TLT Options History — August 2010

In August 2010, TLT traded between $98.56 and $108.56. ATM implied volatility averaged 16.2%, placing in the 58.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 0.0% (HV 20d: 16.2%). Max pain ranged from $98.00 to $104.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.88.

Notable Days

2010-08-31: Highest Volume — 168,816 contracts
2010-08-16: Largest IV spike — 10.9% change
2010-08-31: Highest IV Rank — 87.6%
2010-08-31: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$103.49	$98.56	$108.56	$98.75	$108.56
Max Pain	$100.32	$98.00	$104.00	$100.00	$104.00
ATM IV	16.2%	12.6%	19.9%	12.6%	19.9%
Expected Move	4.7%	3.6%	5.7%	3.6%	5.7%
HV 20d	16.2%	14.8%	19.4%	15.3%	19.0%
HV 60d	15.6%	15.0%	16.4%	16.3%	16.0%
IV Rank	58.7%	30.9%	87.6%	31.4%	87.6%
IV Percentile	76.8%	45.2%	97.6%	46.4%	97.6%
Term Structure	0.3%	-0.7%	1.2%	0.8%	-0.1%
VWIV	16.7%	13.0%	22.3%	13.0%	22.3%
Skew 25d	0.1%	-0.7%	1.1%	-0.7%	-0.1%
Skew 10d	0.5%	-1.4%	2.2%	-1.3%	0.5%
Call IV 25d	16.7%	13.4%	20.4%	13.4%	20.4%
Put IV 25d	16.8%	12.7%	20.4%	12.7%	20.2%
Bid-Ask Spread %	6.41	3.35	11.69	11.69	7.27
Gamma HHI	0.10	0.06	0.38	0.07	0.07
Net GEX	20.5M	-4.4M	86.1M	-2.2M	25.5M
Net DEX	-499.6M	-1.00B	-36.1M	-49.5M	-738.7M
Net VEX	-4.1M	-4.6M	-3.8M	-3.8M	-4.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.11	1.65	0.66	0.11
Total Volume	38,525.455	7,981	168,816	24,827	168,816
Total OI	404,971.5	349,739	466,927	349,739	462,911

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
2010-08-02	$98.75	$100.00	12.6%	3.6%	15.3%	31.4%	13.0%	-0.7%	0.8%	-2.2M	-49.5M	-3.8M	0.66	11.69	N/A	N/A	14,924	9,903	140,805	208,934
2010-08-03	$99.32	$100.00	13.9%	4.0%	15.2%	41.1%	14.2%	-0.4%	0.6%	3.3M	-120.3M	-3.9M	0.67	6.05	N/A	N/A	7,462	4,986	145,225	209,845
2010-08-04	$98.56	$100.00	13.9%	4.0%	14.9%	40.7%	14.1%	-0.5%	0.6%	-4.4M	-36.1M	-3.9M	1.65	5.29	N/A	N/A	3,958	6,523	148,064	211,823
2010-08-05	$99.02	$100.00	13.9%	4.0%	14.8%	41.0%	14.1%	-0.2%	0.4%	2.0M	-82.4M	-3.8M	1.53	5.81	N/A	N/A	5,351	8,184	148,938	213,403
2010-08-06	$100.10	$98.00	12.6%	4.0%	15.2%	30.9%	14.1%	0.1%	1.2%	7.7M	-212.1M	-3.9M	0.79	7.05	N/A	N/A	11,103	8,777	150,029	218,139
2010-08-09	$99.73	$98.00	13.7%	4.0%	15.3%	39.8%	14.3%	0.2%	1.0%	1.9M	-147.2M	-4.0M	1.06	4.17	N/A	N/A	3,873	4,108	152,226	220,812
2010-08-10	$99.94	$98.00	13.2%	4.0%	14.9%	35.9%	14.2%	0.3%	1.2%	5.0M	-190.5M	-3.8M	0.66	7.50	N/A	N/A	13,779	9,136	153,834	222,493
2010-08-11	$101.28	$98.00	13.5%	4.0%	15.2%	38.1%	14.3%	0.4%	1.1%	22.7M	-383.0M	-3.8M	0.71	5.10	N/A	N/A	15,511	10,995	157,038	224,992
2010-08-12	$101.03	$98.00	14.8%	4.2%	14.9%	48.0%	15.1%	0.3%	0.8%	20.2M	-355.0M	-4.0M	1.46	5.00	N/A	N/A	8,866	12,911	164,705	226,918
2010-08-13	$102.29	$98.00	15.1%	4.3%	15.4%	50.3%	15.3%	0.1%	0.6%	34.9M	-519.3M	-4.0M	1.21	3.35	N/A	N/A	14,761	17,870	166,111	230,339
2010-08-16	$104.85	$98.00	16.7%	4.8%	17.4%	62.9%	17.1%	0.3%	-0.7%	39.3M	-842.9M	-3.9M	0.98	7.59	N/A	N/A	32,009	31,266	171,123	236,270
2010-08-17	$104.25	$100.00	16.8%	4.8%	17.6%	63.1%	17.0%	0.3%	-0.6%	20.5M	-706.3M	-4.1M	0.75	5.34	N/A	N/A	23,485	17,501	176,193	257,120
2010-08-18	$104.53	$100.00	17.4%	5.0%	16.7%	68.1%	17.7%	0.1%	-0.3%	19.6M	-755.3M	-4.2M	0.92	5.29	N/A	N/A	26,850	24,588	182,827	261,253
2010-08-19	$106.16	$100.00	18.2%	5.2%	16.7%	74.1%	18.6%	0.1%	-0.7%	39.7M	-1.00B	-4.4M	0.62	7.20	N/A	N/A	36,638	22,840	196,253	269,203
2010-08-20	$106.04	$101.00	17.6%	5.1%	16.0%	70.0%	17.9%	0.5%	-0.5%	86.1M	-921.4M	-4.3M	0.53	6.44	N/A	N/A	30,370	16,140	193,407	273,520
2010-08-23	$106.06	$102.00	17.5%	5.0%	16.0%	69.3%	18.0%	-0.0%	-0.1%	18.6M	-600.8M	-4.2M	0.91	5.76	N/A	N/A	10,668	9,676	158,555	230,003
2010-08-24	$107.76	$102.00	18.2%	5.2%	15.8%	74.4%	18.6%	0.2%	-0.2%	25.0M	-781.3M	-4.0M	0.85	5.74	N/A	N/A	23,464	20,044	163,330	233,956
2010-08-25	$107.41	$102.00	19.0%	5.4%	16.1%	80.4%	19.3%	1.0%	0.0%	25.0M	-731.1M	-4.4M	0.87	8.96	N/A	N/A	23,696	20,622	173,495	241,486
2010-08-26	$108.42	$103.00	19.4%	5.6%	16.1%	83.8%	19.8%	1.1%	-0.2%	24.6M	-771.1M	-4.3M	0.51	6.48	N/A	N/A	18,254	9,268	176,461	249,397
2010-08-27	$105.35	$103.00	18.3%	5.2%	19.4%	74.7%	18.7%	-0.3%	0.8%	14.6M	-416.3M	-4.6M	1.05	7.68	N/A	N/A	30,798	32,305	181,160	252,890
2010-08-30	$107.37	$104.00	19.6%	5.6%	18.8%	84.9%	19.9%	0.1%	0.0%	22.2M	-628.7M	-4.6M	0.83	6.27	N/A	N/A	13,837	11,444	187,141	266,746
2010-08-31	$108.56	$104.00	19.9%	5.7%	19.0%	87.6%	22.3%	-0.1%	-0.1%	25.5M	-738.7M	-4.6M	0.11	7.27	N/A	N/A	151,976	16,840	189,315	273,596