TLT Options History — November 2011

In November 2011, TLT traded between $115.65 and $122.58. ATM implied volatility averaged 24.8%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 2.5% (HV 20d: 27.3%). Max pain ranged from $114.00 to $118.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2011-11-30: Highest Volume — 147,216 contracts
  • 2011-11-02: Largest IV drop — 21.5% change
  • 2011-11-01: Highest IV Rank — 97.2%
  • 2011-11-01: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.50$115.65$122.58$119.45$117.88
Max Pain$115.33$114.00$118.00$114.00$118.00
ATM IV24.8%21.4%39.1%39.1%26.5%
Expected Move6.6%6.0%7.7%7.7%6.0%
HV 20d27.3%17.9%29.6%29.0%17.9%
HV 60d27.1%25.1%30.0%29.8%25.3%
IV Rank49.9%38.8%97.2%97.2%55.6%
IV Percentile82.4%69.4%99.6%99.6%90.9%
Term Structure-0.1%-1.5%0.7%-1.5%0.0%
VWIV23.2%20.6%27.3%27.3%20.6%
Skew 25d0.1%-0.7%0.7%0.1%0.2%
Skew 10d0.0%-1.1%1.0%0.0%0.3%
Call IV 25d23.1%20.8%27.4%27.4%20.8%
Put IV 25d23.3%21.0%27.4%27.4%21.0%
Bid-Ask Spread %11.217.0030.698.729.12
Gamma HHI0.110.050.350.070.10
Net GEX47.1M-9.6M142.8M50.1M-9.6M
Net DEX-830.3M-1.23B-418.0M-1.10B-418.0M
Net VEX-4.8M-5.8M-3.8M-5.8M-4.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.153.650.700.15
Total Volume38,662.23815,056147,21694,539147,216
Total OI594,589.619473,205649,833614,601563,242

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$119.45$114.0039.1%7.7%29.0%97.2%27.3%0.1%-1.5%50.1M-1.10B-5.8M0.708.72N/AN/A55,68638,853251,245363,356
2011-11-02$117.96$114.0030.7%6.8%29.2%69.4%23.7%0.4%-0.2%52.3M-881.9M-5.7M0.5230.69N/AN/A48,78225,283253,866366,108
2011-11-03$116.34$114.0024.8%6.7%28.9%50.0%23.8%-0.7%-0.0%35.6M-606.7M-5.4M0.6411.34N/AN/A21,10013,467248,509372,927
2011-11-04$116.48$115.0023.1%6.7%28.8%44.2%23.3%0.1%-0.7%34.2M-637.2M-5.6M0.549.56N/AN/A17,4169,486256,540375,386
2011-11-07$117.22$115.0024.8%6.6%28.4%49.9%23.5%0.3%-0.3%46.7M-776.5M-5.2M0.6518.81N/AN/A15,69810,252253,303372,207
2011-11-08$115.72$115.0023.2%6.5%28.8%44.5%23.1%0.1%-0.5%32.6M-506.8M-5.3M0.989.70N/AN/A9,8109,640254,357373,360
2011-11-09$118.12$115.0024.8%6.9%29.2%49.8%24.5%0.2%-0.8%52.0M-935.2M-4.9M0.8614.88N/AN/A19,45316,772253,160375,883
2011-11-10$116.36$115.0023.5%6.7%29.6%45.7%23.8%-0.0%-0.2%31.7M-587.8M-5.4M1.0718.01N/AN/A14,23015,233258,869380,118
2011-11-11$115.65$115.0023.4%6.7%29.1%45.2%23.5%0.0%-0.1%31.2M-427.7M-5.3M1.089.68N/AN/A7,7858,441265,135383,895
2011-11-14$117.51$115.0023.9%6.9%29.1%46.9%24.3%0.0%-0.4%56.3M-819.3M-4.9M1.387.00N/AN/A6,3178,739256,575379,111
2011-11-15$117.35$115.0023.0%6.6%29.0%44.0%23.1%0.1%-0.1%61.2M-787.5M-4.8M1.357.66N/AN/A6,6909,053258,604383,084
2011-11-16$118.42$115.0022.4%6.4%29.1%42.1%22.8%-0.2%0.2%88.3M-1.03B-4.3M0.467.94N/AN/A12,1195,604259,337382,751
2011-11-17$119.37$115.0023.4%6.7%29.0%45.2%23.6%-0.0%0.0%107.1M-1.23B-4.2M0.549.19N/AN/A18,0639,793263,462383,250
2011-11-18$119.34$115.0021.7%6.2%28.6%39.6%21.8%-0.1%0.6%142.8M-1.22B-4.0M0.708.17N/AN/A16,20511,298264,546385,287
2011-11-21$120.05$115.0022.6%6.5%28.6%42.7%22.7%-0.3%0.2%26.8M-825.2M-4.0M1.397.94N/AN/A9,61913,390180,962292,243
2011-11-22$121.39$116.0021.4%6.1%27.6%38.8%21.7%0.7%0.7%32.3M-956.8M-3.9M0.489.75N/AN/A12,8446,223185,869299,465
2011-11-23$122.58$116.0022.1%6.3%26.7%40.8%22.5%0.2%0.2%37.1M-1.11B-3.8M0.418.65N/AN/A37,34415,366191,398301,887
2011-11-25$120.80$116.0022.5%6.2%23.7%42.4%21.8%0.4%0.7%41.1M-966.6M-4.1M1.3511.90N/AN/A10,71314,425215,223307,687
2011-11-28$120.74$116.0026.0%6.5%23.7%53.9%23.4%0.6%-0.2%30.5M-895.2M-4.3M3.657.60N/AN/A12,70246,389208,017310,645
2011-11-29$119.75$118.0027.6%6.3%20.1%59.2%22.2%-0.0%0.1%9.3M-724.7M-4.3M1.049.07N/AN/A11,96712,441210,978344,535
2011-11-30$117.88$118.0026.5%6.0%17.9%55.6%20.6%0.2%0.0%-9.6M-418.0M-4.6M0.159.12N/AN/A128,14419,072214,166349,076