TLT Options History — January 2011

In January 2011, TLT traded between $90.80 and $93.52. ATM implied volatility averaged 15.4%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 1.7% (HV 20d: 17.1%). Max pain ranged from $92.00 to $94.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.92.

Notable Days

2011-01-05: Highest Volume — 60,914 contracts
2011-01-07: Largest IV drop — 13.4% change
2011-01-06: Highest IV Rank — 50.7%
2011-01-06: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$91.95	$90.80	$93.52	$93.41	$91.22
Max Pain	$92.35	$92.00	$94.00	$94.00	$92.00
ATM IV	15.4%	13.8%	17.4%	16.8%	15.6%
Expected Move	4.5%	4.1%	5.0%	4.8%	4.5%
HV 20d	17.1%	14.4%	19.2%	19.2%	14.4%
HV 60d	18.5%	18.1%	18.8%	18.3%	18.1%
IV Rank	39.5%	30.1%	50.7%	47.6%	40.7%
IV Percentile	56.0%	41.7%	79.8%	72.2%	57.5%
Term Structure	0.2%	-0.3%	0.7%	0.0%	-0.2%
VWIV	15.7%	14.4%	17.5%	16.8%	15.6%
Skew 25d	0.6%	-0.4%	1.6%	0.9%	-0.2%
Skew 10d	1.0%	-1.3%	3.0%	1.4%	-0.5%
Call IV 25d	15.5%	14.1%	17.0%	16.4%	16.0%
Put IV 25d	16.1%	14.7%	18.6%	17.3%	15.9%
Bid-Ask Spread %	5.91	4.09	11.72	7.46	4.41
Gamma HHI	0.12	0.08	0.21	0.12	0.09
Net GEX	8.0M	-11.6M	24.8M	6.9M	8.4M
Net DEX	299.1M	115.3M	636.6M	121.5M	241.6M
Net VEX	-4.3M	-4.8M	-3.8M	-3.9M	-4.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.29	1.98	1.30	0.39
Total Volume	27,915.85	18,994	60,914	24,137	21,356
Total OI	451,818.5	316,075	551,394	433,682	375,307

Daily Data (20 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
2011-01-03	$93.41	$94.00	16.8%	4.8%	19.2%	47.6%	16.8%	0.9%	0.0%	6.9M	121.5M	-3.9M	1.30	7.46	N/A	N/A	10,500	13,637	215,150	218,532
2011-01-04	$93.52	$94.00	16.1%	4.6%	18.4%	43.6%	16.4%	1.0%	0.3%	7.8M	129.3M	-4.1M	0.36	7.69	N/A	N/A	14,008	5,069	217,323	221,757
2011-01-05	$91.46	$94.00	17.0%	4.9%	18.5%	48.4%	16.8%	1.2%	-0.2%	-7.7M	413.7M	-3.8M	0.80	7.78	N/A	N/A	33,825	27,089	222,776	223,162
2011-01-06	$91.86	$93.00	17.4%	5.0%	18.3%	50.7%	17.5%	1.6%	-0.3%	1.9M	364.3M	-4.1M	0.44	7.80	N/A	N/A	14,869	6,475	241,276	238,575
2011-01-07	$92.35	$92.00	15.0%	4.6%	18.3%	37.3%	15.9%	0.7%	0.1%	9.2M	264.1M	-4.1M	0.46	4.70	N/A	N/A	15,777	7,267	245,334	238,935
2011-01-10	$92.85	$92.00	15.3%	4.6%	18.3%	38.8%	16.1%	0.5%	0.1%	16.7M	164.9M	-4.0M	1.93	4.46	N/A	N/A	7,494	14,462	246,081	240,771
2011-01-11	$92.33	$92.00	15.0%	4.5%	18.4%	36.9%	15.7%	0.9%	0.2%	10.2M	295.8M	-4.2M	1.94	4.83	N/A	N/A	6,467	12,527	249,165	250,846
2011-01-12	$91.61	$92.00	13.8%	4.4%	17.8%	30.1%	15.5%	0.5%	0.3%	-1.3M	436.2M	-4.2M	0.69	5.02	N/A	N/A	12,535	8,668	249,915	254,360
2011-01-13	$92.43	$92.00	14.8%	4.2%	17.4%	36.0%	14.8%	0.9%	0.4%	13.5M	275.5M	-4.3M	0.94	6.88	N/A	N/A	17,115	16,103	253,001	255,418
2011-01-14	$91.83	$92.00	14.7%	4.2%	17.5%	35.4%	14.8%	0.7%	0.5%	3.9M	402.4M	-4.3M	0.82	4.55	N/A	N/A	13,108	10,721	259,364	262,191
2011-01-18	$91.41	$92.00	16.1%	4.6%	16.2%	43.5%	16.2%	0.5%	0.0%	-5.7M	496.6M	-4.3M	1.18	4.09	N/A	N/A	13,150	15,522	264,335	266,708
2011-01-19	$92.07	$92.00	16.0%	4.6%	16.4%	43.0%	16.0%	0.7%	0.1%	18.6M	309.3M	-4.4M	0.63	4.52	N/A	N/A	17,928	11,256	267,355	269,252
2011-01-20	$90.80	$92.00	15.9%	4.6%	16.8%	42.1%	16.0%	0.3%	0.2%	-11.6M	636.6M	-4.2M	1.62	4.42	N/A	N/A	16,221	26,245	275,802	268,382
2011-01-21	$91.52	$92.00	15.2%	4.4%	17.0%	38.1%	15.6%	0.8%	0.4%	24.8M	428.5M	-4.3M	0.75	4.33	N/A	N/A	14,891	11,109	274,029	277,365
2011-01-24	$91.56	$92.00	14.3%	4.1%	17.0%	33.0%	14.4%	0.8%	0.7%	9.0M	237.5M	-4.2M	0.62	4.15	N/A	N/A	11,747	7,293	163,453	152,622
2011-01-25	$92.43	$92.00	14.8%	4.2%	17.1%	35.8%	14.8%	0.6%	0.4%	16.2M	115.3M	-4.3M	0.64	4.38	N/A	N/A	28,896	18,359	165,907	153,805
2011-01-26	$91.03	$92.00	14.6%	4.2%	15.9%	34.6%	14.6%	0.2%	0.2%	8.8M	284.4M	-4.5M	0.69	4.75	N/A	N/A	11,868	8,144	181,464	161,845
2011-01-27	$91.44	$92.00	14.5%	4.2%	14.7%	34.1%	14.6%	0.0%	0.3%	14.4M	215.0M	-4.5M	1.98	11.72	N/A	N/A	11,477	22,710	185,501	161,735
2011-01-28	$91.92	$92.00	15.5%	4.5%	14.8%	40.1%	15.7%	-0.4%	-0.3%	16.5M	148.7M	-4.8M	0.29	10.20	N/A	N/A	17,419	5,010	189,447	178,124
2011-01-31	$91.22	$92.00	15.6%	4.5%	14.4%	40.7%	15.6%	-0.2%	-0.2%	8.4M	241.6M	-4.7M	0.39	4.41	N/A	N/A	15,362	5,994	194,922	180,385