TLT Options History — May 2010

In May 2010, TLT traded between $91.69 and $98.57. ATM implied volatility averaged 16.9%, placing in the 50.7% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.8% (HV 20d: 17.7%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2010-05-06: Highest Volume — 48,877 contracts
  • 2010-05-06: Largest IV spike — 51.1% change
  • 2010-05-20: Highest IV Rank — 78.8%
  • 2010-05-20: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.51$91.69$98.57$91.69$96.50
Max Pain$92.40$90.00$95.00$90.00$95.00
ATM IV16.9%10.1%21.5%10.1%16.7%
Expected Move4.8%2.9%6.2%2.9%4.8%
HV 20d17.7%10.0%21.7%10.0%21.5%
HV 60d13.8%11.0%15.4%11.0%15.4%
IV Rank50.7%9.4%78.8%9.4%49.4%
IV Percentile69.5%9.1%92.9%9.1%73.0%
Term Structure0.1%-2.2%1.9%0.7%0.8%
VWIV17.3%10.4%21.9%10.4%16.9%
Skew 25d-0.4%-2.1%2.1%1.0%-1.3%
Skew 10d-0.5%-4.9%6.2%1.8%-2.9%
Call IV 25d17.6%10.0%23.4%10.0%18.3%
Put IV 25d17.2%11.0%21.6%11.0%17.0%
Bid-Ask Spread %11.155.4419.755.449.48
Gamma HHI0.070.060.100.100.07
Net GEX2.1M-14.8M16.4M2.0M-264.2K
Net DEX-408.2M-841.1M-59.0M-59.0M-336.5M
Net VEX-4.4M-4.8M-3.7M-3.7M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.182.220.850.18
Total Volume28,523.6512,77748,87712,77735,520
Total OI388,476.6325,452463,901325,452388,869

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$91.69$90.0010.1%2.9%10.0%9.4%10.4%1.0%0.7%2.0M-59.0M-3.7M0.855.44N/AN/A6,8995,878133,935191,517
2010-05-04$93.34$90.0013.3%3.8%11.4%28.4%13.6%0.9%-0.5%8.5M-284.9M-3.8M1.595.79N/AN/A13,20621,011136,732194,967
2010-05-05$93.89$91.0013.6%3.9%10.9%30.5%13.9%0.5%0.1%3.5M-333.7M-3.9M1.388.31N/AN/A20,30928,016140,286205,377
2010-05-06$96.79$91.0020.5%5.9%14.6%72.6%21.2%0.9%-2.2%3.8M-550.9M-4.2M0.7912.48N/AN/A27,31021,567146,046220,638
2010-05-07$95.58$92.0020.1%5.5%15.8%70.2%20.6%2.1%-0.7%-675.2K-404.4M-4.7M1.6713.89N/AN/A14,39423,997149,861226,926
2010-05-10$93.60$92.0015.7%4.3%18.0%43.2%15.1%0.6%0.4%-10.5M-206.9M-4.4M0.6015.25N/AN/A14,4838,638152,774236,257
2010-05-11$93.36$92.0014.2%4.1%18.0%34.4%14.5%0.0%1.3%-6.2M-205.1M-4.3M0.3913.64N/AN/A13,8875,414157,888235,025
2010-05-12$92.65$92.0012.2%3.6%18.1%22.0%12.9%0.5%1.5%-14.8M-75.1M-4.2M1.409.61N/AN/A7,25610,182159,993234,747
2010-05-13$93.26$92.0013.9%4.0%18.2%32.1%14.1%0.5%1.0%-14.7M-172.6M-4.2M1.326.04N/AN/A6,2588,245155,904238,257
2010-05-14$94.88$92.0017.1%4.9%18.9%51.9%17.5%-0.5%0.4%696.3K-397.4M-4.4M1.0910.10N/AN/A14,90316,248157,499238,783
2010-05-17$94.53$92.0017.7%5.1%18.9%55.2%18.5%-1.0%-0.0%1.2M-375.0M-4.3M1.0912.40N/AN/A9,38110,267157,480238,542
2010-05-18$95.98$92.0018.9%5.4%19.4%62.5%19.1%-2.0%-0.1%10.2M-573.1M-4.2M0.5411.55N/AN/A17,9589,634163,833244,482
2010-05-19$96.30$92.0018.3%5.2%19.3%59.0%18.6%-2.1%-0.3%16.4M-643.3M-4.4M0.9915.12N/AN/A23,79723,515173,943248,180
2010-05-20$98.33$93.0021.5%6.2%20.2%78.8%21.9%-1.8%-1.1%15.1M-841.1M-4.8M1.0615.11N/AN/A17,86119,014186,716264,165
2010-05-21$98.43$93.0020.2%5.8%20.0%70.6%20.5%-1.5%0.0%8.3M-836.8M-4.8M0.9119.75N/AN/A18,58216,869189,551274,350
2010-05-24$98.09$94.0020.0%5.7%20.2%69.5%20.9%-1.8%-0.3%5.5M-526.9M-4.8M1.4713.59N/AN/A7,27410,660160,232212,264
2010-05-25$98.57$94.0020.6%5.9%19.9%72.9%21.0%-1.2%-0.5%8.0M-560.3M-4.8M2.228.28N/AN/A8,54918,961162,636216,650
2010-05-26$98.29$94.0017.8%5.1%19.5%56.1%18.2%-0.5%0.5%8.1M-524.1M-4.8M1.4810.10N/AN/A6,4679,582166,566219,848
2010-05-27$96.06$95.0015.9%4.6%21.7%44.7%16.2%-0.7%1.9%-2.9M-256.9M-4.7M1.706.99N/AN/A6,84911,632165,987221,826
2010-05-28$96.50$95.0016.7%4.8%21.5%49.4%16.9%-1.3%0.8%-264.2K-336.5M-4.5M0.189.48N/AN/A30,1075,413165,761223,108