TLT Options History — April 2011

In April 2011, TLT traded between $89.88 and $93.89. ATM implied volatility averaged 11.4%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.5% (HV 20d: 10.9%). Max pain ranged from $91.00 to $95.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2011-04-20: Highest Volume — 163,923 contracts
  • 2011-04-14: Largest IV spike — 26.4% change
  • 2011-04-18: Highest IV Rank — 22.0%
  • 2011-04-18: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.11$89.88$93.89$92.19$93.89
Max Pain$91.95$91.00$95.00$93.00$92.00
ATM IV11.4%9.7%13.0%11.1%11.7%
Expected Move3.5%3.2%3.7%3.2%3.4%
HV 20d10.9%9.4%12.7%12.2%11.2%
HV 60d12.5%12.1%12.9%12.6%12.3%
IV Rank13.6%2.4%22.0%14.5%12.5%
IV Percentile8.5%1.6%19.4%7.9%7.9%
Term Structure1.0%0.5%1.6%1.5%0.5%
VWIV12.3%11.3%13.5%11.3%11.6%
Skew 25d0.7%-0.1%1.4%0.3%0.1%
Skew 10d0.6%-0.8%2.4%-0.3%0.0%
Call IV 25d12.0%10.9%12.7%11.2%12.1%
Put IV 25d12.6%11.5%13.9%11.5%12.2%
Bid-Ask Spread %5.434.2411.195.2811.19
Gamma HHI0.130.100.190.120.11
Net GEX25.7M-42.9M105.7M17.3M105.7M
Net DEX103.5M-652.1M741.4M204.9M-652.1M
Net VEX-5.8M-7.0M-4.9M-5.4M-6.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.051.680.550.16
Total Volume43,017.0510,389163,92322,169109,960
Total OI571,389.85463,267686,805463,267686,805

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$92.19$93.0011.1%3.2%12.2%14.5%11.3%0.3%1.5%17.3M204.9M-5.4M0.555.28N/AN/A14,3407,829210,443252,824
2011-04-04$92.29$95.0011.2%3.6%11.9%15.1%12.6%0.1%0.8%25.1M111.8M-4.9M0.254.49N/AN/A65,68716,401214,389253,063
2011-04-05$91.92$93.0011.4%3.7%11.8%16.1%12.9%0.0%0.8%24.6M229.3M-5.7M1.114.40N/AN/A9,01110,012276,098261,082
2011-04-06$90.54$93.0011.1%3.5%12.7%14.4%12.4%0.3%0.8%-19.8M565.4M-5.6M1.614.95N/AN/A10,04216,216279,903266,631
2011-04-07$90.36$93.0010.9%3.5%11.0%13.7%12.2%0.5%0.9%-26.1M629.4M-5.3M1.034.94N/AN/A15,64016,166281,544266,073
2011-04-08$89.88$92.0010.3%3.6%11.0%9.9%12.5%-0.1%0.8%-39.0M731.8M-5.3M1.004.42N/AN/A9,8629,831285,852274,379
2011-04-11$89.96$92.0011.1%3.6%11.0%14.4%12.7%0.4%0.6%-42.9M741.4M-5.1M1.684.58N/AN/A6,25810,517286,875275,411
2011-04-12$90.93$92.0011.2%3.5%10.3%15.2%12.7%0.6%0.9%-11.1M507.8M-5.3M1.414.45N/AN/A15,85522,342288,257277,628
2011-04-13$91.50$92.009.7%3.5%9.7%2.4%12.4%0.5%1.1%1.0M368.8M-5.3M1.115.06N/AN/A14,56516,189288,137289,828
2011-04-14$91.43$91.0012.3%3.5%9.4%17.8%12.4%0.3%1.1%1.8M376.9M-5.4M1.334.34N/AN/A8,54711,328295,841297,416
2011-04-15$92.67$91.0012.5%3.6%10.6%19.4%12.9%0.7%0.8%63.9M-35.2M-5.1M1.084.36N/AN/A28,19130,481299,355297,918
2011-04-18$92.88$91.0013.0%3.7%10.5%22.0%13.5%1.2%0.9%24.4M-35.0M-5.6M0.724.24N/AN/A22,54216,126254,182260,592
2011-04-19$93.28$91.0011.8%3.4%10.5%15.1%12.3%1.2%1.4%37.1M-174.3M-5.1M1.146.03N/AN/A10,13011,514261,018264,685
2011-04-20$92.68$91.0011.2%3.2%10.8%9.4%11.5%1.4%1.6%28.7M-52.0M-5.2M0.055.10N/AN/A156,8257,098267,832269,748
2011-04-21$92.60$91.0011.1%3.2%10.4%9.0%11.3%1.3%1.6%45.8M-130.5M-6.9M0.594.84N/AN/A6,5173,872332,437271,131
2011-04-25$92.95$91.0011.7%3.3%10.4%12.0%11.9%1.2%1.4%56.7M-221.8M-6.8M1.395.03N/AN/A6,5149,070334,431272,245
2011-04-26$93.85$91.0012.9%3.7%10.9%19.4%13.4%1.1%0.6%76.4M-487.6M-6.5M0.694.98N/AN/A37,13125,726337,478275,352
2011-04-27$92.89$92.0011.4%3.3%11.2%10.5%12.0%1.2%1.5%61.1M-185.6M-7.0M0.755.28N/AN/A17,63713,259364,071287,920
2011-04-28$93.60$92.0011.3%3.2%11.2%9.8%12.1%1.0%0.8%84.2M-424.2M-6.8M0.2910.53N/AN/A31,9379,173375,442293,481
2011-04-29$93.89$92.0011.7%3.4%11.2%12.5%11.6%0.1%0.5%105.7M-652.1M-6.9M0.1611.19N/AN/A94,77315,187390,641296,164