TLT Options History — April 2010

In April 2010, TLT traded between $87.47 and $92.13. ATM implied volatility averaged 9.9%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded below realized volatility by 1.6% (HV 20d: 11.6%). Max pain ranged from $88.00 to $90.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2010-04-30: Highest Volume — 125,281 contracts
  • 2010-04-15: Largest IV spike — 18.4% change
  • 2010-04-27: Highest IV Rank — 18.9%
  • 2010-04-27: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.73$87.47$92.13$88.95$92.13
Max Pain$88.81$88.00$90.00$90.00$89.00
ATM IV9.9%8.6%11.7%10.4%10.7%
Expected Move3.0%2.7%3.3%3.0%3.1%
HV 20d11.6%10.3%12.5%10.5%11.8%
HV 60d11.5%11.1%12.4%11.9%11.4%
IV Rank7.4%0.0%18.9%8.0%12.7%
IV Percentile6.7%0.0%30.2%7.1%20.2%
Term Structure1.1%0.6%1.5%0.8%0.8%
VWIV10.6%9.4%12.0%10.6%10.8%
Skew 25d0.6%0.0%1.6%0.1%0.7%
Skew 10d1.6%-0.2%3.9%-0.1%1.3%
Call IV 25d10.4%9.2%11.6%10.7%10.7%
Put IV 25d11.0%9.8%12.5%10.8%11.4%
Bid-Ask Spread %5.423.847.625.237.62
Gamma HHI0.140.100.230.180.11
Net GEX-13.9M-40.5M15.8M-28.2M6.6M
Net DEX107.8M-247.7M482.2M242.6M-247.7M
Net VEX-3.3M-3.8M-3.0M-3.1M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.082.880.520.08
Total Volume24,760.5245,438125,28111,838125,281
Total OI311,141.048270,911334,900290,403331,543

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$88.95$90.0010.4%3.0%10.5%8.0%10.6%0.1%0.8%-28.2M242.6M-3.1M0.525.23N/AN/A7,7744,064129,325161,078
2010-04-05$87.47$89.0010.4%3.2%11.1%7.8%11.3%0.5%0.6%-40.5M482.2M-3.0M0.935.59N/AN/A19,97818,595132,630161,848
2010-04-06$87.61$88.0010.4%3.3%11.1%8.2%11.6%0.3%0.6%-34.4M423.3M-3.2M1.945.65N/AN/A4,9719,663141,221166,049
2010-04-07$88.73$88.0010.2%3.3%12.1%7.0%11.5%0.0%0.6%-28.7M207.1M-3.2M1.075.19N/AN/A15,17216,239141,728169,407
2010-04-08$88.77$88.008.9%3.1%12.1%0.0%10.9%0.1%0.8%-32.5M209.3M-3.1M0.455.73N/AN/A21,0349,503141,728169,407
2010-04-09$88.98$88.009.1%3.1%12.1%1.3%11.2%0.1%1.0%-29.4M185.1M-3.2M2.886.36N/AN/A4,30112,396144,747176,461
2010-04-12$89.45$88.0010.3%3.1%12.0%8.5%10.7%0.2%1.0%-17.8M140.4M-3.1M1.816.23N/AN/A6,19811,246141,213179,592
2010-04-13$89.74$89.009.8%3.1%12.1%5.3%11.0%0.4%1.1%-9.1M107.1M-3.4M1.385.16N/AN/A6,3178,728143,893183,983
2010-04-14$89.11$89.008.6%3.0%11.9%0.0%10.4%0.4%1.2%-31.9M212.9M-3.0M2.424.91N/AN/A3,6118,730145,010187,107
2010-04-15$89.21$89.0010.2%2.9%11.8%9.6%10.3%0.5%1.3%-28.1M210.1M-3.1M1.275.53N/AN/A5,0916,488145,654188,229
2010-04-16$89.86$89.009.8%2.8%12.1%7.2%9.9%0.7%1.4%15.8M87.1M-3.3M0.554.68N/AN/A24,43513,316147,045187,855
2010-04-19$89.64$89.009.7%2.8%12.1%6.8%9.8%0.8%1.2%-9.9M106.3M-3.0M0.835.05N/AN/A14,68612,132115,788155,123
2010-04-20$89.96$89.009.4%2.7%12.2%4.9%9.4%0.5%1.5%-7.0M50.5M-3.1M0.833.84N/AN/A2,9692,469124,469164,462
2010-04-21$90.70$89.009.3%2.7%12.5%4.5%9.7%1.3%1.5%-3.6M-16.3M-3.5M1.285.35N/AN/A9,52812,154125,780165,457
2010-04-22$90.43$89.0010.0%2.9%10.5%8.4%10.1%0.9%1.2%-4.6M6.3M-3.6M0.535.07N/AN/A7,2043,800131,445170,477
2010-04-23$90.11$89.009.7%2.8%10.3%6.7%9.9%0.8%1.4%-7.1M36.0M-3.3M1.404.39N/AN/A3,8055,319132,703171,815
2010-04-26$90.21$89.009.9%2.8%10.3%8.1%10.0%0.9%1.2%-5.8M18.2M-3.2M1.365.67N/AN/A2,9714,032133,483172,582
2010-04-27$91.48$89.0011.7%3.3%11.2%18.9%12.0%1.3%0.8%579.6K-115.1M-3.6M0.836.13N/AN/A18,89515,701134,433174,459
2010-04-28$90.70$89.0010.9%3.1%11.7%14.1%11.2%1.1%1.2%1.7M-18.3M-3.8M1.506.08N/AN/A10,24515,375141,862177,330
2010-04-29$91.08$89.009.7%2.8%11.6%7.1%9.6%1.6%1.3%2.6M-63.3M-3.8M1.304.45N/AN/A6,7718,784141,074184,467
2010-04-30$92.13$89.0010.7%3.1%11.8%12.7%10.8%0.7%0.8%6.6M-247.7M-3.7M0.087.62N/AN/A116,4918,790143,951187,592