TLT Options History — February 2008

In February 2008, TLT traded between $90.95 and $95.23. ATM implied volatility averaged 16.8%, placing in the 82.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.6% (HV 20d: 16.2%). Max pain ranged from $94.00 to $95.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 3.87.

Notable Days

  • 2008-02-07: Highest Volume — 30,628 contracts
  • 2008-02-08: Largest IV spike — 9.8% change
  • 2008-02-20: Highest IV Rank — 92.3%
  • 2008-02-20: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.81$90.95$95.23$95.23$94.23
Max Pain$94.65$94.00$95.00$95.00$94.00
ATM IV16.8%14.9%18.1%14.9%16.9%
Expected Move4.9%4.3%5.2%4.3%4.9%
HV 20d16.2%14.7%17.3%14.7%17.0%
HV 60d15.2%14.2%16.0%14.2%16.0%
IV Rank82.5%67.8%92.3%67.8%83.7%
IV Percentile96.2%92.9%98.8%92.9%94.0%
Term Structure-0.4%-1.4%0.9%0.9%0.4%
VWIV17.3%15.7%18.9%15.7%17.1%
Skew 25d1.1%0.3%1.7%1.2%1.1%
Skew 10d2.4%0.9%5.3%2.2%0.9%
Call IV 25d16.6%14.6%17.9%14.6%16.6%
Put IV 25d17.7%15.8%19.3%15.8%17.7%
Bid-Ask Spread %19.4213.3628.1121.4621.19
Gamma HHI0.150.120.250.120.20
Net GEX-108.3M-178.7M-74.9M-81.7M-74.9M
Net DEX768.9M451.0M1.19B472.8M451.0M
Net VEX-4.5M-4.7M-4.2M-4.3M-4.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.870.7110.516.030.71
Total Volume12,405.652,40130,6288,34815,492
Total OI335,150.4312,346367,374325,716329,824

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$95.23$95.0014.9%4.3%14.7%67.8%15.7%1.2%0.9%-81.7M472.8M-4.3M6.0321.46N/AN/A1,1877,16138,540287,176
2008-02-04$94.25$95.0016.2%4.7%15.2%78.1%16.6%0.8%-0.8%-95.7M606.5M-4.5M2.3718.28N/AN/A7121,68938,833289,978
2008-02-05$94.97$95.0016.3%4.8%15.4%78.9%16.3%1.5%-1.1%-92.0M539.3M-4.5M1.2119.02N/AN/A4,1034,97338,854292,259
2008-02-06$94.68$95.0016.0%4.7%15.4%76.7%16.6%1.4%-1.0%-96.9M577.9M-4.6M1.9316.85N/AN/A8301,60442,489294,782
2008-02-07$92.64$95.0015.1%4.8%17.2%69.2%16.7%0.9%-0.9%-110.5M862.2M-4.7M8.9420.12N/AN/A3,08227,54642,790295,216
2008-02-08$93.70$95.0016.5%5.0%17.1%80.6%17.4%1.0%-1.1%-113.2M727.9M-4.7M4.1413.36N/AN/A2,94712,20143,396303,117
2008-02-11$94.09$95.0017.3%5.1%17.0%86.4%17.6%0.8%-1.4%-116.7M671.6M-4.6M3.7716.43N/AN/A7732,91645,454310,553
2008-02-12$93.53$95.0016.8%4.9%17.0%82.8%17.2%0.8%-1.1%-130.7M775.8M-4.6M3.3617.51N/AN/A8222,76345,679312,797
2008-02-13$92.54$95.0015.9%4.8%16.8%75.8%16.7%0.3%-1.0%-168.9M956.4M-4.6M10.5118.94N/AN/A1,66617,51645,679321,695
2008-02-14$91.18$95.0017.3%4.9%17.3%86.2%17.3%1.3%-1.2%-132.2M1.19B-4.6M1.9118.68N/AN/A4,2988,21346,268312,037
2008-02-15$91.88$95.0017.1%4.9%16.8%84.8%17.2%1.1%-0.7%-178.7M962.6M-4.5M3.0023.14N/AN/A2,2556,76248,423301,926
2008-02-19$90.95$95.0017.6%5.1%17.0%89.0%18.3%1.1%0.1%-102.9M917.8M-4.4M6.6021.15N/AN/A2,71217,89734,718277,628
2008-02-20$91.58$95.0018.1%5.2%16.6%92.3%18.4%1.7%-0.1%-101.7M873.1M-4.5M1.6618.11N/AN/A8,78914,59235,772281,761
2008-02-21$92.55$94.0017.7%5.1%17.3%89.4%17.7%1.5%0.1%-88.9M699.3M-4.5M0.9820.65N/AN/A4,5284,45442,534274,610
2008-02-22$92.02$94.0017.7%5.1%16.0%89.7%18.4%1.0%-0.1%-92.9M770.0M-4.6M5.1028.11N/AN/A3,32716,96444,570276,391
2008-02-25$91.08$94.0017.8%5.1%14.8%90.1%18.9%1.5%0.3%-99.4M912.9M-4.6M2.3519.14N/AN/A2,3875,61447,264279,949
2008-02-26$91.11$94.0017.3%5.0%14.8%86.7%17.9%1.1%-0.1%-99.7M884.3M-4.3M5.6320.25N/AN/A3,18517,94348,547280,025
2008-02-27$91.19$94.0016.3%4.7%14.8%78.9%16.5%0.9%0.8%-98.7M857.5M-4.3M5.6322.56N/AN/A1,2687,13748,628275,523
2008-02-28$92.81$94.0016.8%4.8%16.2%82.5%17.1%1.1%0.2%-89.7M663.7M-4.4M1.4713.55N/AN/A2,3493,45649,395277,928
2008-02-29$94.23$94.0016.9%4.9%17.0%83.7%17.1%1.1%0.4%-74.9M451.0M-4.2M0.7121.19N/AN/A9,0606,43250,889278,935