TLT Options History — April 2008 In April 2008, TLT traded between $91.82 and $95.67. ATM implied volatility averaged 13.4%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 1.1% (HV 20d: 14.6%). Max pain ranged from $93.00 to $96.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 6.30.
Notable Days 2008-04-11 : Highest Volume — 87,110 contracts2008-04-10 : Largest IV spike — 8.3% change2008-04-02 : Highest IV Rank — 64.9%2008-04-02 : Largest Expected Move — 4.2%Monthly Statistics Metric Avg Min Max Open Close Price $93.73 $91.82 $95.67 $93.93 $93.11 Max Pain $94.68 $93.00 $96.00 $96.00 $93.00 ATM IV 13.4% 12.4% 14.7% 13.7% 12.7% Expected Move 3.9% 3.6% 4.2% 3.9% 3.7% HV 20d 14.6% 9.9% 18.2% 18.2% 10.3% HV 60d 16.0% 15.2% 16.6% 16.4% 15.2% IV Rank 55.2% 47.7% 64.9% 56.8% 50.0% IV Percentile 64.3% 56.3% 76.2% 68.3% 56.7% Term Structure 0.4% -0.6% 3.1% 3.1% 0.2% VWIV 13.7% 12.4% 14.9% 14.1% 12.7% Skew 25d 0.8% -0.1% 1.8% -0.1% 1.0% Skew 10d 0.8% -1.4% 3.6% -0.4% 3.6% Call IV 25d 13.4% 11.9% 14.5% 14.5% 12.6% Put IV 25d 14.2% 13.5% 15.1% 14.4% 13.7% Bid-Ask Spread % 23.90 18.03 36.32 27.48 21.00 Gamma HHI 0.17 0.12 0.30 0.17 0.16 Net GEX -102.2M -158.3M -79.0M -100.1M -84.5M Net DEX 787.3M 539.9M 956.5M 833.4M 765.9M Net VEX -5.5M -6.8M -4.6M -5.9M -5.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 6.30 0.24 29.77 3.77 1.07 Total Volume 16,847.409 4,318 87,110 11,460 5,579 Total OI 329,537.227 294,420 423,877 321,859 317,453
Daily Data (22 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 2008-04-01 $93.93 $96.00 13.7% 3.9% 18.2% 56.8% 14.1% -0.1% 3.1% -100.1M 833.4M -5.9M 3.77 27.48 N/A N/A 2,402 9,058 46,700 275,159 2008-04-02 $94.13 $96.00 14.7% 4.2% 17.8% 64.9% 14.6% 0.1% 1.1% -98.9M 785.3M -5.7M 2.72 22.12 N/A N/A 1,161 3,157 47,158 272,201 2008-04-03 $94.34 $96.00 13.7% 3.9% 17.1% 57.3% 13.7% 0.1% 1.4% -101.9M 768.3M -5.6M 29.77 20.27 N/A N/A 1,150 34,240 48,150 273,194 2008-04-04 $95.20 $95.00 13.3% 4.1% 17.3% 54.5% 13.8% 1.4% 0.1% -104.2M 540.9M -4.6M 1.38 35.10 N/A N/A 4,811 6,623 48,322 271,765 2008-04-07 $94.70 $95.00 13.7% 4.1% 17.5% 56.9% 14.9% 0.6% 0.3% -101.8M 690.0M -5.3M 9.48 36.32 N/A N/A 1,799 17,048 51,530 271,880 2008-04-08 $94.37 $95.00 13.2% 4.1% 16.8% 53.6% 14.5% 1.3% -0.2% -108.1M 751.3M -5.5M 7.63 27.11 N/A N/A 918 7,006 52,084 284,102 2008-04-09 $95.35 $95.00 13.2% 4.0% 16.8% 53.0% 14.4% 0.2% 0.3% -92.6M 616.2M -5.5M 7.69 23.15 N/A N/A 4,139 31,824 52,423 288,315 2008-04-10 $95.03 $95.00 14.2% 4.1% 15.5% 61.2% 14.3% 0.2% -0.1% -93.1M 639.8M -5.4M 4.26 25.83 N/A N/A 1,241 5,284 54,912 287,619 2008-04-11 $95.67 $95.00 13.8% 3.9% 15.3% 57.6% 13.9% 0.1% 0.3% -79.0M 539.9M -5.4M 27.51 18.03 N/A N/A 3,055 84,055 55,263 289,040 2008-04-14 $95.11 $95.00 14.0% 4.0% 14.9% 59.4% 13.9% 0.4% -0.4% -115.7M 861.9M -6.8M 18.95 20.38 N/A N/A 1,340 25,391 56,487 367,390 2008-04-15 $93.93 $95.00 14.2% 4.1% 15.3% 61.1% 14.1% 0.1% -0.6% -115.0M 791.0M -5.5M 2.25 22.12 N/A N/A 3,888 8,764 56,789 291,256 2008-04-16 $93.01 $95.00 13.3% 3.8% 15.6% 54.3% 13.6% 1.6% 0.8% -148.1M 951.6M -5.5M 1.46 30.82 N/A N/A 6,697 9,798 58,253 291,013 2008-04-17 $92.85 $95.00 14.2% 4.1% 14.1% 61.2% 14.1% 0.9% 0.1% -158.3M 953.1M -5.5M 4.27 20.24 N/A N/A 2,076 8,860 62,619 292,018 2008-04-18 $92.77 $95.00 13.3% 3.8% 14.0% 54.2% 13.4% 1.3% 0.6% -155.3M 956.5M -5.5M 6.27 23.23 N/A N/A 3,900 24,447 63,450 293,280 2008-04-21 $93.14 $94.00 12.5% 3.6% 12.6% 47.9% 12.4% 1.0% 1.4% -80.9M 767.8M -5.4M 1.10 20.64 N/A N/A 3,093 3,400 47,751 246,791 2008-04-22 $93.46 $94.00 13.0% 3.7% 12.5% 51.6% 12.6% 1.2% 0.2% -80.7M 737.5M -5.4M 1.31 20.74 N/A N/A 2,204 2,893 47,741 246,679 2008-04-23 $93.15 $94.00 12.9% 3.7% 12.5% 51.5% 13.2% 0.6% 0.6% -80.6M 781.2M -5.5M 0.91 21.44 N/A N/A 2,585 2,349 50,483 249,497 2008-04-24 $92.36 $94.00 13.1% 3.8% 12.6% 52.9% 13.5% 1.2% 0.1% -83.1M 873.2M -5.4M 4.03 23.04 N/A N/A 3,853 15,536 52,229 249,601 2008-04-25 $91.82 $94.00 12.4% 3.6% 12.0% 47.7% 12.6% 1.8% 0.3% -89.4M 948.7M -5.4M 1.24 18.94 N/A N/A 2,602 3,221 54,452 256,250 2008-04-28 $92.10 $94.00 13.1% 3.8% 12.0% 52.6% 13.5% 1.4% -0.1% -89.8M 904.4M -5.5M 1.31 29.31 N/A N/A 2,067 2,718 55,999 257,340 2008-04-29 $92.45 $93.00 13.3% 3.8% 9.9% 54.2% 13.3% 1.5% 0.4% -86.7M 862.1M -5.4M 0.24 18.60 N/A N/A 3,551 860 57,471 257,710 2008-04-30 $93.11 $93.00 12.7% 3.7% 10.3% 50.0% 12.7% 1.0% 0.2% -84.5M 765.9M -5.5M 1.07 21.00 N/A N/A 2,690 2,889 59,670 257,783
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