TLT Options History — June 2009 In June 2009, TLT traded between $88.19 and $94.73. ATM implied volatility averaged 21.5%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 2.2% (HV 20d: 23.7%). Max pain ranged from $90.00 to $96.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.53.
Notable Days 2009-06-12 : Highest Volume — 66,092 contracts2009-06-08 : Largest IV spike — 11.7% change2009-06-01 : Highest IV Rank — 57.9%2009-06-01 : Largest Expected Move — 7.2%Monthly Statistics Metric Avg Min Max Open Close Price $91.66 $88.19 $94.73 $91.09 $94.57 Max Pain $91.68 $90.00 $96.00 $96.00 $91.00 ATM IV 21.5% 17.1% 25.0% 25.0% 18.2% Expected Move 6.2% 4.9% 7.2% 7.2% 5.2% HV 20d 23.7% 18.2% 25.6% 24.3% 18.2% HV 60d 19.6% 18.6% 20.2% 20.0% 19.2% IV Rank 45.0% 28.9% 57.9% 57.9% 32.9% IV Percentile 58.0% 31.7% 78.2% 78.2% 39.7% Term Structure 0.3% -0.8% 1.6% -0.8% 1.0% VWIV 21.9% 17.0% 25.2% 25.2% 20.9% Skew 25d 0.1% -1.4% 1.6% 0.8% 1.6% Skew 10d 0.1% -2.2% 2.7% 2.2% 2.7% Call IV 25d 21.7% 16.7% 24.9% 24.9% 17.8% Put IV 25d 21.9% 17.9% 25.6% 25.6% 19.4% Bid-Ask Spread % 14.91 6.96 23.62 7.60 12.36 Gamma HHI 0.11 0.07 0.34 0.08 0.11 Net GEX 30.8M -9.7M 110.0M -9.6M 49.9M Net DEX 281.9M -201.1M 707.7M 568.0M -90.1M Net VEX -3.3M -3.8M -2.7M -2.9M -3.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.53 0.14 1.05 0.92 0.51 Total Volume 22,249.091 7,470 66,092 19,130 15,640 Total OI 373,223 305,161 509,565 306,780 316,420
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 2009-06-01 $91.09 $96.00 25.0% 7.2% 24.3% 57.9% 25.2% 0.8% -0.8% -9.6M 568.0M -2.9M 0.92 7.60 N/A N/A 9,977 9,153 131,006 175,774 2009-06-02 $91.58 $96.00 23.8% 6.8% 24.4% 53.4% 24.1% 0.6% 0.1% -7.7M 532.6M -3.0M 1.05 7.10 N/A N/A 3,644 3,826 137,562 179,374 2009-06-03 $92.44 $96.00 22.3% 6.4% 24.7% 47.7% 22.4% 0.7% 0.2% -5.6M 484.4M -3.1M 0.21 7.44 N/A N/A 14,494 3,099 138,911 180,814 2009-06-04 $90.53 $96.00 21.8% 6.2% 25.6% 46.1% 21.9% 0.5% 0.1% -7.9M 606.8M -2.8M 0.50 6.96 N/A N/A 9,307 4,635 148,597 181,757 2009-06-05 $89.84 $92.00 20.7% 6.1% 24.4% 42.2% 21.6% 0.8% 0.7% -8.8M 641.3M -2.8M 0.67 14.28 N/A N/A 10,614 7,060 156,113 183,461 2009-06-08 $89.61 $92.00 23.2% 6.4% 24.3% 51.1% 22.1% 0.4% 0.2% -8.5M 647.7M -2.8M 0.92 15.35 N/A N/A 4,444 4,097 161,882 186,440 2009-06-09 $89.60 $92.00 21.9% 6.4% 23.5% 46.5% 22.0% 0.4% -0.5% -9.7M 661.1M -2.8M 0.18 18.60 N/A N/A 18,737 3,392 164,374 188,406 2009-06-10 $88.19 $92.00 22.9% 6.6% 23.7% 49.9% 23.5% 0.0% -0.3% -8.2M 707.7M -2.7M 0.32 15.26 N/A N/A 48,227 15,616 179,137 188,469 2009-06-11 $89.17 $91.00 22.2% 6.4% 23.8% 47.5% 22.1% -0.1% -0.2% 6.6M 601.1M -3.1M 0.49 20.20 N/A N/A 15,910 7,876 215,541 197,663 2009-06-12 $89.97 $90.00 23.2% 6.6% 24.1% 51.2% 24.3% -1.4% -0.6% 15.8M 476.7M -3.3M 0.15 16.87 N/A N/A 57,692 8,400 225,721 199,890 2009-06-15 $90.78 $90.00 23.3% 6.7% 24.5% 51.5% 23.8% -1.0% -0.4% 45.6M 291.5M -3.7M 0.32 16.32 N/A N/A 12,397 3,985 266,243 201,375 2009-06-16 $92.36 $90.00 22.6% 6.5% 25.2% 49.1% 23.1% -0.8% -0.2% 69.5M 55.7M -3.7M 0.14 23.62 N/A N/A 28,661 4,079 269,303 202,376 2009-06-17 $91.84 $90.00 22.0% 6.3% 25.2% 46.9% 22.3% -0.9% 0.4% 78.0M 107.2M -3.7M 0.50 16.34 N/A N/A 24,877 12,502 287,688 203,172 2009-06-18 $90.45 $90.00 22.8% 6.5% 25.1% 49.6% 22.9% -0.4% 0.3% 37.3M 417.3M -3.6M 0.45 19.18 N/A N/A 19,151 8,701 290,257 208,220 2009-06-19 $91.69 $90.00 21.6% 6.2% 24.4% 45.4% 21.7% 0.1% 1.1% 110.0M 198.1M -3.8M 0.71 16.43 N/A N/A 7,610 5,400 298,558 211,007 2009-06-22 $92.58 $90.00 22.0% 6.3% 24.4% 47.0% 22.1% -0.7% -0.1% 42.6M -18.9M -3.7M 0.35 17.05 N/A N/A 5,682 2,007 171,717 147,849 2009-06-23 $93.67 $90.00 21.2% 6.1% 24.1% 43.9% 21.6% -0.0% 0.2% 51.1M -135.4M -3.8M 0.90 15.53 N/A N/A 6,695 6,033 176,309 149,142 2009-06-24 $92.73 $90.00 19.8% 5.7% 23.5% 38.8% 20.0% -0.4% 0.9% 48.3M -23.7M -3.6M 1.01 20.44 N/A N/A 3,803 3,831 177,153 152,187 2009-06-25 $94.43 $91.00 17.7% 5.1% 23.8% 31.2% 18.5% 0.1% 1.6% 63.8M -187.6M -3.6M 0.65 12.38 N/A N/A 7,439 4,862 176,678 151,992 2009-06-26 $94.59 $91.00 17.1% 4.9% 22.1% 28.9% 17.0% 1.2% 1.2% 67.2M -201.1M -3.5M 0.27 15.86 N/A N/A 25,195 6,720 176,218 150,989 2009-06-29 $94.73 $91.00 17.5% 5.0% 18.2% 30.2% 18.0% 1.1% 1.4% 57.8M -138.8M -3.2M 0.52 12.76 N/A N/A 9,242 4,768 157,277 147,884 2009-06-30 $94.57 $91.00 18.2% 5.2% 18.2% 32.9% 20.9% 1.6% 1.0% 49.9M -90.1M -3.3M 0.51 12.36 N/A N/A 10,384 5,256 158,624 157,796
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