TLT Options History — February 2012

In February 2012, TLT traded between $115.29 and $119.18. ATM implied volatility averaged 16.3%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 0.4% (HV 20d: 15.9%). Max pain ranged from $118.00 to $119.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.43.

Notable Days

2012-02-22: Highest Volume — 77,573 contracts
2012-02-02: Largest IV drop — 16.2% change
2012-02-07: Highest IV Rank — 33.5%
2012-02-08: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$117.19	$115.29	$119.18	$119.18	$117.43
Max Pain	$118.50	$118.00	$119.00	$119.00	$118.00
ATM IV	16.3%	14.0%	19.9%	19.3%	16.3%
Expected Move	4.6%	4.1%	5.1%	4.5%	4.2%
HV 20d	15.9%	14.2%	17.1%	14.9%	14.8%
HV 60d	17.2%	16.6%	17.9%	17.4%	16.6%
IV Rank	21.9%	14.3%	33.5%	31.8%	21.7%
IV Percentile	47.3%	32.9%	61.5%	60.3%	47.6%
Term Structure	0.4%	-0.1%	1.0%	0.3%	0.2%
VWIV	16.2%	14.6%	18.1%	16.1%	14.6%
Skew 25d	0.8%	-0.0%	1.6%	-0.0%	0.4%
Skew 10d	1.7%	0.4%	3.3%	0.5%	0.7%
Call IV 25d	15.7%	14.4%	17.4%	16.1%	14.6%
Put IV 25d	16.5%	14.8%	18.8%	16.1%	15.0%
Bid-Ask Spread %	9.44	7.91	11.60	9.72	11.29
Gamma HHI	0.09	0.07	0.12	0.08	0.09
Net GEX	-58.9M	-118.7M	6.5M	-52.8M	-32.1M
Net DEX	393.9M	-75.0M	974.4M	132.6M	207.8M
Net VEX	-5.2M	-5.8M	-4.7M	-5.1M	-4.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.43	0.48	2.60	2.60	0.48
Total Volume	51,055.45	29,205	77,573	47,309	71,263
Total OI	540,207.7	432,396	615,629	507,669	511,745

Daily Data (20 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
2012-02-01	$119.18	$119.00	19.3%	4.5%	14.9%	31.8%	16.1%	-0.0%	0.3%	-52.8M	132.6M	-5.1M	2.60	9.72	N/A	N/A	13,140	34,169	178,856	328,813
2012-02-02	$119.13	$119.00	16.2%	4.4%	14.2%	21.5%	15.8%	0.3%	0.6%	-46.0M	111.4M	-5.0M	1.14	9.22	N/A	N/A	25,292	28,946	183,350	325,982
2012-02-03	$116.57	$119.00	16.6%	4.9%	16.2%	22.7%	17.3%	1.1%	-0.1%	-93.1M	731.9M	-5.7M	1.58	8.02	N/A	N/A	27,965	44,061	201,739	341,627
2012-02-06	$117.73	$119.00	18.3%	4.9%	16.4%	28.2%	17.5%	0.9%	-0.0%	-69.7M	364.3M	-5.7M	1.15	7.91	N/A	N/A	19,003	21,777	206,270	341,223
2012-02-07	$116.27	$119.00	19.9%	5.0%	16.9%	33.5%	17.8%	1.1%	0.1%	-92.7M	699.0M	-5.7M	1.20	8.38	N/A	N/A	26,607	31,969	212,164	344,479
2012-02-08	$116.36	$119.00	16.9%	5.1%	16.9%	23.8%	18.1%	1.6%	-0.0%	-86.9M	675.9M	-5.8M	1.72	9.22	N/A	N/A	14,603	25,146	219,032	350,956
2012-02-09	$115.49	$119.00	16.9%	4.9%	16.3%	23.9%	17.6%	1.3%	0.5%	-118.7M	974.4M	-5.6M	1.62	9.77	N/A	N/A	23,978	38,754	221,810	363,049
2012-02-10	$116.99	$119.00	16.6%	4.8%	17.1%	22.8%	17.0%	0.8%	0.6%	-79.1M	497.8M	-5.8M	1.15	8.08	N/A	N/A	23,922	27,550	227,904	371,605
2012-02-13	$117.14	$119.00	16.3%	4.7%	16.6%	21.6%	16.5%	1.3%	0.4%	-90.8M	486.9M	-5.4M	1.48	8.30	N/A	N/A	18,285	26,975	224,511	365,561
2012-02-14	$117.76	$119.00	16.0%	4.6%	16.7%	20.9%	16.4%	0.8%	0.5%	-67.4M	278.2M	-5.3M	1.49	8.71	N/A	N/A	17,009	25,313	234,551	372,927
2012-02-15	$117.55	$118.00	15.7%	4.5%	16.2%	19.6%	16.3%	0.9%	0.7%	-67.7M	286.3M	-5.2M	1.03	8.74	N/A	N/A	14,373	14,832	239,666	370,092
2012-02-16	$116.61	$118.00	15.9%	4.6%	15.7%	20.4%	16.0%	0.8%	0.7%	-95.4M	603.9M	-5.2M	0.69	9.41	N/A	N/A	30,167	20,684	243,059	369,824
2012-02-17	$116.58	$118.00	15.4%	4.4%	15.2%	18.8%	15.8%	1.2%	1.0%	-63.8M	605.4M	-5.0M	1.90	8.22	N/A	N/A	13,496	25,676	245,865	369,764
2012-02-21	$115.29	$118.00	15.7%	4.5%	15.5%	19.6%	15.9%	1.4%	0.8%	-49.0M	563.9M	-4.7M	1.71	9.61	N/A	N/A	18,635	31,801	177,394	255,002
2012-02-22	$116.74	$118.00	15.1%	4.3%	16.2%	17.9%	15.5%	0.7%	0.7%	-29.8M	298.9M	-4.8M	0.96	11.36	N/A	N/A	39,595	37,978	183,153	267,052
2012-02-23	$116.74	$118.00	15.0%	4.3%	16.2%	17.4%	15.3%	0.9%	0.6%	-26.4M	288.5M	-4.9M	1.22	11.60	N/A	N/A	18,382	22,504	194,157	280,016
2012-02-24	$117.50	$118.00	14.0%	4.2%	15.6%	14.3%	14.8%	0.5%	0.7%	-15.3M	98.9M	-4.9M	2.17	10.50	N/A	N/A	13,648	29,562	201,885	287,991
2012-02-27	$118.54	$118.00	15.4%	4.1%	15.9%	18.8%	14.7%	0.3%	0.4%	6.5M	-75.0M	-4.8M	1.61	10.27	N/A	N/A	22,111	35,699	201,080	290,163
2012-02-28	$118.15	$118.00	15.5%	4.2%	15.3%	19.1%	14.8%	0.6%	0.2%	-8.2M	46.2M	-4.9M	1.63	10.40	N/A	N/A	17,603	28,636	207,137	292,700
2012-02-29	$117.43	$118.00	16.3%	4.2%	14.8%	21.7%	14.6%	0.4%	0.2%	-32.1M	207.8M	-4.9M	0.48	11.29	N/A	N/A	48,121	23,142	212,279	299,466