TLT Options History — December 2008 In December 2008, TLT traded between $109.40 and $122.26. ATM implied volatility averaged 31.9%, placing in the 83.3% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 5.9% (HV 20d: 26.0%). Max pain ranged from $100.00 to $118.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.88.
Notable Days 2008-12-26 : Highest Volume — 108,241 contracts2008-12-03 : Largest IV drop — 10.7% change2008-12-01 : Highest IV Rank — 100.0%2008-12-05 : Largest Expected Move — 10.6%Monthly Statistics Metric Avg Min Max Open Close Price $116.02 $109.40 $122.26 $109.40 $119.35 Max Pain $108.41 $100.00 $118.00 $100.00 $118.00 ATM IV 31.9% 29.7% 36.5% 35.1% 30.2% Expected Move 9.3% 8.5% 10.6% 10.1% 8.7% HV 20d 26.0% 18.4% 29.9% 28.8% 20.7% HV 60d 23.7% 22.7% 24.8% 24.3% 23.1% IV Rank 83.3% 74.9% 100.0% 100.0% 76.8% IV Percentile 96.6% 92.1% 100.0% 100.0% 92.1% Term Structure 0.8% -3.3% 5.1% -1.8% -0.4% VWIV 32.7% 29.4% 36.9% 34.9% 30.0% Skew 25d 1.9% -0.3% 3.1% 1.9% 3.1% Skew 10d 3.7% -1.1% 8.1% 0.2% 3.9% Call IV 25d 31.6% 28.1% 36.9% 33.6% 28.4% Put IV 25d 33.5% 31.2% 36.8% 35.4% 31.6% Bid-Ask Spread % 22.81 13.06 44.16 19.36 18.54 Gamma HHI 0.07 0.05 0.09 0.08 0.08 Net GEX -994.4K -8.2M 11.6M -6.9M -8.2M Net DEX -345.4M -731.1M -37.5M -269.4M -37.5M Net VEX -2.7M -3.1M -2.2M -2.6M -3.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.88 0.03 5.23 1.53 3.54 Total Volume 28,459.364 5,907 108,241 58,591 16,413 Total OI 364,247.136 266,089 453,722 347,002 310,885
Daily Data (22 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 2008-12-01 $109.40 $100.00 35.1% 10.1% 28.8% 100.0% 34.9% 1.9% -1.8% -6.9M -269.4M -2.6M 1.53 19.36 N/A N/A 23,117 35,474 60,639 286,363 2008-12-02 $109.82 $102.00 36.5% 10.5% 28.7% 100.0% 36.6% 0.0% 1.4% -7.6M -234.1M -2.9M 1.09 13.06 N/A N/A 16,307 17,831 66,958 296,236 2008-12-03 $110.13 $102.00 32.6% 9.3% 28.5% 85.7% 33.1% -0.3% 4.7% -3.7M -270.3M -2.9M 1.58 15.76 N/A N/A 7,694 12,151 72,441 295,630 2008-12-04 $112.30 $102.00 31.9% 9.1% 28.7% 83.1% 31.7% 1.3% 4.5% -472.7K -381.2M -2.6M 1.41 21.12 N/A N/A 11,718 16,538 73,984 297,121 2008-12-05 $110.48 $104.00 31.7% 10.6% 29.6% 82.4% 36.9% -0.1% -3.3% -3.0M -265.0M -2.9M 2.87 20.39 N/A N/A 7,520 21,582 77,167 300,963 2008-12-08 $110.24 $105.00 33.3% 9.8% 29.3% 88.1% 34.6% 2.1% -2.3% -8.0M -247.4M -2.9M 1.77 21.59 N/A N/A 4,998 8,832 81,894 314,098 2008-12-09 $112.42 $105.00 32.7% 9.8% 29.6% 85.8% 34.5% 2.5% -1.1% -2.1M -359.8M -2.9M 1.45 28.16 N/A N/A 7,518 10,924 84,585 312,507 2008-12-10 $112.15 $105.00 31.3% 9.7% 29.8% 81.0% 33.8% 2.0% -0.8% 397.0K -379.5M -2.7M 0.77 17.82 N/A N/A 7,504 5,742 87,561 315,569 2008-12-11 $112.37 $105.00 32.0% 9.2% 29.9% 83.3% 32.8% 2.2% 2.1% 2.3M -430.8M -2.6M 1.01 16.07 N/A N/A 10,114 10,242 90,699 316,469 2008-12-12 $112.37 $105.00 32.3% 9.3% 27.5% 84.6% 32.2% 2.2% 2.1% 2.5M -406.7M -2.8M 1.48 15.73 N/A N/A 8,677 12,880 94,633 321,595 2008-12-15 $113.65 $105.00 32.2% 9.2% 27.3% 84.3% 33.1% 2.7% 1.5% 6.6M -485.8M -2.7M 2.21 13.78 N/A N/A 6,333 14,013 96,877 326,790 2008-12-16 $116.46 $105.00 31.4% 9.0% 27.8% 81.1% 32.2% 2.8% 1.8% 11.6M -623.5M -2.7M 1.03 31.64 N/A N/A 19,512 20,043 96,843 328,053 2008-12-17 $119.62 $108.00 30.3% 8.7% 28.4% 77.0% 31.0% 2.5% 2.4% 8.6M -715.3M -2.4M 1.37 19.18 N/A N/A 19,264 26,462 93,985 334,812 2008-12-18 $122.13 $110.00 32.3% 9.2% 28.1% 84.4% 33.4% 2.1% 1.6% 1.6M -731.1M -2.6M 1.72 23.28 N/A N/A 13,902 23,940 93,884 349,708 2008-12-19 $122.26 $112.00 31.4% 9.0% 23.9% 81.4% 32.5% 2.6% 5.1% 964.6K -665.3M -2.7M 1.51 18.95 N/A N/A 8,516 12,893 93,495 360,227 2008-12-22 $121.32 $112.00 31.9% 9.2% 23.2% 83.2% 32.3% 0.8% 0.4% -968.0K -220.6M -2.6M 5.23 44.16 N/A N/A 3,222 16,844 58,554 207,535 2008-12-23 $121.16 $115.00 30.7% 8.8% 21.7% 78.6% 31.4% 2.0% 0.8% -2.8M -182.8M -2.6M 2.16 24.17 N/A N/A 3,174 6,856 58,983 215,056 2008-12-24 $120.90 $115.00 30.5% 8.7% 20.7% 77.9% 31.9% 2.4% -0.5% -3.7M -159.4M -2.8M 4.35 30.42 N/A N/A 1,104 4,803 60,572 216,950 2008-12-26 $121.30 $116.00 30.7% 8.8% 20.7% 78.6% 29.4% 1.3% -0.4% -3.2M -176.7M -2.7M 0.03 34.18 N/A N/A 105,332 2,909 61,074 219,367 2008-12-29 $120.75 $117.00 31.3% 9.0% 21.0% 81.0% 31.3% 1.8% 0.2% -2.0M -179.5M -2.2M 1.70 27.84 N/A N/A 10,776 18,312 59,684 220,698 2008-12-30 $121.90 $117.00 29.7% 8.5% 18.4% 74.9% 29.8% 3.1% 0.2% -3.8M -177.3M -2.8M 1.48 26.53 N/A N/A 5,701 8,419 66,952 235,341 2008-12-31 $119.35 $118.00 30.2% 8.7% 20.7% 76.8% 30.0% 3.1% -0.4% -8.2M -37.5M -3.1M 3.54 18.54 N/A N/A 3,614 12,799 70,613 240,272
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