TLT Options History — March 2008

In March 2008, TLT traded between $91.62 and $97.18. ATM implied volatility averaged 17.3%, placing in the 85.2% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.3% (HV 20d: 17.0%). Max pain ranged from $94.00 to $97.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 5.25.

Notable Days

  • 2008-03-05: Highest Volume — 70,581 contracts
  • 2008-03-18: Largest IV drop — 7.9% change
  • 2008-03-17: Highest IV Rank — 100.0%
  • 2008-03-17: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.49$91.62$97.18$93.64$95.89
Max Pain$94.80$94.00$97.00$94.00$96.00
ATM IV17.3%15.0%19.4%17.8%15.9%
Expected Move5.0%4.3%5.6%5.1%4.5%
HV 20d17.0%15.6%18.2%17.0%16.6%
HV 60d16.0%15.6%16.4%16.0%15.9%
IV Rank85.2%66.8%100.0%90.1%73.4%
IV Percentile92.7%79.4%100.0%98.0%82.9%
Term Structure0.3%-0.8%1.9%0.2%1.2%
VWIV17.8%15.5%20.3%20.3%16.4%
Skew 25d0.6%0.2%1.0%0.5%0.6%
Skew 10d1.3%-0.3%2.2%1.0%1.4%
Call IV 25d17.4%15.4%19.3%17.7%15.7%
Put IV 25d18.0%15.9%19.8%18.3%16.4%
Bid-Ask Spread %23.5013.4145.0721.1930.18
Gamma HHI0.160.130.200.200.15
Net GEX-80.0M-112.3M-56.3M-74.7M-78.1M
Net DEX618.8M273.7M930.7M477.9M615.3M
Net VEX-5.2M-6.0M-4.2M-4.2M-5.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.251.1617.6010.332.23
Total Volume16,392.552,62570,58123,8344,975
Total OI363,823.85311,463441,732335,373321,666

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$93.64$94.0017.8%5.1%17.0%90.1%20.3%0.5%0.2%-74.7M477.9M-4.2M10.3321.19N/AN/A2,10321,73153,311282,062
2008-03-04$92.73$94.0018.0%5.2%17.0%92.0%18.3%0.3%0.4%-87.0M622.1M-4.4M2.4419.94N/AN/A4,0229,82254,540304,634
2008-03-05$91.62$94.0017.3%5.0%17.1%86.4%17.4%0.2%0.6%-94.1M808.5M-4.5M11.9817.20N/AN/A5,43665,14554,686278,493
2008-03-06$92.11$94.0017.8%5.1%17.3%90.7%18.0%0.7%0.1%-112.3M930.7M-5.0M17.6018.33N/AN/A4487,88755,289317,448
2008-03-07$92.23$94.0017.4%5.4%15.6%87.0%19.0%0.8%-0.7%-90.7M818.3M-5.0M6.1315.78N/AN/A9755,97655,409302,685
2008-03-10$93.59$94.0017.5%5.3%15.9%88.0%18.5%0.7%-0.5%-78.5M610.1M-4.8M4.8513.41N/AN/A2,95414,33055,569305,178
2008-03-11$92.79$94.0016.8%5.0%16.1%82.6%18.1%0.7%-0.4%-91.5M757.2M-5.1M8.1917.19N/AN/A9617,87557,423317,402
2008-03-12$94.58$94.0016.3%5.0%17.4%78.4%17.7%0.8%-0.1%-74.3M502.7M-4.9M7.3116.10N/AN/A1,73712,70056,628319,098
2008-03-13$93.84$94.0017.5%5.0%17.2%88.0%17.9%0.5%0.2%-83.6M645.9M-5.1M8.3317.53N/AN/A3,43128,57057,533323,438
2008-03-14$95.00$94.0018.8%5.4%16.7%98.3%18.9%0.5%-0.2%-73.9M533.2M-5.3M3.7626.92N/AN/A4,44916,71858,856341,009
2008-03-17$95.73$94.0019.4%5.6%16.7%100.0%19.6%0.5%-0.8%-68.8M462.4M-5.3M2.5918.08N/AN/A4,05210,50460,443356,129
2008-03-18$95.36$95.0017.9%5.1%16.2%88.5%18.0%0.7%0.1%-73.6M515.1M-5.6M2.0224.02N/AN/A2,3914,82962,281364,799
2008-03-19$96.94$95.0018.1%5.2%16.9%90.1%18.1%0.2%-0.5%-56.3M278.9M-5.3M1.6345.07N/AN/A7,32511,97362,850367,299
2008-03-20$97.18$95.0017.4%5.0%16.6%84.9%17.4%0.2%0.5%-58.7M273.7M-5.2M2.4723.75N/AN/A10,19825,19666,376375,356
2008-03-24$95.30$97.0017.3%4.9%18.2%83.7%17.5%0.7%0.7%-77.6M708.1M-6.0M4.5331.93N/AN/A2,22810,09744,421267,042
2008-03-25$95.70$96.0017.8%5.1%17.6%87.6%17.6%1.0%0.2%-76.4M663.9M-5.7M2.3025.14N/AN/A1,5723,61545,873270,940
2008-03-26$95.30$96.0016.4%4.7%17.8%77.5%16.7%0.9%1.7%-81.0M689.0M-5.7M1.5933.01N/AN/A1,8522,95446,080271,824
2008-03-27$94.63$96.0015.5%4.4%18.1%70.7%15.6%0.3%1.7%-86.1M771.5M-5.8M3.5028.46N/AN/A9333,26247,590273,376
2008-03-28$95.55$96.0015.0%4.3%17.4%66.8%15.5%0.5%1.9%-82.3M692.3M-5.9M1.1626.80N/AN/A1,2131,41248,069273,372
2008-03-31$95.89$96.0015.9%4.5%16.6%73.4%16.4%0.6%1.2%-78.1M615.3M-5.5M2.2330.18N/AN/A1,5423,43348,045273,621