TLT Options History — October 2011

In October 2011, TLT traded between $110.30 and $123.81. ATM implied volatility averaged 24.8%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 1.5% (HV 20d: 26.3%). Max pain ranged from $113.00 to $118.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.31.

Notable Days

2011-10-31: Highest Volume — 144,724 contracts
2011-10-31: Largest IV spike — 41.7% change
2011-10-04: Highest IV Rank — 85.3%
2011-10-05: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$116.03	$110.30	$123.81	$123.81	$115.88
Max Pain	$116.29	$113.00	$118.00	$113.00	$114.00
ATM IV	24.8%	20.3%	35.5%	34.0%	31.1%
Expected Move	6.7%	5.8%	7.8%	7.6%	7.1%
HV 20d	26.3%	20.8%	28.8%	27.5%	26.7%
HV 60d	29.3%	28.6%	30.3%	28.6%	29.8%
IV Rank	49.8%	35.0%	85.3%	80.5%	70.7%
IV Percentile	83.7%	73.4%	99.2%	99.2%	97.2%
Term Structure	-0.1%	-1.4%	0.8%	-0.6%	-1.4%
VWIV	23.8%	21.3%	28.0%	26.8%	25.1%
Skew 25d	-0.1%	-1.6%	1.4%	-0.3%	-0.1%
Skew 10d	-0.3%	-3.6%	2.8%	-1.1%	-0.5%
Call IV 25d	23.8%	21.2%	27.2%	27.2%	25.4%
Put IV 25d	23.7%	20.2%	28.0%	26.9%	25.3%
Bid-Ask Spread %	11.77	5.64	41.32	21.22	8.41
Gamma HHI	0.14	0.07	0.58	0.09	0.07
Net GEX	-18.3K	-107.5M	60.5M	60.5M	31.9M
Net DEX	-525.3M	-1.85B	182.2M	-1.85B	-684.9M
Net VEX	-5.7M	-7.0M	-4.8M	-5.5M	-5.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.23	4.63	1.10	0.23
Total Volume	48,070.143	19,644	144,724	58,529	144,724
Total OI	691,309.095	516,235	776,705	665,876	596,266

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
2011-10-03	$123.81	$113.00	34.0%	7.6%	27.5%	80.5%	26.8%	-0.3%	-0.6%	60.5M	-1.85B	-5.5M	1.10	21.22	N/A	N/A	27,812	30,717	265,000	400,876
2011-10-04	$122.24	$115.00	35.5%	7.6%	28.1%	85.3%	27.0%	-0.0%	-0.8%	53.1M	-1.50B	-5.9M	1.25	21.76	N/A	N/A	19,754	24,644	261,138	413,698
2011-10-05	$121.36	$115.00	33.5%	7.8%	27.1%	78.5%	28.0%	1.4%	-0.8%	50.0M	-1.35B	-6.3M	4.35	41.32	N/A	N/A	17,197	74,772	266,173	418,524
2011-10-06	$119.12	$118.00	25.9%	7.2%	28.2%	53.4%	25.3%	0.7%	0.1%	8.3M	-828.4M	-7.0M	1.12	6.02	N/A	N/A	14,053	15,806	266,069	470,518
2011-10-07	$118.24	$117.00	22.3%	7.3%	28.3%	41.7%	25.4%	1.4%	-0.9%	391.0K	-693.3M	-6.8M	1.12	16.22	N/A	N/A	24,168	27,097	266,424	471,848
2011-10-10	$116.57	$117.00	27.0%	7.3%	28.8%	57.1%	25.8%	1.1%	-0.9%	-5.0M	-491.0M	-6.5M	1.02	6.49	N/A	N/A	14,942	15,226	265,719	468,761
2011-10-11	$116.18	$117.00	25.7%	6.9%	28.3%	52.7%	23.8%	1.0%	-0.7%	-6.5M	-441.8M	-6.3M	0.57	5.92	N/A	N/A	16,630	9,445	270,105	471,896
2011-10-12	$114.49	$117.00	22.6%	6.8%	28.8%	42.7%	23.6%	1.1%	0.0%	-21.5M	-135.2M	-6.4M	1.32	20.63	N/A	N/A	25,472	33,539	279,396	473,722
2011-10-13	$115.63	$117.00	23.1%	6.6%	28.3%	44.2%	23.4%	0.5%	0.2%	-16.3M	-354.0M	-5.8M	0.87	6.73	N/A	N/A	18,796	16,373	273,819	478,742
2011-10-14	$113.95	$117.00	22.0%	6.3%	28.8%	40.5%	22.5%	0.5%	0.7%	-53.0M	2.6M	-6.0M	1.06	11.13	N/A	N/A	13,231	14,071	280,324	481,387
2011-10-17	$115.92	$117.00	23.0%	6.6%	28.7%	43.8%	23.6%	0.0%	0.3%	-5.5M	-460.8M	-5.7M	0.50	5.64	N/A	N/A	13,105	6,539	275,172	474,402
2011-10-18	$115.20	$117.00	22.8%	6.5%	28.8%	43.2%	23.8%	-0.8%	0.1%	-7.5M	-372.4M	-5.6M	1.18	6.60	N/A	N/A	12,734	14,981	279,935	475,919
2011-10-19	$115.16	$117.00	22.6%	6.5%	26.1%	42.7%	23.3%	-1.4%	0.3%	-5.6M	-374.8M	-5.6M	1.05	6.57	N/A	N/A	15,538	16,277	282,706	480,979
2011-10-20	$114.34	$117.00	22.0%	6.3%	21.8%	40.7%	22.3%	-1.6%	0.7%	-11.0M	-272.2M	-5.2M	4.63	7.33	N/A	N/A	11,076	51,244	286,232	490,473
2011-10-21	$113.13	$117.00	21.2%	6.1%	21.3%	38.1%	22.4%	-1.3%	0.8%	-107.5M	-29.0M	-5.0M	1.00	11.18	N/A	N/A	21,706	21,619	289,225	470,699
2011-10-24	$113.32	$117.00	20.3%	5.8%	20.8%	35.0%	21.5%	-1.1%	0.8%	13.5M	-330.8M	-4.8M	1.47	8.67	N/A	N/A	28,613	42,089	212,909	303,326
2011-10-25	$116.20	$116.00	21.7%	6.2%	22.3%	39.7%	22.2%	-1.4%	-0.1%	31.7M	-683.1M	-5.2M	0.81	8.27	N/A	N/A	15,763	12,709	235,663	338,627
2011-10-26	$114.17	$116.00	21.0%	6.0%	23.1%	37.3%	21.8%	-1.4%	0.6%	17.5M	-391.2M	-5.5M	0.71	8.18	N/A	N/A	13,471	9,589	242,010	341,229
2011-10-27	$110.30	$116.00	21.2%	6.1%	25.7%	37.9%	21.3%	0.3%	-0.3%	-17.5M	182.2M	-5.2M	1.24	9.55	N/A	N/A	30,113	37,348	247,302	344,539
2011-10-28	$111.46	$115.00	21.9%	6.1%	24.1%	40.4%	21.3%	-0.1%	-0.4%	-10.3M	24.4M	-5.3M	0.92	9.32	N/A	N/A	19,029	17,461	251,073	354,666
2011-10-31	$115.88	$114.00	31.1%	7.1%	26.7%	70.7%	25.1%	-0.1%	-1.4%	31.9M	-684.9M	-5.1M	0.23	8.41	N/A	N/A	118,035	26,689	249,544	346,722