TLT Options History — October 2010

In October 2010, TLT traded between $99.22 and $105.56. ATM implied volatility averaged 16.0%, placing in the 57.4% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.4% (HV 20d: 14.6%). Max pain ranged from $102.00 to $105.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2010-10-15: Highest Volume — 69,606 contracts
  • 2010-10-29: Largest IV spike — 29.3% change
  • 2010-10-29: Highest IV Rank — 100.0%
  • 2010-10-29: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.29$99.22$105.56$104.61$100.42
Max Pain$103.76$102.00$105.00$105.00$102.00
ATM IV16.0%12.8%21.9%16.3%21.9%
Expected Move4.5%4.1%5.0%4.3%5.0%
HV 20d14.6%12.3%18.0%18.0%13.6%
HV 60d18.2%18.0%18.3%18.2%18.0%
IV Rank57.4%32.5%100.0%59.5%100.0%
IV Percentile75.1%47.6%100.0%80.2%100.0%
Term Structure0.3%-0.5%1.1%1.1%-0.5%
VWIV16.0%14.2%17.6%15.5%17.6%
Skew 25d0.3%-0.3%1.0%0.5%0.0%
Skew 10d1.2%-1.1%2.7%1.1%-0.1%
Call IV 25d16.0%14.2%17.7%15.1%17.7%
Put IV 25d16.3%14.6%17.7%15.6%17.7%
Bid-Ask Spread %11.926.2218.9410.7617.72
Gamma HHI0.100.060.400.060.07
Net GEX-11.4M-121.2M22.0M11.6M1.7M
Net DEX260.5M-220.5M817.2M-82.9M381.7M
Net VEX-4.5M-4.8M-4.0M-4.8M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.532.511.520.72
Total Volume28,591.6197,27269,60631,79419,603
Total OI457,582.143413,431510,204442,869468,577

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$104.61$105.0016.3%4.3%18.0%59.5%15.5%0.5%1.1%11.6M-82.9M-4.8M1.5210.76N/AN/A12,61319,181192,774250,095
2010-10-04$104.88$105.0018.6%4.7%17.4%77.1%16.4%0.6%0.3%13.5M-108.0M-4.7M1.116.22N/AN/A10,99012,175192,817253,382
2010-10-05$104.25$105.0019.3%4.6%15.9%82.4%16.3%0.3%0.2%6.2M-13.5M-4.8M2.177.06N/AN/A8,95719,458198,873259,066
2010-10-06$105.56$105.0015.2%4.4%16.3%50.7%15.7%0.3%0.5%22.0M-220.5M-4.6M1.167.51N/AN/A11,08912,893198,039267,869
2010-10-07$104.68$105.0015.2%4.6%14.8%50.8%16.6%0.5%0.2%9.3M-72.6M-4.6M1.207.42N/AN/A7,9669,566200,970269,215
2010-10-08$104.22$105.0012.9%4.2%14.8%33.1%14.9%0.2%0.7%-19.0M55.9M-4.4M0.828.92N/AN/A10,0238,236202,826274,095
2010-10-11$104.24$105.0014.0%4.1%14.7%42.0%14.4%0.5%0.8%16.3M28.0M-4.4M0.768.44N/AN/A7,8185,956199,656264,556
2010-10-12$103.21$105.0013.2%4.1%14.8%35.9%14.2%0.4%1.1%-11.0M230.6M-4.0M0.966.68N/AN/A20,52019,716199,742264,639
2010-10-13$103.05$105.0012.8%4.2%13.8%32.5%14.6%0.7%0.7%-11.0M286.5M-4.4M1.2012.17N/AN/A21,18825,479208,967274,749
2010-10-14$101.51$104.0015.7%4.5%14.4%54.7%15.9%0.5%0.3%-56.1M585.9M-4.6M1.6610.73N/AN/A18,17330,179217,480284,011
2010-10-15$100.27$104.0015.9%4.5%15.0%56.3%16.2%0.6%0.4%-121.2M817.2M-4.4M2.5116.92N/AN/A19,82549,781224,186286,018
2010-10-18$101.08$104.0015.8%4.5%15.1%55.3%15.9%1.0%0.4%-15.9M370.2M-4.3M1.1012.07N/AN/A15,06416,503177,407236,024
2010-10-19$101.69$104.0015.9%4.5%14.4%56.3%16.1%0.4%0.2%-7.1M291.4M-4.4M1.0913.37N/AN/A15,66917,014182,055239,361
2010-10-20$101.91$103.0015.3%4.4%13.9%52.3%15.4%-0.2%0.3%-1.1M216.3M-4.4M1.0813.02N/AN/A8,2618,930189,645244,313
2010-10-21$100.70$103.0016.3%4.7%14.3%59.3%16.4%-0.3%-0.2%-28.8M417.4M-4.4M1.0114.34N/AN/A13,53213,632192,530246,510
2010-10-22$101.38$102.0015.8%4.5%14.0%56.0%16.1%0.1%0.2%-5.5M319.1M-4.5M1.1718.85N/AN/A4,2424,984199,634252,509
2010-10-25$101.67$102.0016.5%4.7%12.3%60.9%16.7%-0.1%-0.1%671.7K249.3M-4.4M0.5314.42N/AN/A4,7632,509192,986242,961
2010-10-26$100.10$102.0017.1%4.9%12.8%65.4%17.3%-0.1%0.1%-14.2M496.3M-4.3M0.949.46N/AN/A20,17918,944194,393243,430
2010-10-27$99.22$102.0016.4%4.7%13.0%60.1%16.8%-0.1%0.2%-19.4M638.1M-4.2M0.8215.35N/AN/A18,07214,822205,925253,119
2010-10-28$99.49$102.0016.9%4.9%13.1%64.6%17.3%-0.2%0.0%-10.8M584.2M-4.5M0.5618.94N/AN/A14,0657,854211,230252,591
2010-10-29$100.42$102.0021.9%5.0%13.6%100.0%17.6%0.0%-0.5%1.7M381.7M-4.4M0.7217.72N/AN/A11,3758,228217,122251,455