TLT Options History — June 2010 In June 2010, TLT traded between $95.23 and $101.75. ATM implied volatility averaged 16.0%, placing in the 52.2% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 2.3% (HV 20d: 18.3%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.18.
Notable Days 2010-06-30 : Highest Volume — 103,665 contracts2010-06-02 : Largest IV drop — 12.4% change2010-06-07 : Highest IV Rank — 70.9%2010-06-08 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $97.98 $95.23 $101.75 $96.85 $101.75 Max Pain $97.64 $95.00 $100.00 $95.00 $100.00 ATM IV 16.0% 14.0% 19.0% 18.4% 15.4% Expected Move 4.6% 4.0% 5.5% 5.3% 4.4% HV 20d 18.3% 15.4% 21.3% 21.3% 15.4% HV 60d 16.3% 15.1% 16.9% 15.1% 16.2% IV Rank 52.2% 40.3% 70.9% 60.0% 52.5% IV Percentile 66.3% 48.0% 90.9% 86.5% 62.7% Term Structure 0.6% -0.2% 1.6% -0.1% 0.4% VWIV 16.5% 14.2% 19.4% 19.2% 15.4% Skew 25d -0.8% -1.3% -0.1% -0.5% -0.6% Skew 10d -1.4% -2.9% 0.9% -0.9% -1.3% Call IV 25d 17.0% 14.5% 20.5% 19.5% 16.1% Put IV 25d 16.2% 14.1% 19.2% 19.0% 15.5% Bid-Ask Spread % 8.05 4.60 24.43 7.55 6.66 Gamma HHI 0.08 0.07 0.10 0.07 0.09 Net GEX 5.4M -11.2M 28.4M -2.8M 21.2M Net DEX -329.1M -596.7M -16.1M -238.8M -596.7M Net VEX -4.2M -4.6M -3.9M -4.6M -3.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.18 0.12 2.06 1.77 0.12 Total Volume 20,632.227 9,178 103,665 11,888 103,665 Total OI 377,359.955 299,563 437,424 378,253 343,289
Daily Data (22 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 2010-06-01 $96.85 $95.00 18.4% 5.3% 21.3% 60.0% 19.2% -0.5% -0.1% -2.8M -238.8M -4.6M 1.77 7.55 N/A N/A 4,299 7,589 154,125 224,128 2010-06-02 $95.93 $95.00 16.2% 4.6% 21.0% 49.8% 16.7% -0.1% 0.7% -7.0M -120.3M -4.5M 1.46 8.57 N/A N/A 4,390 6,416 155,890 226,905 2010-06-03 $95.23 $95.00 15.9% 4.6% 21.1% 50.0% 16.6% -1.0% 0.2% -10.8M -16.1M -4.6M 0.52 5.26 N/A N/A 8,532 4,456 157,856 229,250 2010-06-04 $97.79 $97.00 17.8% 5.1% 20.4% 62.7% 18.3% -0.1% 0.2% 8.7M -379.4M -4.5M 0.64 8.89 N/A N/A 13,574 8,668 162,494 229,520 2010-06-07 $98.54 $97.00 19.0% 5.4% 19.9% 70.9% 19.4% -0.7% -0.2% 13.6M -487.0M -4.4M 0.41 10.26 N/A N/A 13,237 5,494 166,062 231,996 2010-06-08 $98.05 $98.00 18.1% 5.5% 18.3% 64.5% 19.4% -1.3% -0.0% 12.6M -412.6M -4.6M 0.85 9.63 N/A N/A 5,702 4,874 172,003 234,311 2010-06-09 $97.94 $98.00 16.9% 5.4% 18.3% 56.6% 18.9% -0.8% 0.3% 10.3M -396.3M -4.6M 2.06 10.19 N/A N/A 2,995 6,183 172,429 236,221 2010-06-10 $96.19 $98.00 17.1% 4.9% 19.4% 58.2% 18.0% -0.6% 0.8% -5.4M -156.8M -4.4M 1.73 8.14 N/A N/A 4,914 8,483 173,276 239,183 2010-06-11 $97.41 $98.00 17.3% 5.0% 19.7% 59.3% 17.4% -0.9% 0.8% 3.6M -336.7M -4.4M 1.07 8.56 N/A N/A 5,316 5,684 174,227 241,977 2010-06-14 $96.91 $98.00 16.2% 4.7% 19.0% 52.1% 16.7% -0.8% 1.1% -5.2M -257.4M -4.1M 1.16 5.62 N/A N/A 7,686 8,881 175,037 243,856 2010-06-15 $96.51 $98.00 15.9% 4.5% 19.0% 49.5% 16.5% -1.1% 1.2% -11.2M -205.5M -4.1M 1.56 7.54 N/A N/A 5,356 8,334 178,318 246,746 2010-06-16 $97.06 $98.00 15.3% 4.4% 18.3% 47.2% 15.5% -1.3% 1.1% -9.3M -277.7M -4.1M 1.21 7.11 N/A N/A 6,563 7,909 178,889 247,914 2010-06-17 $97.85 $98.00 15.0% 4.3% 18.5% 45.2% 15.2% -0.9% 1.6% -2.5M -410.0M -4.1M 1.73 6.92 N/A N/A 5,514 9,521 180,495 251,551 2010-06-18 $97.69 $98.00 14.3% 4.1% 16.9% 40.7% 14.6% -1.2% 1.5% -1.5M -341.4M -4.1M 1.59 24.43 N/A N/A 8,748 13,870 180,688 256,736 2010-06-21 $97.41 $98.00 14.0% 4.0% 17.0% 40.3% 14.2% -0.4% 0.7% 1.4M -191.7M -4.1M 1.78 7.98 N/A N/A 5,855 10,398 129,342 170,221 2010-06-22 $98.57 $97.00 14.6% 4.2% 17.5% 44.5% 14.7% -0.4% 0.1% 7.9M -302.1M -3.9M 0.64 4.60 N/A N/A 10,390 6,629 130,572 173,083 2010-06-23 $99.24 $97.00 14.7% 4.2% 17.5% 47.1% 14.8% -0.6% 0.3% 15.2M -373.6M -4.1M 1.23 5.02 N/A N/A 14,026 17,309 137,286 174,248 2010-06-24 $98.65 $99.00 14.5% 4.2% 17.7% 45.7% 14.9% -1.0% 1.0% 11.4M -314.0M -4.1M 0.76 6.36 N/A N/A 7,999 6,104 142,371 183,002 2010-06-25 $99.05 $98.00 14.4% 4.1% 15.4% 45.1% 14.7% -1.1% 0.9% 17.5M -384.0M -3.9M 1.78 5.49 N/A N/A 5,118 9,091 144,057 182,281 2010-06-28 $99.98 $99.00 14.8% 4.2% 15.6% 48.0% 15.1% -1.1% 0.2% 21.7M -459.0M -3.9M 0.56 5.28 N/A N/A 10,606 5,986 144,707 186,276 2010-06-29 $101.07 $99.00 16.2% 4.7% 16.0% 59.1% 16.2% -0.4% 0.1% 28.4M -582.8M -3.9M 1.41 6.98 N/A N/A 15,548 21,997 151,494 187,607 2010-06-30 $101.75 $100.00 15.4% 4.4% 15.4% 52.5% 15.4% -0.6% 0.4% 21.2M -596.7M -3.9M 0.12 6.66 N/A N/A 92,178 11,487 147,549 195,740
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