TLT Options History — March 2009

In March 2009, TLT traded between $100.56 and $105.71. ATM implied volatility averaged 22.3%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 0.4% (HV 20d: 22.7%). Max pain ranged from $104.00 to $110.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.25.

Notable Days

2009-03-18: Highest Volume — 42,537 contracts
2009-03-19: Largest IV drop — 14.4% change
2009-03-09: Highest IV Rank — 59.0%
2009-03-09: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$103.38	$100.56	$105.71	$103.28	$105.71
Max Pain	$105.91	$104.00	$110.00	$110.00	$104.00
ATM IV	22.3%	16.9%	25.3%	25.1%	16.9%
Expected Move	6.4%	4.8%	7.3%	7.2%	4.8%
HV 20d	22.7%	18.6%	24.9%	23.8%	22.0%
HV 60d	23.6%	22.5%	23.9%	23.7%	23.1%
IV Rank	47.9%	28.2%	59.0%	58.1%	28.2%
IV Percentile	68.6%	50.4%	81.0%	79.8%	50.4%
Term Structure	0.6%	-0.3%	1.5%	0.5%	1.5%
VWIV	22.6%	17.6%	25.5%	24.9%	17.6%
Skew 25d	2.0%	0.9%	3.0%	2.0%	1.0%
Skew 10d	3.7%	1.0%	6.0%	6.0%	3.4%
Call IV 25d	21.7%	16.9%	24.4%	24.1%	16.9%
Put IV 25d	23.6%	17.9%	27.0%	26.1%	17.9%
Bid-Ask Spread %	22.59	14.98	34.16	17.45	20.41
Gamma HHI	0.11	0.08	0.17	0.09	0.10
Net GEX	-11.8M	-27.8M	12.6M	-19.6M	12.6M
Net DEX	369.2M	94.8M	647.9M	472.7M	94.8M
Net VEX	-3.6M	-4.1M	-3.0M	-4.0M	-3.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.37	2.23	0.37	1.43
Total Volume	10,805.5	2,407	42,537	12,934	3,598
Total OI	322,886.727	225,816	398,072	335,987	260,127

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
2009-03-02	$103.28	$110.00	25.1%	7.2%	23.8%	58.1%	24.9%	2.0%	0.5%	-19.6M	472.7M	-4.0M	0.37	17.45	N/A	N/A	9,431	3,503	129,971	206,016
2009-03-03	$102.59	$110.00	24.9%	7.2%	23.1%	57.6%	24.4%	2.1%	-0.1%	-15.7M	483.3M	-4.1M	0.49	21.84	N/A	N/A	5,410	2,646	137,788	204,373
2009-03-04	$102.12	$110.00	24.9%	7.1%	21.5%	57.3%	24.1%	2.9%	0.2%	-16.8M	522.2M	-3.9M	0.56	14.98	N/A	N/A	8,085	4,559	141,463	205,711
2009-03-05	$104.96	$110.00	24.3%	7.0%	23.6%	55.4%	25.0%	2.7%	0.6%	-8.2M	293.3M	-4.1M	1.52	18.86	N/A	N/A	3,189	4,862	142,902	207,215
2009-03-06	$104.26	$106.00	23.7%	7.1%	23.8%	52.9%	25.5%	3.0%	0.1%	-9.5M	336.8M	-4.1M	1.39	26.98	N/A	N/A	2,594	3,602	143,553	208,106
2009-03-09	$103.65	$106.00	25.3%	7.3%	23.9%	59.0%	25.3%	2.8%	0.1%	-13.1M	409.4M	-4.0M	2.12	23.13	N/A	N/A	771	1,636	144,538	209,307
2009-03-10	$101.66	$106.00	24.7%	7.1%	24.9%	56.6%	24.7%	2.5%	0.8%	-20.6M	571.5M	-3.7M	1.45	21.20	N/A	N/A	1,494	2,168	144,811	209,752
2009-03-11	$102.76	$106.00	23.4%	6.7%	23.9%	51.8%	24.5%	2.0%	0.1%	-19.8M	506.5M	-3.7M	1.77	21.11	N/A	N/A	1,763	3,127	145,196	209,761
2009-03-12	$103.25	$106.00	24.1%	6.9%	23.4%	54.6%	24.0%	2.6%	0.5%	-17.0M	447.8M	-3.6M	1.67	24.11	N/A	N/A	2,095	3,499	145,586	210,868
2009-03-13	$102.73	$106.00	23.9%	6.8%	23.3%	53.7%	23.9%	2.5%	0.4%	-18.6M	469.5M	-3.3M	0.87	25.08	N/A	N/A	1,423	1,241	146,473	211,658
2009-03-16	$101.11	$106.00	24.7%	7.1%	22.0%	56.7%	24.8%	2.0%	-0.0%	-26.1M	631.1M	-3.4M	2.23	22.08	N/A	N/A	2,644	5,885	146,966	211,797
2009-03-17	$100.56	$105.00	24.8%	7.1%	18.6%	57.0%	25.0%	1.8%	-0.2%	-27.8M	647.9M	-3.0M	1.56	21.11	N/A	N/A	6,676	10,423	148,182	213,450
2009-03-18	$104.37	$105.00	25.1%	7.2%	23.2%	58.0%	24.8%	1.5%	-0.3%	-14.6M	329.7M	-3.4M	0.64	30.73	N/A	N/A	25,884	16,653	151,850	221,024
2009-03-19	$104.50	$104.00	21.4%	6.1%	22.3%	44.8%	21.2%	2.1%	0.7%	-19.1M	300.7M	-3.6M	0.62	22.42	N/A	N/A	13,883	8,637	164,834	228,979
2009-03-20	$103.92	$105.00	20.6%	5.9%	22.1%	41.9%	21.9%	0.9%	1.0%	-21.8M	383.8M	-3.6M	0.74	20.88	N/A	N/A	10,867	8,067	167,990	230,082
2009-03-23	$103.02	$105.00	19.8%	5.7%	22.0%	38.6%	20.3%	1.8%	1.2%	-2.4M	233.2M	-3.5M	1.85	23.68	N/A	N/A	5,178	9,599	82,762	143,054
2009-03-24	$103.98	$104.00	18.6%	5.3%	22.3%	34.3%	18.9%	1.4%	1.3%	-2.9M	213.7M	-3.5M	1.39	34.16	N/A	N/A	4,408	6,133	85,405	150,608
2009-03-25	$102.60	$104.00	19.7%	5.7%	22.5%	38.4%	19.7%	1.4%	0.8%	-7.4M	278.6M	-3.5M	1.81	21.05	N/A	N/A	1,832	3,312	88,024	153,727
2009-03-26	$103.79	$104.00	18.6%	5.3%	22.5%	34.2%	19.0%	1.2%	1.1%	-2.1M	219.7M	-3.5M	1.38	24.83	N/A	N/A	4,278	5,894	88,929	155,079
2009-03-27	$104.56	$104.00	18.3%	5.3%	22.5%	33.3%	18.6%	1.4%	1.2%	2.9M	164.3M	-3.6M	0.83	20.73	N/A	N/A	4,082	3,402	92,542	157,603
2009-03-30	$104.96	$104.00	17.5%	5.0%	22.0%	30.3%	17.9%	1.4%	1.3%	8.2M	112.4M	-3.2M	0.78	20.25	N/A	N/A	5,223	4,065	95,030	160,416
2009-03-31	$105.71	$104.00	16.9%	4.8%	22.0%	28.2%	17.6%	1.0%	1.5%	12.6M	94.8M	-3.6M	1.43	20.41	N/A	N/A	1,478	2,120	97,347	162,780