TLT Options History — March 2012

In March 2012, TLT traded between $110.10 and $117.63. ATM implied volatility averaged 15.3%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.3% (HV 20d: 15.0%). Max pain ranged from $114.00 to $118.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.82.

Notable Days

2012-03-14: Highest Volume — 191,715 contracts
2012-03-07: Largest IV drop — 25.7% change
2012-03-06: Highest IV Rank — 34.3%
2012-03-14: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$113.76	$110.10	$117.63	$116.06	$112.20
Max Pain	$115.77	$114.00	$118.00	$118.00	$114.00
ATM IV	15.3%	12.9%	20.1%	15.8%	14.8%
Expected Move	4.2%	3.9%	4.7%	4.2%	4.1%
HV 20d	15.0%	12.2%	16.5%	14.6%	16.5%
HV 60d	15.9%	14.9%	16.8%	16.5%	15.1%
IV Rank	18.6%	10.4%	34.3%	20.1%	16.9%
IV Percentile	37.9%	19.8%	63.1%	44.4%	33.3%
Term Structure	0.7%	0.2%	1.3%	0.4%	0.5%
VWIV	15.1%	13.8%	16.6%	15.5%	14.4%
Skew 25d	1.2%	0.2%	1.8%	0.3%	1.7%
Skew 10d	2.2%	0.5%	3.8%	0.5%	3.1%
Call IV 25d	14.4%	13.3%	16.2%	15.0%	13.9%
Put IV 25d	15.6%	14.1%	17.1%	15.3%	15.6%
Bid-Ask Spread %	9.48	7.59	13.10	9.73	10.50
Gamma HHI	0.11	0.08	0.21	0.08	0.11
Net GEX	-87.4M	-201.6M	-11.6M	-62.3M	-135.3M
Net DEX	841.7M	104.5M	2.18B	578.2M	907.9M
Net VEX	-5.3M	-6.0M	-4.5M	-5.1M	-6.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.82	0.53	3.55	1.79	1.66
Total Volume	65,427.591	26,625	191,715	106,605	66,731
Total OI	557,005.182	439,713	687,638	519,997	549,073

Daily Data (22 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
2012-03-01	$116.06	$118.00	15.8%	4.2%	14.6%	20.1%	15.5%	0.3%	0.4%	-62.3M	578.2M	-5.1M	1.79	9.73	N/A	N/A	38,260	68,345	213,094	306,903
2012-03-02	$117.15	$118.00	14.9%	4.1%	15.0%	17.0%	14.5%	0.2%	0.2%	-39.2M	285.5M	-5.2M	1.49	9.36	N/A	N/A	20,588	30,657	227,874	348,350
2012-03-05	$116.22	$118.00	18.1%	4.3%	13.2%	27.9%	15.1%	1.0%	0.9%	-73.4M	520.9M	-5.0M	1.06	8.98	N/A	N/A	19,237	20,296	226,271	343,671
2012-03-06	$117.63	$118.00	20.1%	4.3%	13.4%	34.3%	15.1%	1.0%	0.7%	-11.6M	104.5M	-5.1M	0.81	7.85	N/A	N/A	27,238	22,019	235,954	355,165
2012-03-07	$116.91	$117.00	14.9%	4.2%	12.8%	17.2%	14.7%	1.1%	0.7%	-40.8M	336.3M	-5.1M	2.17	7.59	N/A	N/A	8,398	18,227	243,137	360,636
2012-03-08	$115.74	$117.00	16.1%	4.3%	13.3%	21.1%	15.0%	1.1%	0.6%	-102.6M	732.9M	-5.1M	1.82	8.75	N/A	N/A	21,169	38,589	247,222	366,145
2012-03-09	$115.97	$117.00	12.9%	3.9%	13.1%	10.4%	14.0%	0.9%	1.1%	-195.7M	673.6M	-4.9M	1.55	9.46	N/A	N/A	28,229	43,668	252,526	372,740
2012-03-12	$115.95	$117.00	14.5%	3.9%	12.2%	15.9%	13.8%	0.7%	1.1%	-91.1M	613.6M	-4.8M	1.19	8.63	N/A	N/A	17,463	20,806	244,185	361,981
2012-03-13	$113.91	$117.00	15.2%	4.1%	13.6%	18.3%	14.5%	0.9%	0.6%	-155.2M	1.24B	-4.5M	2.74	8.47	N/A	N/A	30,131	82,589	247,235	371,142
2012-03-14	$111.04	$117.00	16.1%	4.7%	15.8%	21.3%	16.6%	0.9%	0.3%	-201.3M	2.18B	-5.0M	2.89	13.10	N/A	N/A	49,325	142,390	254,590	404,645
2012-03-15	$111.21	$116.00	15.1%	4.3%	15.9%	17.7%	15.2%	0.9%	0.7%	-201.6M	2.04B	-5.1M	2.60	9.25	N/A	N/A	21,261	55,241	267,505	420,133
2012-03-16	$111.43	$116.00	15.5%	4.4%	15.9%	19.0%	15.3%	1.4%	0.7%	-128.0M	1.88B	-4.9M	2.62	9.30	N/A	N/A	31,278	81,882	270,532	408,676
2012-03-19	$110.10	$115.00	15.6%	4.5%	16.2%	19.6%	15.9%	1.4%	0.7%	-73.0M	1.08B	-5.6M	1.26	9.43	N/A	N/A	34,849	43,961	158,966	280,747
2012-03-20	$110.54	$114.00	15.8%	4.5%	16.1%	20.1%	16.1%	1.5%	0.7%	-74.0M	1.03B	-5.8M	1.23	8.17	N/A	N/A	13,523	16,590	171,668	298,168
2012-03-21	$111.79	$114.00	15.3%	4.4%	15.9%	18.6%	15.5%	1.3%	0.9%	-55.7M	794.5M	-5.9M	0.88	9.14	N/A	N/A	19,493	17,171	174,039	300,509
2012-03-22	$112.15	$114.00	15.2%	4.4%	16.0%	18.2%	15.8%	1.3%	0.9%	-51.4M	753.6M	-5.9M	1.79	9.24	N/A	N/A	13,260	23,707	174,512	307,124
2012-03-23	$113.21	$114.00	14.1%	4.0%	16.3%	14.6%	14.3%	1.6%	1.3%	-38.8M	496.1M	-5.7M	0.53	8.80	N/A	N/A	29,949	15,726	178,461	298,735
2012-03-26	$112.63	$114.00	14.4%	4.1%	15.8%	15.5%	14.9%	1.3%	1.0%	-50.6M	666.0M	-5.6M	3.55	8.77	N/A	N/A	20,196	71,734	180,078	288,643
2012-03-27	$113.44	$114.00	14.5%	4.2%	16.2%	15.8%	14.8%	1.5%	0.8%	-48.3M	547.6M	-5.5M	1.97	10.43	N/A	N/A	9,250	18,187	180,228	319,091
2012-03-28	$113.28	$114.00	14.2%	4.1%	16.1%	14.9%	15.9%	1.8%	0.8%	-51.4M	588.4M	-5.5M	3.14	11.58	N/A	N/A	11,905	37,403	183,724	326,653
2012-03-29	$114.13	$114.00	13.9%	4.0%	16.0%	13.8%	14.5%	1.7%	0.7%	-41.2M	458.0M	-5.7M	1.43	12.00	N/A	N/A	15,826	22,660	183,178	350,205
2012-03-30	$112.20	$114.00	14.8%	4.1%	16.5%	16.9%	14.4%	1.7%	0.5%	-135.3M	907.9M	-6.0M	1.66	10.50	N/A	N/A	25,125	41,606	190,097	358,976