TLT Options History — February 2010

In February 2010, TLT traded between $88.97 and $92.10. ATM implied volatility averaged 11.1%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 1.9% (HV 20d: 12.9%). Max pain ranged from $91.00 to $91.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.08.

Notable Days

  • 2010-02-23: Highest Volume — 31,596 contracts
  • 2010-02-04: Largest IV spike — 10.0% change
  • 2010-02-11: Highest IV Rank — 12.8%
  • 2010-02-10: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.60$88.97$92.10$91.15$91.67
Max Pain$91.00$91.00$91.00$91.00$91.00
ATM IV11.1%9.6%12.3%10.5%9.6%
Expected Move3.2%2.8%3.7%3.0%2.8%
HV 20d12.9%11.6%14.2%13.1%13.5%
HV 60d12.3%11.5%12.8%11.6%12.8%
IV Rank5.9%0.0%12.8%2.6%0.0%
IV Percentile7.5%0.0%17.1%2.0%0.0%
Term Structure1.2%0.4%1.7%0.9%0.6%
VWIV11.5%10.0%13.0%10.6%11.4%
Skew 25d0.7%0.1%1.2%0.6%1.2%
Skew 10d1.3%0.4%2.8%1.2%2.8%
Call IV 25d11.0%9.4%12.5%10.4%9.4%
Put IV 25d11.7%10.2%13.2%11.0%10.7%
Bid-Ask Spread %3.822.246.856.133.66
Gamma HHI0.150.110.240.130.13
Net GEX5.6M-35.1M29.8M17.9M18.9M
Net DEX196.4M-66.0M528.6M83.0M-10.3M
Net VEX-2.6M-3.0M-2.2M-2.6M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.452.450.740.68
Total Volume17,780.3167,88031,5969,22926,007
Total OI288,922.316251,689325,022258,302291,857

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$91.15$91.0010.5%3.0%13.1%2.6%10.6%0.6%0.9%17.9M83.0M-2.6M0.746.13N/AN/A5,3023,927134,208124,094
2010-02-02$91.41$91.0010.1%2.9%13.1%0.1%10.1%0.3%1.0%23.0M47.2M-2.6M0.456.85N/AN/A5,4522,428136,641123,497
2010-02-03$90.35$91.0010.6%3.0%13.7%2.8%10.6%0.4%1.0%8.3M196.4M-2.4M0.975.60N/AN/A8,5658,273134,366124,369
2010-02-04$91.78$91.0011.6%3.3%13.8%8.8%11.8%0.8%0.4%26.5M-10.5M-2.8M0.915.80N/AN/A15,71514,369139,988128,754
2010-02-05$91.98$91.0011.3%3.5%13.8%7.0%12.5%0.6%1.7%27.8M-50.6M-3.0M0.653.38N/AN/A9,5416,163149,043136,203
2010-02-08$92.10$91.0011.9%3.6%13.8%10.1%12.5%0.7%1.5%29.8M-66.0M-2.9M0.933.51N/AN/A7,2446,762151,646139,245
2010-02-09$91.18$91.0011.9%3.6%14.2%10.6%12.7%0.7%1.5%14.9M111.6M-2.9M0.873.81N/AN/A7,8216,804153,464144,925
2010-02-10$90.31$91.0011.8%3.7%13.4%9.8%13.0%0.7%1.2%3.3M266.9M-2.8M1.543.85N/AN/A6,0739,358157,036146,376
2010-02-11$89.82$91.0012.3%3.5%12.8%12.8%12.6%0.7%1.7%-4.8M357.1M-2.7M2.453.03N/AN/A8,30620,369159,542150,401
2010-02-12$90.19$91.0011.7%3.3%11.9%9.0%11.7%0.8%1.7%-1.4M318.3M-2.7M1.134.34N/AN/A4,9475,602161,186154,858
2010-02-16$90.36$91.0011.9%3.4%11.7%10.3%12.3%0.9%1.4%665.5K294.3M-2.5M1.592.86N/AN/A3,7775,996161,138156,096
2010-02-17$89.33$91.0011.8%3.4%12.3%9.7%12.0%0.8%1.3%-23.3M481.0M-2.3M2.132.57N/AN/A6,77714,455158,989154,440
2010-02-18$88.97$91.0011.6%3.3%11.6%8.6%11.9%0.7%1.3%-26.1M528.6M-2.2M1.412.93N/AN/A9,13612,898161,634157,250
2010-02-19$89.45$91.0011.1%3.2%11.7%6.0%11.3%0.7%1.6%-35.1M464.7M-2.2M1.132.76N/AN/A4,6275,235164,849160,173
2010-02-22$89.08$91.0010.1%2.9%11.7%0.2%10.2%0.1%1.0%-5.1M334.2M-2.2M0.843.60N/AN/A11,6819,845123,018128,671
2010-02-23$90.47$91.0010.6%3.0%13.1%2.9%10.8%0.7%0.8%4.0M179.1M-2.4M0.592.24N/AN/A19,87811,718128,469131,856
2010-02-24$90.69$91.009.8%2.8%13.2%0.0%10.0%0.9%0.9%10.8M135.2M-2.6M0.712.69N/AN/A10,6597,595139,473136,458
2010-02-25$91.20$91.0010.0%2.9%13.4%1.3%10.3%1.1%0.8%15.5M72.0M-2.7M0.782.89N/AN/A8,1636,358144,695140,616
2010-02-26$91.67$91.009.6%2.8%13.5%0.0%11.4%1.2%0.6%18.9M-10.3M-2.6M0.683.66N/AN/A15,46810,539148,522143,335