TLT Options History — October 2007

In October 2007, TLT traded between $87.63 and $91.02. ATM implied volatility averaged 10.4%, placing in the 55.4% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 0.3% (HV 20d: 10.1%). Max pain ranged from $88.00 to $90.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 4.32.

Notable Days

2007-10-22: Highest Volume — 18,685 contracts
2007-10-05: Largest IV drop — 17.4% change
2007-10-30: Highest IV Rank — 71.1%
2007-10-30: Largest Expected Move — 3.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$89.25	$87.63	$91.02	$88.88	$89.98
Max Pain	$88.70	$88.00	$90.00	$89.00	$90.00
ATM IV	10.4%	8.5%	11.7%	10.3%	11.0%
Expected Move	3.0%	2.8%	3.3%	2.9%	3.1%
HV 20d	10.1%	7.7%	12.2%	12.2%	9.6%
HV 60d	9.7%	9.3%	10.2%	10.2%	9.8%
IV Rank	55.4%	30.6%	71.1%	53.6%	62.5%
IV Percentile	87.9%	52.9%	97.6%	89.3%	91.9%
Term Structure	0.1%	-0.4%	0.9%	0.9%	-0.1%
VWIV	10.5%	9.4%	11.7%	9.9%	10.8%
Skew 25d	0.2%	-1.0%	1.1%	-0.6%	-0.3%
Skew 10d	0.5%	-4.1%	5.5%	5.5%	2.9%
Call IV 25d	10.4%	9.4%	11.6%	10.1%	10.8%
Put IV 25d	10.6%	9.3%	12.3%	9.5%	10.5%
Bid-Ask Spread %	37.21	20.04	66.85	32.25	53.84
Gamma HHI	0.18	0.11	0.33	0.15	0.14
Net GEX	-53.0M	-126.4M	-3.5M	-45.6M	-43.0M
Net DEX	83.7M	-277.8M	438.4M	72.0M	62.1M
Net VEX	-4.6M	-4.9M	-4.1M	-4.9M	-4.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.32	0.24	17.01	1.38	5.10
Total Volume	5,817.652	942	18,685	4,915	6,931
Total OI	340,466.783	298,838	356,472	333,511	356,472

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
2007-10-01	$88.88	$89.00	10.3%	2.9%	12.2%	53.6%	9.9%	-0.6%	0.9%	-45.6M	72.0M	-4.9M	1.38	32.25	N/A	N/A	2,069	2,846	127,874	205,637
2007-10-02	$89.16	$89.00	11.5%	3.3%	12.1%	68.9%	11.3%	0.5%	0.0%	-38.7M	39.9M	-4.9M	1.88	27.15	N/A	N/A	513	963	129,684	207,486
2007-10-03	$88.90	$89.00	10.7%	3.1%	11.8%	58.9%	10.7%	0.8%	0.6%	-45.8M	79.0M	-4.8M	3.47	29.91	N/A	N/A	434	1,504	130,030	208,221
2007-10-04	$89.24	$89.00	10.2%	2.9%	11.9%	53.2%	10.5%	0.7%	0.6%	-41.0M	21.9M	-4.8M	2.10	25.31	N/A	N/A	366	769	130,024	208,979
2007-10-05	$88.28	$88.00	8.5%	3.0%	11.3%	30.6%	10.6%	0.3%	-0.1%	-78.8M	280.1M	-4.8M	1.79	63.45	N/A	N/A	2,768	4,956	130,205	209,459
2007-10-08	$88.21	$88.00	9.7%	3.1%	10.8%	46.0%	10.3%	1.1%	-0.1%	-71.7M	258.3M	-4.8M	1.28	64.21	N/A	N/A	499	641	132,452	211,703
2007-10-09	$88.10	$88.00	9.8%	3.1%	10.8%	47.6%	10.8%	0.4%	-0.4%	-76.6M	284.4M	-4.7M	1.73	24.31	N/A	N/A	1,265	2,192	132,664	212,012
2007-10-10	$88.15	$88.00	9.4%	3.0%	10.8%	43.2%	10.5%	-0.2%	-0.3%	-80.0M	263.2M	-4.7M	2.74	66.85	N/A	N/A	277	758	133,760	213,525
2007-10-11	$88.06	$88.00	10.2%	2.9%	10.4%	52.1%	9.9%	0.3%	0.0%	-98.6M	311.3M	-4.6M	3.76	21.72	N/A	N/A	198	744	133,907	213,983
2007-10-12	$87.63	$88.00	9.7%	2.8%	10.5%	45.8%	9.7%	0.3%	0.3%	-106.7M	402.7M	-4.5M	2.55	50.96	N/A	N/A	698	1,778	133,900	214,067
2007-10-15	$87.65	$88.00	10.0%	2.9%	10.2%	50.3%	9.9%	0.3%	0.1%	-107.9M	438.4M	-4.4M	0.30	43.72	N/A	N/A	1,947	581	133,764	214,585
2007-10-16	$87.68	$88.00	10.3%	3.0%	10.0%	54.0%	10.0%	-0.7%	-0.1%	-126.4M	408.6M	-4.3M	0.24	36.25	N/A	N/A	1,656	398	133,326	214,772
2007-10-17	$88.64	$88.00	9.9%	2.8%	10.4%	49.3%	10.1%	0.1%	0.1%	-81.4M	105.3M	-4.3M	2.17	39.37	N/A	N/A	2,153	4,668	134,812	214,763
2007-10-18	$89.13	$88.00	9.8%	2.8%	7.7%	48.2%	10.1%	0.3%	0.4%	-7.0M	-57.9M	-4.2M	5.15	20.04	N/A	N/A	660	3,400	134,445	216,364
2007-10-19	$90.46	$88.00	10.7%	3.1%	8.8%	59.5%	10.8%	1.0%	0.2%	-3.5M	-277.8M	-4.1M	6.04	52.10	N/A	N/A	2,158	13,025	134,599	218,917
2007-10-22	$90.47	$89.00	10.7%	3.1%	8.8%	59.6%	10.8%	-0.0%	0.0%	-11.7M	-153.4M	-4.2M	8.61	29.76	N/A	N/A	1,944	16,741	113,499	185,339
2007-10-23	$90.35	$89.00	10.9%	3.1%	8.7%	61.3%	10.9%	0.1%	0.1%	-17.2M	-124.3M	-4.3M	4.22	25.77	N/A	N/A	2,023	8,535	114,993	194,178
2007-10-24	$91.02	$89.00	11.2%	3.2%	8.9%	64.9%	11.1%	-0.5%	0.3%	-20.4M	-170.1M	-4.4M	13.52	28.31	N/A	N/A	751	10,155	116,566	209,617
2007-10-25	$90.71	$89.00	10.4%	3.0%	8.9%	54.8%	10.6%	-1.0%	0.3%	-21.3M	-131.1M	-4.5M	17.01	44.16	N/A	N/A	678	11,534	117,073	209,231
2007-10-26	$90.50	$90.00	11.4%	3.3%	8.9%	68.2%	11.6%	-0.3%	-0.0%	-30.9M	-43.1M	-4.8M	5.28	21.96	N/A	N/A	759	4,005	117,398	224,172
2007-10-29	$90.85	$90.00	11.6%	3.3%	9.0%	69.9%	9.4%	0.9%	-0.2%	-30.6M	-76.3M	-4.7M	4.25	28.56	N/A	N/A	1,925	8,186	117,393	230,119
2007-10-30	$90.80	$90.00	11.7%	3.3%	9.0%	71.1%	11.7%	0.2%	-0.3%	-33.3M	-67.6M	-4.8M	4.69	25.86	N/A	N/A	484	2,271	118,942	235,825
2007-10-31	$89.98	$90.00	11.0%	3.1%	9.6%	62.5%	10.8%	-0.3%	-0.1%	-43.0M	62.1M	-4.9M	5.10	53.84	N/A	N/A	1,136	5,795	119,127	237,345