TLT Options History — September 2007

In September 2007, TLT traded between $87.15 and $91.00. ATM implied volatility averaged 10.3%, placing in the 53.9% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 0.6% (HV 20d: 9.7%). Max pain ranged from $87.00 to $91.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 5.99.

Notable Days

  • 2007-09-20: Highest Volume — 87,133 contracts
  • 2007-09-28: Largest IV spike — 17.0% change
  • 2007-09-12: Highest IV Rank — 75.6%
  • 2007-09-17: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.18$87.15$91.00$88.56$88.72
Max Pain$89.47$87.00$91.00$87.00$89.00
ATM IV10.3%8.9%12.0%9.3%10.5%
Expected Move2.9%2.6%3.3%2.7%3.0%
HV 20d9.7%6.6%12.4%7.8%12.2%
HV 60d9.9%9.4%10.7%9.8%10.2%
IV Rank53.9%36.9%75.6%41.3%56.1%
IV Percentile88.4%65.4%98.3%81.0%93.0%
Term Structure-0.3%-1.8%1.6%-0.4%0.3%
VWIV10.2%8.8%11.5%9.0%9.9%
Skew 25d0.1%-3.0%1.9%-3.0%0.0%
Skew 10d1.7%-0.8%5.4%-0.8%4.1%
Call IV 25d10.3%9.1%11.7%10.0%10.1%
Put IV 25d10.4%7.0%12.3%7.0%10.1%
Bid-Ask Spread %40.4022.1575.3254.2335.87
Gamma HHI0.160.100.250.100.14
Net GEX-24.0M-65.7M22.6M21.9M-47.2M
Net DEX-168.8M-669.9M367.4M-345.5M162.8M
Net VEX-4.1M-5.0M-3.2M-3.5M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.990.7325.355.462.47
Total Volume17,896.5261,65287,1334,8414,793
Total OI341,791280,222385,029280,222332,707

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$88.56$87.009.3%2.7%7.8%41.3%9.0%-3.0%-0.4%21.9M-345.5M-3.5M5.4654.23N/AN/A7494,092136,520143,702
2007-09-05$89.27$87.009.4%2.7%8.2%42.5%9.2%-0.3%-0.4%22.6M-440.6M-3.4M2.9840.34N/AN/A1,9095,693137,076147,696
2007-09-06$89.04$87.0010.3%3.0%6.6%54.2%10.4%1.3%-0.3%19.9M-421.1M-3.3M2.5137.37N/AN/A4,17510,492137,779152,581
2007-09-07$90.30$89.009.8%2.8%8.0%47.7%10.3%0.6%-0.4%19.7M-595.6M-3.2M4.8835.33N/AN/A7,84538,244141,239161,197
2007-09-10$91.00$90.0011.3%3.1%8.0%67.2%11.5%0.4%-0.9%3.8M-643.6M-3.3M1.8730.65N/AN/A13,49625,260144,381186,787
2007-09-11$90.93$88.0011.4%3.1%8.1%68.5%11.3%0.2%-0.8%-6.5M-669.9M-3.7M3.8125.75N/AN/A1,8637,092162,345211,236
2007-09-12$90.59$91.0012.0%3.1%8.4%75.6%11.4%0.7%-0.8%-25.3M-489.3M-3.9M5.1136.93N/AN/A4442,267153,389219,756
2007-09-13$89.78$91.0011.5%3.3%9.1%69.4%11.1%-0.1%-1.4%-44.3M-297.3M-4.0M8.4639.62N/AN/A2,14218,122148,686220,922
2007-09-14$89.91$91.0011.6%3.3%8.5%69.8%11.5%0.5%-1.6%-36.4M-324.7M-4.1M8.2368.26N/AN/A1791,473149,582226,016
2007-09-17$90.34$91.0011.6%3.3%8.3%70.1%11.3%0.6%-1.8%-34.0M-392.8M-3.9M2.9030.57N/AN/A4921,428149,580228,788
2007-09-18$89.66$91.0010.0%2.9%9.0%49.6%8.8%-1.2%-0.7%-57.7M-290.9M-3.8M5.5775.32N/AN/A3,34218,613149,683228,510
2007-09-19$88.83$91.009.0%2.6%9.7%37.6%9.0%0.6%-0.0%-65.7M-123.1M-3.7M22.0357.56N/AN/A1,24327,382152,120215,959
2007-09-20$87.15$91.0010.4%3.0%12.0%55.3%10.5%0.3%-1.2%16.3M367.4M-3.6M25.3541.93N/AN/A3,30783,826152,164205,318
2007-09-21$87.89$90.009.3%2.7%12.3%41.2%9.7%-0.5%1.4%-38.1M224.9M-4.4M4.5340.20N/AN/A6,54929,674154,067230,962
2007-09-24$88.14$89.009.8%2.8%12.2%47.5%10.0%-0.1%0.2%-48.8M257.1M-4.9M3.3722.15N/AN/A1,4694,949126,064197,986
2007-09-25$87.83$89.009.9%2.8%12.2%48.5%9.8%-0.1%0.8%-54.0M320.3M-5.0M1.2540.18N/AN/A8941,121126,976201,588
2007-09-26$87.91$89.009.6%2.7%12.1%44.4%10.0%0.2%1.3%-54.3M322.3M-5.0M2.3124.41N/AN/A8762,021127,387202,100
2007-09-27$88.52$89.008.9%2.6%12.4%36.9%9.4%1.9%1.6%-48.5M173.2M-5.0M0.7330.86N/AN/A1,4521,066127,697203,483
2007-09-28$88.72$89.0010.5%3.0%12.2%56.1%9.9%0.0%0.3%-47.2M162.8M-4.9M2.4735.87N/AN/A1,3823,411128,725203,982