TLT Options History — August 2008

In August 2008, TLT traded between $90.28 and $94.26. ATM implied volatility averaged 10.5%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 1.2% (HV 20d: 11.8%). Max pain ranged from $91.00 to $96.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.46.

Notable Days

  • 2008-08-05: Highest Volume — 46,115 contracts
  • 2008-08-11: Largest IV spike — 13.9% change
  • 2008-08-18: Highest IV Rank — 32.4%
  • 2008-08-18: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.57$90.28$94.26$91.54$93.84
Max Pain$94.81$91.00$96.00$91.00$94.00
ATM IV10.5%9.2%11.7%9.6%10.1%
Expected Move3.1%2.8%3.4%2.8%2.9%
HV 20d11.8%10.0%13.8%12.6%10.2%
HV 60d11.2%10.8%11.6%11.0%10.8%
IV Rank21.9%10.1%32.4%13.5%18.0%
IV Percentile18.9%6.0%34.5%11.1%10.7%
Term Structure1.8%0.9%2.6%1.2%2.6%
VWIV11.7%9.9%19.5%9.9%19.5%
Skew 25d0.9%0.5%1.3%0.8%0.9%
Skew 10d2.3%1.4%3.9%1.7%2.4%
Call IV 25d10.7%9.8%11.3%10.3%9.9%
Put IV 25d11.6%10.5%12.3%11.1%10.8%
Bid-Ask Spread %14.5710.1718.3114.1414.41
Gamma HHI0.150.120.280.240.12
Net GEX-88.5M-142.0M-66.9M-124.9M-74.7M
Net DEX552.8M261.1M1.03B858.2M328.1M
Net VEX-4.6M-5.6M-4.0M-5.6M-4.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.460.0415.451.370.04
Total Volume10,422.1431,57446,1154,67131,754
Total OI347,146.952321,076381,405380,099353,572

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$91.54$91.009.6%2.8%12.6%13.5%9.9%0.8%1.2%-124.9M858.2M-5.6M1.3714.14N/AN/A1,9702,70169,931310,168
2008-08-04$91.33$96.0010.8%3.3%12.5%24.2%11.7%1.0%1.9%-129.6M889.5M-5.5M4.0816.73N/AN/A3101,26470,973310,432
2008-08-05$90.65$96.0010.5%3.1%12.4%21.5%11.0%0.8%2.1%-142.0M1.03B-5.4M15.4516.80N/AN/A2,80443,31171,143310,115
2008-08-06$90.28$96.0010.8%3.2%12.2%23.8%11.5%1.1%1.6%-108.7M950.6M-4.9M5.3214.39N/AN/A1,7509,30872,013268,743
2008-08-07$91.75$96.009.6%3.2%13.8%13.9%11.3%0.5%2.1%-90.5M648.5M-4.8M1.9115.14N/AN/A2,0253,86672,425268,459
2008-08-08$92.00$96.009.2%3.1%12.9%10.1%10.7%0.9%2.3%-88.7M612.0M-4.8M1.9613.83N/AN/A1,8203,56073,812270,027
2008-08-11$91.12$96.0010.5%3.2%12.9%21.4%11.1%0.8%1.5%-104.2M772.1M-4.7M5.8418.31N/AN/A1,2037,02374,858270,785
2008-08-12$91.97$95.009.4%3.2%13.4%12.0%11.6%1.1%2.2%-90.7M617.2M-4.7M0.6516.82N/AN/A3,0011,95075,339274,344
2008-08-13$91.65$95.009.9%3.3%11.7%16.5%11.9%1.0%2.2%-91.7M672.1M-4.7M1.1315.28N/AN/A4,4175,00875,633271,275
2008-08-14$92.24$95.0011.2%3.2%11.7%27.5%11.6%0.9%2.0%-78.4M539.9M-4.6M1.7014.62N/AN/A1,7863,02976,913271,090
2008-08-15$93.04$95.0010.8%3.1%11.9%23.9%11.3%1.1%1.8%-79.3M385.0M-4.0M0.7218.12N/AN/A11,6218,41477,921270,784
2008-08-18$93.41$95.0011.7%3.4%11.9%32.4%11.5%1.0%0.9%-68.9M403.3M-4.5M0.6015.60N/AN/A4,3222,60971,484249,592
2008-08-19$93.05$94.0011.6%3.3%11.8%30.9%12.6%1.0%1.2%-69.8M439.6M-4.5M1.1414.64N/AN/A2,1002,39973,567248,294
2008-08-20$93.31$94.0011.5%3.3%11.8%30.6%11.8%1.1%1.4%-66.9M380.6M-4.4M13.3316.62N/AN/A1,41218,81574,260247,369
2008-08-21$93.14$95.0011.5%3.3%11.4%30.2%11.6%1.0%1.5%-80.2M478.5M-4.6M0.8911.75N/AN/A2,9562,63075,156262,744
2008-08-22$93.08$94.0011.0%3.1%10.7%25.6%11.5%1.3%1.5%-79.9M471.6M-4.6M3.2410.17N/AN/A8742,82877,395262,683
2008-08-25$94.01$95.0010.7%3.1%10.7%23.0%11.2%1.0%1.7%-73.8M313.2M-4.3M1.8112.19N/AN/A2,7645,00878,017264,801
2008-08-26$94.09$95.0011.0%3.2%10.5%26.3%11.7%0.8%1.4%-72.7M293.9M-4.2M2.6713.46N/AN/A1,1383,04279,421266,493
2008-08-27$94.25$94.0010.3%2.9%10.5%19.4%10.6%0.6%2.1%-71.0M261.1M-4.1M7.6912.51N/AN/A8926,85779,513266,777
2008-08-28$94.26$94.009.8%2.8%10.0%15.5%10.9%0.9%2.5%-71.5M262.5M-4.1M1.0510.41N/AN/A2,1082,21680,064271,701
2008-08-29$93.84$94.0010.1%2.9%10.2%18.0%19.5%0.9%2.6%-74.7M328.1M-4.2M0.0414.41N/AN/A30,4951,25981,362272,210