TLT Options History — June 2011

In June 2011, TLT traded between $94.10 and $97.64. ATM implied volatility averaged 13.7%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.3% (HV 20d: 13.4%). Max pain ranged from $95.00 to $96.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.52.

Notable Days

2011-06-16: Highest Volume — 84,496 contracts
2011-06-15: Largest IV spike — 13.8% change
2011-06-16: Highest IV Rank — 36.2%
2011-06-16: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$96.28	$94.10	$97.64	$97.64	$94.10
Max Pain	$95.09	$95.00	$96.00	$96.00	$95.00
ATM IV	13.7%	12.4%	15.6%	13.2%	12.6%
Expected Move	4.0%	3.6%	4.5%	3.8%	3.6%
HV 20d	13.4%	10.4%	14.9%	10.4%	12.9%
HV 60d	11.6%	10.8%	12.2%	11.1%	12.2%
IV Rank	24.6%	16.7%	36.2%	21.4%	17.5%
IV Percentile	37.4%	16.7%	64.3%	29.4%	18.7%
Term Structure	0.7%	-0.0%	1.4%	0.5%	1.2%
VWIV	14.1%	12.6%	15.7%	13.4%	12.6%
Skew 25d	-0.0%	-0.9%	0.4%	-0.5%	0.2%
Skew 10d	-0.3%	-1.6%	0.4%	-0.8%	-0.0%
Call IV 25d	14.0%	12.7%	15.7%	13.8%	12.7%
Put IV 25d	14.0%	12.9%	15.8%	13.3%	12.9%
Bid-Ask Spread %	6.65	5.23	11.00	5.59	5.98
Gamma HHI	0.17	0.11	0.24	0.16	0.12
Net GEX	110.8M	55.0M	167.2M	165.9M	62.5M
Net DEX	-620.5M	-1.11B	-45.8M	-1.11B	-45.8M
Net VEX	-8.0M	-9.0M	-7.0M	-8.0M	-7.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.09	1.26	0.56	0.91
Total Volume	38,220.5	7,513	84,496	71,352	82,744
Total OI	658,211.364	533,417	802,222	667,983	584,731

Daily Data (22 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
2011-06-01	$97.64	$96.00	13.2%	3.8%	10.4%	21.4%	13.4%	-0.5%	0.5%	165.9M	-1.11B	-8.0M	0.56	5.59	N/A	N/A	45,686	25,666	379,451	288,532
2011-06-02	$95.78	$96.00	13.1%	3.7%	12.7%	20.8%	13.5%	-0.9%	0.6%	100.7M	-469.1M	-7.9M	0.68	5.23	N/A	N/A	39,000	26,605	390,204	296,111
2011-06-03	$96.33	$95.00	12.4%	3.9%	12.5%	16.7%	13.8%	-0.1%	0.8%	113.4M	-586.1M	-8.0M	0.38	7.97	N/A	N/A	28,972	10,886	385,158	308,648
2011-06-06	$95.60	$95.00	13.2%	4.0%	12.7%	21.6%	14.1%	0.0%	0.8%	90.6M	-433.9M	-8.1M	1.26	6.92	N/A	N/A	8,168	10,298	397,269	310,913
2011-06-07	$96.04	$95.00	12.7%	3.9%	12.8%	18.6%	13.8%	0.3%	0.9%	91.3M	-479.5M	-8.0M	0.59	5.73	N/A	N/A	6,903	4,089	393,049	310,361
2011-06-08	$96.79	$95.00	12.4%	3.9%	12.7%	16.8%	13.7%	0.3%	0.7%	115.6M	-710.3M	-8.0M	0.59	5.71	N/A	N/A	13,791	8,143	394,150	311,234
2011-06-09	$96.40	$95.00	13.8%	3.9%	12.7%	24.9%	13.7%	0.2%	0.6%	106.2M	-576.8M	-7.8M	0.35	7.60	N/A	N/A	27,329	9,451	399,646	313,441
2011-06-10	$97.14	$95.00	14.1%	4.0%	12.6%	27.0%	14.3%	0.4%	0.4%	133.5M	-792.2M	-8.2M	0.20	5.59	N/A	N/A	42,056	8,201	407,555	316,776
2011-06-13	$96.65	$95.00	14.0%	4.0%	12.5%	26.5%	14.2%	0.3%	0.5%	161.0M	-743.5M	-8.0M	0.79	6.37	N/A	N/A	8,909	7,008	435,832	319,313
2011-06-14	$95.19	$95.00	13.5%	3.9%	13.6%	23.4%	13.7%	0.0%	1.0%	55.0M	-167.1M	-7.3M	0.60	6.37	N/A	N/A	21,910	13,066	411,210	321,273
2011-06-15	$96.92	$95.00	15.4%	4.4%	14.6%	34.8%	15.5%	0.3%	-0.0%	152.0M	-819.5M	-7.8M	0.34	6.75	N/A	N/A	28,733	9,839	417,676	323,757
2011-06-16	$97.36	$95.00	15.6%	4.5%	13.8%	36.2%	15.7%	0.1%	0.4%	167.2M	-993.2M	-7.9M	0.13	7.94	N/A	N/A	74,604	9,892	420,793	323,955
2011-06-17	$96.90	$95.00	14.9%	4.3%	13.9%	32.3%	15.1%	-0.2%	0.5%	159.0M	-930.5M	-8.7M	0.39	11.00	N/A	N/A	18,693	7,298	474,226	327,996
2011-06-20	$97.02	$95.00	14.8%	4.2%	13.9%	31.4%	15.0%	-0.0%	0.4%	90.7M	-728.8M	-8.4M	0.50	8.00	N/A	N/A	7,795	3,925	346,643	186,774
2011-06-21	$96.59	$95.00	14.2%	4.1%	14.0%	27.8%	14.5%	-0.0%	0.4%	93.6M	-631.6M	-8.2M	0.09	6.13	N/A	N/A	48,962	4,492	349,172	188,537
2011-06-22	$96.65	$95.00	13.4%	3.8%	13.9%	22.7%	13.6%	-0.1%	0.9%	109.4M	-733.0M	-9.0M	0.80	6.38	N/A	N/A	4,343	3,457	380,621	189,357
2011-06-23	$97.39	$95.00	13.9%	4.0%	14.0%	25.8%	14.0%	0.2%	0.8%	113.9M	-919.2M	-8.6M	0.46	5.31	N/A	N/A	14,336	6,563	372,272	190,256
2011-06-24	$96.98	$95.00	14.1%	4.0%	13.8%	27.1%	14.8%	-0.1%	0.9%	109.7M	-821.1M	-8.9M	0.49	7.18	N/A	N/A	5,040	2,473	377,559	192,236
2011-06-27	$95.65	$95.00	14.1%	4.1%	14.7%	27.3%	14.3%	-0.4%	0.7%	90.2M	-481.8M	-8.4M	0.51	5.73	N/A	N/A	21,034	10,763	379,140	192,693
2011-06-28	$94.88	$95.00	13.6%	3.9%	14.9%	23.8%	14.1%	-0.0%	0.9%	83.7M	-334.5M	-7.5M	0.25	6.85	N/A	N/A	65,355	16,152	388,067	197,183
2011-06-29	$94.25	$95.00	12.6%	3.6%	14.5%	17.8%	13.1%	-0.1%	1.4%	71.5M	-142.4M	-7.0M	0.47	5.91	N/A	N/A	19,232	8,989	387,081	199,799
2011-06-30	$94.10	$95.00	12.6%	3.6%	12.9%	17.5%	12.6%	0.2%	1.2%	62.5M	-45.8M	-7.1M	0.91	5.98	N/A	N/A	43,252	39,492	384,348	200,383