TLT Options History — September 2010

In September 2010, TLT traded between $101.26 and $106.02. ATM implied volatility averaged 17.1%, placing in the 65.7% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 5.2% (HV 20d: 22.3%). Max pain ranged from $103.00 to $107.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2010-09-30: Highest Volume — 86,593 contracts
  • 2010-09-07: Largest IV spike — 28.8% change
  • 2010-09-07: Highest IV Rank — 83.4%
  • 2010-09-01: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.97$101.26$106.02$106.00$105.51
Max Pain$104.71$103.00$107.00$105.00$104.00
ATM IV17.1%15.0%19.4%18.9%16.8%
Expected Move4.8%4.2%5.4%5.4%4.4%
HV 20d22.3%18.1%24.2%21.1%18.1%
HV 60d17.7%16.7%18.4%16.8%18.2%
IV Rank65.7%50.0%83.4%79.6%63.2%
IV Percentile85.8%70.6%96.4%95.6%83.7%
Term Structure0.3%-0.5%1.3%0.4%0.9%
VWIV16.7%12.5%19.3%19.3%12.5%
Skew 25d0.1%-0.3%0.9%0.4%0.1%
Skew 10d0.6%-1.1%3.3%1.4%0.5%
Call IV 25d16.8%14.9%19.0%19.0%15.5%
Put IV 25d16.9%14.9%19.4%19.4%15.6%
Bid-Ask Spread %7.284.8312.196.994.83
Gamma HHI0.100.060.180.060.07
Net GEX-49.3K-57.6M56.8M8.2M24.1M
Net DEX-53.7M-462.3M492.0M-220.5M-338.1M
Net VEX-4.3M-4.6M-4.0M-4.6M-4.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.191.591.120.19
Total Volume39,190.66717,30486,59351,55286,593
Total OI461,440.571350,518536,766449,770444,000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$106.00$105.0018.9%5.4%21.1%79.6%19.3%0.4%0.4%8.2M-220.5M-4.6M1.126.99N/AN/A24,33027,222170,003279,767
2010-09-02$104.88$105.0017.9%5.0%21.7%71.6%17.9%0.3%1.3%-4.7M-60.0M-4.6M1.067.86N/AN/A19,48320,715178,666289,832
2010-09-03$103.58$107.0015.0%4.9%22.1%50.0%17.4%0.0%0.2%-20.7M129.9M-4.5M0.867.40N/AN/A24,73021,376185,435297,052
2010-09-07$105.70$107.0019.4%5.2%22.9%83.4%18.3%0.3%-0.5%10.2M-228.5M-4.6M0.546.21N/AN/A15,4458,301192,613300,095
2010-09-08$104.86$107.0016.8%5.1%23.3%63.4%18.0%0.1%-0.4%9.5M-106.7M-4.4M0.857.00N/AN/A9,3477,957197,722298,457
2010-09-09$102.79$107.0017.5%5.0%24.2%68.9%17.6%-0.3%0.1%-33.0M265.2M-4.2M1.095.67N/AN/A18,20319,860198,611299,663
2010-09-10$102.32$106.0017.1%4.9%24.2%65.8%17.3%-0.1%0.4%-44.0M336.4M-4.3M1.146.30N/AN/A20,54923,496204,722300,356
2010-09-13$102.83$104.0017.2%4.9%23.9%66.9%17.4%-0.0%0.0%-41.9M210.8M-4.3M0.687.49N/AN/A23,34815,776201,414303,429
2010-09-14$103.81$104.0017.6%5.0%22.4%69.6%17.8%0.1%-0.2%-15.8M-31.8M-4.4M0.966.13N/AN/A14,49713,865214,407309,909
2010-09-15$102.27$104.0017.4%5.0%22.9%68.5%17.9%-0.3%-0.2%-46.6M365.8M-4.4M1.599.77N/AN/A9,35614,853215,480309,173
2010-09-16$101.26$104.0016.8%4.8%23.1%63.1%16.9%0.3%0.3%-57.6M492.0M-4.1M0.869.29N/AN/A31,65027,333216,113310,878
2010-09-17$101.67$104.0016.7%4.8%22.3%63.0%17.0%0.1%0.5%-32.3M419.9M-4.2M0.864.84N/AN/A18,19015,588226,445310,321
2010-09-20$102.26$104.0017.0%4.9%22.5%64.8%17.2%-0.2%-0.1%641.4K38.1M-4.2M0.6712.19N/AN/A28,49319,139152,153198,365
2010-09-21$103.68$104.0015.6%4.5%23.1%54.1%15.8%0.8%0.4%25.0M-184.3M-4.3M0.595.92N/AN/A25,80615,234172,265213,155
2010-09-22$104.61$103.0015.7%4.5%22.6%55.0%16.0%0.2%0.1%53.0M-399.6M-4.0M1.007.20N/AN/A26,88626,845184,057217,130
2010-09-23$104.91$104.0015.4%4.4%22.6%52.6%15.8%0.9%0.1%56.8M-462.3M-4.2M0.719.25N/AN/A18,01812,731193,124228,841
2010-09-24$103.50$104.0015.4%4.2%22.7%52.5%14.9%0.3%0.6%15.5M-176.3M-4.5M1.105.31N/AN/A13,50814,844199,207233,136
2010-09-27$105.30$104.0017.5%4.4%21.4%68.6%15.3%0.3%0.3%29.0M-368.5M-4.2M0.665.38N/AN/A15,47510,195180,365224,964
2010-09-28$106.02$104.0018.3%4.4%20.4%74.7%15.2%-0.1%0.7%32.4M-431.0M-4.3M0.5811.87N/AN/A23,18313,470180,525230,042
2010-09-29$105.58$104.0019.1%4.3%19.9%81.5%15.1%-0.3%1.0%31.3M-378.9M-4.5M1.375.89N/AN/A11,41715,697193,287235,073
2010-09-30$105.51$104.0016.8%4.4%18.1%63.2%12.5%0.1%0.9%24.1M-338.1M-4.6M0.194.83N/AN/A72,68313,910198,093245,907