TLT Options History — March 2011

In March 2011, TLT traded between $89.68 and $93.93. ATM implied volatility averaged 13.3%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 0.3% (HV 20d: 13.5%). Max pain ranged from $90.00 to $93.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.05.

Notable Days

2011-03-31: Highest Volume — 75,875 contracts
2011-03-04: Largest IV drop — 10.7% change
2011-03-16: Highest IV Rank — 44.1%
2011-03-16: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$91.97	$89.68	$93.93	$92.37	$92.13
Max Pain	$91.26	$90.00	$93.00	$91.00	$92.00
ATM IV	13.3%	11.6%	16.2%	14.0%	11.6%
Expected Move	3.9%	3.3%	4.6%	4.0%	3.3%
HV 20d	13.5%	12.2%	14.5%	12.2%	12.5%
HV 60d	14.6%	13.4%	15.5%	15.3%	13.4%
IV Rank	27.1%	17.2%	44.1%	31.2%	17.2%
IV Percentile	27.1%	9.1%	64.7%	34.9%	9.1%
Term Structure	0.7%	-0.3%	1.5%	0.5%	1.5%
VWIV	13.7%	11.5%	16.5%	13.9%	11.5%
Skew 25d	0.3%	-0.6%	1.4%	1.4%	0.1%
Skew 10d	0.1%	-1.9%	2.6%	2.6%	2.0%
Call IV 25d	13.5%	11.8%	16.5%	13.5%	11.8%
Put IV 25d	13.9%	11.9%	16.4%	14.8%	11.9%
Bid-Ask Spread %	5.29	3.64	11.58	5.72	5.43
Gamma HHI	0.11	0.09	0.16	0.09	0.12
Net GEX	36.6M	-82.8K	84.4M	32.9M	21.6M
Net DEX	7.9M	-597.8M	422.1M	-56.5M	146.9M
Net VEX	-4.9M	-5.4M	-4.5M	-4.8M	-5.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.44	2.33	0.89	1.07
Total Volume	29,598.348	11,352	75,875	20,235	75,875
Total OI	438,928.913	362,724	540,574	402,315	430,492

Daily Data (23 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
2011-03-01	$92.37	$91.00	14.0%	4.0%	12.2%	31.2%	13.9%	1.4%	0.5%	32.9M	-56.5M	-4.8M	0.89	5.72	N/A	N/A	10,704	9,531	205,558	196,757
2011-03-02	$90.95	$92.00	14.1%	4.0%	13.1%	31.6%	14.0%	1.0%	0.6%	18.4M	174.8M	-4.7M	0.71	4.98	N/A	N/A	11,716	8,323	208,635	200,195
2011-03-03	$90.06	$91.00	13.1%	3.8%	13.6%	26.3%	13.3%	0.3%	1.1%	4.0M	329.5M	-4.6M	1.20	4.82	N/A	N/A	14,537	17,494	210,718	201,495
2011-03-04	$90.81	$90.00	11.7%	4.0%	13.5%	18.3%	13.8%	0.5%	0.9%	18.4M	198.7M	-4.7M	0.51	8.55	N/A	N/A	19,784	10,106	216,700	208,569
2011-03-07	$90.23	$90.00	12.6%	4.1%	13.2%	23.1%	14.2%	0.8%	0.5%	12.7M	311.7M	-4.7M	1.17	4.51	N/A	N/A	9,168	10,738	224,456	212,084
2011-03-08	$89.68	$90.00	12.3%	4.0%	13.3%	21.8%	13.9%	0.8%	0.9%	-82.8K	422.1M	-4.5M	0.95	4.82	N/A	N/A	11,719	11,086	228,425	213,158
2011-03-09	$90.55	$90.00	12.3%	3.9%	13.2%	21.6%	13.7%	1.1%	1.0%	28.9M	222.1M	-4.5M	1.32	3.64	N/A	N/A	11,710	15,427	232,141	215,754
2011-03-10	$92.08	$90.00	13.3%	3.8%	14.1%	27.3%	13.6%	1.1%	0.9%	60.8M	-118.4M	-4.7M	0.68	3.73	N/A	N/A	30,533	20,825	235,770	222,248
2011-03-11	$91.55	$90.00	13.1%	3.8%	13.5%	26.1%	13.2%	0.1%	0.6%	61.9M	-25.2M	-4.8M	0.97	4.19	N/A	N/A	11,877	11,474	246,386	233,088
2011-03-14	$91.51	$90.00	13.9%	4.0%	12.7%	30.9%	14.0%	0.4%	0.4%	66.6M	-19.4M	-4.7M	0.98	5.00	N/A	N/A	10,763	10,512	250,669	239,324
2011-03-15	$92.88	$90.00	14.7%	4.2%	13.6%	35.5%	15.1%	0.5%	0.1%	84.4M	-352.5M	-4.9M	0.69	4.85	N/A	N/A	27,183	18,779	254,012	242,802
2011-03-16	$93.93	$91.00	16.2%	4.6%	14.0%	44.1%	16.5%	-0.1%	-0.3%	78.8M	-597.8M	-5.1M	0.49	11.58	N/A	N/A	44,272	21,583	257,699	251,022
2011-03-17	$93.21	$91.00	15.8%	4.5%	14.3%	41.4%	15.9%	-0.3%	0.2%	78.4M	-425.8M	-5.3M	1.87	5.17	N/A	N/A	16,426	30,665	264,479	264,400
2011-03-18	$93.46	$92.00	14.7%	4.2%	14.3%	35.5%	14.9%	-0.6%	0.5%	58.3M	-436.4M	-5.3M	0.52	4.84	N/A	N/A	16,023	8,402	267,406	273,168
2011-03-21	$92.91	$92.00	13.9%	4.0%	14.5%	30.9%	14.1%	-0.3%	0.5%	24.7M	-32.2M	-5.1M	0.64	4.47	N/A	N/A	17,559	11,301	175,588	187,136
2011-03-22	$93.22	$92.00	13.2%	3.8%	13.7%	26.5%	13.5%	-0.2%	0.7%	31.7M	-66.7M	-5.1M	0.44	4.85	N/A	N/A	15,919	6,951	185,801	193,903
2011-03-23	$93.10	$92.00	13.3%	3.8%	13.7%	27.3%	13.6%	-0.3%	0.7%	34.9M	-73.6M	-5.4M	1.02	4.41	N/A	N/A	6,476	6,625	197,555	198,470
2011-03-24	$92.40	$93.00	12.6%	3.6%	13.8%	23.3%	12.8%	0.1%	1.0%	32.4M	7.2M	-4.6M	1.11	4.74	N/A	N/A	5,414	6,019	198,479	201,108
2011-03-25	$92.17	$92.00	12.7%	3.6%	13.7%	23.8%	12.8%	0.3%	1.0%	22.9M	136.1M	-5.3M	1.49	4.35	N/A	N/A	6,329	9,428	201,031	205,266
2011-03-28	$92.30	$93.00	12.8%	3.7%	13.7%	24.3%	13.1%	-0.0%	0.6%	28.6M	61.0M	-4.7M	0.81	7.98	N/A	N/A	6,255	5,097	202,113	208,463
2011-03-29	$91.59	$93.00	11.8%	3.4%	14.0%	18.8%	12.1%	0.5%	1.5%	15.1M	269.7M	-4.9M	2.24	4.66	N/A	N/A	9,511	21,314	204,589	207,534
2011-03-30	$92.32	$92.00	11.6%	3.3%	13.1%	17.6%	11.6%	0.2%	1.5%	24.8M	107.3M	-5.0M	2.33	4.42	N/A	N/A	5,800	13,529	208,426	212,293
2011-03-31	$92.13	$92.00	11.6%	3.3%	12.5%	17.2%	11.5%	0.1%	1.5%	21.6M	146.9M	-5.0M	1.07	5.43	N/A	N/A	36,666	39,209	209,001	221,491