TLT Options History — May 2011

In May 2011, TLT traded between $93.64 and $96.69. ATM implied volatility averaged 12.2%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.7% (HV 20d: 10.5%). Max pain ranged from $92.00 to $95.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2011-05-31: Highest Volume — 444,219 contracts
  • 2011-05-10: Largest IV drop — 11.9% change
  • 2011-05-17: Highest IV Rank — 21.8%
  • 2011-05-06: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.32$93.64$96.69$93.64$96.69
Max Pain$92.90$92.00$95.00$92.00$95.00
ATM IV12.2%11.0%13.2%11.7%11.7%
Expected Move3.6%3.1%4.1%3.4%3.4%
HV 20d10.5%9.6%11.4%11.3%10.1%
HV 60d11.7%11.1%12.2%12.2%11.1%
IV Rank15.2%7.8%21.8%12.3%12.5%
IV Percentile13.0%1.2%27.0%7.5%9.9%
Term Structure0.9%0.3%1.3%0.9%0.4%
VWIV12.7%8.9%14.5%13.1%8.9%
Skew 25d0.2%-0.3%0.8%0.8%-0.1%
Skew 10d0.2%-0.8%1.5%1.4%-0.0%
Call IV 25d12.6%11.0%14.5%11.7%12.1%
Put IV 25d12.8%11.4%14.6%12.5%12.0%
Bid-Ask Spread %5.964.2312.005.215.06
Gamma HHI0.130.100.160.100.16
Net GEX162.0M93.3M228.9M93.3M143.1M
Net DEX-995.7M-1.65B-474.4M-474.4M-911.2M
Net VEX-8.0M-9.2M-7.0M-7.4M-7.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.034.284.280.03
Total Volume53,572.85710,346444,21965,589444,219
Total OI763,659.381657,729862,802687,531684,028

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$93.64$92.0011.7%3.4%11.3%12.3%13.1%0.8%0.9%93.3M-474.4M-7.4M4.285.21N/AN/A12,42053,169385,759301,772
2011-05-03$94.17$92.0011.7%3.4%11.4%12.3%11.9%0.3%0.8%95.1M-581.7M-7.8M0.184.23N/AN/A76,20013,561386,110345,030
2011-05-04$94.59$92.0011.7%3.4%11.3%12.3%12.1%0.7%1.2%151.6M-845.4M-8.7M0.654.27N/AN/A14,6439,504451,457328,737
2011-05-05$95.49$92.0012.8%3.7%9.8%19.1%13.0%0.2%1.0%176.7M-1.22B-8.9M0.204.88N/AN/A43,1498,776456,313329,962
2011-05-06$95.07$93.0013.0%4.1%10.0%20.4%14.5%0.1%0.3%177.1M-1.13B-9.2M0.586.22N/AN/A25,82714,887473,488332,315
2011-05-09$94.97$93.0012.9%4.0%9.6%19.6%14.2%-0.0%0.4%183.3M-1.11B-8.9M1.445.31N/AN/A5,9878,609476,673334,999
2011-05-10$94.29$93.0011.3%3.8%10.3%10.1%13.7%0.2%0.6%164.5M-875.8M-8.2M0.956.22N/AN/A5,3025,044468,263340,198
2011-05-11$94.83$93.0012.6%4.0%9.9%17.5%14.4%0.5%0.5%174.2M-997.6M-8.9M1.235.92N/AN/A6,4367,898469,277340,798
2011-05-12$94.23$93.0013.1%3.8%10.2%21.1%13.4%0.4%1.1%160.3M-780.7M-8.3M0.927.44N/AN/A9,2708,563470,139337,287
2011-05-13$95.08$93.0013.0%3.7%10.5%20.2%13.3%0.1%1.0%193.4M-1.11B-8.0M0.5812.00N/AN/A15,9279,307472,529340,399
2011-05-16$95.61$93.0013.1%3.8%9.7%21.0%13.6%0.3%0.7%207.5M-1.31B-8.0M0.716.21N/AN/A9,7186,856470,903342,330
2011-05-17$96.59$93.0013.2%3.8%10.1%21.8%13.8%0.1%0.9%228.9M-1.65B-8.2M0.655.56N/AN/A27,00217,557468,667343,652
2011-05-18$95.31$93.0012.3%3.5%11.4%16.1%12.6%0.1%1.2%189.7M-1.12B-8.0M0.596.24N/AN/A24,17614,190470,422350,341
2011-05-19$95.27$93.0012.0%3.4%11.1%14.2%12.4%0.1%1.3%177.2M-1.14B-7.4M1.106.01N/AN/A25,74228,372473,578353,408
2011-05-20$95.32$93.0011.8%3.4%11.1%13.1%12.3%-0.1%1.2%166.1M-1.13B-7.8M0.535.71N/AN/A19,82610,427489,622373,180
2011-05-23$95.78$93.0012.1%3.5%11.1%14.6%12.6%0.1%1.0%132.9M-842.9M-7.4M0.954.90N/AN/A8,5798,161400,402257,327
2011-05-24$96.14$93.0011.9%3.4%10.7%13.6%12.2%0.2%1.1%140.5M-912.6M-7.5M0.556.08N/AN/A11,5626,348402,249262,299
2011-05-25$95.69$93.0011.6%3.3%10.1%11.5%11.7%-0.3%1.2%128.9M-762.7M-7.7M0.686.05N/AN/A14,1199,587403,395265,565
2011-05-26$96.51$93.0011.1%3.2%10.2%8.5%11.6%0.4%1.1%161.6M-1.04B-7.3M0.485.98N/AN/A43,45220,955411,454268,671
2011-05-27$96.47$93.0011.0%3.1%10.2%7.8%12.1%0.2%1.3%156.4M-976.8M-7.7M0.675.63N/AN/A11,7797,924416,770287,079
2011-05-31$96.69$95.0011.7%3.4%10.1%12.5%8.9%-0.1%0.4%143.1M-911.2M-7.0M0.035.06N/AN/A432,28911,930397,296286,732