TLT Options History — December 2007

In December 2007, TLT traded between $90.44 and $94.75. ATM implied volatility averaged 14.1%, placing in the 84.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 0.2% (HV 20d: 14.4%). Max pain ranged from $88.00 to $93.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 4.44.

Notable Days

  • 2007-12-07: Highest Volume — 24,441 contracts
  • 2007-12-24: Largest IV spike — 12.5% change
  • 2007-12-04: Highest IV Rank — 97.5%
  • 2007-12-04: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.26$90.44$94.75$94.75$93.05
Max Pain$89.00$88.00$93.00$93.00$88.00
ATM IV14.1%13.2%15.4%14.9%14.7%
Expected Move4.1%3.8%4.4%4.3%4.2%
HV 20d14.4%10.7%16.8%10.7%16.1%
HV 60d11.4%10.3%12.4%10.4%12.4%
IV Rank84.3%74.8%97.5%91.8%90.3%
IV Percentile95.0%90.6%99.6%98.3%96.0%
Term Structure-0.0%-0.9%1.3%-0.1%-0.1%
VWIV14.2%12.8%15.5%14.5%15.2%
Skew 25d-0.0%-0.9%2.1%-0.5%-0.3%
Skew 10d-0.2%-2.8%4.9%-1.7%-1.4%
Call IV 25d14.3%12.5%15.8%15.1%15.4%
Put IV 25d14.2%13.4%15.4%14.6%15.2%
Bid-Ask Spread %26.3711.9968.2424.5411.99
Gamma HHI0.140.100.210.110.12
Net GEX-34.3M-69.1M-8.4M-20.1M-14.5M
Net DEX-99.6M-484.8M312.3M-480.8M-323.8M
Net VEX-3.8M-4.5M-2.9M-3.5M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.440.2721.990.271.25
Total Volume8,831.952,16724,4419,3782,582
Total OI405,910.7332,942435,244418,970337,540

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$94.75$93.0014.9%4.3%10.7%91.8%14.5%-0.5%-0.1%-20.1M-480.8M-3.5M0.2724.54N/AN/A7,3662,012119,578299,392
2007-12-04$94.74$93.0015.4%4.4%10.7%97.5%15.2%-0.8%-0.3%-15.0M-484.8M-3.7M1.4620.55N/AN/A8801,287125,246300,040
2007-12-05$93.61$93.0014.9%4.3%11.5%92.1%14.7%-0.9%0.4%-27.9M-296.0M-3.9M3.3230.17N/AN/A2,0936,952125,183300,367
2007-12-06$92.79$93.0015.0%4.3%12.1%93.4%15.4%-0.6%-0.6%-38.0M-149.9M-4.3M0.9928.61N/AN/A4,8794,830125,695304,102
2007-12-07$91.75$88.0014.1%4.1%12.9%83.6%14.1%0.2%-0.6%-59.2M90.8M-4.5M4.4626.77N/AN/A4,47419,967127,118306,343
2007-12-10$91.20$88.0014.4%4.0%12.7%86.7%14.1%-0.6%-0.6%-67.8M204.5M-4.4M10.6529.94N/AN/A1,96020,871127,656305,205
2007-12-11$92.99$88.0014.0%4.1%14.5%82.3%14.5%0.3%-0.9%-31.4M-196.8M-3.9M1.2268.24N/AN/A8,87310,845127,214302,543
2007-12-12$92.03$88.0013.6%4.0%14.9%78.1%13.7%-0.8%0.2%-31.8M-97.6M-4.0M21.9935.53N/AN/A75316,556133,133296,214
2007-12-13$91.03$88.0013.8%3.9%15.4%80.5%14.0%-0.2%-0.0%-58.6M202.6M-4.3M2.8327.96N/AN/A1,1633,290132,812297,434
2007-12-14$90.61$88.0013.9%4.0%15.1%81.4%13.6%-0.3%-0.8%-69.1M312.3M-4.2M2.1821.60N/AN/A1,8984,147132,806297,579
2007-12-17$91.42$88.0013.5%3.9%15.5%77.3%12.8%0.0%-0.4%-46.0M67.9M-3.8M0.4926.04N/AN/A1,692824134,054296,928
2007-12-18$92.01$88.0013.7%3.9%15.5%79.7%13.7%0.4%-0.1%-22.8M-88.9M-3.7M0.7328.58N/AN/A1,4291,046134,275296,360
2007-12-19$93.23$88.0013.9%4.0%16.2%81.6%13.9%2.1%-0.0%-8.4M-349.1M-3.3M21.9025.05N/AN/A75516,537133,877296,790
2007-12-20$93.03$88.0013.4%3.8%16.1%76.1%13.8%-0.3%1.3%-45.5M-305.3M-3.4M2.5225.18N/AN/A1,1812,976133,906301,338
2007-12-21$91.67$88.0013.2%3.8%16.8%74.8%13.6%-0.1%0.7%-33.8M-24.1M-3.7M2.3721.03N/AN/A1,8194,313134,055292,589
2007-12-24$91.24$88.0014.9%4.3%15.0%92.1%15.5%0.7%0.0%-25.6M24.0M-3.7M5.3812.25N/AN/A9435,07098,811234,131
2007-12-26$90.44$88.0014.1%4.0%14.9%83.3%13.7%0.4%0.2%-30.9M143.6M-3.6M2.7624.14N/AN/A9152,52199,388236,117
2007-12-27$91.06$88.0013.8%3.9%15.2%80.2%13.5%0.2%0.1%-24.2M-31.2M-3.4M0.9217.84N/AN/A1,2651,16199,657235,987
2007-12-28$92.48$88.0014.0%4.0%16.0%82.4%14.0%0.2%0.7%-16.3M-209.7M-3.1M1.0821.35N/AN/A2,1662,348100,047236,704
2007-12-31$93.05$88.0014.7%4.2%16.1%90.3%15.2%-0.3%-0.1%-14.5M-323.8M-2.9M1.2511.99N/AN/A1,1501,432100,413237,127