TLT Options History — April 2009

In April 2009, TLT traded between $98.08 and $106.37. ATM implied volatility averaged 17.6%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 0.3% (HV 20d: 17.9%). Max pain ranged from $102.00 to $105.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.93.

Notable Days

  • 2009-04-14: Highest Volume — 93,145 contracts
  • 2009-04-28: Largest IV spike — 17.3% change
  • 2009-04-28: Highest IV Rank — 44.9%
  • 2009-04-28: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.24$98.08$106.37$106.37$98.08
Max Pain$103.71$102.00$105.00$104.00$102.00
ATM IV17.6%15.5%21.5%16.6%19.0%
Expected Move5.1%4.6%6.2%4.8%5.4%
HV 20d17.9%14.8%21.9%21.9%14.8%
HV 60d22.0%19.8%23.1%22.6%19.8%
IV Rank30.7%23.1%44.9%27.1%35.8%
IV Percentile51.0%43.7%63.9%48.0%56.7%
Term Structure0.7%-1.2%1.7%1.7%0.6%
VWIV18.1%16.4%21.8%16.5%19.2%
Skew 25d1.3%-0.6%2.1%1.3%-0.6%
Skew 10d2.4%-0.2%4.8%3.5%-0.2%
Call IV 25d17.5%15.7%21.0%16.1%19.7%
Put IV 25d18.8%17.0%21.9%17.4%19.0%
Bid-Ask Spread %20.9315.7727.0418.2915.77
Gamma HHI0.160.070.260.130.07
Net GEX-7.7M-33.1M20.9M20.9M-8.0M
Net DEX302.5M20.9M556.7M20.9M430.6M
Net VEX-3.1M-3.5M-2.5M-3.4M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.930.1616.140.711.14
Total Volume15,139.9522,09993,1458,1947,716
Total OI297,433.19258,678368,917258,678290,232

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$106.37$104.0016.6%4.8%21.9%27.1%16.5%1.3%1.7%20.9M20.9M-3.4M0.7118.29N/AN/A4,8013,39395,485163,193
2009-04-02$105.07$104.0016.9%4.9%20.3%28.3%16.8%1.1%1.2%13.8M99.8M-3.3M0.3715.82N/AN/A6,2392,28698,098165,292
2009-04-03$102.92$105.0017.2%5.4%21.5%29.4%19.1%2.1%0.9%-4.1M248.3M-3.2M0.5821.06N/AN/A6,8653,987100,883165,926
2009-04-06$102.48$105.0019.4%5.6%21.4%37.5%20.2%2.0%-0.1%-6.3M295.5M-3.4M0.1721.43N/AN/A13,3912,272103,617166,939
2009-04-07$102.74$105.0017.1%5.2%20.2%28.9%19.1%1.9%0.9%-1.3M259.6M-3.1M3.8422.21N/AN/A1,4615,615109,902167,985
2009-04-08$103.65$105.0015.5%5.0%20.1%23.1%17.7%2.1%1.2%8.9M205.7M-3.1M7.0421.69N/AN/A1,2058,481110,090171,029
2009-04-09$102.35$105.0017.9%5.1%20.6%31.8%18.3%2.0%0.9%-11.6M301.9M-3.0M1.8924.62N/AN/A1,2122,287110,046170,458
2009-04-13$103.29$105.0017.9%5.1%20.8%31.7%18.1%1.3%0.8%433.6K247.6M-2.9M0.6620.15N/AN/A1,267832109,990170,356
2009-04-14$103.83$104.0016.7%4.8%19.9%27.4%17.5%0.5%0.9%10.2M197.7M-2.8M1.0723.69N/AN/A45,10048,045110,326170,542
2009-04-15$103.65$104.0016.0%4.6%19.8%25.0%16.4%1.0%1.2%7.2M213.0M-3.5M0.8527.04N/AN/A2,3542,001154,060214,857
2009-04-16$102.83$104.0016.5%4.7%14.9%26.6%16.5%1.5%0.9%-10.4M292.5M-3.2M0.5420.45N/AN/A4,4202,391150,581208,093
2009-04-17$101.70$104.0016.4%4.7%15.3%26.2%16.4%1.8%1.2%-30.3M423.7M-3.1M1.5021.17N/AN/A3,2434,876152,844208,961
2009-04-20$103.24$104.0016.8%4.8%16.3%27.9%16.7%1.9%0.7%-4.0M240.9M-3.1M0.2324.13N/AN/A7,2631,655104,852179,580
2009-04-21$102.22$103.0017.1%4.9%16.4%28.8%16.8%0.9%0.7%-10.6M295.4M-3.2M0.8526.41N/AN/A4,1683,532111,081180,443
2009-04-22$101.60$103.0017.4%5.0%16.1%30.2%17.9%1.0%0.4%-21.0M369.7M-3.1M1.0919.20N/AN/A5,5656,065112,130182,296
2009-04-23$101.59$103.0017.7%5.1%15.4%31.2%18.2%1.1%0.3%-23.0M379.0M-3.1M0.1619.12N/AN/A8,2591,337116,389185,797
2009-04-24$100.57$103.0017.5%5.0%15.1%30.4%17.8%1.2%1.0%-29.9M455.6M-3.0M0.7417.29N/AN/A6,0854,524123,093186,027
2009-04-27$101.00$102.0018.3%5.2%14.9%33.3%18.3%1.3%0.1%-24.1M407.0M-3.1M0.2620.94N/AN/A8,2282,161128,448187,721
2009-04-28$99.35$102.0021.5%6.2%15.6%44.9%21.8%0.9%-1.2%-33.1M556.7M-2.9M16.1419.56N/AN/A3,66359,136132,068189,115
2009-04-29$98.47$102.0019.9%5.7%15.3%39.2%20.1%0.7%0.1%-6.2M412.0M-2.5M0.7519.51N/AN/A6,0494,509134,213153,059
2009-04-30$98.08$102.0019.0%5.4%14.8%35.8%19.2%-0.6%0.6%-8.0M430.6M-2.5M1.1415.77N/AN/A3,6004,116137,738152,494