TLT Options History — November 2007

In November 2007, TLT traded between $90.56 and $95.58. ATM implied volatility averaged 12.8%, placing in the 80.8% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 3.6% (HV 20d: 9.2%). Max pain ranged from $90.00 to $92.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 5.38.

Notable Days

  • 2007-11-29: Highest Volume — 25,804 contracts
  • 2007-11-12: Largest IV spike — 18.5% change
  • 2007-11-23: Highest IV Rank — 100.0%
  • 2007-11-26: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.46$90.56$95.58$90.75$94.38
Max Pain$90.14$90.00$92.00$90.00$92.00
ATM IV12.8%10.9%15.7%11.2%14.7%
Expected Move3.8%3.1%4.5%3.2%4.2%
HV 20d9.2%7.6%11.1%9.9%10.6%
HV 60d9.9%9.5%10.7%9.6%10.7%
IV Rank80.8%62.2%100.0%65.4%90.3%
IV Percentile96.8%91.0%100.0%92.9%98.3%
Term Structure-0.3%-1.1%1.3%0.4%-0.2%
VWIV13.2%10.8%15.8%11.8%14.4%
Skew 25d-0.3%-1.2%0.2%0.2%-0.7%
Skew 10d-0.5%-3.9%0.7%-0.1%-1.4%
Call IV 25d13.4%11.5%16.4%11.5%14.3%
Put IV 25d13.0%10.9%15.7%11.8%13.6%
Bid-Ask Spread %28.0817.3542.7124.0335.99
Gamma HHI0.140.130.160.130.13
Net GEX-28.4M-42.7M-4.8M-30.3M-29.5M
Net DEX-289.0M-698.8M23.1M-125.3M-492.1M
Net VEX-4.2M-5.1M-2.8M-4.6M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.380.5014.672.680.52
Total Volume9,187.3331,87425,8044,47813,316
Total OI387,669.333357,485431,323357,485431,323

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$90.75$90.0011.2%3.2%9.9%65.4%11.8%0.2%0.4%-30.3M-125.3M-4.6M2.6824.03N/AN/A1,2163,262116,459241,026
2007-11-02$91.04$90.0010.9%3.1%8.9%62.2%10.8%-0.6%1.3%-29.7M-137.0M-4.7M5.9622.08N/AN/A1,6749,980116,501243,642
2007-11-05$91.00$90.0011.8%3.6%8.9%72.8%12.7%-0.1%-0.8%-34.6M-84.4M-4.7M5.0423.11N/AN/A1,1585,838117,574250,865
2007-11-06$90.56$90.0011.2%3.4%9.2%65.5%12.1%-0.2%-0.3%-41.4M-19.1M-4.8M3.9922.71N/AN/A8843,530117,689253,153
2007-11-07$90.72$90.0012.1%3.7%9.2%77.1%12.9%0.0%-0.2%-42.4M-7.2M-5.0M13.9221.92N/AN/A1,18916,553118,160255,350
2007-11-08$90.56$90.0012.1%3.9%9.2%76.6%13.3%0.0%-1.0%-42.3M23.1M-5.0M8.8124.94N/AN/A8637,607119,032259,521
2007-11-09$91.33$90.0011.2%3.8%9.2%65.9%13.4%-0.2%-1.0%-38.6M-92.3M-5.1M5.3526.71N/AN/A7684,107119,665277,418
2007-11-12$91.66$90.0013.3%3.9%9.2%92.4%13.3%0.0%-1.1%-30.9M-175.4M-4.7M11.0742.71N/AN/A2973,288120,198269,872
2007-11-13$91.32$90.0012.7%3.6%9.4%84.1%12.5%-0.1%-0.4%-40.7M-119.8M-4.7M7.6424.02N/AN/A5764,401120,235271,815
2007-11-14$91.42$90.0011.4%3.5%8.8%68.1%12.3%-0.4%-0.4%-42.7M-157.7M-4.6M14.6722.52N/AN/A3465,077120,380275,325
2007-11-15$92.28$90.0012.2%3.5%9.1%77.5%12.4%0.0%-0.4%-26.5M-318.6M-4.2M1.9025.10N/AN/A3,7427,113120,374275,542
2007-11-16$92.41$90.0011.7%3.3%7.7%71.6%11.8%-0.7%-0.2%-23.2M-359.1M-4.1M2.2819.08N/AN/A3,1487,181122,493278,143
2007-11-19$93.01$90.0011.8%3.4%7.9%73.1%11.9%0.1%0.6%-21.3M-427.2M-3.8M0.9231.94N/AN/A2,9222,689115,796259,889
2007-11-20$92.91$90.0011.9%3.4%7.9%75.0%12.3%-0.7%0.1%-21.9M-372.9M-3.9M3.7530.81N/AN/A1,4695,515117,437260,000
2007-11-21$93.45$90.0013.6%3.9%7.8%96.2%13.8%-0.0%-0.2%-20.6M-430.7M-3.9M1.8138.59N/AN/A1,4792,684118,695264,794
2007-11-23$93.73$90.0014.1%4.1%7.6%100.0%14.3%-1.0%-0.4%-19.7M-469.8M-3.7M0.5017.35N/AN/A1,253621119,809265,692
2007-11-26$95.58$90.0015.7%4.5%9.8%100.0%15.8%-0.7%-0.6%-4.8M-698.8M-2.8M2.3041.11N/AN/A7,61717,484119,869266,108
2007-11-27$94.67$90.0015.3%4.4%10.7%96.6%15.2%-0.5%-0.5%-16.7M-549.9M-3.6M4.4534.49N/AN/A1,4336,376124,857279,170
2007-11-28$94.03$90.0015.0%4.3%11.1%93.6%14.2%-1.2%-0.4%-20.6M-465.8M-3.8M4.1634.05N/AN/A1,6426,832125,619280,442
2007-11-29$94.84$91.0015.0%4.3%10.6%93.0%15.1%-0.4%-0.3%-16.8M-588.4M-3.5M11.3126.39N/AN/A2,09623,708126,531284,593
2007-11-30$94.38$92.0014.7%4.2%10.6%90.3%14.4%-0.7%-0.2%-29.5M-492.1M-3.8M0.5235.99N/AN/A8,7484,568128,085303,238