TLT Options History — May 2009

In May 2009, TLT traded between $90.49 and $98.07. ATM implied volatility averaged 19.2%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.2% (HV 20d: 16.0%). Max pain ranged from $98.00 to $103.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.04.

Notable Days

  • 2009-05-27: Highest Volume — 31,841 contracts
  • 2009-05-11: Largest IV spike — 11.7% change
  • 2009-05-27: Highest IV Rank — 52.0%
  • 2009-05-27: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.58$90.49$98.07$97.11$94.17
Max Pain$101.10$98.00$103.00$101.00$98.00
ATM IV19.2%16.9%23.4%19.5%21.2%
Expected Move5.6%4.8%6.7%5.6%6.1%
HV 20d16.0%13.3%21.7%14.7%21.7%
HV 60d19.0%17.8%19.9%19.8%19.8%
IV Rank36.6%28.1%52.0%37.8%44.0%
IV Percentile53.7%39.7%69.4%57.5%60.7%
Term Structure0.5%-0.4%1.4%0.4%0.5%
VWIV19.6%17.2%23.3%19.8%21.2%
Skew 25d1.1%-0.4%1.9%-0.4%1.3%
Skew 10d1.8%-1.1%2.7%-1.1%1.2%
Call IV 25d19.2%16.6%22.8%19.8%21.1%
Put IV 25d20.3%18.0%24.2%19.4%22.4%
Bid-Ask Spread %12.996.8817.0514.3110.53
Gamma HHI0.080.060.090.060.06
Net GEX-15.1M-22.3M-8.9M-13.1M-9.0M
Net DEX495.3M377.3M635.8M492.9M437.4M
Net VEX-2.4M-2.9M-2.1M-2.8M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.322.041.300.32
Total Volume12,000.352,55831,84112,84227,140
Total OI281,198.3221,027319,633294,361292,004

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$97.11$101.0019.5%5.6%14.7%37.8%19.8%-0.4%0.4%-13.1M492.9M-2.8M1.3014.31N/AN/A5,5927,250140,150154,211
2009-05-04$97.43$103.0020.3%5.7%13.5%40.6%20.0%1.0%0.2%-8.9M439.1M-2.4M0.6017.05N/AN/A2,2491,349142,121153,178
2009-05-05$97.31$103.0018.9%5.5%13.5%35.7%19.4%1.2%0.3%-13.3M459.6M-2.3M0.7515.84N/AN/A2,0381,524141,915153,692
2009-05-06$97.08$103.0018.3%5.4%13.3%33.3%19.1%0.8%0.4%-14.3M472.6M-2.3M2.0115.42N/AN/A8501,708143,192154,313
2009-05-07$94.71$103.0018.8%5.7%14.7%35.2%19.7%1.3%-0.2%-19.9M612.9M-2.3M2.0415.35N/AN/A8,64017,600143,714154,269
2009-05-08$94.94$103.0017.8%5.5%14.6%31.3%19.4%1.0%0.4%-22.3M615.9M-2.5M0.6914.68N/AN/A3,9802,737147,466160,751
2009-05-11$96.29$102.0019.8%5.6%15.2%38.9%19.6%0.9%0.2%-19.5M546.8M-2.5M0.5715.10N/AN/A2,4111,386149,591160,305
2009-05-12$96.64$102.0018.4%5.5%15.1%33.7%19.4%0.9%0.5%-18.6M531.9M-2.5M1.2414.15N/AN/A2,9563,667150,935160,232
2009-05-13$97.69$102.0017.0%5.4%16.0%28.4%18.8%0.9%0.7%-16.9M444.4M-2.2M1.2114.67N/AN/A2,6863,259152,651161,818
2009-05-14$98.07$102.0018.0%5.2%16.0%32.2%18.5%1.1%1.2%-16.8M427.5M-2.3M0.9512.43N/AN/A3,1022,935153,792162,911
2009-05-15$98.04$102.0017.3%4.9%15.7%29.5%17.6%0.8%1.4%-18.2M436.4M-2.2M1.2614.20N/AN/A3,4864,378155,616164,017
2009-05-18$96.52$102.0016.9%4.8%15.1%28.1%17.2%1.0%1.1%-12.5M391.9M-2.1M1.2312.99N/AN/A6,2007,65478,042142,985
2009-05-19$96.01$100.0017.2%4.9%14.9%29.3%17.3%1.5%0.8%-13.0M412.8M-2.1M1.1012.65N/AN/A2,7232,99882,075146,371
2009-05-20$97.02$100.0017.3%5.0%15.6%29.6%17.6%1.6%0.7%-11.6M377.3M-2.2M0.3911.28N/AN/A6,4492,48383,910148,360
2009-05-21$94.58$100.0019.1%5.5%17.6%36.3%19.3%1.5%0.8%-14.2M477.5M-2.5M1.6011.71N/AN/A3,8906,21389,652149,002
2009-05-22$93.53$100.0020.2%5.8%17.7%40.3%20.2%1.9%0.3%-15.8M531.0M-2.5M0.4811.89N/AN/A13,1086,29792,114152,273
2009-05-26$92.12$99.0021.9%6.3%17.9%46.7%22.0%1.3%0.1%-14.1M572.9M-2.4M1.616.88N/AN/A5,1138,224102,377155,845
2009-05-27$90.49$99.0023.4%6.7%18.0%52.0%23.3%1.4%-0.4%-15.6M635.8M-2.3M0.729.15N/AN/A18,48613,355105,903161,745
2009-05-28$91.80$98.0022.8%6.5%19.1%49.7%22.8%1.1%0.2%-14.9M589.4M-2.7M0.809.61N/AN/A13,26310,628112,341168,127
2009-05-29$94.17$98.0021.2%6.1%21.7%44.0%21.2%1.3%0.5%-9.0M437.4M-2.9M0.3210.53N/AN/A20,5466,594119,552172,452