TLT Options History — May 2008

In May 2008, TLT traded between $89.69 and $92.78. ATM implied volatility averaged 12.6%, placing in the 48.1% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.3% (HV 20d: 10.3%). Max pain ranged from $93.00 to $95.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 4.21.

Notable Days

  • 2008-05-29: Highest Volume — 56,721 contracts
  • 2008-05-12: Largest IV spike — 13.3% change
  • 2008-05-13: Highest IV Rank — 64.2%
  • 2008-05-29: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.60$89.69$92.78$92.78$90.28
Max Pain$94.38$93.00$95.00$94.00$93.00
ATM IV12.6%11.5%14.6%12.2%12.6%
Expected Move3.6%3.3%4.0%3.5%3.6%
HV 20d10.3%9.4%11.0%10.3%11.0%
HV 60d14.1%13.1%15.3%15.1%13.1%
IV Rank48.1%38.2%64.2%45.9%46.7%
IV Percentile55.3%42.9%75.0%54.8%52.4%
Term Structure1.0%0.2%1.5%1.0%1.4%
VWIV12.7%10.8%14.1%12.4%13.0%
Skew 25d0.8%0.1%1.7%1.7%0.7%
Skew 10d1.3%-0.3%3.0%3.0%2.1%
Call IV 25d12.4%11.3%13.8%12.0%12.4%
Put IV 25d13.1%11.9%13.9%13.7%13.0%
Bid-Ask Spread %19.0513.3625.2820.9514.70
Gamma HHI0.180.150.200.150.17
Net GEX-106.6M-139.2M-86.0M-86.0M-139.2M
Net DEX947.1M776.7M1.24B780.6M1.24B
Net VEX-5.1M-5.7M-4.2M-5.5M-5.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.210.6712.731.660.67
Total Volume12,311.7143,05956,7217,0089,045
Total OI327,630.333309,070369,560316,618369,560

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$92.78$94.0012.2%3.5%10.3%45.9%12.4%1.7%1.0%-86.0M780.6M-5.5M1.6620.95N/AN/A2,6304,37858,848257,770
2008-05-02$91.61$94.0012.1%3.5%10.4%45.3%12.2%0.7%0.2%-97.6M963.8M-5.4M4.3820.76N/AN/A1,2415,43959,082259,880
2008-05-05$91.61$95.0012.0%3.7%10.3%44.5%13.2%0.7%1.1%-97.5M973.5M-5.4M7.0225.28N/AN/A1,0027,03359,592261,504
2008-05-06$90.95$95.0012.5%3.7%10.5%48.0%12.8%1.1%1.0%-104.9M1.10B-5.2M12.7322.89N/AN/A2,27929,02059,996266,534
2008-05-07$91.34$95.0012.9%3.8%9.8%51.2%13.0%0.8%1.1%-111.8M1.18B-5.7M3.3624.56N/AN/A3,97813,36760,936286,341
2008-05-08$92.16$95.0012.1%3.8%10.5%45.0%13.4%0.8%0.8%-96.1M859.6M-4.9M2.0318.70N/AN/A5,31610,77863,529267,519
2008-05-09$92.50$95.0012.6%3.7%10.2%48.9%12.9%0.3%1.2%-99.8M815.9M-5.3M1.4118.79N/AN/A2,9454,13865,376268,131
2008-05-12$92.36$95.0014.3%3.8%10.1%61.5%13.3%0.2%1.2%-95.6M782.9M-5.2M2.2117.85N/AN/A1,9914,40366,463260,805
2008-05-13$91.35$95.0014.6%3.8%9.9%64.2%13.1%0.4%1.0%-106.2M953.4M-5.0M3.2017.60N/AN/A9543,05666,492262,514
2008-05-14$91.39$95.0013.2%3.9%9.4%53.4%14.1%0.3%0.2%-105.7M966.7M-5.1M6.7013.36N/AN/A1,3579,09066,773262,549
2008-05-15$92.22$95.0012.8%3.7%10.0%50.5%13.2%0.7%1.4%-101.1M825.9M-5.1M5.6315.19N/AN/A1,3827,78567,259265,171
2008-05-16$91.84$95.0011.8%3.4%10.1%42.2%12.1%0.9%1.5%-108.8M889.0M-5.0M2.0918.34N/AN/A3,8137,96767,570266,364
2008-05-19$91.96$94.0012.0%3.5%10.0%42.5%12.1%1.4%0.9%-105.2M840.2M-4.9M0.8421.55N/AN/A2,2981,92657,226251,844
2008-05-20$92.44$94.0012.4%3.6%10.1%45.1%12.4%1.7%0.9%-102.2M776.7M-4.9M6.4221.90N/AN/A1,5549,97458,741252,273
2008-05-21$92.46$94.0012.2%3.5%10.1%43.9%12.2%1.0%0.9%-105.5M793.2M-5.0M6.6322.76N/AN/A4813,18959,861258,333
2008-05-22$91.37$94.0011.5%3.3%10.5%38.2%11.7%0.8%1.2%-114.6M976.5M-5.0M3.5216.16N/AN/A1,6255,72660,345260,399
2008-05-23$91.77$94.0011.8%3.4%10.4%40.6%10.8%0.4%1.4%-112.0M882.5M-5.0M2.7821.02N/AN/A1,4173,94661,033262,671
2008-05-27$91.15$94.0012.9%3.7%10.6%48.7%12.8%0.3%0.4%-115.2M1.01B-4.8M2.9118.70N/AN/A7832,27661,410264,367
2008-05-28$90.34$94.0012.5%3.6%10.9%45.8%12.4%0.8%1.4%-115.3M1.14B-4.7M2.7915.65N/AN/A5,86616,37761,533263,899
2008-05-29$89.69$93.0014.0%4.0%10.7%57.7%14.0%0.1%0.2%-117.6M1.14B-4.2M9.4113.37N/AN/A5,45151,27066,117263,627
2008-05-30$90.28$93.0012.6%3.6%11.0%46.7%13.0%0.7%1.4%-139.2M1.24B-5.1M0.6714.70N/AN/A5,4173,62868,786300,774