TLT Options History — July 2010

In July 2010, TLT traded between $98.33 and $102.03. ATM implied volatility averaged 12.9%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 0.1% (HV 20d: 13.0%). Max pain ranged from $100.00 to $101.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2010-07-30: Highest Volume — 74,598 contracts
  • 2010-07-15: Largest IV spike — 19.8% change
  • 2010-07-01: Highest IV Rank — 54.4%
  • 2010-07-01: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.06$98.33$102.03$101.60$100.48
Max Pain$100.29$100.00$101.00$100.00$100.00
ATM IV12.9%11.2%15.6%15.6%12.6%
Expected Move3.8%3.4%4.5%4.5%3.6%
HV 20d13.0%11.3%15.0%15.0%14.3%
HV 60d16.7%16.0%17.2%16.0%17.0%
IV Rank33.2%20.4%54.4%54.4%31.3%
IV Percentile43.8%27.0%66.3%66.3%46.0%
Term Structure0.6%-0.3%1.2%-0.3%1.2%
VWIV13.5%12.3%16.0%16.0%12.7%
Skew 25d-0.0%-1.3%0.7%0.5%-1.3%
Skew 10d0.6%-2.8%1.9%1.1%-2.8%
Call IV 25d13.7%12.2%16.0%16.0%13.9%
Put IV 25d13.6%12.2%16.5%16.5%12.6%
Bid-Ask Spread %7.255.0912.266.2410.03
Gamma HHI0.070.060.100.070.08
Net GEX1.6M-23.1M15.9M15.0M15.9M
Net DEX-205.5M-406.9M72.7M-406.9M-337.2M
Net VEX-3.6M-4.0M-3.3M-3.8M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.192.340.690.19
Total Volume19,511.5717,59574,59827,55274,598
Total OI340,138.238307,411373,156328,483344,138

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$101.60$100.0015.6%4.5%15.0%54.4%16.0%0.5%-0.3%15.0M-406.9M-3.8M0.696.24N/AN/A16,28811,264130,097198,386
2010-07-02$100.79$100.0014.0%4.0%12.8%41.7%14.2%0.7%0.3%7.5M-295.5M-4.0M1.615.65N/AN/A8,43413,557131,429202,560
2010-07-06$101.62$100.0014.1%4.1%12.8%42.3%14.5%0.3%0.7%14.6M-399.4M-3.8M2.347.86N/AN/A5,90113,781133,610210,435
2010-07-07$100.43$100.0013.6%4.1%13.5%38.9%14.5%0.0%0.4%4.9M-261.6M-3.8M1.836.96N/AN/A5,0869,301135,250213,170
2010-07-08$99.79$101.0012.8%4.0%13.7%32.5%14.3%0.1%0.6%-4.3M-147.6M-3.8M1.135.53N/AN/A9,11510,292135,846214,737
2010-07-09$99.22$101.0012.3%3.9%12.1%29.0%13.6%0.4%0.9%-11.5M-61.8M-3.8M1.446.23N/AN/A6,2869,077138,548218,918
2010-07-12$99.18$100.0013.1%3.9%11.3%35.2%13.8%0.2%0.9%-11.0M-58.1M-3.8M0.817.31N/AN/A6,5425,274139,445219,210
2010-07-13$98.33$100.0011.3%3.8%11.7%21.3%13.7%-0.1%0.5%-23.1M72.7M-3.6M0.995.55N/AN/A11,88211,787140,344218,699
2010-07-14$99.32$100.0011.2%4.0%11.9%20.4%14.3%0.5%-0.0%-8.8M-88.5M-3.4M1.547.55N/AN/A7,87112,104141,556218,182
2010-07-15$100.31$100.0013.4%3.9%12.2%37.5%13.9%-0.2%0.4%3.5M-239.4M-3.7M1.507.62N/AN/A11,03216,514141,923221,223
2010-07-16$100.80$100.0013.2%3.8%12.1%35.6%13.5%0.2%0.5%-5.1M-303.0M-3.6M0.725.81N/AN/A9,7987,079143,524229,632
2010-07-19$100.18$100.0012.3%3.5%12.3%28.9%12.6%-0.4%1.0%4.8M-215.1M-3.6M0.717.40N/AN/A8,3165,933116,863190,548
2010-07-20$100.33$100.0012.5%3.6%12.2%30.2%12.7%-0.2%0.5%5.4M-233.2M-3.5M0.575.09N/AN/A6,1003,475120,793193,441
2010-07-21$102.03$100.0013.5%3.9%12.9%38.1%13.7%-0.1%0.3%13.4M-372.2M-3.6M0.937.99N/AN/A8,4457,830123,318194,221
2010-07-22$100.85$101.0012.6%3.6%13.6%30.9%12.8%0.0%1.0%9.1M-280.7M-3.6M1.415.85N/AN/A4,3636,163126,391197,827
2010-07-23$99.78$101.0012.6%3.6%14.0%31.1%12.9%0.3%0.9%2.1M-174.2M-3.5M1.147.24N/AN/A5,1185,812127,427199,413
2010-07-26$99.61$101.0012.0%3.4%13.9%26.4%12.3%0.0%1.0%1.8M-167.0M-3.3M1.377.96N/AN/A3,2114,384128,460199,895
2010-07-27$98.65$101.0012.7%3.7%13.9%32.1%12.9%-0.6%0.7%-3.5M-76.5M-3.3M1.1812.26N/AN/A8,70810,253128,603199,614
2010-07-28$98.97$100.0012.4%3.6%13.4%30.0%12.6%-0.2%0.6%-1.6M-113.9M-3.4M0.647.89N/AN/A10,6466,837132,403201,491
2010-07-29$98.94$100.0012.4%3.5%13.0%29.2%12.5%-1.2%0.6%4.8M-155.3M-3.3M0.588.31N/AN/A7,1454,141139,300202,033
2010-07-30$100.48$100.0012.6%3.6%14.3%31.3%12.7%-1.3%1.2%15.9M-337.2M-3.6M0.1910.03N/AN/A62,90611,692141,719202,419