TLT Options History — November 2010

In November 2010, TLT traded between $93.81 and $100.98. ATM implied volatility averaged 18.1%, placing in the 55.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.1% (HV 20d: 18.2%). Max pain ranged from $101.00 to $105.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.07.

Notable Days

2010-11-16: Highest Volume — 62,738 contracts
2010-11-04: Largest IV drop — 28.3% change
2010-11-01: Highest IV Rank — 100.0%
2010-11-26: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$97.25	$93.81	$100.98	$99.67	$98.41
Max Pain	$102.48	$101.00	$105.00	$102.00	$101.00
ATM IV	18.1%	14.1%	25.9%	24.9%	20.3%
Expected Move	4.8%	4.3%	5.4%	5.2%	5.3%
HV 20d	18.2%	13.6%	20.9%	13.6%	20.9%
HV 60d	18.3%	17.4%	19.3%	18.0%	17.4%
IV Rank	55.0%	32.0%	100.0%	100.0%	67.6%
IV Percentile	83.1%	61.1%	100.0%	100.0%	96.8%
Term Structure	-0.5%	-1.4%	0.4%	-1.4%	-1.4%
VWIV	17.2%	15.1%	19.1%	18.4%	18.3%
Skew 25d	0.2%	-0.9%	1.0%	-0.3%	-0.9%
Skew 10d	0.4%	-1.6%	3.3%	-0.4%	-1.6%
Call IV 25d	17.1%	15.1%	19.3%	18.6%	19.3%
Put IV 25d	17.3%	14.9%	19.1%	18.3%	18.4%
Bid-Ask Spread %	11.77	9.26	15.44	15.20	10.07
Gamma HHI	0.09	0.07	0.13	0.07	0.12
Net GEX	-22.2M	-47.0M	8.6M	-926.2K	-16.3M
Net DEX	789.8M	279.9M	1.29B	464.0M	376.2M
Net VEX	-3.8M	-4.6M	-3.2M	-4.4M	-3.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.26	3.31	1.72	0.60
Total Volume	34,444.048	12,033	62,738	24,171	40,294
Total OI	497,886.238	428,620	548,789	460,260	493,314

Daily Data (21 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
2010-11-01	$99.67	$102.00	24.9%	5.2%	13.6%	100.0%	18.4%	-0.3%	-1.4%	-926.2K	464.0M	-4.4M	1.72	15.20	N/A	N/A	8,886	15,285	210,510	249,750
2010-11-02	$100.98	$101.00	25.9%	5.0%	14.6%	100.0%	17.7%	0.5%	-1.1%	8.6M	279.9M	-4.6M	0.67	11.04	N/A	N/A	23,265	15,692	213,515	257,323
2010-11-03	$98.92	$101.00	21.2%	4.3%	15.1%	72.8%	15.7%	-0.9%	0.0%	-19.1M	669.2M	-4.1M	1.02	12.89	N/A	N/A	28,304	28,993	219,123	266,484
2010-11-04	$99.69	$101.00	15.2%	4.3%	15.5%	38.3%	15.2%	-0.8%	0.4%	-14.9M	531.3M	-4.3M	1.03	14.71	N/A	N/A	17,098	17,540	221,724	272,140
2010-11-05	$97.98	$105.00	14.1%	4.3%	16.3%	32.0%	15.1%	0.5%	0.2%	-47.0M	914.5M	-4.0M	1.29	13.64	N/A	N/A	14,981	19,352	228,915	281,833
2010-11-08	$98.42	$105.00	15.2%	4.4%	16.5%	37.9%	15.4%	0.8%	-0.2%	-31.9M	790.6M	-4.0M	0.50	11.65	N/A	N/A	11,879	5,990	221,024	274,148
2010-11-09	$96.25	$104.00	18.3%	4.7%	17.8%	56.2%	17.0%	0.7%	-0.4%	-38.7M	1.09B	-3.6M	1.38	15.44	N/A	N/A	20,892	28,728	224,872	275,498
2010-11-10	$96.38	$105.00	15.5%	4.7%	17.8%	39.8%	16.7%	0.7%	-0.1%	-44.4M	1.11B	-3.7M	1.15	12.50	N/A	N/A	21,425	24,631	230,267	284,345
2010-11-11	$96.33	$104.00	16.5%	4.7%	17.3%	45.5%	16.7%	0.8%	-0.2%	-31.1M	1.04B	-3.7M	0.85	11.38	N/A	N/A	7,062	6,000	235,869	285,320
2010-11-12	$95.81	$104.00	17.0%	4.9%	17.0%	48.3%	17.1%	0.4%	-0.1%	-32.8M	1.11B	-3.5M	0.96	12.76	N/A	N/A	15,729	15,046	238,005	285,054
2010-11-15	$93.81	$103.00	17.1%	4.9%	17.8%	49.3%	17.3%	0.6%	-0.4%	-34.3M	1.29B	-3.2M	0.87	9.91	N/A	N/A	24,923	21,721	237,066	280,455
2010-11-16	$96.14	$103.00	17.2%	4.9%	20.2%	49.9%	17.4%	0.9%	-0.6%	-28.0M	1.04B	-3.7M	0.69	9.69	N/A	N/A	37,062	25,676	244,733	286,100
2010-11-17	$95.61	$102.00	17.2%	4.9%	20.1%	49.5%	17.4%	0.3%	-0.3%	-18.7M	1.05B	-3.6M	1.47	13.09	N/A	N/A	9,469	13,898	254,098	289,450
2010-11-18	$96.00	$102.00	17.2%	4.9%	20.0%	49.5%	17.4%	0.4%	-0.4%	-12.2M	999.5M	-3.7M	0.69	10.17	N/A	N/A	15,377	10,596	256,294	290,584
2010-11-19	$96.59	$102.00	16.0%	4.6%	19.9%	43.1%	19.1%	1.0%	0.3%	-8.4M	920.1M	-3.8M	2.11	13.12	N/A	N/A	8,343	17,613	257,701	291,088
2010-11-22	$97.00	$102.00	16.7%	4.8%	20.0%	46.7%	16.9%	-0.5%	0.0%	-12.1M	560.9M	-3.3M	0.80	11.18	N/A	N/A	16,247	13,041	185,746	242,874
2010-11-23	$97.48	$101.00	16.2%	4.6%	19.5%	43.8%	16.3%	0.2%	-0.1%	-10.3M	527.5M	-3.7M	0.26	9.96	N/A	N/A	25,562	6,644	192,937	251,357
2010-11-24	$95.74	$102.00	18.0%	5.2%	20.2%	54.5%	18.5%	0.3%	-1.3%	-19.9M	750.3M	-3.5M	3.31	9.26	N/A	N/A	12,480	41,309	199,481	252,260
2010-11-26	$97.07	$101.00	18.9%	5.4%	20.9%	59.7%	18.9%	-0.1%	-1.3%	-34.4M	603.4M	-3.9M	0.40	9.62	N/A	N/A	8,567	3,466	202,779	282,849
2010-11-29	$97.90	$101.00	21.0%	5.3%	20.9%	71.6%	18.6%	-0.6%	-1.1%	-19.5M	456.5M	-3.7M	0.59	9.99	N/A	N/A	15,229	9,030	204,463	284,263
2010-11-30	$98.41	$101.00	20.3%	5.3%	20.9%	67.6%	18.3%	-0.9%	-1.4%	-16.3M	376.2M	-3.6M	0.60	10.07	N/A	N/A	25,158	15,136	205,391	287,923