TLT Options History — January 2010

In January 2010, TLT traded between $88.80 and $92.31. ATM implied volatility averaged 11.8%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 1.1% (HV 20d: 12.9%). Max pain ranged from $89.00 to $91.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.85.

Notable Days

  • 2010-01-19: Highest Volume — 30,567 contracts
  • 2010-01-11: Largest IV spike — 15.1% change
  • 2010-01-06: Highest IV Rank — 22.5%
  • 2010-01-04: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.70$88.80$92.31$89.81$92.31
Max Pain$90.05$89.00$91.00$90.00$91.00
ATM IV11.8%10.1%14.4%13.4%10.1%
Expected Move3.4%2.9%4.0%4.0%2.9%
HV 20d12.9%11.5%15.2%11.5%12.3%
HV 60d12.2%11.4%12.7%12.7%11.5%
IV Rank7.8%0.0%22.5%15.3%0.0%
IV Percentile6.2%0.0%17.5%12.3%0.0%
Term Structure0.9%0.2%1.5%0.7%1.5%
VWIV12.1%10.4%14.0%14.0%11.4%
Skew 25d1.0%0.7%1.4%1.2%0.9%
Skew 10d1.8%0.9%2.3%1.9%1.7%
Call IV 25d11.6%10.1%13.4%13.2%10.1%
Put IV 25d12.6%10.9%14.6%14.4%11.0%
Bid-Ask Spread %13.8710.0418.0814.3818.08
Gamma HHI0.200.130.350.290.15
Net GEX5.5M-21.9M36.5M-21.9M30.7M
Net DEX325.1M-72.5M725.6M677.8M-60.5M
Net VEX-2.3M-2.7M-2.0M-2.0M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.261.810.720.66
Total Volume15,505.1584,88630,5674,92423,211
Total OI305,582.842205,806394,393343,456251,026

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$89.81$90.0013.4%4.0%11.5%15.3%14.0%1.2%0.7%-21.9M677.8M-2.0M0.7214.38N/AN/A2,8562,068137,804205,652
2010-01-05$90.39$90.0013.0%3.8%11.5%13.7%13.0%1.1%1.1%-21.5M623.5M-2.0M0.2616.38N/AN/A17,3664,451138,862205,952
2010-01-06$89.18$90.0014.4%4.0%12.2%22.5%13.5%1.3%0.7%-15.8M718.9M-2.0M1.2714.08N/AN/A7,6449,705152,188206,621
2010-01-07$89.33$90.0012.8%3.9%12.2%13.4%13.5%0.9%0.5%-17.3M719.5M-2.0M1.0115.85N/AN/A7,0167,068155,566209,745
2010-01-08$89.29$90.0011.9%3.7%12.2%8.4%13.2%0.7%1.0%-18.1M725.6M-2.0M1.1013.66N/AN/A4,6205,090160,203210,313
2010-01-11$88.80$90.0013.7%3.8%11.8%18.8%13.4%1.0%0.6%-16.8M717.0M-2.0M1.1812.56N/AN/A4,1384,885162,578206,839
2010-01-12$90.32$89.0012.5%3.6%13.5%11.9%12.7%1.3%0.8%-12.9M547.8M-2.1M1.0012.87N/AN/A12,08912,120164,128207,975
2010-01-13$89.27$90.0012.8%3.6%14.0%13.8%12.7%0.8%0.5%-21.3M686.1M-2.1M0.5913.82N/AN/A14,0498,274168,293212,970
2010-01-14$90.52$90.0011.8%3.4%15.0%7.8%12.6%1.4%0.7%1.4M457.4M-2.3M0.8414.11N/AN/A11,2379,468177,950210,133
2010-01-15$91.08$90.0011.5%3.3%15.2%6.3%11.7%1.1%0.2%36.5M360.3M-2.4M0.5211.15N/AN/A20,08810,419182,704211,689
2010-01-19$90.82$90.0011.2%3.2%13.9%4.3%11.4%0.8%0.9%17.8M54.1M-2.2M0.9610.04N/AN/A15,62714,940110,18595,621
2010-01-20$91.74$90.0010.5%3.0%14.4%0.3%10.9%1.1%1.5%22.0M-11.3M-2.6M0.6415.52N/AN/A7,2884,686118,781107,261
2010-01-21$92.16$90.0010.8%3.1%12.9%1.8%11.1%1.0%1.0%26.2M-72.5M-2.6M0.5317.77N/AN/A7,1613,808121,942108,900
2010-01-22$92.00$90.0011.2%3.2%12.8%4.1%11.5%0.9%1.1%24.9M-48.0M-2.7M0.7412.00N/AN/A6,8445,095123,938110,971
2010-01-25$91.58$90.0010.9%3.1%12.9%2.5%11.2%1.2%1.3%21.4M9.8M-2.6M1.8114.62N/AN/A1,7383,148124,266113,022
2010-01-26$91.61$90.0011.0%3.1%12.2%3.0%11.0%0.8%0.9%20.9M18.8M-2.6M0.3312.52N/AN/A7,4912,476124,593114,544
2010-01-27$91.56$90.0010.5%3.0%12.2%0.3%11.0%0.8%1.0%25.7M8.7M-2.6M1.5911.57N/AN/A4,1116,519129,287114,504
2010-01-28$91.51$91.0010.3%2.9%12.2%0.0%10.4%0.8%1.2%22.8M43.8M-2.6M0.4212.50N/AN/A4,0991,705131,452117,616
2010-01-29$92.31$91.0010.1%2.9%12.3%0.0%11.4%0.9%1.5%30.7M-60.5M-2.6M0.6618.08N/AN/A13,9509,261132,777118,249