TLT Options History — September 2011

In September 2011, TLT traded between $108.97 and $123.12. ATM implied volatility averaged 25.2%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 3.1% (HV 20d: 28.3%). Max pain ranged from $101.00 to $111.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.03.

Notable Days

2011-09-30: Highest Volume — 207,084 contracts
2011-09-06: Largest IV spike — 33.9% change
2011-09-06: Highest IV Rank — 76.3%
2011-09-22: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$115.20	$108.97	$123.12	$108.97	$120.80
Max Pain	$108.90	$101.00	$111.00	$101.00	$111.00
ATM IV	25.2%	21.9%	32.8%	23.7%	27.2%
Expected Move	7.0%	6.3%	8.0%	6.6%	6.9%
HV 20d	28.3%	24.6%	34.8%	34.8%	28.3%
HV 60d	26.4%	24.7%	28.4%	24.7%	28.4%
IV Rank	51.2%	40.3%	76.3%	46.2%	57.7%
IV Percentile	92.1%	84.9%	99.2%	92.1%	96.4%
Term Structure	-0.8%	-1.8%	0.5%	-1.5%	-0.0%
VWIV	24.7%	21.5%	28.3%	23.0%	21.5%
Skew 25d	-0.4%	-2.0%	0.9%	-2.0%	-0.3%
Skew 10d	-0.6%	-3.9%	2.4%	-3.9%	-0.8%
Call IV 25d	25.2%	22.5%	28.1%	24.6%	24.9%
Put IV 25d	24.8%	22.6%	28.6%	22.6%	24.6%
Bid-Ask Spread %	16.22	6.21	38.89	6.55	6.21
Gamma HHI	0.09	0.06	0.33	0.08	0.08
Net GEX	36.5M	-32.5M	55.6M	36.9M	50.0M
Net DEX	-1.77B	-2.27B	-1.32B	-1.36B	-1.97B
Net VEX	-5.9M	-6.8M	-3.7M	-6.5M	-5.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.09	1.69	1.44	0.09
Total Volume	51,832.095	17,885	207,084	40,130	207,084
Total OI	750,766.905	577,557	894,268	775,659	705,697

Daily Data (21 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
2011-09-01	$108.97	$101.00	23.7%	6.6%	34.8%	46.2%	23.0%	-2.0%	-1.5%	36.9M	-1.36B	-6.5M	1.44	6.55	N/A	N/A	16,453	23,677	303,141	472,518
2011-09-02	$112.51	$101.00	24.5%	7.3%	34.3%	48.8%	25.9%	-0.5%	-1.1%	42.4M	-1.83B	-6.8M	0.98	8.60	N/A	N/A	29,238	28,716	306,574	477,108
2011-09-06	$113.68	$107.00	32.8%	7.3%	33.0%	76.3%	25.6%	-0.1%	-1.6%	48.7M	-2.03B	-6.3M	0.70	33.50	N/A	N/A	31,294	21,991	312,931	484,972
2011-09-07	$111.51	$109.00	24.5%	6.9%	34.0%	49.0%	24.2%	-1.1%	-1.2%	46.5M	-1.74B	-6.5M	1.27	11.88	N/A	N/A	15,302	19,374	320,622	492,959
2011-09-08	$112.51	$109.00	24.0%	6.8%	32.6%	47.2%	23.9%	-0.6%	-1.3%	55.6M	-1.89B	-6.4M	1.50	17.90	N/A	N/A	17,165	25,697	325,495	497,737
2011-09-09	$113.71	$109.00	27.2%	7.1%	25.9%	57.7%	24.7%	-0.9%	-1.5%	52.6M	-2.08B	-6.1M	1.12	14.95	N/A	N/A	16,908	18,911	332,209	519,620
2011-09-12	$113.83	$109.00	27.9%	7.4%	25.3%	60.2%	25.9%	-1.1%	-1.8%	51.5M	-2.09B	-5.7M	0.57	38.89	N/A	N/A	19,776	11,267	325,687	520,416
2011-09-13	$112.21	$110.00	24.1%	7.1%	25.6%	47.7%	25.2%	-0.5%	-1.4%	45.8M	-1.79B	-6.3M	1.42	36.35	N/A	N/A	17,099	24,205	331,720	525,780
2011-09-14	$113.16	$110.00	22.7%	7.0%	25.2%	43.0%	24.7%	-0.2%	-1.1%	50.1M	-2.01B	-5.5M	1.69	31.57	N/A	N/A	13,550	22,858	337,043	536,370
2011-09-15	$111.43	$110.00	23.1%	6.6%	25.5%	44.2%	23.5%	-1.1%	-0.4%	-1.4M	-1.61B	-6.2M	1.08	27.92	N/A	N/A	10,077	10,838	340,952	553,316
2011-09-16	$112.24	$110.00	22.5%	6.4%	24.6%	42.3%	22.7%	-0.4%	-0.5%	-32.5M	-1.83B	-6.0M	0.73	8.60	N/A	N/A	14,579	10,716	342,303	551,888
2011-09-19	$114.38	$110.00	23.9%	6.9%	25.3%	46.9%	24.2%	0.3%	-1.0%	32.1M	-1.32B	-5.0M	0.87	11.03	N/A	N/A	23,554	20,420	235,973	341,584
2011-09-20	$114.86	$110.00	23.6%	6.8%	25.3%	46.1%	24.0%	0.2%	-0.8%	34.4M	-1.36B	-5.2M	1.56	10.24	N/A	N/A	8,820	13,719	242,896	346,488
2011-09-21	$118.66	$110.00	21.9%	6.3%	26.8%	40.3%	22.5%	0.0%	0.5%	40.7M	-1.84B	-3.7M	0.76	6.79	N/A	N/A	42,778	32,598	245,220	353,348
2011-09-22	$123.12	$110.00	27.9%	8.0%	26.3%	60.0%	28.3%	0.5%	-1.4%	44.0M	-2.27B	-4.6M	0.86	8.15	N/A	N/A	62,938	53,958	265,440	366,257
2011-09-23	$120.83	$110.00	26.6%	7.6%	27.8%	55.8%	26.9%	0.6%	-0.1%	38.0M	-1.99B	-5.8M	0.84	22.05	N/A	N/A	26,343	22,022	286,111	392,677
2011-09-26	$118.89	$110.00	25.7%	7.4%	28.8%	53.0%	26.2%	0.9%	-0.3%	37.9M	-1.70B	-6.0M	1.64	11.86	N/A	N/A	15,874	26,105	291,143	388,657
2011-09-27	$117.07	$110.00	25.2%	7.2%	29.0%	51.2%	25.7%	0.0%	0.1%	29.4M	-1.42B	-6.0M	1.61	7.79	N/A	N/A	18,623	29,966	288,185	396,454
2011-09-28	$117.03	$110.00	25.6%	7.3%	28.7%	52.5%	25.9%	-0.8%	0.0%	23.5M	-1.40B	-6.1M	0.32	9.07	N/A	N/A	34,993	11,103	290,665	408,341
2011-09-29	$117.84	$111.00	24.8%	7.1%	27.8%	49.7%	25.0%	-0.9%	-0.1%	40.2M	-1.60B	-6.2M	0.65	10.68	N/A	N/A	10,846	7,039	307,489	402,119
2011-09-30	$120.80	$111.00	27.2%	6.9%	28.3%	57.7%	21.5%	-0.3%	-0.0%	50.0M	-1.97B	-5.9M	0.09	6.21	N/A	N/A	189,184	17,900	302,067	403,630