AN/A1,040881129,145106,891
2007-07-10$85.20$85.008.4%2.6%12.6%29.7%8.8%0.9%-0.8%25.2M-52.7M-3.4M2.6618.87N/AN/A6,67917,734129,971105,951
2007-07-11$84.32$86.009.7%2.6%12.0%46.9%8.5%0.8%-0.6%18.6M75.1M-3.4M1.1618.95N/AN/A791917134,752121,449
2007-07-12$84.03$86.009.7%2.8%11.4%45.7%9.5%0.9%-1.2%13.3M139.9M-3.6M1.7849.67N/AN/A348621134,655121,551
2007-07-13$84.26$86.009.1%2.6%11.4%38.8%9.1%1.5%-0.3%22.6M75.0M-3.6M0.4720.05N/AN/A738346134,491121,460
2007-07-16$85.07$86.008.9%2.5%11.7%35.9%8.9%1.0%-0.0%17.7M21.4M-1.6M2.3416.53N/AN/A5241,22571,03379,775
2007-07-17$84.89$86.008.9%2.5%11.7%35.7%9.1%1.2%-0.6%33.2M26.1M-3.3M2.3837.78N/AN/A254604134,263121,450
2007-07-18$85.21$86.009.2%2.6%11.3%40.4%8.4%0.2%-0.7%44.5M-49.0M-3.4M0.6831.81N/AN/A1,310887134,351121,615
2007-07-19$85.19$86.008.8%2.5%10.8%34.4%8.8%0.4%-0.2%44.0M-48.7M-3.3M1.5940.42N/AN/A418664134,399122,106
2007-07-20$85.96$86.008.9%2.6%11.0%36.4%8.9%0.4%-0.1%16.8M-169.5M-3.3M0.4138.66N/AN/A4,6441,908134,249121,868
2007-07-23$85.82$86.009.3%2.7%11.0%41.1%9.5%1.0%-1.0%4.0M-11.9M-3.5M0.2073.31N/AN/A3,030597111,794110,709
2007-07-24$86.14$86.009.3%2.7%10.9%41.5%9.5%1.4%-0.0%8.4M-44.0M-3.4M0.4231.99N/AN/A1,305548114,325110,840
2007-07-25$86.31$86.009.3%2.7%10.9%41.6%9.9%1.1%0.0%7.2M-82.5M-3.4M0.2760.36N/AN/A2,714722115,308111,078
2007-07-26$87.03$86.0012.2%3.5%11.2%77.6%11.3%0.9%-1.1%14.3M-213.5M-3.6M0.4849.02N/AN/A6,6173,154116,366111,123
2007-07-27$87.28$86.0011.7%3.4%11.2%71.8%11.4%0.1%-0.1%15.3M-231.5M-3.7M1.8049.37N/AN/A5,4849,882120,177113,241
2007-07-30$87.03$86.0010.5%3.0%10.8%56.0%10.9%-0.2%0.3%12.4M-196.5M-3.7M0.5124.46N/AN/A2,0101,023123,870120,466
2007-07-31$87.66$86.0010.8%3.1%11.0%60.2%10.7%0.7%-0.1%17.3M-288.2M-3.8M0.6035.34N/AN/A1,8181,092124,773120,963