TLT Options History — August 2007 In August 2007, TLT traded between $86.08 and $88.88. ATM implied volatility averaged 9.0%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded below realized volatility by 0.0% (HV 20d: 9.0%). Max pain ranged from $86.00 to $87.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 3.40.
Notable Days 2007-08-28 : Highest Volume — 13,462 contracts2007-08-17 : Largest IV drop — 18.4% change2007-08-16 : Highest IV Rank — 54.0%2007-08-16 : Largest Expected Move — 3.0%Monthly Statistics Metric Avg Min Max Open Close Price $87.29 $86.08 $88.88 $87.13 $88.88 Max Pain $86.87 $86.00 $87.00 $86.00 $87.00 ATM IV 9.0% 8.1% 10.3% 10.0% 8.1% Expected Move 2.6% 2.3% 3.0% 2.9% 2.3% HV 20d 9.0% 8.1% 11.0% 11.0% 8.1% HV 60d 10.4% 9.8% 10.7% 10.1% 9.8% IV Rank 37.5% 25.4% 54.0% 50.4% 25.4% IV Percentile 73.5% 49.1% 93.6% 93.1% 49.1% Term Structure -0.2% -2.4% 1.9% -0.5% 1.4% VWIV 9.0% 8.1% 10.2% 8.8% 9.1% Skew 25d 0.3% -0.8% 2.6% 2.6% -0.0% Skew 10d 1.3% -1.3% 4.9% -0.3% 2.1% Call IV 25d 8.9% 7.2% 10.0% 7.2% 9.5% Put IV 25d 9.3% 8.1% 10.0% 9.9% 9.4% Bid-Ask Spread % 52.10 23.71 87.05 81.52 27.52 Gamma HHI 0.16 0.10 0.20 0.15 0.10 Net GEX 23.3M 6.2M 51.0M 18.1M 23.3M Net DEX -260.6M -467.3M -73.3M -259.5M -412.8M Net VEX -3.5M -3.7M -3.1M -3.6M -3.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.40 0.09 23.70 1.60 2.75 Total Volume 5,006.913 467 13,462 2,189 2,834 Total OI 265,230.783 246,040 286,183 246,040 286,183
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-08-01 $87.13 $86.00 10.0% 2.9% 11.0% 50.4% 8.8% 2.6% -0.5% 18.1M -259.5M -3.6M 1.60 81.52 N/A N/A 841 1,348 124,433 121,607 2007-08-02 $87.35 $86.00 9.4% 2.7% 9.9% 42.5% 10.2% 0.4% -0.1% 19.8M -281.7M -3.6M 1.19 23.71 N/A N/A 5,116 6,098 124,752 121,924 2007-08-03 $87.93 $86.00 9.1% 2.6% 9.8% 38.3% 9.3% 0.7% -0.2% 19.4M -323.5M -3.6M 1.21 44.90 N/A N/A 1,679 2,032 126,331 126,164 2007-08-06 $87.29 $87.00 9.3% 2.8% 10.4% 41.8% 9.1% 0.1% -2.4% 14.6M -255.8M -3.6M 0.13 61.80 N/A N/A 11,848 1,510 127,785 128,050 2007-08-07 $87.22 $87.00 8.6% 2.5% 8.8% 32.9% 8.6% -0.2% -1.0% 17.7M -265.1M -3.7M 1.23 44.97 N/A N/A 1,580 1,937 139,075 128,951 2007-08-08 $86.16 $87.00 8.3% 2.6% 9.2% 28.8% 8.1% 0.3% -1.5% 10.8M -95.7M -3.7M 3.18 48.36 N/A N/A 1,840 5,853 140,081 129,737 2007-08-09 $86.28 $87.00 8.9% 2.7% 9.0% 35.7% 9.0% 0.5% -0.4% 6.2M -96.5M -3.6M 2.78 41.99 N/A N/A 320 889 138,969 129,631 2007-08-10 $86.08 $87.00 9.3% 2.5% 9.1% 41.6% 8.8% 0.2% -0.6% 9.9M -73.3M -3.5M 4.79 45.72 N/A N/A 307 1,471 139,010 129,744 2007-08-13 $86.33 $87.00 10.0% 2.7% 8.6% 49.9% 9.7% 0.3% -1.5% 10.8M -139.4M -3.6M 8.53 46.85 N/A N/A 49 418 139,110 130,383 2007-08-14 $86.56 $87.00 8.4% 2.6% 8.5% 29.6% 9.0% 0.5% -1.4% 14.3M -149.9M -3.5M 1.21 28.44 N/A N/A 5,829 7,042 139,119 130,622 2007-08-15 $86.25 $87.00 8.9% 2.5% 8.6% 36.8% 8.6% 0.3% -0.4% 19.1M -160.0M -3.4M 0.56 56.31 N/A N/A 1,214 681 144,406 132,231 2007-08-16 $87.14 $87.00 10.3% 3.0% 9.2% 54.0% 9.9% 0.0% -1.6% 20.1M -248.2M -3.5M 0.91 78.89 N/A N/A 3,467 3,152 144,982 130,256 2007-08-17 $86.79 $87.00 8.4% 2.4% 8.9% 29.8% 8.7% -0.8% 1.9% 11.5M -181.1M -3.7M 0.90 87.05 N/A N/A 1,594 1,436 147,183 132,185 2007-08-20 $86.84 $87.00 8.8% 2.5% 8.9% 35.1% 8.7% -0.3% 0.8% 25.0M -204.8M -3.7M 0.24 70.81 N/A N/A 1,017 244 138,813 117,198 2007-08-21 $87.26 $87.00 9.3% 2.7% 9.0% 41.8% 9.4% 0.8% 0.6% 28.2M -247.0M -3.5M 0.31 69.41 N/A N/A 2,989 933 139,368 117,181 2007-08-22 $87.12 $87.00 8.9% 2.5% 9.0% 35.8% 8.8% -0.0% 0.5% 27.2M -209.5M -3.3M 0.09 47.51 N/A N/A 4,441 389 140,033 117,730 2007-08-23 $87.42 $87.00 9.2% 2.6% 8.6% 39.9% 9.1% -0.0% -0.1% 35.3M -291.9M -3.5M 1.98 65.14 N/A N/A 291 575 142,973 117,928 2007-08-24 $87.85 $87.00 8.5% 2.4% 8.7% 31.2% 8.4% 0.5% 0.1% 42.1M -362.7M -3.4M 0.49 59.05 N/A N/A 2,807 1,367 143,057 118,099 2007-08-27 $88.31 $87.00 8.4% 2.4% 8.8% 30.3% 8.5% 0.6% -0.1% 51.0M -467.3M -3.1M 0.95 23.74 N/A N/A 444 422 143,712 118,924 2007-08-28 $88.46 $87.00 9.1% 2.6% 8.4% 39.1% 9.1% 0.6% -0.2% 43.1M -454.3M -3.2M 23.70 25.82 N/A N/A 545 12,917 143,826 118,962 2007-08-29 $88.22 $87.00 8.5% 2.4% 8.2% 31.6% 8.5% -0.0% 0.7% 31.2M -354.4M -3.4M 2.13 65.93 N/A N/A 447 950 144,099 130,372 2007-08-30 $88.81 $87.00 9.3% 2.7% 8.4% 40.9% 9.5% 0.7% 0.4% 36.0M -458.7M -3.4M 17.40 52.83 N/A N/A 652 11,344 144,155 130,974 2007-08-31 $88.88 $87.00 8.1% 2.3% 8.1% 25.4% 9.1% -0.0% 1.4% 23.3M -412.8M -3.5M 2.75 27.52 N/A N/A 756 2,078 144,328 141,855
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