TLT Options History — September 2009 In September 2009, TLT traded between $94.43 and $98.84. ATM implied volatility averaged 16.1%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.2% (HV 20d: 15.9%). Max pain ranged from $95.00 to $97.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.69.
Notable Days 2009-09-08 : Highest Volume — 34,318 contracts2009-09-10 : Largest IV spike — 8.4% change2009-09-01 : Highest IV Rank — 23.1%2009-09-14 : Largest Expected Move — 5.0%Monthly Statistics Metric Avg Min Max Open Close Price $96.47 $94.43 $98.84 $96.06 $98.66 Max Pain $96.14 $95.00 $97.00 $95.00 $97.00 ATM IV 16.1% 14.9% 17.4% 16.2% 14.9% Expected Move 4.7% 4.3% 5.0% 4.6% 4.3% HV 20d 15.9% 13.7% 17.4% 16.7% 14.3% HV 60d 18.4% 18.0% 18.8% 18.6% 18.2% IV Rank 10.9% 0.4% 23.1% 23.1% 0.4% IV Percentile 9.6% 1.2% 25.4% 8.7% 1.2% Term Structure 0.8% 0.3% 1.3% 0.8% 1.3% VWIV 16.6% 15.4% 18.2% 16.4% 18.2% Skew 25d 0.7% 0.2% 1.2% 0.4% 0.9% Skew 10d 1.5% 0.8% 3.1% 0.8% 1.9% Call IV 25d 16.1% 14.8% 17.3% 16.2% 14.8% Put IV 25d 16.8% 15.7% 18.0% 16.6% 15.7% Bid-Ask Spread % 12.87 5.56 17.04 6.82 14.63 Gamma HHI 0.10 0.09 0.13 0.09 0.09 Net GEX 15.8M -8.6M 30.3M 11.1M 27.5M Net DEX 23.4M -220.0M 283.8M 36.5M -192.4M Net VEX -3.4M -3.8M -3.1M -3.2M -3.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.09 1.51 1.01 0.09 Total Volume 19,578.619 6,843 34,318 9,932 33,740 Total OI 378,247.762 310,751 443,171 348,418 372,788
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 2009-09-01 $96.06 $95.00 16.2% 4.6% 16.7% 23.1% 16.4% 0.4% 0.8% 11.1M 36.5M -3.2M 1.01 6.82 N/A N/A 4,948 4,984 147,044 201,374 2009-09-02 $97.46 $95.00 16.0% 4.6% 16.0% 22.4% 15.9% 0.2% 1.3% 21.3M -128.3M -3.3M 0.67 8.02 N/A N/A 16,202 10,830 148,703 203,548 2009-09-03 $96.86 $95.00 16.0% 4.6% 16.3% 21.3% 16.1% 0.8% 1.1% 13.4M -29.6M -3.2M 0.71 5.56 N/A N/A 7,009 4,954 152,410 211,256 2009-09-04 $95.21 $96.00 15.4% 4.9% 17.4% 16.8% 16.9% 1.2% 1.0% -3.3M 199.3M -3.1M 0.71 12.36 N/A N/A 10,510 7,477 156,772 214,054 2009-09-08 $94.54 $96.00 16.4% 5.0% 17.3% 17.5% 17.3% 1.0% 0.6% -8.6M 283.8M -3.1M 0.11 12.06 N/A N/A 30,828 3,490 159,735 215,847 2009-09-09 $94.43 $96.00 15.7% 4.8% 16.9% 12.3% 17.1% 0.7% 0.9% -4.1M 259.2M -3.3M 1.28 16.37 N/A N/A 5,115 6,540 185,329 217,138 2009-09-10 $96.17 $96.00 17.0% 4.9% 17.4% 17.8% 17.1% 1.0% 0.9% 22.2M -38.1M -3.4M 0.39 12.09 N/A N/A 9,223 3,604 184,503 220,532 2009-09-11 $96.70 $96.00 17.1% 4.9% 16.9% 17.5% 17.2% 0.9% 0.6% 30.3M -127.3M -3.4M 1.51 13.57 N/A N/A 13,216 19,986 188,210 222,182 2009-09-14 $95.74 $97.00 17.4% 5.0% 17.4% 18.6% 17.5% 0.7% 0.4% 14.5M 99.3M -3.6M 0.43 14.69 N/A N/A 12,839 5,583 194,524 238,837 2009-09-15 $95.25 $97.00 16.8% 4.8% 16.8% 8.9% 16.8% 0.6% 0.8% 2.7M 206.7M -3.4M 0.34 16.92 N/A N/A 20,634 7,096 191,444 241,356 2009-09-16 $95.42 $97.00 17.0% 4.9% 16.6% 10.1% 17.2% 1.1% 0.6% 4.3M 204.4M -3.4M 0.69 16.32 N/A N/A 6,807 4,703 190,868 244,195 2009-09-17 $96.62 $96.00 17.0% 4.9% 17.0% 9.8% 17.4% 0.2% 0.7% 27.9M -58.4M -3.4M 0.85 13.29 N/A N/A 7,036 5,964 198,190 243,877 2009-09-18 $95.76 $97.00 16.4% 4.7% 17.1% 7.3% 16.4% 0.7% 1.1% 25.5M 121.8M -3.2M 0.42 11.77 N/A N/A 19,120 8,035 197,909 245,262 2009-09-21 $95.98 $96.00 15.8% 4.5% 15.2% 4.3% 16.4% 0.7% 0.8% 13.2M 136.9M -3.3M 0.53 17.04 N/A N/A 11,713 6,264 142,276 168,475 2009-09-22 $96.18 $96.00 15.9% 4.6% 13.9% 5.0% 16.2% 0.7% 0.7% 16.9M 79.1M -3.4M 0.33 15.96 N/A N/A 5,132 1,711 149,963 172,140 2009-09-23 $96.47 $96.00 15.8% 4.5% 13.8% 4.6% 16.2% 0.3% 0.7% 19.6M 54.9M -3.4M 0.70 14.40 N/A N/A 13,928 9,793 152,626 172,893 2009-09-24 $96.75 $96.00 15.7% 4.5% 13.7% 3.8% 15.8% 0.8% 0.3% 23.6M -49.4M -3.3M 1.49 12.32 N/A N/A 8,628 12,818 162,819 169,090 2009-09-25 $97.98 $96.00 15.2% 4.3% 14.3% 1.5% 15.4% 0.9% 1.3% 22.5M -139.9M -3.5M 1.06 13.43 N/A N/A 10,185 10,789 164,642 178,714 2009-09-28 $98.84 $96.00 15.4% 4.4% 14.5% 2.4% 16.0% 0.7% 0.8% 24.3M -220.0M -3.7M 0.72 11.53 N/A N/A 9,259 6,659 169,831 187,682 2009-09-29 $98.75 $97.00 15.5% 4.4% 14.5% 3.1% 16.0% 0.9% 1.0% 26.1M -206.3M -3.8M 0.35 11.02 N/A N/A 10,205 3,594 172,834 191,331 2009-09-30 $98.66 $97.00 14.9% 4.3% 14.3% 0.4% 18.2% 0.9% 1.3% 27.5M -192.4M -3.8M 0.09 14.63 N/A N/A 31,095 2,645 179,881 192,907
« Aug 2009 | All History | Oct 2009 » Home TLT History September 2009