TLT Options History — March 2010

In March 2010, TLT traded between $88.61 and $91.47. ATM implied volatility averaged 10.3%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded below realized volatility by 0.3% (HV 20d: 10.6%). Max pain ranged from $90.00 to $91.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.23.

Notable Days

2010-03-25: Highest Volume — 48,214 contracts
2010-03-24: Largest IV spike — 12.5% change
2010-03-25: Highest IV Rank — 11.4%
2010-03-25: Largest Expected Move — 3.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$90.28	$88.61	$91.47	$91.34	$89.50
Max Pain	$90.43	$90.00	$91.00	$91.00	$90.00
ATM IV	10.3%	9.1%	10.9%	10.6%	10.4%
Expected Move	3.0%	2.6%	3.1%	3.0%	3.0%
HV 20d	10.6%	8.1%	13.2%	13.2%	10.6%
HV 60d	12.1%	11.4%	12.5%	12.5%	11.9%
IV Rank	5.3%	0.0%	11.4%	6.2%	7.8%
IV Percentile	5.0%	0.0%	13.1%	5.2%	6.7%
Term Structure	0.9%	0.4%	1.3%	0.6%	0.7%
VWIV	10.6%	9.3%	11.6%	10.9%	10.4%
Skew 25d	0.7%	-0.5%	1.4%	1.1%	-0.3%
Skew 10d	1.0%	-2.8%	3.6%	2.4%	-1.0%
Call IV 25d	10.2%	9.0%	11.4%	10.2%	10.9%
Put IV 25d	10.9%	9.5%	11.7%	11.3%	10.6%
Bid-Ask Spread %	4.91	2.39	6.03	3.59	5.15
Gamma HHI	0.15	0.10	0.21	0.11	0.21
Net GEX	-3.6M	-34.7M	25.3M	15.6M	-32.5M
Net DEX	170.5M	-75.6M	365.7M	40.0M	212.1M
Net VEX	-2.7M	-2.9M	-2.5M	-2.9M	-2.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.23	0.29	3.50	1.04	0.47
Total Volume	18,162.478	6,719	48,214	15,883	23,343
Total OI	298,269.391	209,252	359,258	296,038	279,131

Daily Data (23 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
2010-03-01	$91.34	$91.00	10.6%	3.0%	13.2%	6.2%	10.9%	1.1%	0.6%	15.6M	40.0M	-2.9M	1.04	3.59	N/A	N/A	7,796	8,087	147,093	148,945
2010-03-02	$91.22	$91.00	10.6%	3.0%	12.4%	6.1%	11.6%	1.4%	0.6%	12.4M	68.3M	-2.9M	1.89	2.39	N/A	N/A	2,591	4,885	150,798	152,734
2010-03-03	$90.99	$91.00	10.5%	3.0%	12.3%	5.8%	10.8%	1.1%	0.6%	13.1M	85.6M	-2.9M	1.17	2.49	N/A	N/A	3,090	3,629	151,815	152,832
2010-03-04	$91.47	$91.00	9.9%	2.8%	11.7%	1.9%	10.0%	1.0%	0.7%	20.3M	8.0M	-2.9M	0.98	2.85	N/A	N/A	3,919	3,832	153,301	153,999
2010-03-05	$90.27	$90.00	10.3%	3.1%	11.3%	4.5%	10.8%	0.9%	1.1%	4.0M	229.4M	-2.8M	1.61	5.64	N/A	N/A	5,612	9,045	155,490	155,212
2010-03-08	$89.80	$90.00	10.5%	3.1%	11.3%	5.6%	11.2%	1.1%	1.0%	-5.5M	334.4M	-2.7M	1.60	6.03	N/A	N/A	4,775	7,658	157,101	157,972
2010-03-09	$89.82	$90.00	10.2%	3.0%	11.3%	3.6%	10.6%	1.3%	1.0%	-3.6M	328.5M	-2.6M	1.64	5.83	N/A	N/A	3,644	5,964	159,270	160,768
2010-03-10	$89.59	$90.00	9.8%	2.9%	10.8%	1.1%	10.5%	1.2%	1.2%	-9.4M	365.7M	-2.6M	0.85	5.58	N/A	N/A	11,860	10,067	160,263	161,660
2010-03-11	$89.92	$90.00	10.4%	3.0%	10.4%	5.2%	10.7%	1.2%	1.1%	1.2M	301.2M	-2.7M	0.77	5.05	N/A	N/A	8,253	6,364	165,458	165,250
2010-03-12	$90.48	$90.00	10.4%	3.0%	10.5%	5.1%	10.4%	1.0%	1.1%	9.6M	190.4M	-2.7M	1.18	5.52	N/A	N/A	4,265	5,035	163,194	168,470
2010-03-15	$90.36	$90.00	10.5%	3.0%	10.4%	5.9%	10.6%	1.1%	1.0%	2.1M	210.7M	-2.6M	1.14	5.70	N/A	N/A	4,021	4,576	162,253	169,721
2010-03-16	$91.08	$90.00	10.5%	3.0%	10.7%	5.5%	10.7%	1.1%	1.0%	25.3M	62.3M	-2.7M	3.50	5.63	N/A	N/A	7,731	27,047	164,691	171,669
2010-03-17	$91.47	$90.00	10.3%	2.9%	9.8%	4.2%	10.7%	0.7%	1.1%	18.1M	-75.6M	-2.7M	0.29	5.33	N/A	N/A	19,223	5,557	166,186	179,828
2010-03-18	$91.17	$90.00	10.1%	2.9%	9.8%	3.1%	10.1%	0.7%	1.1%	-814.3K	-9.6M	-2.7M	0.65	5.29	N/A	N/A	20,704	13,427	177,088	181,903
2010-03-19	$91.26	$90.00	9.9%	2.8%	9.7%	1.7%	9.9%	0.7%	1.3%	-13.4M	-53.4M	-2.7M	0.80	5.90	N/A	N/A	8,148	6,485	176,907	182,351
2010-03-22	$91.36	$91.00	9.4%	2.7%	9.5%	0.0%	9.5%	0.4%	0.9%	5.8M	36.7M	-2.7M	1.35	5.02	N/A	N/A	8,078	10,912	92,528	116,724
2010-03-23	$90.93	$91.00	9.1%	2.6%	8.1%	0.0%	9.3%	0.5%	1.1%	-4.5M	86.1M	-2.7M	1.47	4.03	N/A	N/A	4,157	6,124	98,133	124,789
2010-03-24	$89.27	$91.00	10.3%	2.9%	10.4%	7.2%	10.5%	-0.1%	0.6%	-19.4M	261.8M	-2.5M	1.25	4.24	N/A	N/A	16,754	20,942	100,554	128,628
2010-03-25	$88.70	$91.00	10.9%	3.1%	10.3%	11.4%	11.1%	-0.1%	0.4%	-22.7M	326.1M	-2.6M	1.44	5.63	N/A	N/A	19,737	28,477	107,006	137,871
2010-03-26	$88.95	$91.00	10.4%	3.0%	10.1%	8.3%	10.7%	0.1%	0.8%	-30.5M	292.5M	-2.9M	0.54	4.95	N/A	N/A	6,708	3,645	112,290	149,081
2010-03-29	$88.61	$91.00	10.9%	3.1%	10.1%	10.9%	11.2%	-0.5%	0.4%	-34.7M	317.3M	-2.8M	1.41	6.03	N/A	N/A	7,701	10,859	115,627	149,917
2010-03-30	$88.89	$90.00	10.8%	3.1%	10.3%	10.4%	11.0%	-0.1%	0.8%	-33.5M	303.7M	-2.9M	1.27	5.13	N/A	N/A	5,729	7,281	119,426	154,269
2010-03-31	$89.50	$90.00	10.4%	3.0%	10.6%	7.8%	10.4%	-0.3%	0.7%	-32.5M	212.1M	-2.8M	0.47	5.15	N/A	N/A	15,846	7,497	121,085	158,046