TLT Options History — July 2008

In July 2008, TLT traded between $90.14 and $93.50. ATM implied volatility averaged 12.0%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.1% (HV 20d: 10.9%). Max pain ranged from $91.00 to $93.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 3.81.

Notable Days

  • 2008-07-11: Highest Volume — 72,364 contracts
  • 2008-07-10: Largest IV spike — 19.4% change
  • 2008-07-15: Highest IV Rank — 54.7%
  • 2008-07-15: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.63$90.14$93.50$91.79$91.67
Max Pain$91.59$91.00$93.00$92.00$91.00
ATM IV12.0%9.8%14.3%10.7%10.4%
Expected Move3.5%3.0%4.1%3.1%3.0%
HV 20d10.9%8.6%12.6%10.5%12.6%
HV 60d10.6%9.9%11.2%10.4%11.1%
IV Rank34.6%15.2%54.7%23.3%20.3%
IV Percentile39.6%16.7%69.8%27.4%18.7%
Term Structure0.7%-0.1%1.8%1.8%1.1%
VWIV12.3%10.8%14.4%10.8%10.9%
Skew 25d1.1%0.0%2.2%0.1%0.7%
Skew 10d2.2%0.2%4.4%0.6%0.5%
Call IV 25d11.8%10.6%13.3%10.9%10.6%
Put IV 25d12.9%10.6%15.4%11.0%11.3%
Bid-Ask Spread %18.8213.0026.2416.4817.77
Gamma HHI0.190.110.260.130.25
Net GEX-95.8M-132.6M-52.3M-70.2M-124.0M
Net DEX831.6M359.4M1.19B631.1M884.3M
Net VEX-5.4M-6.0M-4.4M-5.1M-5.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.810.667.191.041.85
Total Volume12,477.6822,91872,36411,9356,748
Total OI353,612.773306,365407,998306,365376,620

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$91.79$92.0010.7%3.1%10.5%23.3%10.8%0.1%1.8%-70.2M631.1M-5.1M1.0416.48N/AN/A5,8436,09258,206248,159
2008-07-02$92.27$92.0011.3%3.2%10.1%28.3%11.2%0.1%1.5%-67.3M581.8M-5.1M0.6613.00N/AN/A3,2762,17461,717251,159
2008-07-03$92.07$92.0010.7%3.1%9.8%23.5%10.8%0.0%1.6%-65.3M553.5M-4.7M5.3616.25N/AN/A4592,45962,964251,775
2008-07-07$92.49$91.0010.9%3.4%8.9%24.8%12.0%0.7%0.7%-62.3M534.3M-4.9M5.6317.19N/AN/A1,0986,18262,728250,915
2008-07-08$93.09$91.0010.4%3.3%9.1%20.8%11.4%0.7%1.2%-57.6M469.8M-4.9M2.7425.56N/AN/A3,5469,72063,190255,081
2008-07-09$93.50$91.009.8%3.2%8.7%15.2%11.6%0.9%1.4%-54.1M365.3M-4.4M2.3919.60N/AN/A1,6563,95466,022259,784
2008-07-10$93.49$91.0011.7%3.3%8.6%31.9%11.9%0.5%1.0%-52.3M359.4M-4.4M4.1218.82N/AN/A2,49310,27166,851259,522
2008-07-11$92.16$91.0013.9%4.0%9.4%51.0%14.0%2.2%0.0%-73.8M659.8M-5.3M7.1925.01N/AN/A8,83363,53166,577267,779
2008-07-14$92.97$93.0014.0%4.0%9.6%51.9%14.3%2.2%-0.1%-84.0M610.5M-4.9M5.0926.24N/AN/A1,7729,02059,683283,262
2008-07-15$92.94$93.0014.3%4.1%9.7%54.7%14.4%1.8%0.1%-88.5M683.9M-6.0M2.4021.51N/AN/A3,0817,37972,807326,623
2008-07-16$91.26$93.0013.8%4.0%12.1%50.5%13.4%1.7%0.1%-115.9M1.04B-6.0M1.8118.13N/AN/A5,0269,10472,754331,340
2008-07-17$90.79$93.0013.6%3.9%12.0%48.4%13.5%1.1%0.4%-120.4M1.14B-6.0M2.4318.62N/AN/A2,7796,76674,784333,214
2008-07-18$90.45$92.0013.2%3.8%11.8%44.9%13.5%1.0%1.0%-115.2M1.19B-5.8M5.8019.64N/AN/A1,87710,87875,779329,441
2008-07-21$90.80$92.0012.5%3.6%11.8%38.9%12.6%1.5%1.1%-107.8M1.03B-5.7M1.5819.29N/AN/A2,2663,58361,048287,031
2008-07-22$90.35$91.0013.0%3.7%11.9%43.7%13.0%1.6%0.3%-110.3M1.10B-5.6M3.4918.99N/AN/A9973,47962,663287,928
2008-07-23$90.17$91.0012.2%3.5%11.7%36.4%12.9%1.1%0.4%-112.7M1.13B-5.5M5.3516.24N/AN/A2,76114,77764,013288,273
2008-07-24$91.05$91.0011.5%3.3%12.2%30.0%11.6%1.3%0.9%-117.6M989.2M-5.7M7.1215.65N/AN/A1,2038,56765,419295,482
2008-07-25$90.14$91.0011.6%3.3%12.5%31.0%11.6%1.2%0.6%-125.7M1.17B-5.6M4.0420.31N/AN/A1,4605,89465,780298,949
2008-07-28$91.05$91.0011.8%3.4%12.3%33.3%12.4%1.4%0.4%-120.6M1.01B-5.5M7.1320.32N/AN/A2,15815,39166,062299,634
2008-07-29$90.68$91.0011.5%3.3%12.3%30.5%11.9%1.0%0.1%-132.6M1.09B-5.7M2.4914.48N/AN/A2,2575,62167,299307,114
2008-07-30$90.77$91.0011.1%3.2%12.2%27.2%11.6%1.1%0.8%-130.1M1.07B-5.6M4.1014.98N/AN/A1,5846,49468,031306,019
2008-07-31$91.67$91.0010.4%3.0%12.6%20.3%10.9%0.7%1.1%-124.0M884.3M-5.5M1.8517.77N/AN/A2,3644,38468,913307,707