TLT Options History — December 2011

In December 2011, TLT traded between $116.71 and $123.87. ATM implied volatility averaged 19.2%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.7% (HV 20d: 18.6%). Max pain ranged from $115.00 to $118.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2011-12-23: Highest Volume — 118,213 contracts
  • 2011-12-05: Largest IV spike — 15.2% change
  • 2011-12-05: Highest IV Rank — 41.7%
  • 2011-12-12: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.50$116.71$123.87$117.00$121.25
Max Pain$116.00$115.00$118.00$118.00$117.00
ATM IV19.2%17.1%22.3%21.6%17.1%
Expected Move5.5%5.0%6.0%5.8%5.1%
HV 20d18.6%16.1%21.1%17.5%20.0%
HV 60d24.1%22.5%25.3%25.0%22.5%
IV Rank31.5%24.5%41.7%39.2%24.5%
IV Percentile62.7%57.1%71.4%67.9%57.1%
Term Structure0.7%-0.9%2.0%-0.5%1.4%
VWIV19.4%17.9%21.0%20.6%17.9%
Skew 25d0.2%-0.1%0.7%-0.0%0.5%
Skew 10d0.6%-0.2%1.4%0.0%1.1%
Call IV 25d19.2%17.5%21.0%20.6%17.6%
Put IV 25d19.4%17.7%21.2%20.6%18.1%
Bid-Ask Spread %7.826.429.077.948.09
Gamma HHI0.100.060.280.090.11
Net GEX26.6M-16.4M97.6M-13.5M64.4M
Net DEX-494.3M-1.17B-51.1M-74.3M-791.6M
Net VEX-4.5M-5.0M-4.2M-4.2M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.281.791.211.60
Total Volume37,82421,648118,21339,57833,263
Total OI546,435.524442,358637,643547,519506,656

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$117.00$118.0021.6%5.8%17.5%39.2%20.6%-0.0%-0.5%-13.5M-74.3M-4.2M1.217.94N/AN/A17,94621,632196,118351,401
2011-12-02$118.64$118.0019.4%5.8%17.5%31.9%20.4%0.4%-0.9%6.0M-331.4M-4.6M1.268.25N/AN/A13,79617,408202,502359,548
2011-12-05$118.40$115.0022.3%5.8%17.5%41.7%20.4%0.2%0.2%7.3M-348.6M-4.4M1.317.36N/AN/A12,74016,691199,181353,404
2011-12-06$117.27$115.0021.3%5.5%17.8%38.5%19.9%0.4%0.3%-7.4M-159.4M-4.6M1.307.50N/AN/A14,39918,660208,581363,733
2011-12-07$117.69$115.0020.8%5.7%17.1%36.6%20.3%0.1%0.3%-4.8M-245.4M-4.9M0.726.85N/AN/A17,05812,367215,866373,173
2011-12-08$119.16$115.0021.0%5.9%16.1%37.2%20.7%0.1%-0.0%17.9M-532.8M-5.0M0.886.56N/AN/A15,26813,461223,649381,262
2011-12-09$116.71$115.0019.8%5.9%17.0%33.4%21.0%0.1%-0.4%-16.4M-51.1M-5.0M1.317.39N/AN/A18,96124,902229,304383,845
2011-12-12$118.01$115.0021.5%6.0%17.2%39.0%21.0%0.3%0.0%2.2M-311.8M-4.8M1.147.65N/AN/A11,83413,480228,050386,397
2011-12-13$119.11$115.0020.1%5.7%16.6%34.2%19.9%-0.1%0.6%25.8M-543.1M-4.6M1.798.06N/AN/A15,37027,535230,830392,043
2011-12-14$121.36$115.0018.6%5.6%17.8%29.3%19.8%0.7%0.8%72.8M-951.2M-4.4M0.928.54N/AN/A19,80518,273234,241389,796
2011-12-15$120.91$115.0018.2%5.2%17.6%28.2%18.4%0.3%1.2%78.3M-884.7M-4.4M1.309.07N/AN/A11,12414,493235,241396,484
2011-12-16$122.32$115.0018.3%5.2%17.9%28.4%18.6%0.1%1.7%97.6M-1.17B-4.3M0.848.57N/AN/A27,54423,005237,191400,452
2011-12-19$123.87$115.0018.7%5.3%18.3%29.6%19.1%0.4%1.1%43.0M-895.5M-4.2M0.687.80N/AN/A24,95916,974175,039267,319
2011-12-20$120.78$116.0018.3%5.2%20.6%28.2%18.5%0.1%1.3%32.8M-558.8M-4.5M1.368.30N/AN/A16,60622,538186,284273,190
2011-12-21$119.10$117.0018.1%5.2%20.8%27.9%18.3%0.2%1.1%13.3M-301.1M-4.4M1.788.25N/AN/A10,86919,350185,951279,556
2011-12-22$119.60$117.0017.7%5.1%20.5%26.6%17.9%-0.1%1.4%9.9M-367.3M-4.4M0.538.10N/AN/A14,1067,542190,228285,385
2011-12-23$118.27$117.0017.3%5.0%20.2%25.2%19.2%0.2%2.0%13.6M-208.8M-4.5M0.287.46N/AN/A92,14826,065196,882287,181
2011-12-27$118.45$117.0018.1%5.2%20.2%27.7%18.1%-0.0%1.2%22.0M-297.4M-4.3M0.848.42N/AN/A19,80416,625189,792284,284
2011-12-28$120.64$117.0018.3%5.3%21.1%28.5%18.5%0.6%0.9%38.4M-638.3M-4.4M0.807.67N/AN/A18,36214,638198,830294,130
2011-12-29$120.86$117.0017.8%5.1%20.3%26.7%17.9%0.4%1.1%54.9M-717.3M-4.4M1.366.42N/AN/A9,61913,084206,140296,007
2011-12-30$121.25$117.0017.1%5.1%20.0%24.5%17.9%0.5%1.4%64.4M-791.6M-4.4M1.608.09N/AN/A12,79320,470210,064296,592