TLT Options History — November 2008

In November 2008, TLT traded between $92.71 and $105.72. ATM implied volatility averaged 21.5%, placing in the 69.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.8% (HV 20d: 20.6%). Max pain ranged from $93.00 to $100.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 2.44.

Notable Days

  • 2008-11-20: Highest Volume — 65,598 contracts
  • 2008-11-20: Largest IV spike — 28.1% change
  • 2008-11-20: Highest IV Rank — 100.0%
  • 2008-11-20: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.92$92.71$105.72$92.71$105.72
Max Pain$95.00$93.00$100.00$96.00$100.00
ATM IV21.5%15.2%29.7%15.6%27.5%
Expected Move6.3%4.3%8.5%4.5%7.9%
HV 20d20.6%14.8%28.6%14.8%28.0%
HV 60d19.7%17.5%23.4%17.5%23.4%
IV Rank69.7%38.3%100.0%41.2%89.6%
IV Percentile89.2%65.1%100.0%67.9%98.4%
Term Structure2.0%-0.2%4.2%2.1%2.4%
VWIV22.0%15.7%30.4%15.7%28.8%
Skew 25d0.4%-0.8%4.1%0.4%4.1%
Skew 10d1.3%-0.7%6.2%1.4%6.2%
Call IV 25d21.4%15.6%28.5%15.6%25.6%
Put IV 25d21.9%15.9%29.6%15.9%29.6%
Bid-Ask Spread %27.5417.4851.6921.4119.31
Gamma HHI0.110.090.130.130.09
Net GEX-40.6M-82.2M2.6M-79.8M-7.7M
Net DEX93.3M-480.4M577.9M577.9M-258.7M
Net VEX-3.3M-4.0M-2.5M-4.0M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.441.135.551.191.16
Total Volume15,791.5793,92865,5987,8576,968
Total OI362,525.368342,294421,283342,786362,507

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$92.71$96.0015.6%4.5%14.8%41.2%15.7%0.4%2.1%-79.8M577.9M-4.0M1.1921.41N/AN/A3,5864,27171,580271,206
2008-11-04$94.45$95.0018.9%5.4%16.7%62.3%19.0%1.3%0.9%-57.3M360.5M-3.8M2.5928.20N/AN/A3,7619,72372,489271,501
2008-11-05$95.57$95.0015.2%4.3%16.8%38.3%16.7%-0.6%3.9%-51.3M195.4M-3.6M2.1120.73N/AN/A3,8768,17974,243276,104
2008-11-06$94.88$95.0017.5%5.0%16.7%53.6%17.4%-0.8%1.2%-61.3M277.2M-3.6M4.8217.48N/AN/A8314,00675,346277,802
2008-11-07$94.26$93.0017.0%5.3%16.7%49.9%18.7%-0.4%-0.2%-67.4M360.9M-3.6M5.5532.67N/AN/A8694,82075,281278,965
2008-11-10$94.72$93.0017.3%5.5%16.2%52.1%19.4%0.2%0.3%-59.9M293.5M-3.5M1.1325.49N/AN/A2,6252,96676,030280,854
2008-11-11$95.00$93.0016.9%5.5%16.0%49.4%19.2%-0.5%0.0%-55.2M251.5M-3.5M2.1221.47N/AN/A1,2572,67176,430281,536
2008-11-12$95.61$93.0018.4%5.6%15.8%58.8%19.6%-0.4%2.0%-51.5M167.5M-3.3M4.5133.11N/AN/A1,4916,73177,169282,757
2008-11-13$93.32$93.0018.4%5.3%18.0%59.4%18.1%2.1%2.5%-82.2M514.2M-3.7M1.5029.21N/AN/A3,7235,60377,957286,292
2008-11-14$95.17$93.0020.2%5.8%19.2%70.4%20.2%1.1%2.2%-54.9M236.4M-3.5M2.1827.14N/AN/A1,6973,69379,976288,923
2008-11-17$95.59$93.0020.8%6.0%19.1%74.6%21.1%-0.5%3.6%-47.5M179.0M-3.4M3.0340.47N/AN/A1,0363,13680,273290,465
2008-11-18$96.82$93.0021.1%6.0%19.5%76.3%21.3%-0.2%1.6%-30.5M17.7M-3.1M3.0420.72N/AN/A2,3427,13180,424291,854
2008-11-19$99.30$93.0023.2%6.6%20.2%89.7%22.5%-0.1%2.0%-1.9M-228.9M-2.7M1.8924.31N/AN/A12,41723,44480,855293,111
2008-11-20$104.43$94.0029.7%8.5%26.7%100.0%30.4%0.2%3.4%2.6M-480.4M-2.5M1.5951.69N/AN/A25,34240,25684,053305,021
2008-11-21$102.92$97.0029.3%8.4%27.0%98.3%28.7%0.3%4.2%-26.0M-257.8M-3.2M1.6735.09N/AN/A11,52119,20185,640335,643
2008-11-24$101.31$98.0024.5%7.0%27.8%74.9%25.1%-0.2%3.1%-15.0M-67.2M-2.9M2.9932.68N/AN/A4,54913,60068,617273,677
2008-11-25$104.29$98.0028.4%8.1%28.6%93.6%27.6%1.0%2.8%-11.0M-185.7M-2.9M1.9517.69N/AN/A9,52618,59369,473275,667
2008-11-26$104.43$100.0027.9%8.0%28.4%91.2%27.6%0.8%1.0%-14.2M-180.8M-3.1M1.3224.35N/AN/A10,61513,98472,711285,550
2008-11-28$105.72$100.0027.5%7.9%28.0%89.6%28.8%4.1%2.4%-7.7M-258.7M-2.9M1.1619.31N/AN/A3,2313,73776,096286,411