TLT Options History — January 2012

In January 2012, TLT traded between $116.17 and $121.44. ATM implied volatility averaged 17.5%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.1% (HV 20d: 17.4%). Max pain ranged from $117.00 to $120.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.73.

Notable Days

  • 2012-01-13: Highest Volume — 309,165 contracts
  • 2012-01-30: Largest IV spike — 33.0% change
  • 2012-01-30: Highest IV Rank — 34.2%
  • 2012-01-03: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.65$116.17$121.44$119.43$120.85
Max Pain$119.25$117.00$120.00$117.00$118.00
ATM IV17.5%15.0%20.1%19.9%19.7%
Expected Move4.9%4.3%5.2%5.2%4.8%
HV 20d17.4%13.7%20.8%20.3%15.0%
HV 60d21.1%17.4%22.5%22.4%17.4%
IV Rank25.7%17.5%34.2%33.6%33.2%
IV Percentile55.5%45.6%63.1%62.7%61.1%
Term Structure0.6%-0.6%1.6%0.9%0.3%
VWIV17.3%15.3%18.5%18.2%16.8%
Skew 25d0.6%-0.3%1.5%0.2%-0.3%
Skew 10d1.2%-0.7%3.4%0.6%-0.7%
Call IV 25d17.0%15.1%18.1%18.1%17.1%
Put IV 25d17.6%15.6%19.0%18.4%16.8%
Bid-Ask Spread %9.657.1718.158.988.50
Gamma HHI0.110.070.220.070.08
Net GEX-60.6M-247.5M62.7M27.2M-25.3M
Net DEX178.2M-637.5M1.59B-397.2M-361.9M
Net VEX-5.7M-8.9M-4.2M-4.3M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.730.7414.691.640.74
Total Volume72,419.2522,939309,16545,96487,904
Total OI618,927.65487,254925,716497,070515,990

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$119.43$117.0019.9%5.2%20.3%33.6%18.2%0.2%0.9%27.2M-397.2M-4.3M1.648.98N/AN/A17,42928,535202,223294,847
2012-01-04$118.01$118.0019.9%5.0%20.8%33.7%17.4%0.3%1.2%4.0M-147.8M-4.6M1.1210.00N/AN/A13,30814,916211,000313,345
2012-01-05$117.80$118.0018.1%4.8%20.5%27.7%16.9%0.3%1.6%-1.1M-100.9M-4.5M1.4710.46N/AN/A12,20517,913212,427316,304
2012-01-06$118.73$120.0015.6%5.1%20.6%19.4%17.8%0.7%0.9%17.2M-267.7M-4.3M1.118.46N/AN/A14,50716,094215,081320,038
2012-01-09$118.52$120.0018.5%5.0%20.2%28.9%17.7%0.8%0.8%14.2M-241.7M-4.2M1.028.36N/AN/A11,35211,587214,444318,076
2012-01-10$118.32$120.0017.0%5.0%18.7%24.2%18.2%0.8%0.9%7.5M-190.0M-4.2M5.029.34N/AN/A10,37852,110218,790323,054
2012-01-11$119.86$120.0015.0%5.0%18.8%17.5%18.0%0.6%0.8%18.8M-415.8M-4.4M1.2010.39N/AN/A14,33917,256222,336366,701
2012-01-12$119.69$120.0017.4%5.0%18.6%25.4%17.6%0.9%0.8%17.2M-391.8M-4.3M1.1118.15N/AN/A15,02316,723228,813375,492
2012-01-13$120.88$120.0017.6%5.0%17.6%26.1%17.9%0.5%0.8%62.7M-637.5M-4.3M14.699.03N/AN/A19,701289,464230,800378,708
2012-01-17$121.44$120.0017.3%5.0%17.7%25.1%17.5%0.8%0.7%-59.5M-94.5M-7.3M1.248.17N/AN/A14,62818,173231,545636,282
2012-01-18$119.97$120.0016.7%4.8%17.6%23.0%17.0%0.4%1.0%-107.2M334.7M-7.5M2.158.89N/AN/A13,76829,573234,806640,486
2012-01-19$118.32$120.0016.8%4.8%17.4%23.4%17.0%0.9%0.7%-190.4M995.9M-8.1M1.8310.77N/AN/A24,37744,500235,301656,333
2012-01-20$116.98$120.0017.5%5.0%15.6%25.6%17.7%1.0%0.3%-247.5M1.51B-8.8M1.928.53N/AN/A22,60843,301244,636681,080
2012-01-23$116.24$120.0018.1%5.2%15.0%27.7%18.5%1.3%-0.3%-218.9M1.59B-8.9M1.958.47N/AN/A19,66038,365151,910517,820
2012-01-24$116.45$120.0017.9%5.1%15.0%27.0%17.9%1.5%-0.6%-221.6M1.53B-8.8M10.859.60N/AN/A25,935281,285157,199524,100
2012-01-25$116.17$120.0016.3%4.7%14.5%21.6%16.4%0.5%0.3%-108.6M588.8M-5.5M1.437.17N/AN/A24,53235,040173,650319,409
2012-01-26$117.71$118.0015.3%4.4%15.3%18.6%15.7%0.8%0.6%-89.5M254.2M-5.3M1.2410.09N/AN/A15,16218,759174,435324,912
2012-01-27$118.08$118.0015.1%4.3%13.7%17.8%15.3%0.4%0.3%-71.4M156.6M-5.2M1.079.70N/AN/A12,10612,925179,022329,904
2012-01-30$119.47$118.0020.1%4.8%14.5%34.2%16.9%-0.1%0.3%-39.2M-141.2M-4.9M1.839.99N/AN/A25,73447,210175,651311,603
2012-01-31$120.85$118.0019.7%4.8%15.0%33.2%16.8%-0.3%0.3%-25.3M-361.9M-4.9M0.748.50N/AN/A50,39137,513185,446330,544