TLT Options History — December 2009

In December 2009, TLT traded between $89.46 and $95.33. ATM implied volatility averaged 11.7%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.8% (HV 20d: 10.9%). Max pain ranged from $96.00 to $100.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.79.

Notable Days

  • 2009-12-17: Highest Volume — 31,976 contracts
  • 2009-12-28: Largest IV spike — 20.6% change
  • 2009-12-28: Highest IV Rank — 13.9%
  • 2009-12-28: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.08$89.46$95.33$95.25$89.89
Max Pain$98.64$96.00$100.00$96.00$96.00
ATM IV11.7%10.4%13.4%12.4%12.1%
Expected Move3.4%3.0%3.8%3.6%3.5%
HV 20d10.9%9.0%12.7%9.8%11.9%
HV 60d13.0%12.6%13.4%13.3%13.0%
IV Rank4.3%0.0%13.9%4.9%8.4%
IV Percentile3.0%0.0%10.7%2.0%7.9%
Term Structure1.8%0.9%2.8%0.9%1.4%
VWIV12.1%11.3%13.6%12.9%12.2%
Skew 25d1.0%0.6%1.7%1.4%0.9%
Skew 10d1.7%0.1%3.6%1.4%0.1%
Call IV 25d11.7%10.2%13.1%11.9%12.0%
Put IV 25d12.7%11.7%14.1%13.2%12.9%
Bid-Ask Spread %5.343.428.468.464.54
Gamma HHI0.230.120.450.120.28
Net GEX-44.5M-90.7M-11.0M-17.5M-21.5M
Net DEX731.2M383.6M1.02B418.3M665.1M
Net VEX-2.1M-2.8M-1.8M-2.8M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.664.954.541.10
Total Volume14,966.7735,50631,97622,3815,506
Total OI390,132.273307,849457,703416,536340,920

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$95.25$96.0012.4%3.6%9.8%4.9%12.9%1.4%0.9%-17.5M418.3M-2.8M4.548.46N/AN/A4,03918,342168,700247,836
2009-12-02$95.33$96.0011.9%3.4%9.0%3.1%11.9%0.8%1.0%-11.0M383.6M-2.7M2.816.67N/AN/A2,9388,257170,051241,683
2009-12-03$94.34$96.0012.3%3.5%9.2%5.0%12.3%0.8%0.9%-23.7M554.3M-2.6M1.017.25N/AN/A6,3746,408171,778233,259
2009-12-04$93.34$100.0011.8%3.6%10.1%2.9%12.9%0.7%2.1%-44.5M747.5M-2.3M1.836.30N/AN/A7,73714,159174,224235,826
2009-12-07$93.46$100.0012.5%3.7%10.1%6.1%13.1%1.2%1.9%-44.8M729.9M-2.2M1.814.43N/AN/A4,8098,694174,803235,130
2009-12-08$93.60$100.0011.4%3.5%10.1%1.2%12.6%1.4%2.2%-46.1M706.4M-2.2M2.576.94N/AN/A2,5456,535176,104238,512
2009-12-09$93.17$100.0011.1%3.3%10.2%0.0%11.9%0.7%2.3%-63.0M811.7M-2.1M0.855.07N/AN/A5,8284,926175,815242,117
2009-12-10$92.10$100.0011.8%3.4%10.8%3.4%12.0%0.6%2.4%-72.7M955.4M-2.0M1.344.91N/AN/A9,87813,218178,345244,670
2009-12-11$92.09$100.0011.8%3.4%10.8%3.0%12.5%1.5%2.7%-70.8M964.7M-2.0M2.356.15N/AN/A9,13521,489182,791247,037
2009-12-14$92.20$100.0011.8%3.4%10.7%3.4%12.3%1.6%2.4%-72.6M930.9M-2.0M4.956.69N/AN/A1,8959,385187,932251,773
2009-12-15$91.79$100.0011.3%3.2%9.6%0.9%11.4%1.6%2.4%-75.4M1.00B-1.9M1.435.14N/AN/A5,3667,694188,752254,683
2009-12-16$91.68$100.0010.4%3.0%9.3%0.0%11.3%1.7%2.8%-69.0M1.02B-1.9M1.385.54N/AN/A5,2217,209191,422255,810
2009-12-17$93.19$100.0011.2%3.2%11.2%3.5%11.8%1.0%2.0%-90.7M750.6M-1.9M1.084.16N/AN/A15,33616,640193,551256,681
2009-12-18$92.79$100.0011.0%3.1%11.2%2.3%11.3%1.0%2.4%-83.0M809.9M-2.1M0.995.07N/AN/A5,8865,837201,768255,935
2009-12-21$91.14$100.0011.3%3.2%12.7%4.0%11.4%0.6%1.2%-32.0M615.4M-1.9M1.903.76N/AN/A7,61514,504115,845192,004
2009-12-22$90.63$99.0011.6%3.3%12.7%5.1%11.7%0.8%1.3%-28.9M654.7M-1.9M0.974.63N/AN/A7,5687,342120,894194,399
2009-12-23$90.65$98.0011.3%3.2%12.3%4.0%11.5%0.7%1.3%-23.1M629.8M-1.9M0.663.97N/AN/A5,2773,488126,236193,670
2009-12-24$89.71$98.0011.1%3.2%12.3%3.0%11.3%0.8%1.8%-24.1M707.8M-1.8M1.573.42N/AN/A3,8316,030127,615195,677
2009-12-28$89.46$97.0013.4%3.8%12.0%13.9%13.6%1.0%0.9%-19.7M714.9M-1.8M2.605.32N/AN/A4,11710,710130,412196,376
2009-12-29$89.73$97.0012.5%3.6%12.1%9.6%12.6%1.2%1.2%-22.9M674.8M-1.9M1.024.20N/AN/A5,8045,906131,954200,828
2009-12-30$90.32$97.0011.6%3.3%11.9%5.9%11.7%0.9%1.8%-22.5M635.3M-2.1M0.694.88N/AN/A3,4312,360134,649204,443
2009-12-31$89.89$96.0012.1%3.5%11.9%8.4%12.2%0.9%1.4%-21.5M665.1M-2.0M1.104.54N/AN/A2,6192,887136,429204,491