TLT Options History — February 2009

In February 2009, TLT traded between $101.88 and $106.21. ATM implied volatility averaged 26.0%, placing in the 61.4% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 0.5% (HV 20d: 25.5%). Max pain ranged from $110.00 to $110.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.43.

Notable Days

  • 2009-02-09: Highest Volume — 43,878 contracts
  • 2009-02-11: Largest IV drop — 11.6% change
  • 2009-02-23: Highest IV Rank — 68.0%
  • 2009-02-23: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.77$101.88$106.21$105.39$101.88
Max Pain$110.00$110.00$110.00$110.00$110.00
ATM IV26.0%22.6%27.8%27.7%24.3%
Expected Move7.5%6.9%8.0%7.9%7.0%
HV 20d25.5%23.2%28.7%24.3%23.2%
HV 60d26.0%23.5%27.6%26.3%23.5%
IV Rank61.4%49.0%68.0%67.8%55.2%
IV Percentile84.3%76.6%88.9%88.9%77.4%
Term Structure-0.3%-1.5%0.8%-1.5%0.5%
VWIV26.4%23.9%28.1%27.6%24.8%
Skew 25d2.0%1.2%3.4%3.4%2.1%
Skew 10d3.6%1.1%5.6%4.7%2.9%
Call IV 25d25.5%23.0%27.1%25.6%23.6%
Put IV 25d27.6%25.5%29.5%29.0%25.8%
Bid-Ask Spread %20.4015.6024.4923.7218.08
Gamma HHI0.090.080.110.080.09
Net GEX-19.2M-33.0M-6.9M-28.4M-16.0M
Net DEX514.5M276.4M718.9M585.2M541.8M
Net VEX-4.0M-5.1M-3.6M-3.8M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.096.860.366.86
Total Volume15,000.9474,87543,87824,30321,196
Total OI330,860.789289,317383,630289,317324,910

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$105.39$110.0027.7%7.9%24.3%67.8%27.6%3.4%-1.5%-28.4M585.2M-3.8M0.3623.72N/AN/A17,8226,48185,355203,962
2009-02-03$102.88$110.0026.7%7.7%24.1%64.0%27.4%2.3%0.1%-30.3M691.3M-3.8M1.3917.44N/AN/A3,4024,71899,399204,680
2009-02-04$102.52$110.0027.4%7.9%24.0%66.7%27.5%1.3%0.1%-30.7M708.0M-3.7M0.9319.35N/AN/A5,0564,710100,321205,932
2009-02-05$102.61$110.0026.5%7.6%23.9%63.4%26.4%1.2%0.8%-30.5M694.3M-3.7M1.1219.79N/AN/A2,4452,740103,782206,856
2009-02-06$102.29$110.0025.9%7.8%23.9%61.2%27.2%2.1%-1.1%-31.5M718.9M-3.6M1.2316.28N/AN/A6,0067,398104,992207,779
2009-02-09$102.62$110.0027.4%7.9%23.9%66.6%27.5%1.8%-1.4%-33.0M701.2M-3.7M0.0921.88N/AN/A40,3683,510109,021212,961
2009-02-10$104.85$110.0025.5%7.8%25.2%59.8%26.5%1.6%-0.6%-14.4M393.0M-5.1M0.2820.66N/AN/A13,8063,894152,142231,488
2009-02-11$106.21$110.0022.6%7.2%25.8%49.0%25.0%1.6%0.5%-6.9M276.4M-4.4M0.6015.60N/AN/A9,5565,717148,730213,532
2009-02-12$105.21$110.0025.1%7.2%24.8%58.0%24.9%1.6%0.5%-17.7M410.9M-4.3M3.6120.41N/AN/A1,7946,475145,323216,508
2009-02-13$102.41$110.0025.6%7.3%25.9%59.9%25.6%2.1%-0.7%-26.5M612.4M-4.1M1.8118.99N/AN/A5,0329,125145,806217,707
2009-02-17$105.60$110.0026.5%7.6%28.7%63.2%26.8%2.2%-1.4%-11.2M372.5M-4.2M0.8123.46N/AN/A2,6922,183145,551209,927
2009-02-18$104.70$110.0026.4%7.6%28.7%63.1%27.0%2.3%-0.9%-11.9M434.4M-4.0M0.1321.93N/AN/A15,8012,053146,693210,377
2009-02-19$102.92$110.0026.7%7.7%27.2%64.1%26.8%1.7%-0.5%-18.1M578.7M-3.9M1.3022.80N/AN/A2,7283,537146,136210,422
2009-02-20$103.92$110.0027.3%7.8%27.0%66.2%28.1%2.7%-0.8%-8.0M464.1M-4.0M3.0724.49N/AN/A4,33913,335147,292209,595
2009-02-23$104.88$110.0027.8%8.0%27.2%68.0%28.0%2.3%-1.0%-12.2M350.0M-4.0M0.2922.26N/AN/A5,3261,528110,854184,547
2009-02-24$104.77$110.0025.2%7.2%27.0%58.4%25.2%1.7%0.7%-10.6M327.8M-3.9M0.7323.10N/AN/A9,6637,097113,325184,934
2009-02-25$103.56$110.0024.9%7.1%25.7%57.5%25.0%1.8%0.7%-11.6M413.9M-3.8M1.2918.76N/AN/A11,84815,269118,375184,338
2009-02-26$102.47$110.0024.0%6.9%24.5%54.1%23.9%2.5%0.8%-15.1M500.7M-3.9M1.2418.57N/AN/A2,8383,530127,840194,963
2009-02-27$101.88$110.0024.3%7.0%23.2%55.2%24.8%2.1%0.5%-16.0M541.8M-3.9M6.8618.08N/AN/A2,69718,499129,096195,814