TLT Options History — October 2008 In October 2008, TLT traded between $92.83 and $99.17. ATM implied volatility averaged 20.3%, placing in the 73.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 1.1% (HV 20d: 21.4%). Max pain ranged from $94.00 to $97.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 3.61.
Notable Days 2008-10-17 : Highest Volume — 36,126 contracts2008-10-14 : Largest IV spike — 42.1% change2008-10-06 : Highest IV Rank — 100.0%2008-10-13 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $95.88 $92.83 $99.17 $95.78 $92.83 Max Pain $96.52 $94.00 $97.00 $96.00 $96.00 ATM IV 20.3% 16.2% 24.8% 18.6% 16.2% Expected Move 6.0% 4.7% 7.5% 5.3% 4.7% HV 20d 21.4% 16.6% 25.3% 23.9% 16.6% HV 60d 16.9% 16.4% 17.6% 16.4% 17.5% IV Rank 73.0% 45.2% 100.0% 71.5% 45.2% IV Percentile 92.9% 71.8% 100.0% 96.8% 71.8% Term Structure -1.0% -5.6% 1.7% 1.4% 1.5% VWIV 21.1% 16.6% 25.9% 19.7% 16.6% Skew 25d 0.6% -2.3% 3.1% 1.3% 0.3% Skew 10d 1.4% -1.9% 6.2% 3.0% 0.4% Call IV 25d 20.9% 16.5% 26.2% 19.5% 16.5% Put IV 25d 21.5% 16.7% 26.8% 20.9% 16.7% Bid-Ask Spread % 42.50 19.28 68.19 34.98 19.28 Gamma HHI 0.11 0.08 0.15 0.10 0.13 Net GEX -55.0M -84.1M -28.0M -51.4M -76.1M Net DEX 324.8M -100.0M 705.5M 274.2M 596.0M Net VEX -4.2M -4.7M -3.5M -4.2M -4.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.61 0.73 12.51 1.37 1.34 Total Volume 12,347.435 3,739 36,126 11,339 10,049 Total OI 340,441.913 301,091 373,010 324,029 340,492
Daily Data (23 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 2008-10-01 $95.78 $96.00 18.6% 5.3% 23.9% 71.5% 19.7% 1.3% 1.4% -51.4M 274.2M -4.2M 1.37 34.98 N/A N/A 4,792 6,547 71,138 252,891 2008-10-02 $96.55 $96.00 21.9% 6.3% 23.9% 94.7% 21.5% 0.5% -2.3% -46.6M 195.7M -4.2M 0.73 41.24 N/A N/A 4,098 2,981 74,532 257,561 2008-10-03 $97.40 $96.00 21.3% 6.1% 24.0% 90.3% 23.1% 0.8% 1.6% -45.9M 139.2M -4.2M 2.06 42.67 N/A N/A 3,709 7,634 74,272 258,950 2008-10-06 $99.17 $94.00 24.8% 6.3% 24.8% 100.0% 22.3% 0.0% -2.3% -28.0M -100.0M -3.5M 1.96 46.82 N/A N/A 5,071 9,935 76,645 262,578 2008-10-07 $98.87 $96.00 22.8% 6.3% 24.6% 87.1% 24.0% 2.2% -1.5% -32.9M -33.3M -3.9M 7.18 54.94 N/A N/A 1,731 12,429 77,766 267,412 2008-10-08 $97.45 $96.00 23.6% 6.3% 25.1% 92.3% 22.1% 0.6% -1.6% -46.9M 169.1M -4.3M 6.26 59.67 N/A N/A 2,754 17,241 77,824 274,506 2008-10-09 $96.63 $97.00 22.3% 6.8% 25.3% 84.0% 22.9% 1.5% -4.9% -57.2M 296.9M -4.7M 3.51 64.21 N/A N/A 1,499 5,262 78,247 288,407 2008-10-10 $95.95 $97.00 20.5% 7.3% 25.0% 72.6% 25.9% 1.4% -4.0% -60.8M 383.5M -4.7M 2.51 55.08 N/A N/A 3,025 7,579 78,824 289,970 2008-10-13 $94.72 $97.00 16.7% 7.5% 22.5% 48.4% 25.7% -2.3% -5.6% -77.8M 579.1M -4.7M 5.08 68.19 N/A N/A 1,938 9,849 78,304 291,663 2008-10-14 $94.11 $97.00 23.8% 6.5% 22.5% 93.6% 22.5% 2.0% -1.9% -83.7M 705.5M -4.7M 4.53 48.60 N/A N/A 5,632 25,491 78,073 294,937 2008-10-15 $95.01 $97.00 18.2% 6.2% 22.8% 57.7% 21.4% 3.1% -1.1% -72.9M 519.7M -4.6M 1.13 64.00 N/A N/A 5,112 5,784 79,408 290,322 2008-10-16 $94.52 $96.00 21.4% 6.1% 22.3% 78.6% 21.8% 1.9% -1.8% -81.9M 566.1M -4.6M 2.42 47.09 N/A N/A 1,200 2,903 79,945 291,231 2008-10-17 $93.87 $96.00 17.3% 5.0% 19.2% 52.2% 17.4% 0.1% 0.8% -84.1M 634.6M -4.4M 7.65 58.17 N/A N/A 4,178 31,948 80,128 290,244 2008-10-20 $94.62 $97.00 16.7% 4.8% 19.4% 48.3% 16.9% 1.1% 0.6% -50.4M 371.7M -4.3M 3.16 50.60 N/A N/A 1,137 3,592 60,013 241,078 2008-10-21 $95.12 $97.00 17.8% 5.1% 19.5% 55.0% 17.7% 0.3% -0.2% -45.4M 287.4M -3.9M 1.32 37.57 N/A N/A 1,609 2,130 60,476 241,294 2008-10-22 $97.05 $97.00 19.4% 5.6% 20.6% 65.7% 19.4% -0.9% -0.3% -34.9M 150.4M -3.8M 12.51 33.26 N/A N/A 1,182 14,789 61,144 242,010 2008-10-23 $97.77 $97.00 20.8% 6.0% 20.7% 74.5% 21.4% -0.6% 0.2% -34.1M 111.1M -3.8M 1.98 26.07 N/A N/A 7,433 14,702 61,701 252,988 2008-10-24 $96.73 $97.00 22.5% 6.4% 21.0% 85.2% 22.0% 0.4% -1.2% -41.4M 228.0M -4.2M 2.04 22.19 N/A N/A 2,692 5,497 65,153 260,551 2008-10-27 $96.80 $97.00 22.4% 6.4% 18.4% 84.9% 22.4% 0.3% -1.8% -39.9M 188.2M -3.8M 3.92 21.15 N/A N/A 876 3,436 66,602 261,940 2008-10-28 $95.39 $97.00 21.1% 6.1% 16.9% 76.6% 21.5% 0.0% -0.4% -51.3M 354.2M -4.3M 3.58 24.17 N/A N/A 2,106 7,541 66,793 263,283 2008-10-29 $94.91 $97.00 19.6% 5.6% 16.6% 66.6% 19.8% 1.2% 0.4% -56.6M 389.0M -4.1M 0.97 31.33 N/A N/A 2,306 2,245 67,801 266,195 2008-10-30 $94.05 $97.00 17.6% 5.0% 16.6% 53.9% 18.1% -0.4% 1.7% -65.2M 464.6M -4.0M 5.75 26.17 N/A N/A 1,534 8,813 68,841 266,031 2008-10-31 $92.83 $96.00 16.2% 4.7% 16.6% 45.2% 16.6% 0.3% 1.5% -76.1M 596.0M -4.0M 1.34 19.28 N/A N/A 4,287 5,762 69,450 271,042
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