TLT Options History — April 2012

In April 2012, TLT traded between $110.58 and $117.92. ATM implied volatility averaged 15.3%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 1.9% (HV 20d: 17.2%). Max pain ranged from $113.00 to $116.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.82.

Notable Days

  • 2012-04-03: Highest Volume — 173,785 contracts
  • 2012-04-03: Largest IV spike — 26.8% change
  • 2012-04-03: Highest IV Rank — 37.3%
  • 2012-04-03: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.77$110.58$117.92$112.53$117.32
Max Pain$114.60$113.00$116.00$114.00$116.00
ATM IV15.3%12.4%21.0%16.5%14.4%
Expected Move4.2%3.5%4.7%4.3%3.5%
HV 20d17.2%15.1%19.9%16.4%15.1%
HV 60d16.0%15.1%16.7%15.1%15.6%
IV Rank16.6%5.4%37.3%22.6%12.0%
IV Percentile32.3%8.3%65.1%47.2%24.6%
Term Structure0.4%-0.2%1.0%0.4%0.6%
VWIV14.9%12.0%16.8%15.3%12.0%
Skew 25d1.1%0.1%2.1%1.9%0.1%
Skew 10d2.0%0.1%3.9%3.9%0.1%
Call IV 25d14.4%12.1%16.0%14.6%12.4%
Put IV 25d15.4%12.5%17.8%16.6%12.5%
Bid-Ask Spread %9.065.7412.368.9712.36
Gamma HHI0.110.080.380.090.09
Net GEX-31.3M-143.7M119.7M-89.1M-36.7M
Net DEX204.1M-185.3M1.31B775.8M13.9M
Net VEX-5.4M-7.0M-4.4M-5.9M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.224.083.530.22
Total Volume57,629.4521,000173,78571,79458,155
Total OI696,982.55541,006787,568541,006621,719

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$112.53$114.0016.5%4.3%16.4%22.6%15.3%1.9%0.4%-89.1M775.8M-5.9M3.538.97N/AN/A15,84555,949184,119356,887
2012-04-03$110.58$114.0021.0%4.7%16.5%37.3%16.5%1.8%-0.2%-140.3M1.31B-6.2M3.4710.24N/AN/A38,918134,867185,924395,467
2012-04-04$112.10$114.0019.9%4.6%17.5%33.8%16.8%2.1%0.0%-133.3M1.04B-7.0M3.836.75N/AN/A14,17254,299194,751477,562
2012-04-05$112.91$114.0016.5%4.5%17.5%22.5%16.5%1.7%0.4%-143.7M830.3M-6.9M2.668.05N/AN/A22,97861,078198,273514,842
2012-04-09$115.55$113.0016.1%4.4%19.5%21.2%15.7%1.6%0.3%-43.5M175.3M-5.8M1.388.73N/AN/A37,87452,078193,816539,179
2012-04-10$116.86$114.0017.3%4.5%19.9%25.2%16.3%1.3%0.2%1.8M-142.6M-5.8M1.069.71N/AN/A31,97134,045209,257546,004
2012-04-11$115.46$114.0014.7%4.5%19.3%16.6%16.0%1.1%0.3%-44.8M244.9M-6.1M2.3210.22N/AN/A19,21744,613211,942556,870
2012-04-12$114.98$114.0015.2%4.4%16.8%18.1%15.7%1.3%0.3%-56.4M370.3M-5.9M1.539.39N/AN/A16,80025,740218,226557,081
2012-04-13$116.84$114.0015.3%4.4%17.6%18.3%15.7%1.2%0.4%90.8M-162.6M-5.6M0.797.31N/AN/A26,36920,737221,410566,158
2012-04-16$116.67$115.0015.4%4.4%17.6%15.5%15.6%0.8%0.3%-6.7M-77.2M-5.4M0.827.77N/AN/A17,35314,304207,438553,938
2012-04-17$116.60$115.0014.9%4.3%16.8%13.7%15.5%1.0%0.3%-10.8M-45.0M-5.3M2.647.31N/AN/A7,15318,903208,659556,865
2012-04-18$116.94$115.0014.4%4.1%16.8%12.0%14.6%0.7%0.6%-10.0M-110.5M-5.2M1.085.74N/AN/A10,11610,884208,933564,414
2012-04-19$117.05$115.0014.0%4.0%16.6%10.9%14.4%0.5%0.9%13.3M-185.3M-5.0M0.8610.52N/AN/A18,55515,881213,160568,105
2012-04-20$117.07$115.0013.4%3.8%16.6%8.5%13.9%0.7%0.8%119.7M-183.2M-4.8M0.667.73N/AN/A26,94617,698213,252572,625
2012-04-23$117.92$115.0013.7%3.9%16.5%9.7%14.0%0.7%0.6%-8.4M-99.1M-4.5M0.738.25N/AN/A23,81817,335145,594450,304
2012-04-24$117.09$115.0014.4%4.1%16.6%12.2%15.1%0.9%-0.1%-23.7M69.4M-4.9M1.1310.47N/AN/A19,77022,292156,799454,612
2012-04-25$116.49$115.0013.5%3.9%16.6%8.9%13.8%0.9%0.3%-44.6M203.4M-4.7M1.359.97N/AN/A18,81825,327166,447463,119
2012-04-26$117.19$115.0012.4%3.6%16.7%5.4%13.0%0.6%0.8%-27.0M50.8M-4.6M2.3212.12N/AN/A13,65431,613169,441467,993
2012-04-27$117.29$116.0013.0%3.5%16.5%7.2%12.3%0.4%1.0%-31.6M-701.5K-4.4M4.089.57N/AN/A11,10745,357173,470474,996
2012-04-30$117.32$116.0014.4%3.5%15.1%12.0%12.0%0.1%0.6%-36.7M13.9M-4.4M0.2212.36N/AN/A47,54610,609158,798462,921