TLT Options History — August 2011 In August 2011, TLT traded between $98.58 and $111.20. ATM implied volatility averaged 26.8%, placing in the 65.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 3.7% (HV 20d: 30.5%). Max pain ranged from $97.00 to $101.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 0.98.
Notable Days 2011-08-31 : Highest Volume — 159,623 contracts2011-08-08 : Largest IV spike — 60.6% change2011-08-04 : Highest IV Rank — 100.0%2011-08-10 : Largest Expected Move — 7.8%Monthly Statistics Metric Avg Min Max Open Close Price $106.29 $98.58 $111.20 $98.58 $107.03 Max Pain $98.91 $97.00 $101.00 $97.00 $101.00 ATM IV 26.8% 21.2% 40.0% 21.2% 28.8% Expected Move 6.7% 4.6% 7.8% 4.6% 6.3% HV 20d 30.5% 16.0% 36.6% 16.0% 36.3% HV 60d 21.1% 13.9% 24.5% 13.9% 24.5% IV Rank 65.1% 40.2% 100.0% 70.8% 63.0% IV Percentile 97.8% 93.7% 100.0% 97.6% 98.0% Term Structure -1.5% -3.2% 0.2% 0.1% -1.1% VWIV 24.0% 16.5% 27.7% 16.5% 21.6% Skew 25d -1.5% -2.9% 0.5% 0.5% -1.3% Skew 10d -3.8% -7.4% 0.6% 0.6% -3.2% Call IV 25d 24.9% 16.1% 29.9% 16.1% 23.2% Put IV 25d 23.4% 16.5% 27.6% 16.5% 21.9% Bid-Ask Spread % 11.39 4.50 22.99 4.65 8.47 Gamma HHI 0.09 0.06 0.15 0.11 0.08 Net GEX 57.9M 22.7M 91.4M 73.1M 35.7M Net DEX -2.09B -3.53B -882.2M -882.2M -1.49B Net VEX -7.7M -9.6M -6.6M -8.4M -7.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.98 0.07 2.77 1.24 0.07 Total Volume 72,465.783 21,478 159,623 70,752 159,623 Total OI 877,054.87 694,613 1,045,141 760,829 794,504
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 2011-08-01 $98.58 $97.00 21.2% 4.6% 16.0% 70.8% 16.5% 0.5% 0.1% 73.1M -882.2M -8.4M 1.24 4.65 N/A N/A 31,545 39,207 333,727 427,102 2011-08-02 $101.54 $97.00 22.5% 4.9% 18.7% 78.8% 18.1% -0.1% 0.2% 85.4M -1.72B -7.6M 0.75 5.89 N/A N/A 63,084 47,557 343,901 445,603 2011-08-03 $101.74 $97.00 23.9% 5.0% 18.7% 87.3% 18.1% -0.6% -0.0% 73.7M -1.73B -7.8M 1.62 4.50 N/A N/A 36,515 59,033 348,714 472,451 2011-08-04 $105.36 $97.00 26.6% 6.6% 21.5% 100.0% 23.8% -0.5% -2.2% 52.7M -2.33B -6.7M 1.01 12.14 N/A N/A 50,057 50,502 348,499 507,741 2011-08-05 $102.32 $97.00 23.5% 5.8% 24.6% 81.8% 20.7% -0.8% -0.4% 44.5M -1.60B -8.8M 0.57 9.77 N/A N/A 58,665 33,310 362,668 532,389 2011-08-08 $105.55 $97.00 37.7% 7.3% 26.2% 100.0% 25.9% -1.2% -1.4% 41.9M -2.12B -8.6M 0.34 9.88 N/A N/A 88,611 30,023 368,047 524,683 2011-08-09 $105.87 $97.00 40.0% 7.1% 26.2% 100.0% 25.1% -2.6% -2.4% 63.9M -2.42B -8.9M 0.99 9.48 N/A N/A 50,030 49,366 416,422 532,580 2011-08-10 $109.02 $98.00 32.6% 7.8% 27.6% 75.7% 27.6% -2.9% -3.2% 70.3M -3.06B -7.6M 0.67 8.90 N/A N/A 50,165 33,553 431,255 544,072 2011-08-11 $103.52 $98.00 25.4% 7.3% 33.7% 51.8% 26.1% -2.9% -2.0% 62.5M -1.86B -9.6M 1.12 15.12 N/A N/A 34,185 38,358 448,304 546,067 2011-08-12 $105.57 $98.00 24.9% 7.1% 34.2% 50.3% 26.3% -1.7% -2.1% 69.2M -2.44B -8.1M 0.50 7.90 N/A N/A 37,809 18,856 448,703 554,328 2011-08-15 $104.50 $98.00 23.0% 6.6% 34.2% 44.0% 23.3% -2.5% -0.9% 77.6M -2.19B -8.4M 1.56 10.70 N/A N/A 8,687 13,575 446,837 551,526 2011-08-16 $106.23 $99.00 23.0% 6.6% 34.0% 44.0% 23.5% -0.9% -1.4% 89.4M -2.64B -7.5M 0.50 12.58 N/A N/A 23,557 11,746 449,585 559,192 2011-08-17 $108.09 $99.00 21.9% 6.3% 33.7% 40.2% 22.7% -0.0% -0.7% 91.4M -3.01B -6.8M 1.57 13.46 N/A N/A 19,335 30,323 440,586 561,314 2011-08-18 $110.31 $100.00 26.5% 7.6% 33.7% 55.5% 27.3% -2.1% -2.5% 73.3M -3.30B -7.0M 0.56 22.99 N/A N/A 72,684 40,918 439,137 574,888 2011-08-19 $111.20 $100.00 27.0% 7.7% 33.7% 57.1% 27.7% -1.4% -2.9% 71.6M -3.53B -7.0M 1.34 9.01 N/A N/A 61,244 81,795 456,443 588,698 2011-08-22 $110.92 $100.00 26.7% 7.7% 33.2% 56.2% 27.6% -2.7% -2.2% 46.2M -2.15B -6.8M 0.71 8.87 N/A N/A 14,395 10,198 325,622 368,991 2011-08-23 $109.39 $100.00 24.8% 7.1% 34.1% 49.9% 26.5% -2.6% -1.5% 46.4M -1.95B -7.4M 1.02 11.47 N/A N/A 23,093 23,475 354,465 396,268 2011-08-24 $106.28 $101.00 24.3% 7.0% 36.3% 48.2% 24.8% -2.1% -1.4% 25.2M -1.23B -8.5M 0.96 16.13 N/A N/A 29,664 28,567 348,676 447,018 2011-08-25 $107.43 $101.00 26.3% 7.5% 36.3% 54.8% 27.2% -1.7% -2.2% 22.7M -1.38B -7.9M 0.78 9.61 N/A N/A 14,638 11,428 336,924 452,715 2011-08-26 $108.49 $101.00 26.0% 6.8% 36.0% 53.9% 24.0% -1.7% -1.3% 37.9M -1.68B -7.0M 0.75 21.51 N/A N/A 19,816 14,781 340,857 438,409 2011-08-29 $106.99 $101.00 29.4% 6.5% 36.6% 65.1% 23.8% -1.3% -1.5% 35.4M -1.47B -6.7M 2.77 19.51 N/A N/A 8,291 22,971 336,943 437,074 2011-08-30 $108.71 $101.00 30.6% 6.6% 35.7% 69.1% 23.1% -1.7% -1.5% 42.0M -1.80B -6.6M 1.14 9.36 N/A N/A 10,026 11,452 340,135 448,199 2011-08-31 $107.03 $101.00 28.8% 6.3% 36.3% 63.0% 21.6% -1.3% -1.1% 35.7M -1.49B -7.0M 0.07 8.47 N/A N/A 149,429 10,194 343,778 450,726
« Jul 2011 | All History | Sep 2011 » Home TLT History August 2011