TLT Options History — September 2008 In September 2008, TLT traded between $93.60 and $98.49. ATM implied volatility averaged 15.5%, placing in the 55.7% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.4% (HV 20d: 14.1%). Max pain ranged from $94.00 to $97.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.44.
Notable Days 2008-09-19 : Highest Volume — 46,821 contracts2008-09-15 : Largest IV spike — 42.0% change2008-09-17 : Highest IV Rank — 100.0%2008-09-29 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $95.61 $93.60 $98.49 $94.37 $94.88 Max Pain $95.62 $94.00 $97.00 $95.00 $96.00 ATM IV 15.5% 10.0% 22.7% 10.5% 17.8% Expected Move 4.5% 2.9% 6.5% 3.0% 5.1% HV 20d 14.1% 7.5% 23.7% 10.2% 23.7% HV 60d 12.6% 10.3% 16.3% 10.6% 16.3% IV Rank 55.7% 14.2% 100.0% 21.4% 65.7% IV Percentile 66.0% 9.9% 100.0% 15.5% 93.7% Term Structure -0.9% -7.9% 1.7% 1.6% -2.2% VWIV 15.8% 10.5% 22.5% 10.5% 18.0% Skew 25d 0.6% -1.9% 2.0% 0.6% 0.6% Skew 10d 2.2% -3.5% 13.0% 1.2% 13.0% Call IV 25d 15.6% 9.8% 23.7% 9.8% 19.7% Put IV 25d 16.3% 10.5% 22.2% 10.5% 20.3% Bid-Ask Spread % 23.67 9.86 42.57 10.36 31.62 Gamma HHI 0.12 0.10 0.16 0.11 0.12 Net GEX -50.6M -69.3M -24.5M -64.2M -55.7M Net DEX 168.2M -290.9M 616.7M 238.1M 365.0M Net VEX -3.9M -4.6M -3.1M -3.8M -3.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.44 0.65 5.81 0.65 3.49 Total Volume 15,911.143 3,396 46,821 8,018 7,386 Total OI 367,186.952 285,518 445,153 345,508 323,362
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 2008-09-02 $94.37 $95.00 10.5% 3.0% 10.2% 21.4% 10.5% 0.6% 1.6% -64.2M 238.1M -3.8M 0.65 10.36 N/A N/A 4,870 3,148 73,231 272,277 2008-09-03 $94.77 $95.00 10.0% 2.9% 9.7% 14.2% 10.5% 0.3% 1.7% -54.7M 143.0M -3.7M 1.28 13.27 N/A N/A 3,202 4,088 76,655 273,008 2008-09-04 $95.53 $95.00 10.4% 3.0% 9.6% 18.0% 11.3% 0.9% 1.2% -51.9M 51.4M -3.6M 2.42 9.86 N/A N/A 2,820 6,811 78,343 275,089 2008-09-05 $95.48 $94.00 11.1% 3.4% 8.2% 24.1% 11.9% 1.0% 0.9% -56.4M 55.8M -3.6M 3.49 18.14 N/A N/A 5,079 17,721 78,546 279,748 2008-09-08 $95.88 $94.00 12.2% 3.7% 8.3% 33.9% 13.1% 1.0% 0.4% -52.1M -3.5M -3.2M 1.60 19.44 N/A N/A 9,647 15,413 82,537 287,562 2008-09-09 $96.83 $95.00 13.4% 3.7% 7.5% 44.6% 13.1% 0.8% 0.6% -32.5M -149.0M -3.2M 1.23 14.56 N/A N/A 7,901 9,749 88,725 300,312 2008-09-10 $96.23 $95.00 12.7% 3.7% 7.8% 38.8% 13.0% 0.8% -0.3% -48.4M -16.8M -3.7M 1.28 17.24 N/A N/A 2,353 3,004 92,276 305,634 2008-09-11 $96.18 $95.00 13.0% 3.7% 7.6% 41.4% 12.9% 0.9% 0.5% -52.6M -8.3M -3.8M 2.30 15.23 N/A N/A 2,116 4,875 93,445 307,048 2008-09-12 $94.94 $95.00 13.1% 3.8% 9.2% 42.1% 13.2% 0.8% 0.6% -69.3M 242.7M -4.1M 3.54 17.01 N/A N/A 2,809 9,950 94,008 308,505 2008-09-15 $98.02 $96.00 18.6% 5.3% 14.0% 92.2% 18.7% -0.4% -1.0% -27.7M -221.8M -3.7M 1.24 22.82 N/A N/A 9,167 11,386 95,267 312,440 2008-09-16 $98.00 $96.00 19.0% 5.4% 14.1% 95.8% 18.8% -0.1% -2.6% -24.5M -290.9M -3.1M 3.28 19.72 N/A N/A 7,083 23,212 97,646 316,412 2008-09-17 $98.49 $96.00 22.3% 6.4% 13.9% 100.0% 21.8% -0.1% -4.7% -33.2M -164.5M -4.1M 3.53 40.99 N/A N/A 5,993 21,178 98,456 330,393 2008-09-18 $97.05 $97.00 22.3% 6.4% 15.2% 99.8% 22.3% -1.9% -7.9% -53.8M 13.4M -4.1M 1.89 31.47 N/A N/A 5,543 10,467 99,162 342,820 2008-09-19 $93.97 $97.00 15.2% 4.4% 19.5% 48.7% 16.1% 1.3% -2.9% -51.1M 616.7M -4.1M 5.61 35.85 N/A N/A 7,082 39,739 99,833 345,320 2008-09-22 $93.96 $97.00 15.9% 4.6% 19.5% 54.0% 16.7% 0.4% 0.9% -52.9M 467.6M -4.5M 1.97 38.76 N/A N/A 10,510 20,657 61,083 224,435 2008-09-23 $93.60 $96.00 17.1% 4.9% 19.2% 62.4% 17.7% 0.2% -1.3% -62.2M 537.8M -4.6M 0.96 27.10 N/A N/A 3,284 3,147 69,136 249,698 2008-09-24 $94.01 $96.00 16.6% 4.8% 19.2% 59.1% 17.0% 2.0% 0.2% -57.7M 478.9M -4.5M 1.49 21.17 N/A N/A 3,341 4,984 70,634 247,263 2008-09-25 $93.82 $96.00 15.7% 4.5% 19.2% 52.0% 16.3% 1.6% 0.7% -62.7M 528.6M -4.6M 5.81 24.15 N/A N/A 1,111 6,454 70,418 250,481 2008-09-26 $94.50 $96.00 16.8% 4.8% 19.4% 60.4% 16.9% 2.0% -1.2% -56.7M 442.6M -4.4M 1.97 25.79 N/A N/A 1,143 2,253 70,810 248,495 2008-09-29 $97.25 $96.00 22.7% 6.5% 21.8% 100.0% 22.5% 0.5% -3.5% -42.5M 204.9M -4.4M 2.17 42.57 N/A N/A 4,245 9,213 71,217 249,196 2008-09-30 $94.88 $96.00 17.8% 5.1% 23.7% 65.7% 18.0% 0.6% -2.2% -55.7M 365.0M -3.9M 3.49 31.62 N/A N/A 1,646 5,740 72,239 251,123
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