TLT Options History — January 2008 In January 2008, TLT traded between $93.47 and $96.51. ATM implied volatility averaged 15.5%, placing in the 87.1% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 0.5% (HV 20d: 15.0%). Max pain ranged from $88.00 to $96.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 8.11.
Notable Days 2008-01-03 : Highest Volume — 37,729 contracts2008-01-23 : Largest IV spike — 13.5% change2008-01-22 : Highest IV Rank — 100.0%2008-01-23 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $94.96 $93.47 $96.51 $94.38 $94.99 Max Pain $94.00 $88.00 $96.00 $88.00 $95.00 ATM IV 15.5% 13.4% 19.1% 14.5% 17.8% Expected Move 4.4% 3.9% 5.5% 4.2% 5.1% HV 20d 15.0% 13.1% 16.9% 16.9% 14.7% HV 60d 13.1% 12.5% 14.2% 12.5% 14.2% IV Rank 87.1% 76.7% 100.0% 88.0% 89.9% IV Percentile 95.2% 88.5% 100.0% 95.6% 98.4% Term Structure -0.5% -1.9% 0.1% 0.1% -1.2% VWIV 15.5% 13.3% 18.9% 14.7% 17.9% Skew 25d 0.5% -0.4% 3.0% -0.4% 0.2% Skew 10d 1.3% -0.2% 5.6% -0.2% 1.0% Call IV 25d 15.3% 12.3% 19.1% 15.7% 17.4% Put IV 25d 15.7% 13.7% 19.0% 15.4% 17.6% Bid-Ask Spread % 21.95 8.82 35.74 11.27 24.40 Gamma HHI 0.12 0.11 0.16 0.13 0.12 Net GEX -48.7M -88.1M -10.0M -10.0M -81.3M Net DEX -93.6M -565.1M 575.7M -498.4M 492.4M Net VEX -3.0M -4.1M -2.2M -2.3M -4.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 8.11 0.73 51.90 4.85 8.79 Total Volume 16,464.714 3,290 37,729 9,666 21,695 Total OI 348,877.952 259,347 416,307 337,352 310,424
Daily Data (21 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 2008-01-02 $94.38 $88.00 14.5% 4.2% 16.9% 88.0% 14.7% -0.4% 0.1% -10.0M -498.4M -2.3M 4.85 11.27 N/A N/A 1,652 8,014 99,665 237,687 2008-01-03 $94.25 $88.00 15.1% 4.3% 16.9% 94.4% 15.3% 3.0% -0.6% -11.6M -465.6M -2.5M 16.52 8.82 N/A N/A 2,154 35,575 100,875 241,801 2008-01-04 $94.27 $93.00 13.4% 3.9% 16.3% 76.7% 14.0% 0.6% -0.3% -27.3M -438.6M -2.6M 3.50 21.87 N/A N/A 2,424 8,478 101,791 269,011 2008-01-07 $94.68 $94.00 14.3% 4.0% 16.0% 85.6% 13.8% 0.5% -0.3% -25.0M -502.0M -2.4M 2.41 22.14 N/A N/A 964 2,326 102,167 268,300 2008-01-08 $94.57 $94.00 13.5% 4.0% 15.4% 77.3% 13.3% 0.2% -0.5% -22.4M -530.0M -2.3M 16.57 29.37 N/A N/A 443 7,341 102,374 267,702 2008-01-09 $94.75 $94.00 13.9% 3.9% 15.1% 81.6% 13.7% -0.1% -0.3% -22.3M -526.1M -2.2M 51.90 23.06 N/A N/A 661 34,303 102,486 269,149 2008-01-10 $93.47 $94.00 13.6% 3.9% 14.6% 78.6% 13.6% 0.2% -0.4% -35.4M -299.3M -2.7M 22.15 26.27 N/A N/A 966 21,399 102,735 283,437 2008-01-11 $94.20 $94.00 13.7% 3.9% 14.2% 79.4% 13.6% 0.2% -0.3% -39.3M -371.7M -2.7M 1.65 24.28 N/A N/A 1,920 3,176 102,785 295,173 2008-01-14 $94.55 $94.00 13.6% 3.9% 13.5% 78.8% 13.6% -0.1% -0.0% -40.8M -415.8M -2.6M 2.65 22.43 N/A N/A 1,227 3,255 102,529 301,390 2008-01-15 $95.61 $94.00 13.9% 4.0% 13.7% 82.1% 14.0% 0.7% -0.5% -34.0M -565.1M -2.3M 8.38 21.38 N/A N/A 2,120 17,758 102,735 301,709 2008-01-16 $94.92 $95.00 14.3% 4.1% 13.9% 85.8% 14.4% 0.6% -0.5% -55.4M -380.0M -2.6M 0.73 35.74 N/A N/A 21,760 15,920 97,836 311,998 2008-01-17 $96.15 $95.00 14.9% 4.3% 14.3% 91.8% 14.9% 0.3% -0.3% -49.3M -340.1M -2.4M 5.95 22.13 N/A N/A 2,637 15,693 78,871 324,478 2008-01-18 $95.49 $95.00 15.2% 4.3% 14.1% 94.9% 15.4% 0.4% -0.1% -71.9M -185.6M -3.1M 7.04 24.21 N/A N/A 2,483 17,481 79,745 336,562 2008-01-22 $96.51 $95.00 16.8% 4.8% 14.4% 100.0% 17.0% 0.8% -0.5% -58.8M 260.8M -3.1M 4.99 21.07 N/A N/A 2,159 10,772 24,328 235,019 2008-01-23 $96.29 $95.00 19.1% 5.5% 13.1% 100.0% 18.5% 0.2% -1.9% -65.2M 360.2M -3.6M 1.20 25.92 N/A N/A 9,066 10,876 25,724 248,587 2008-01-24 $94.36 $96.00 18.8% 5.4% 15.2% 97.9% 18.9% -0.1% -1.0% -76.5M 547.8M -4.1M 3.31 13.23 N/A N/A 5,977 19,809 32,052 255,402 2008-01-25 $95.95 $96.00 18.0% 5.2% 15.6% 92.0% 18.2% 0.7% -0.3% -64.8M 385.3M -3.8M 2.21 18.28 N/A N/A 4,604 10,160 34,924 258,602 2008-01-28 $95.59 $95.00 18.1% 5.2% 15.7% 92.4% 18.2% 0.5% -0.4% -70.9M 447.8M -4.1M 1.20 17.69 N/A N/A 2,019 2,419 36,401 265,461 2008-01-29 $94.94 $95.00 17.0% 4.9% 15.2% 84.1% 16.9% 0.8% -0.3% -73.0M 481.8M -3.9M 3.40 21.74 N/A N/A 1,327 4,506 37,615 268,794 2008-01-30 $94.32 $95.00 16.2% 4.7% 15.4% 78.1% 16.5% 1.1% -0.5% -88.1M 575.7M -4.1M 0.97 25.55 N/A N/A 4,191 4,049 37,534 270,579 2008-01-31 $94.99 $95.00 17.8% 5.1% 14.7% 89.9% 17.9% 0.2% -1.2% -81.3M 492.4M -4.1M 8.79 24.40 N/A N/A 2,215 19,480 38,405 272,019
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