TLT Options History — August 2009 In August 2009, TLT traded between $90.49 and $96.60. ATM implied volatility averaged 17.3%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 3.1% (HV 20d: 20.4%). Max pain ranged from $93.00 to $94.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.72.
Notable Days 2009-08-31 : Highest Volume — 31,692 contracts2009-08-18 : Largest IV drop — 5.4% change2009-08-10 : Highest IV Rank — 35.6%2009-08-11 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $93.85 $90.49 $96.60 $93.06 $96.60 Max Pain $93.33 $93.00 $94.00 $93.00 $94.00 ATM IV 17.3% 14.8% 18.9% 18.7% 15.6% Expected Move 5.0% 4.3% 5.5% 5.4% 4.5% HV 20d 20.4% 16.9% 23.0% 23.0% 16.9% HV 60d 20.6% 18.6% 21.6% 21.3% 18.6% IV Rank 28.6% 18.8% 35.6% 34.9% 21.0% IV Percentile 26.2% 4.8% 43.3% 42.5% 6.3% Term Structure 0.9% 0.4% 2.2% 0.4% 0.9% VWIV 17.7% 15.1% 19.3% 18.8% 18.4% Skew 25d 0.6% -0.2% 1.3% 0.7% 0.5% Skew 10d 1.1% 0.0% 2.0% 1.6% 1.1% Call IV 25d 17.3% 14.9% 19.6% 18.8% 15.4% Put IV 25d 17.9% 15.0% 19.8% 19.5% 15.9% Bid-Ask Spread % 9.18 6.05 15.44 13.47 6.05 Gamma HHI 0.14 0.09 0.55 0.10 0.10 Net GEX 6.7M -86.3M 42.0M 7.1M 17.6M Net DEX 153.3M -224.3M 520.0M 259.9M -80.9M Net VEX -3.2M -3.5M -3.0M -3.3M -3.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.16 1.74 1.36 0.24 Total Volume 15,588.952 5,177 31,692 12,947 31,692 Total OI 353,768.952 318,281 396,009 318,281 352,189
Daily Data (21 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 2009-08-03 $93.06 $93.00 18.7% 5.4% 23.0% 34.9% 18.8% 0.7% 0.4% 7.1M 259.9M -3.3M 1.36 13.47 N/A N/A 5,495 7,452 134,023 184,258 2009-08-04 $92.32 $93.00 18.9% 5.4% 22.9% 35.5% 19.3% 0.1% 0.5% 2.3M 334.3M -3.3M 0.83 15.44 N/A N/A 8,222 6,841 136,650 188,841 2009-08-05 $90.94 $93.00 18.2% 5.2% 22.2% 32.8% 18.4% 0.4% 0.4% -5.2M 486.8M -3.3M 0.40 13.41 N/A N/A 11,031 4,403 140,680 193,704 2009-08-06 $91.25 $93.00 18.3% 5.3% 22.0% 33.4% 18.4% -0.0% 0.6% -2.8M 442.6M -3.3M 0.35 10.69 N/A N/A 8,368 2,940 143,365 195,082 2009-08-07 $90.49 $93.00 18.3% 5.4% 21.7% 33.3% 18.9% 0.7% 0.9% -6.4M 520.0M -3.2M 0.40 9.04 N/A N/A 7,962 3,146 145,883 196,875 2009-08-10 $91.62 $93.00 18.9% 5.4% 22.4% 35.6% 19.3% 1.3% 0.4% 411.4K 395.2M -3.2M 1.36 9.95 N/A N/A 3,832 5,228 150,509 197,930 2009-08-11 $92.68 $93.00 18.9% 5.5% 22.2% 35.0% 19.2% 0.6% 0.5% 7.4M 264.5M -3.4M 0.35 9.60 N/A N/A 6,441 2,243 151,534 200,395 2009-08-12 $91.69 $93.00 18.1% 5.4% 20.5% 32.2% 19.0% 0.8% 0.5% 714.4K 390.5M -3.3M 0.29 11.20 N/A N/A 9,089 2,598 153,049 200,546 2009-08-13 $92.99 $93.00 18.1% 5.2% 20.7% 31.2% 18.2% 0.8% 0.8% 16.4M 203.2M -3.1M 0.30 8.97 N/A N/A 9,844 2,909 156,329 200,359 2009-08-14 $93.35 $93.00 18.2% 5.2% 19.9% 31.4% 18.3% 1.1% 0.7% 21.7M 149.4M -3.2M 1.74 9.38 N/A N/A 9,860 17,148 161,811 200,681 2009-08-17 $94.73 $93.00 18.8% 5.4% 20.4% 33.5% 19.1% 1.2% 0.6% 14.5M -557.0K -3.4M 0.16 8.81 N/A N/A 18,353 2,998 165,521 214,129 2009-08-18 $94.18 $93.00 17.8% 5.1% 19.4% 29.7% 18.1% 0.7% 1.2% 9.3M 69.0M -3.4M 0.62 7.07 N/A N/A 10,753 6,652 175,028 214,859 2009-08-19 $94.96 $93.00 17.6% 5.0% 19.3% 29.2% 17.9% 0.9% 1.1% 24.2M -106.2M -3.5M 0.76 7.91 N/A N/A 6,778 5,154 179,971 216,038 2009-08-20 $95.74 $93.00 16.8% 4.8% 17.9% 26.3% 17.2% 0.6% 1.7% 42.0M -224.3M -3.2M 0.87 6.71 N/A N/A 12,653 10,988 176,833 216,354 2009-08-21 $93.77 $94.00 16.4% 4.7% 19.7% 24.8% 16.6% 0.8% 2.2% -86.3M 233.7M -3.2M 0.86 8.67 N/A N/A 10,248 8,850 175,002 218,398 2009-08-24 $95.47 $94.00 15.6% 4.5% 20.0% 21.7% 15.8% 0.5% 1.1% 16.3M 46.6M -3.0M 1.62 6.93 N/A N/A 10,626 17,255 142,110 177,018 2009-08-25 $96.01 $94.00 15.7% 4.5% 19.9% 21.9% 15.7% 0.4% 1.3% 12.5M -5.2M -3.3M 0.73 7.34 N/A N/A 9,041 6,587 147,279 191,062 2009-08-26 $96.45 $94.00 14.8% 4.3% 19.8% 18.8% 15.2% 0.2% 1.2% 16.7M -64.2M -3.2M 0.36 8.14 N/A N/A 3,813 1,364 150,608 192,701 2009-08-27 $96.07 $94.00 14.9% 4.3% 19.5% 18.9% 15.1% 0.4% 1.3% 15.2M -21.5M -3.1M 0.73 7.63 N/A N/A 3,126 2,295 151,371 193,181 2009-08-28 $96.51 $94.00 14.8% 4.3% 18.4% 18.9% 15.1% -0.2% 1.8% 17.6M -73.8M -3.2M 0.78 6.27 N/A N/A 7,341 5,749 152,582 194,410 2009-08-31 $96.60 $94.00 15.6% 4.5% 16.9% 21.0% 18.4% 0.5% 0.9% 17.6M -80.9M -3.1M 0.24 6.05 N/A N/A 25,541 6,151 153,773 198,416
« Jul 2009 | All History | Sep 2009 » Home TLT History August 2009