TLT Options History — January 2009

In January 2009, TLT traded between $103.75 and $116.35. ATM implied volatility averaged 25.0%, placing in the 57.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 2.3% (HV 20d: 22.6%). Max pain ranged from $111.00 to $120.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 2.17.

Notable Days

  • 2009-01-13: Highest Volume — 34,150 contracts
  • 2009-01-12: Largest IV spike — 10.2% change
  • 2009-01-02: Highest IV Rank — 74.6%
  • 2009-01-05: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.28$103.75$116.35$116.35$103.75
Max Pain$115.05$111.00$120.00$118.00$111.00
ATM IV25.0%21.4%29.6%29.6%25.3%
Expected Move7.2%6.4%8.5%8.5%7.3%
HV 20d22.6%18.2%24.6%23.2%24.1%
HV 60d24.7%23.8%26.4%23.8%26.4%
IV Rank57.7%44.6%74.6%74.6%59.0%
IV Percentile86.6%80.6%90.9%90.9%86.5%
Term Structure0.9%-0.9%2.3%0.3%-0.5%
VWIV25.6%23.1%29.9%28.3%25.4%
Skew 25d2.5%1.6%3.9%3.6%1.6%
Skew 10d4.6%1.0%7.4%5.4%3.8%
Call IV 25d24.4%21.2%28.8%27.5%25.2%
Put IV 25d26.9%24.0%31.3%31.1%26.8%
Bid-Ask Spread %28.3518.2143.0121.5219.17
Gamma HHI0.120.080.350.080.09
Net GEX-19.0M-41.9M-7.3M-12.2M-31.8M
Net DEX345.2M103.1M651.0M103.1M651.0M
Net VEX-2.9M-3.3M-2.3M-2.7M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.170.738.641.621.51
Total Volume17,050.95,43134,15021,4767,813
Total OI313,872.5224,374408,879317,419286,368

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$116.35$118.0029.6%8.5%23.2%74.6%28.3%3.6%0.3%-12.2M103.1M-2.7M1.6221.52N/AN/A8,20713,26971,518245,901
2009-01-05$113.35$120.0028.7%8.5%24.4%71.3%29.9%2.5%1.4%-18.1M289.9M-2.5M1.9926.08N/AN/A10,42920,75576,357250,204
2009-01-06$112.21$119.0027.1%8.1%24.0%65.6%28.7%3.2%1.3%-20.7M373.9M-2.7M1.4628.92N/AN/A8,43112,26881,065254,636
2009-01-07$112.65$118.0024.6%7.4%24.0%56.4%26.6%2.0%1.6%-18.0M332.6M-2.5M1.5535.66N/AN/A3,6005,57084,041255,908
2009-01-08$112.56$116.0024.7%7.3%22.9%56.8%26.3%2.5%1.4%-16.5M327.4M-2.5M1.0539.30N/AN/A5,0705,34985,093255,882
2009-01-09$112.73$115.0022.8%7.1%22.9%49.9%24.8%2.0%1.6%-12.0M305.6M-2.4M2.0732.00N/AN/A1,7693,66288,637257,511
2009-01-12$113.90$115.0025.2%6.7%23.2%58.4%25.5%2.2%1.3%-7.3M217.7M-2.3M8.6440.17N/AN/A3,37629,15288,886257,672
2009-01-13$114.02$115.0023.6%6.5%23.2%52.6%23.4%1.9%1.2%-17.1M283.2M-2.6M1.9936.16N/AN/A11,42722,72389,955282,057
2009-01-14$115.90$115.0021.4%6.4%23.6%44.6%23.1%2.5%2.2%-13.9M144.3M-2.9M3.0330.67N/AN/A3,51710,65696,019300,217
2009-01-15$116.09$115.0022.6%6.5%21.9%48.9%23.5%2.7%1.2%-14.9M133.7M-3.0M2.2932.89N/AN/A4,99111,43996,265305,357
2009-01-16$114.30$115.0023.1%6.6%20.1%50.8%23.9%3.9%1.7%-41.9M352.9M-3.1M1.5743.01N/AN/A9,63815,17698,420310,459
2009-01-20$114.28$115.0024.1%6.9%18.2%54.5%24.1%3.2%2.3%-7.6M175.3M-2.9M0.7932.96N/AN/A13,32810,52157,034167,340
2009-01-21$110.67$114.0025.1%7.2%20.7%58.1%25.5%2.4%1.7%-12.1M317.9M-3.2M5.4531.38N/AN/A1,4207,74567,029176,634
2009-01-22$108.54$114.0026.8%7.7%21.3%64.3%26.7%2.6%0.3%-17.8M402.1M-3.3M1.9418.64N/AN/A4,6829,07767,443181,288
2009-01-23$107.69$114.0025.6%7.3%21.3%59.9%25.8%2.6%-0.9%-20.9M458.5M-3.2M1.3918.57N/AN/A7,22810,07870,083184,867
2009-01-26$106.75$113.0025.5%7.3%21.3%59.6%25.6%2.3%-0.8%-24.5M507.8M-3.2M0.9718.21N/AN/A3,4833,37875,306191,159
2009-01-27$109.26$113.0024.1%6.9%23.5%54.4%24.2%2.3%0.4%-18.5M389.6M-3.2M1.0419.05N/AN/A2,8943,01276,491191,722
2009-01-28$106.53$113.0023.9%6.9%24.6%54.0%25.1%1.8%0.3%-23.8M505.1M-3.1M2.2623.67N/AN/A7,60817,18978,283191,475
2009-01-29$104.08$113.0025.6%7.3%24.5%60.0%25.6%2.3%-0.5%-30.5M632.7M-3.1M0.7319.03N/AN/A6,4104,67880,324202,544
2009-01-30$103.75$111.0025.3%7.3%24.1%59.0%25.4%1.6%-0.5%-31.8M651.0M-3.2M1.5119.17N/AN/A3,1144,69983,299203,069