TLT Options History — July 2011

In July 2011, TLT traded between $93.63 and $97.92. ATM implied volatility averaged 14.4%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.4% (HV 20d: 14.0%). Max pain ranged from $95.00 to $97.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.25.

Notable Days

  • 2011-07-19: Highest Volume — 132,411 contracts
  • 2011-07-11: Largest IV spike — 30.8% change
  • 2011-07-29: Highest IV Rank — 64.4%
  • 2011-07-27: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.74$93.63$97.92$93.63$97.92
Max Pain$96.85$95.00$97.00$95.00$96.00
ATM IV14.4%10.9%20.2%11.8%20.2%
Expected Move4.1%3.4%4.9%3.4%4.6%
HV 20d14.0%12.2%16.2%12.7%16.2%
HV 60d12.7%11.8%13.9%11.8%13.9%
IV Rank29.1%7.2%64.4%12.8%64.4%
IV Percentile47.0%0.8%96.8%11.1%96.8%
Term Structure0.2%-0.4%1.7%1.7%0.2%
VWIV14.8%12.1%19.3%12.1%16.5%
Skew 25d1.0%0.2%1.8%0.2%0.9%
Skew 10d1.7%0.1%3.9%0.1%1.1%
Call IV 25d14.2%11.9%17.0%12.0%16.2%
Put IV 25d15.2%12.2%18.6%12.2%17.1%
Bid-Ask Spread %8.514.9013.264.908.27
Gamma HHI0.140.110.190.110.15
Net GEX89.0M45.0M157.4M53.6M105.5M
Net DEX-377.4M-994.7M22.5M22.5M-873.8M
Net VEX-7.8M-8.4M-7.4M-7.5M-7.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.122.770.491.50
Total Volume41,810.857,983132,41115,083130,095
Total OI647,030.05592,917721,482622,727715,511

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$93.63$95.0011.8%3.4%12.7%12.8%12.1%0.2%1.7%53.6M22.5M-7.5M0.494.90N/AN/A10,1534,930396,730225,997
2011-07-05$93.84$97.0012.3%3.9%12.6%15.9%14.2%1.2%0.4%59.4M-10.2M-7.4M1.3510.08N/AN/A3,9715,348399,527227,008
2011-07-06$94.32$97.0012.3%3.9%12.6%16.2%13.7%1.2%0.8%71.9M-141.0M-7.6M0.8910.54N/AN/A4,2253,758399,918228,691
2011-07-07$94.04$97.0012.6%3.8%12.2%17.8%13.5%1.0%0.6%62.0M-32.5M-7.4M2.7711.15N/AN/A5,69415,783399,650229,486
2011-07-08$95.37$97.0010.9%3.5%13.3%7.2%12.5%1.1%0.8%104.8M-394.0M-7.6M1.1013.26N/AN/A14,19615,557400,828239,563
2011-07-11$96.80$97.0014.2%3.8%14.1%27.8%13.5%1.1%0.6%147.8M-866.1M-7.7M0.748.55N/AN/A15,55811,468403,089243,025
2011-07-12$97.13$97.0014.4%3.9%14.1%28.7%14.0%1.3%-0.2%153.5M-936.2M-7.7M2.359.18N/AN/A11,54927,171398,706248,363
2011-07-13$97.40$97.0014.2%3.9%12.8%28.0%13.8%0.7%-0.0%157.4M-994.7M-8.1M1.248.16N/AN/A17,60221,765400,234260,193
2011-07-14$96.01$97.0014.2%4.1%12.3%27.7%14.4%0.4%-0.1%115.7M-513.0M-8.3M0.9110.95N/AN/A25,04222,880397,661270,728
2011-07-15$96.17$97.0013.8%4.0%12.2%25.2%14.1%0.7%0.2%117.4M-530.5M-8.2M1.026.02N/AN/A11,29811,571407,155281,186
2011-07-18$95.24$97.0014.0%4.0%12.6%26.4%14.1%0.8%0.0%75.1M-166.7M-8.1M1.067.89N/AN/A11,51812,179365,602247,896
2011-07-19$97.22$97.0014.5%4.2%14.7%29.8%15.0%1.3%0.1%118.3M-718.1M-8.3M0.127.10N/AN/A118,26614,145367,315254,469
2011-07-20$96.07$97.0014.7%4.2%15.2%30.8%14.9%0.7%-0.1%75.0M-297.6M-7.8M1.396.10N/AN/A6,3998,868333,453259,464
2011-07-21$95.33$97.0014.5%4.2%15.5%29.6%15.0%0.6%0.4%72.8M-184.1M-7.6M1.246.39N/AN/A13,11416,319362,608261,998
2011-07-22$96.05$97.0014.5%4.2%15.4%29.5%15.6%0.9%0.3%78.9M-313.6M-7.6M2.456.25N/AN/A16,60340,612340,166268,420
2011-07-25$95.00$97.0015.8%4.5%15.8%37.4%16.4%1.6%-0.4%45.0M-3.9M-7.6M1.0713.02N/AN/A12,91313,875342,614299,385
2011-07-26$95.65$97.0016.5%4.7%15.3%42.0%16.9%1.8%-0.4%59.3M-176.9M-7.9M1.455.83N/AN/A19,43128,100348,705305,394
2011-07-27$95.66$97.0017.1%4.9%15.0%45.5%19.3%1.6%-0.3%51.7M-181.7M-8.4M1.108.97N/AN/A44,10448,335359,368329,013
2011-07-28$96.02$97.0016.2%4.6%14.8%40.0%16.5%1.7%-0.3%55.8M-236.4M-8.3M0.827.54N/AN/A11,9779,845354,106367,376
2011-07-29$97.92$96.0020.2%4.6%16.2%64.4%16.5%0.9%0.2%105.5M-873.8M-7.8M1.508.27N/AN/A52,04178,054345,243370,268