TLT Options History — July 2009 In July 2009, TLT traded between $90.40 and $96.50. ATM implied volatility averaged 17.4%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 1.1% (HV 20d: 18.5%). Max pain ranged from $91.00 to $95.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.76.
Notable Days 2009-07-08 : Highest Volume — 28,976 contracts2009-07-13 : Largest IV spike — 14.1% change2009-07-14 : Highest IV Rank — 37.1%2009-07-15 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $93.28 $90.40 $96.50 $94.08 $94.81 Max Pain $93.45 $91.00 $95.00 $91.00 $92.00 ATM IV 17.4% 16.3% 19.3% 17.6% 16.8% Expected Move 5.1% 4.7% 5.8% 5.0% 4.8% HV 20d 18.5% 15.8% 22.0% 18.1% 22.0% HV 60d 20.1% 19.0% 21.5% 19.2% 21.5% IV Rank 30.2% 25.8% 37.1% 30.6% 27.6% IV Percentile 30.4% 17.9% 46.4% 35.7% 21.4% Term Structure 0.7% 0.0% 1.7% 1.4% 0.6% VWIV 18.0% 16.3% 20.5% 18.2% 17.7% Skew 25d 1.3% 0.6% 2.2% 1.7% 0.7% Skew 10d 2.5% 0.9% 4.3% 3.4% 2.3% Call IV 25d 17.4% 15.8% 20.1% 17.2% 16.6% Put IV 25d 18.6% 16.8% 21.0% 18.9% 17.3% Bid-Ask Spread % 15.26 11.79 20.00 13.81 14.95 Gamma HHI 0.11 0.07 0.21 0.10 0.09 Net GEX 29.8M -4.3M 66.0M 48.0M 18.8M Net DEX 126.9M -375.9M 491.0M -30.3M 44.2M Net VEX -2.9M -3.3M -2.6M -3.3M -3.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.19 2.55 1.63 0.78 Total Volume 13,761.182 2,885 28,976 11,871 23,123 Total OI 310,126.591 253,683 341,487 318,816 315,348
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 2009-07-01 $94.08 $91.00 17.6% 5.0% 18.1% 30.6% 18.2% 1.7% 1.4% 48.0M -30.3M -3.3M 1.63 13.81 N/A N/A 4,513 7,358 157,995 160,821 2009-07-02 $94.30 $91.00 16.6% 4.8% 16.1% 27.1% 16.4% 1.4% 1.7% 54.7M -85.1M -3.0M 0.45 14.33 N/A N/A 2,797 1,271 159,500 162,272 2009-07-06 $94.12 $94.00 18.1% 5.4% 15.8% 32.7% 20.1% 2.1% 0.4% 53.2M -38.1M -3.1M 0.48 20.00 N/A N/A 4,789 2,306 160,513 162,968 2009-07-07 $94.75 $94.00 18.3% 5.4% 15.8% 33.4% 18.7% 2.2% 0.8% 56.3M -113.9M -3.2M 0.30 18.12 N/A N/A 5,787 1,758 160,193 164,431 2009-07-08 $96.50 $94.00 17.4% 5.4% 16.7% 30.1% 18.9% 2.0% 0.4% 66.0M -375.9M -3.0M 0.23 14.66 N/A N/A 23,551 5,425 163,525 165,168 2009-07-09 $95.35 $95.00 16.4% 5.3% 16.1% 26.3% 18.3% 1.8% 0.8% 63.6M -206.4M -2.9M 0.79 16.96 N/A N/A 7,244 5,745 162,271 165,634 2009-07-10 $96.23 $95.00 16.7% 5.4% 16.0% 27.3% 18.5% 1.8% 0.2% 63.4M -298.9M -3.2M 0.34 13.73 N/A N/A 4,417 1,497 163,744 167,304 2009-07-13 $95.69 $95.00 19.0% 5.3% 16.2% 35.8% 18.7% 1.7% 0.3% 64.8M -236.3M -3.0M 0.80 14.63 N/A N/A 2,697 2,167 165,013 167,496 2009-07-14 $94.10 $95.00 19.3% 5.7% 17.5% 37.1% 19.9% 1.7% 0.0% 55.7M -10.2M -2.9M 0.23 14.81 N/A N/A 21,446 4,864 165,927 168,384 2009-07-15 $91.68 $95.00 19.2% 5.8% 19.1% 36.5% 20.5% 0.9% 0.3% 27.2M 323.6M -2.7M 0.48 15.06 N/A N/A 14,690 6,991 158,380 171,323 2009-07-16 $92.67 $95.00 19.3% 5.5% 19.4% 36.9% 19.3% 1.4% 0.6% 37.8M 204.3M -2.9M 0.82 15.92 N/A N/A 9,647 7,889 165,305 175,158 2009-07-17 $91.24 $95.00 18.3% 5.2% 19.4% 33.2% 18.2% 1.1% 1.2% 22.3M 415.9M -2.6M 0.68 17.21 N/A N/A 11,913 8,061 166,469 175,018 2009-07-20 $91.72 $94.00 17.3% 5.0% 18.9% 29.8% 17.6% 1.3% 0.6% 1.6M 350.3M -2.6M 0.59 18.75 N/A N/A 8,136 4,761 103,579 150,104 2009-07-21 $93.55 $93.00 16.4% 4.7% 19.9% 26.5% 16.7% 0.6% 0.8% 6.5M 230.3M -2.8M 0.54 14.53 N/A N/A 8,466 4,552 107,920 153,371 2009-07-22 $92.71 $93.00 16.3% 4.7% 19.7% 25.9% 16.3% 1.0% 1.2% 6.5M 281.0M -2.8M 0.55 15.33 N/A N/A 1,866 1,019 113,411 155,718 2009-07-23 $91.01 $93.00 16.3% 4.7% 20.5% 25.8% 16.5% 0.9% 1.2% 971.9K 401.0M -2.6M 2.46 13.59 N/A N/A 5,860 14,443 114,302 156,191 2009-07-24 $91.45 $93.00 16.3% 4.7% 19.3% 25.9% 16.4% 0.7% 1.0% -958.9K 420.8M -2.9M 2.55 16.30 N/A N/A 1,551 3,960 116,447 168,437 2009-07-27 $90.40 $93.00 17.3% 5.0% 19.6% 29.6% 17.3% 0.7% 0.3% -4.3M 491.0M -2.7M 0.19 11.79 N/A N/A 21,387 3,984 117,129 170,185 2009-07-28 $91.20 $92.00 17.3% 5.0% 19.9% 29.6% 17.3% 0.6% 0.3% 1.2M 410.3M -3.0M 0.68 12.73 N/A N/A 7,932 5,389 134,113 172,277 2009-07-29 $91.70 $92.00 16.9% 4.9% 20.1% 28.3% 17.0% 0.8% 0.5% 3.4M 369.7M -3.1M 0.45 14.06 N/A N/A 4,725 2,112 134,434 174,817 2009-07-30 $93.00 $92.00 16.6% 4.8% 20.8% 27.1% 17.0% 0.6% 0.6% 9.5M 244.5M -3.2M 0.67 14.53 N/A N/A 6,373 4,284 133,926 176,264 2009-07-31 $94.81 $92.00 16.8% 4.8% 22.0% 27.6% 17.7% 0.7% 0.6% 18.8M 44.2M -3.2M 0.78 14.95 N/A N/A 12,990 10,133 137,275 178,073
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