TLT Options History — June 2008 In June 2008, TLT traded between $88.87 and $92.34. ATM implied volatility averaged 13.4%, placing in the 50.0% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.7% (HV 20d: 10.7%). Max pain ranged from $91.00 to $93.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 4.44.
Notable Days 2008-06-16 : Highest Volume — 64,940 contracts2008-06-09 : Largest IV spike — 10.3% change2008-06-09 : Highest IV Rank — 74.9%2008-06-09 : Largest Expected Move — 4.6%Monthly Statistics Metric Avg Min Max Open Close Price $90.22 $88.87 $92.34 $90.30 $92.34 Max Pain $91.90 $91.00 $93.00 $93.00 $91.00 ATM IV 13.4% 10.7% 16.4% 13.7% 11.0% Expected Move 3.9% 3.1% 4.6% 3.9% 3.2% HV 20d 10.7% 10.0% 11.4% 10.2% 10.5% HV 60d 11.6% 10.2% 13.1% 13.0% 10.4% IV Rank 50.0% 26.7% 74.9% 55.5% 29.6% IV Percentile 58.2% 28.6% 86.1% 65.1% 30.2% Term Structure 1.0% 0.0% 2.2% 0.4% 1.7% VWIV 13.5% 10.9% 15.8% 13.5% 11.1% Skew 25d 1.0% 0.3% 1.8% 0.8% 0.5% Skew 10d 2.1% 0.4% 3.7% 3.7% 0.4% Call IV 25d 13.1% 10.2% 15.8% 13.6% 10.5% Put IV 25d 14.1% 10.9% 16.8% 14.4% 11.0% Bid-Ask Spread % 19.51 13.39 29.85 25.69 15.16 Gamma HHI 0.19 0.13 0.36 0.15 0.13 Net GEX -137.0M -288.2M -57.8M -127.3M -59.7M Net DEX 1.10B 487.5M 1.67B 1.09B 487.5M Net VEX -5.0M -5.6M -4.5M -5.0M -4.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 4.44 0.53 43.33 1.26 5.76 Total Volume 13,913.905 3,063 64,940 8,156 5,761 Total OI 371,615.857 298,830 465,479 361,263 313,796
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 2008-06-02 $90.30 $93.00 13.7% 3.9% 10.2% 55.5% 13.5% 0.8% 0.4% -127.3M 1.09B -5.0M 1.26 25.69 N/A N/A 3,609 4,547 70,103 291,160 2008-06-03 $90.95 $93.00 13.3% 3.8% 10.6% 52.3% 13.6% 0.8% 0.6% -128.0M 964.3M -5.0M 1.61 23.72 N/A N/A 3,222 5,183 70,867 289,575 2008-06-04 $90.14 $93.00 13.8% 4.0% 10.7% 56.1% 13.8% 0.7% 0.2% -128.2M 1.12B -4.9M 3.63 23.73 N/A N/A 1,390 5,047 72,707 290,188 2008-06-05 $89.60 $93.00 13.8% 4.0% 10.8% 54.0% 13.6% 0.3% 0.2% -127.0M 1.22B -4.8M 2.81 29.85 N/A N/A 2,283 6,405 73,141 289,968 2008-06-06 $90.76 $92.00 14.9% 4.5% 11.3% 62.1% 14.9% 1.2% 0.3% -125.9M 991.7M -5.0M 0.88 21.13 N/A N/A 10,549 9,310 74,252 289,331 2008-06-09 $90.76 $92.00 16.4% 4.6% 11.2% 74.9% 15.8% 1.0% 0.0% -121.0M 981.8M -4.9M 0.72 21.94 N/A N/A 2,611 1,882 79,853 292,231 2008-06-10 $90.17 $92.00 15.8% 4.4% 11.4% 69.2% 15.4% 1.1% 0.5% -125.3M 1.11B -4.9M 1.36 22.35 N/A N/A 3,695 5,008 83,000 292,885 2008-06-11 $89.96 $92.00 14.7% 4.5% 10.8% 60.3% 15.5% 1.2% 0.6% -129.8M 1.13B -4.8M 0.91 24.36 N/A N/A 3,811 3,460 83,744 293,525 2008-06-12 $89.06 $92.00 14.7% 4.2% 11.3% 60.1% 14.9% 1.0% 1.0% -126.1M 1.35B -4.5M 5.01 18.99 N/A N/A 4,404 22,084 85,981 294,161 2008-06-13 $88.87 $92.00 15.3% 4.4% 10.6% 65.3% 15.2% 1.3% 0.7% -150.0M 1.52B -4.9M 1.92 15.55 N/A N/A 2,256 4,341 88,265 322,895 2008-06-16 $88.89 $92.00 14.7% 4.2% 10.6% 60.2% 15.0% 1.8% 1.1% -146.3M 1.47B -4.8M 43.33 19.97 N/A N/A 1,465 63,475 88,957 314,225 2008-06-17 $89.07 $92.00 13.8% 3.9% 10.6% 52.4% 13.6% 1.1% 0.7% -238.4M 1.67B -5.2M 9.65 21.20 N/A N/A 2,768 26,721 89,297 358,734 2008-06-18 $89.82 $92.00 13.6% 3.9% 10.9% 51.3% 13.6% 1.3% 1.0% -273.8M 1.46B -5.6M 0.53 15.41 N/A N/A 6,288 3,311 90,815 373,144 2008-06-19 $89.29 $92.00 13.1% 3.8% 11.0% 47.1% 13.1% 1.2% 1.1% -288.2M 1.63B -5.4M 5.22 16.70 N/A N/A 1,617 8,447 95,166 369,518 2008-06-20 $89.81 $92.00 12.1% 3.5% 10.6% 38.4% 12.5% 0.5% 2.0% -251.4M 1.41B -5.4M 1.05 17.79 N/A N/A 13,124 13,802 95,418 370,061 2008-06-23 $90.00 $91.00 12.1% 3.5% 10.5% 38.1% 12.1% 1.5% 1.5% -72.1M 862.1M -5.2M 1.79 17.67 N/A N/A 4,739 8,504 58,862 239,968 2008-06-24 $90.59 $91.00 11.7% 3.4% 10.6% 35.1% 12.0% 1.7% 1.9% -68.2M 762.7M -5.3M 1.13 14.20 N/A N/A 2,680 3,036 62,596 240,019 2008-06-25 $90.64 $91.00 10.7% 3.1% 10.1% 26.7% 10.9% 1.0% 2.2% -69.7M 756.6M -5.2M 1.40 15.83 N/A N/A 1,274 1,789 63,876 240,965 2008-06-26 $91.25 $91.00 11.1% 3.2% 10.0% 30.1% 12.0% 1.1% 1.8% -62.9M 629.0M -4.9M 1.34 15.12 N/A N/A 2,959 3,961 64,466 240,876 2008-06-27 $92.32 $91.00 11.2% 3.2% 10.5% 31.2% 11.0% 0.7% 1.6% -57.8M 489.9M -4.6M 1.86 13.39 N/A N/A 3,978 7,396 64,466 240,876 2008-06-30 $92.34 $91.00 11.0% 3.2% 10.5% 29.6% 11.1% 0.5% 1.7% -59.7M 487.5M -4.6M 5.76 15.16 N/A N/A 852 4,909 66,676 247,120
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