TLT Options History — December 2010

In December 2010, TLT traded between $90.94 and $96.23. ATM implied volatility averaged 17.2%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 2.9% (HV 20d: 20.1%). Max pain ranged from $94.00 to $101.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.84.

Notable Days

2010-12-15: Highest Volume — 83,551 contracts
2010-12-03: Largest IV drop — 31.1% change
2010-12-02: Highest IV Rank — 92.0%
2010-12-01: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$93.50	$90.94	$96.23	$95.89	$94.12
Max Pain	$96.82	$94.00	$101.00	$101.00	$94.00
ATM IV	17.2%	14.0%	24.5%	22.9%	16.9%
Expected Move	4.7%	4.0%	5.4%	5.4%	4.8%
HV 20d	20.1%	18.4%	22.0%	22.0%	19.2%
HV 60d	17.7%	17.1%	18.4%	17.5%	18.3%
IV Rank	49.8%	31.5%	92.0%	82.7%	48.1%
IV Percentile	73.1%	50.0%	99.2%	99.2%	73.4%
Term Structure	0.5%	-1.1%	1.3%	-1.1%	-0.8%
VWIV	16.6%	14.2%	19.1%	19.1%	16.8%
Skew 25d	0.5%	-0.1%	2.1%	0.5%	2.1%
Skew 10d	1.2%	-0.5%	3.9%	0.9%	3.9%
Call IV 25d	16.4%	14.1%	19.0%	19.0%	15.9%
Put IV 25d	16.9%	14.6%	19.5%	19.5%	18.0%
Bid-Ask Spread %	8.63	6.19	12.80	9.59	6.19
Gamma HHI	0.15	0.09	0.27	0.14	0.12
Net GEX	-29.2M	-104.0M	13.4M	-42.6M	13.4M
Net DEX	734.4M	46.6M	1.46B	860.6M	46.6M
Net VEX	-3.6M	-4.1M	-2.8M	-3.8M	-4.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.28	1.56	1.17	0.40
Total Volume	32,327.591	7,693	83,551	31,056	37,168
Total OI	484,695.636	379,609	620,145	500,172	433,510

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
2010-12-01	$95.89	$101.00	22.9%	5.4%	22.0%	82.7%	19.1%	0.5%	-1.1%	-42.6M	860.6M	-3.8M	1.17	9.59	N/A	N/A	14,305	16,751	206,992	293,180
2010-12-02	$95.64	$101.00	24.5%	5.2%	21.0%	92.0%	18.1%	0.7%	-0.8%	-48.9M	897.6M	-3.7M	0.94	9.99	N/A	N/A	10,258	9,650	213,304	296,099
2010-12-03	$94.89	$101.00	16.9%	4.8%	20.8%	48.0%	17.1%	0.4%	0.4%	-104.0M	1.05B	-3.7M	0.91	9.19	N/A	N/A	14,285	12,932	217,375	300,366
2010-12-06	$96.23	$100.00	18.1%	5.0%	20.8%	55.0%	17.7%	0.6%	0.4%	-39.5M	771.8M	-3.7M	0.74	8.86	N/A	N/A	6,081	4,522	219,035	295,967
2010-12-07	$94.17	$100.00	18.6%	5.1%	21.9%	58.1%	18.1%	-0.1%	0.5%	-60.6M	1.11B	-3.5M	0.94	9.21	N/A	N/A	29,341	27,613	220,096	297,487
2010-12-08	$93.26	$100.00	18.3%	4.9%	20.8%	56.0%	17.3%	0.5%	0.5%	-59.2M	1.22B	-3.3M	1.18	9.20	N/A	N/A	20,886	24,543	233,902	297,397
2010-12-09	$93.72	$99.00	16.7%	4.8%	20.9%	47.1%	16.9%	0.4%	0.6%	-57.4M	1.09B	-3.3M	0.86	12.80	N/A	N/A	13,623	11,736	239,359	293,936
2010-12-10	$93.15	$99.00	17.0%	4.8%	21.0%	48.5%	16.9%	0.3%	0.6%	-61.4M	1.19B	-3.2M	0.70	11.99	N/A	N/A	5,311	3,711	241,873	296,304
2010-12-13	$93.50	$99.00	19.2%	4.8%	21.0%	61.4%	17.0%	0.7%	0.7%	-66.1M	1.15B	-3.0M	0.93	9.26	N/A	N/A	12,153	11,277	243,896	297,075
2010-12-14	$92.14	$98.00	20.0%	5.0%	20.3%	65.9%	17.8%	-0.1%	0.2%	-59.8M	1.39B	-2.9M	1.46	9.34	N/A	N/A	29,292	42,744	248,222	289,264
2010-12-15	$90.94	$97.00	17.1%	4.9%	18.4%	49.3%	17.1%	0.1%	0.8%	-42.7M	1.46B	-2.8M	0.65	8.92	N/A	N/A	50,531	33,020	263,466	299,692
2010-12-16	$91.57	$95.00	17.0%	4.9%	18.7%	48.6%	17.2%	0.1%	0.9%	-19.4M	1.31B	-3.5M	0.63	8.59	N/A	N/A	17,163	10,814	297,926	312,942
2010-12-17	$93.24	$94.00	16.1%	4.6%	19.9%	43.6%	16.4%	0.3%	1.3%	-5.2M	1.02B	-3.7M	0.84	8.17	N/A	N/A	39,332	32,876	304,145	316,000
2010-12-20	$93.14	$94.00	15.4%	4.4%	19.7%	39.2%	15.6%	0.1%	1.1%	-829.2K	190.1M	-3.8M	0.69	6.76	N/A	N/A	11,497	7,912	185,702	193,907
2010-12-21	$93.79	$94.00	14.0%	4.0%	19.8%	31.5%	14.2%	0.5%	1.2%	6.7M	140.2M	-3.8M	0.84	6.92	N/A	N/A	9,251	7,751	188,813	198,394
2010-12-22	$93.12	$94.00	14.4%	4.1%	19.8%	33.5%	14.7%	0.7%	1.0%	2.5M	167.1M	-3.7M	1.56	7.64	N/A	N/A	7,288	11,384	189,398	194,871
2010-12-23	$92.93	$94.00	14.9%	4.3%	18.9%	36.6%	14.9%	0.1%	0.8%	-3.1M	240.8M	-3.8M	0.64	8.03	N/A	N/A	4,690	3,003	194,884	199,575
2010-12-27	$93.76	$94.00	14.5%	4.1%	18.4%	34.0%	14.7%	0.6%	0.3%	2.7M	124.7M	-3.7M	0.28	7.23	N/A	N/A	17,672	5,007	196,978	206,134
2010-12-28	$91.61	$94.00	15.4%	4.4%	19.5%	39.5%	15.6%	0.7%	0.1%	-7.1M	385.6M	-3.6M	0.77	7.34	N/A	N/A	18,259	14,104	200,577	201,111
2010-12-29	$93.16	$94.00	15.4%	4.4%	20.6%	39.1%	15.5%	1.1%	0.7%	3.2M	180.9M	-3.9M	0.56	7.38	N/A	N/A	23,419	13,077	206,211	210,659
2010-12-30	$93.09	$94.00	15.1%	4.3%	18.7%	37.8%	15.3%	0.5%	0.8%	6.2M	169.8M	-4.0M	0.89	7.29	N/A	N/A	7,928	7,047	213,782	213,498
2010-12-31	$94.12	$94.00	16.9%	4.8%	19.2%	48.1%	16.8%	2.1%	-0.8%	13.4M	46.6M	-4.1M	0.40	6.19	N/A	N/A	26,603	10,565	216,788	216,722