TLT Options History — February 2011

In February 2011, TLT traded between $88.19 and $92.40. ATM implied volatility averaged 14.3%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.9% (HV 20d: 13.3%). Max pain ranged from $90.00 to $92.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.73.

Notable Days

  • 2011-02-28: Highest Volume — 63,200 contracts
  • 2011-02-10: Largest IV spike — 11.7% change
  • 2011-02-02: Highest IV Rank — 43.6%
  • 2011-02-02: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.04$88.19$92.40$90.45$92.40
Max Pain$91.32$90.00$92.00$92.00$91.00
ATM IV14.3%13.0%16.1%16.1%13.2%
Expected Move4.1%3.7%4.6%4.6%3.8%
HV 20d13.3%12.5%14.4%14.4%12.5%
HV 60d16.9%15.3%18.0%18.0%15.3%
IV Rank32.8%25.4%43.6%43.3%26.5%
IV Percentile39.8%25.4%63.1%62.7%26.2%
Term Structure0.9%-0.4%1.6%-0.3%1.1%
VWIV14.8%13.5%17.7%16.0%17.7%
Skew 25d0.5%0.1%1.0%0.4%0.7%
Skew 10d0.4%-0.5%2.0%0.2%0.8%
Call IV 25d14.3%13.0%16.0%16.0%13.1%
Put IV 25d14.8%13.7%16.7%16.4%13.7%
Bid-Ask Spread %5.613.977.013.975.66
Gamma HHI0.090.090.100.090.10
Net GEX1.5M-26.2M37.7M2.5M35.9M
Net DEX357.7M-100.4M658.3M349.8M-85.3M
Net VEX-4.6M-4.8M-4.2M-4.6M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.221.840.870.22
Total Volume29,807.52614,80663,20027,08563,200
Total OI420,727.053371,401483,210378,522400,553

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$90.45$92.0016.1%4.6%14.4%43.3%16.0%0.4%-0.3%2.5M349.8M-4.6M0.873.97N/AN/A14,50012,585195,506183,016
2011-02-02$90.47$92.0016.1%4.6%14.4%43.6%16.0%1.0%-0.3%-2.0M394.5M-4.7M0.467.01N/AN/A13,5946,277196,093189,123
2011-02-03$89.72$92.0015.6%4.5%12.5%40.6%15.8%0.3%-0.4%-11.0M477.7M-4.4M0.885.70N/AN/A7,8566,950198,955187,943
2011-02-04$88.81$92.0014.4%4.3%12.7%33.8%15.2%0.2%0.7%-25.4M611.5M-4.2M0.625.34N/AN/A20,71212,881199,812190,562
2011-02-07$89.27$92.0014.2%4.2%12.7%32.4%15.0%0.4%0.8%-21.5M550.4M-4.2M0.466.11N/AN/A25,95211,980206,460194,270
2011-02-08$88.45$92.0013.9%4.2%12.7%30.8%14.7%0.3%1.0%-26.2M639.4M-4.2M0.915.16N/AN/A13,08611,850222,820196,419
2011-02-09$89.22$92.0013.0%4.2%13.2%25.5%14.6%0.3%1.0%-13.9M510.3M-4.5M0.616.26N/AN/A29,84018,266222,987198,062
2011-02-10$88.19$92.0014.5%4.2%13.5%34.3%14.6%0.4%1.1%-23.8M658.3M-4.5M0.375.83N/AN/A33,84312,421236,863204,199
2011-02-11$89.46$90.0014.5%4.2%14.2%34.5%14.6%0.7%1.1%2.4M418.8M-4.8M0.656.06N/AN/A19,06412,381256,794207,021
2011-02-14$89.52$90.0014.6%4.2%14.1%34.8%14.9%0.1%0.9%4.8M397.7M-4.8M0.815.10N/AN/A12,0929,767260,617210,014
2011-02-15$89.92$91.0013.6%3.9%14.2%28.9%13.6%0.7%1.6%7.6M377.9M-4.7M1.035.49N/AN/A9,7259,980257,409212,559
2011-02-16$89.63$91.0013.9%4.0%13.9%30.8%14.0%0.4%1.3%-288.4K444.6M-4.6M0.495.62N/AN/A21,50910,604258,461214,106
2011-02-17$89.77$91.0013.7%3.9%13.1%29.8%14.0%0.6%1.6%10.0M406.6M-4.6M0.625.50N/AN/A10,7836,732267,924215,286
2011-02-18$89.49$91.0013.7%3.9%12.7%29.5%13.9%0.9%1.6%-1.2M495.1M-4.6M1.215.66N/AN/A8,0489,739258,965215,690
2011-02-22$90.83$91.0015.0%4.3%13.9%36.9%15.3%0.5%0.5%10.4M154.3M-4.5M0.785.11N/AN/A17,47313,544189,708181,693
2011-02-23$91.16$91.0014.2%4.1%13.5%32.2%14.3%0.5%0.9%15.6M105.3M-4.8M0.325.74N/AN/A21,3106,881195,523184,204
2011-02-24$91.74$91.0013.6%3.9%12.6%29.1%13.8%0.2%0.8%27.7M-9.8M-4.7M0.765.83N/AN/A18,57514,071203,072185,026
2011-02-25$92.28$91.0013.0%3.7%12.6%25.4%13.5%0.6%1.2%37.7M-100.4M-4.7M1.845.49N/AN/A6,43111,841207,228188,871
2011-02-28$92.40$91.0013.2%3.8%12.5%26.5%17.7%0.7%1.1%35.9M-85.3M-4.7M0.225.66N/AN/A51,93411,266208,547192,006