TLT Options History — October 2009

In October 2009, TLT traded between $93.72 and $99.70. ATM implied volatility averaged 15.0%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 0.4% (HV 20d: 14.6%). Max pain ranged from $96.00 to $98.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.53.

Notable Days

  • 2009-10-15: Highest Volume — 31,365 contracts
  • 2009-10-12: Largest IV spike — 16.7% change
  • 2009-10-12: Highest IV Rank — 12.5%
  • 2009-10-14: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.40$93.72$99.70$99.70$95.78
Max Pain$96.77$96.00$98.00$96.00$96.00
ATM IV15.0%13.5%16.4%15.6%15.5%
Expected Move4.4%4.1%4.8%4.5%4.4%
HV 20d14.6%12.2%16.6%13.9%16.6%
HV 60d16.7%15.5%17.9%17.9%15.7%
IV Rank5.6%0.0%12.5%3.4%8.7%
IV Percentile4.9%0.0%14.3%4.0%9.1%
Term Structure0.8%0.1%1.3%1.2%0.1%
VWIV15.7%14.2%17.1%15.9%17.1%
Skew 25d1.4%0.7%1.8%0.9%1.3%
Skew 10d2.7%1.5%3.6%1.8%2.2%
Call IV 25d15.0%13.8%16.2%15.6%15.4%
Put IV 25d16.4%14.9%17.5%16.5%16.7%
Bid-Ask Spread %12.989.7915.3510.4511.09
Gamma HHI0.100.090.160.090.10
Net GEX2.3M-20.2M34.2M34.2M-5.8M
Net DEX265.8M-344.0M739.3M-344.0M363.6M
Net VEX-3.6M-4.0M-3.3M-3.8M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.345.590.870.54
Total Volume19,255.77311,92231,36527,35922,260
Total OI404,449.045363,185462,162369,662415,010

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$99.70$96.0015.6%4.5%13.9%3.4%15.9%0.9%1.2%34.2M-344.0M-3.8M0.8710.45N/AN/A14,59912,760176,054193,608
2009-10-02$99.01$97.0014.6%4.2%14.0%0.0%14.4%0.7%1.3%31.9M-223.8M-3.9M0.6212.66N/AN/A10,0086,239182,507203,062
2009-10-05$99.02$98.0014.6%4.6%12.2%0.0%16.2%1.5%0.7%33.4M-222.3M-3.8M1.0214.59N/AN/A6,4996,637184,738205,371
2009-10-06$98.04$98.0014.5%4.7%12.5%0.0%16.5%1.4%0.5%21.8M-44.3M-3.9M1.5511.66N/AN/A5,2188,063186,639210,405
2009-10-07$99.19$98.0013.5%4.4%13.0%0.0%15.5%1.4%0.8%31.9M-202.1M-3.8M5.5913.64N/AN/A3,59020,078185,263216,256
2009-10-08$98.15$98.0014.0%4.4%12.3%2.0%15.6%1.6%0.8%15.4M36.2M-4.0M0.7714.27N/AN/A14,76511,382187,298229,860
2009-10-09$95.90$98.0014.1%4.5%14.9%2.4%16.0%0.9%0.8%-11.6M426.5M-3.9M1.6613.80N/AN/A11,51519,072195,567235,617
2009-10-12$96.05$98.0016.4%4.7%14.4%12.5%16.6%1.3%0.4%-11.0M399.1M-3.8M0.4115.35N/AN/A13,6365,613191,433241,189
2009-10-13$96.55$97.0015.6%4.6%14.4%9.0%16.3%1.2%0.6%-3.4M297.3M-3.7M2.0315.22N/AN/A4,8789,905192,555242,798
2009-10-14$95.12$97.0015.9%4.8%15.4%10.5%16.4%1.3%0.3%-20.2M611.4M-3.6M2.0714.07N/AN/A5,79312,005193,797248,306
2009-10-15$94.68$97.0016.3%4.7%14.7%12.2%16.5%1.7%1.0%-19.6M739.3M-3.4M0.6012.43N/AN/A19,65611,709194,531252,498
2009-10-16$95.45$97.0015.4%4.4%14.8%8.1%15.4%1.5%0.8%-11.5M573.7M-3.5M1.4613.95N/AN/A8,09111,789209,984252,178
2009-10-19$96.20$96.0014.8%4.2%15.0%5.7%15.1%1.8%0.6%6.9M252.4M-3.5M1.249.79N/AN/A5,4946,827157,000206,185
2009-10-20$96.72$96.0014.2%4.1%15.1%3.1%14.2%1.6%1.3%11.0M190.6M-3.5M0.8814.31N/AN/A6,7505,934159,108206,515
2009-10-21$96.14$96.0015.0%4.3%15.2%6.3%15.7%1.6%0.9%6.3M268.0M-3.5M4.4813.13N/AN/A3,41915,330159,919209,820
2009-10-22$95.67$96.0014.4%4.1%15.3%3.8%14.7%1.8%1.1%-4.1M353.6M-3.5M0.3411.07N/AN/A11,4593,861161,120221,700
2009-10-23$94.95$96.0015.0%4.3%14.6%6.5%15.5%1.7%0.8%-7.3M425.5M-3.5M1.5913.63N/AN/A6,95111,052166,360223,547
2009-10-26$93.72$96.0015.5%4.5%14.7%8.9%15.6%1.2%0.8%-19.2M582.2M-3.3M0.5511.49N/AN/A7,6794,243161,777226,407
2009-10-27$95.00$96.0014.9%4.3%15.7%6.3%15.4%1.6%0.7%-9.2M454.2M-3.5M0.7713.28N/AN/A7,7505,956170,688230,772
2009-10-28$95.45$96.0014.9%4.3%15.9%5.9%15.1%1.3%1.0%-4.3M386.6M-3.5M2.6611.93N/AN/A6,80818,131174,652233,373
2009-10-29$94.41$96.0015.4%4.4%15.6%8.1%15.4%1.4%0.7%-14.2M522.8M-3.4M1.9713.83N/AN/A6,81813,405169,735232,677
2009-10-30$95.78$96.0015.5%4.4%16.6%8.7%17.1%1.3%0.1%-5.8M363.6M-3.7M0.5411.09N/AN/A14,4307,830172,871242,139