TLT Options History — May 2012

In May 2012, TLT traded between $116.43 and $127.60. ATM implied volatility averaged 16.5%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 5.7% (HV 20d: 10.9%). Max pain ranged from $116.00 to $122.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.21.

Notable Days

2012-05-31: Highest Volume — 266,664 contracts
2012-05-30: Largest IV spike — 24.2% change
2012-05-30: Highest IV Rank — 48.8%
2012-05-31: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$121.32	$116.43	$127.60	$116.43	$127.60
Max Pain	$118.68	$116.00	$122.00	$117.00	$122.00
ATM IV	16.5%	12.0%	25.1%	16.8%	20.7%
Expected Move	4.4%	3.7%	5.5%	3.8%	5.5%
HV 20d	10.9%	7.5%	15.5%	15.5%	13.2%
HV 60d	14.7%	14.5%	15.2%	15.0%	15.2%
IV Rank	19.5%	3.9%	48.8%	20.4%	33.8%
IV Percentile	40.3%	3.6%	86.5%	47.6%	63.1%
Term Structure	0.4%	-0.4%	0.8%	0.2%	-0.4%
VWIV	15.7%	13.0%	19.3%	13.3%	19.3%
Skew 25d	-0.3%	-1.7%	0.9%	0.6%	-0.6%
Skew 10d	-0.7%	-3.4%	1.8%	1.4%	-1.9%
Call IV 25d	15.8%	12.5%	19.9%	13.2%	19.9%
Put IV 25d	15.6%	13.4%	19.3%	13.8%	19.3%
Bid-Ask Spread %	10.34	5.35	28.96	18.07	8.55
Gamma HHI	0.08	0.07	0.14	0.09	0.08
Net GEX	22.8M	-45.4M	92.3M	-45.4M	92.3M
Net DEX	-443.3M	-1.20B	226.9M	226.9M	-1.20B
Net VEX	-4.6M	-5.0M	-4.2M	-4.6M	-5.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.21	0.46	5.18	1.16	0.46
Total Volume	62,787.773	18,248	266,664	47,925	266,664
Total OI	666,173.682	589,244	733,711	632,362	714,771

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
2012-05-01	$116.43	$117.00	16.8%	3.8%	15.5%	20.4%	13.3%	0.6%	0.2%	-45.4M	226.9M	-4.6M	1.16	18.07	N/A	N/A	22,239	25,686	162,588	469,774
2012-05-02	$117.25	$116.00	17.1%	3.7%	13.8%	21.5%	13.2%	0.6%	0.4%	-16.6M	41.3M	-4.5M	1.06	11.12	N/A	N/A	9,897	10,449	170,879	477,328
2012-05-03	$117.22	$116.00	13.9%	3.7%	13.2%	10.5%	13.6%	0.8%	0.2%	-20.8M	80.5M	-4.7M	1.01	11.43	N/A	N/A	10,492	10,548	174,513	480,354
2012-05-04	$118.14	$117.00	12.0%	3.7%	13.3%	3.9%	13.0%	0.9%	0.6%	31.4M	-181.4M	-4.3M	1.14	8.10	N/A	N/A	19,032	21,779	178,035	483,028
2012-05-07	$118.16	$117.00	13.6%	3.7%	10.7%	9.3%	13.4%	0.9%	0.6%	-2.3M	-58.8M	-4.6M	1.03	5.35	N/A	N/A	8,992	9,256	173,325	483,638
2012-05-08	$118.79	$117.00	15.5%	3.8%	10.2%	15.9%	13.5%	0.8%	0.2%	25.1M	-240.3M	-4.2M	0.91	8.79	N/A	N/A	22,400	20,421	175,922	486,776
2012-05-09	$118.87	$117.00	13.2%	3.8%	9.0%	7.9%	13.7%	0.7%	0.4%	28.2M	-228.5M	-4.3M	5.18	8.88	N/A	N/A	13,123	67,969	180,314	493,077
2012-05-10	$118.52	$117.00	12.9%	3.7%	8.9%	7.0%	13.2%	0.8%	0.8%	11.9M	-98.1M	-4.5M	1.12	28.96	N/A	N/A	18,933	21,126	182,946	472,705
2012-05-11	$119.50	$117.00	14.1%	4.0%	7.5%	11.1%	14.3%	-0.3%	0.6%	33.8M	-405.0M	-4.5M	0.59	8.44	N/A	N/A	32,009	18,902	188,435	479,080
2012-05-14	$121.17	$118.00	16.8%	4.8%	8.7%	20.5%	17.0%	-0.8%	-0.2%	49.8M	-667.4M	-4.4M	0.75	7.23	N/A	N/A	36,451	27,252	191,338	480,133
2012-05-15	$121.66	$118.00	15.8%	4.5%	8.7%	17.0%	16.1%	-0.2%	0.4%	47.7M	-686.8M	-4.7M	1.22	9.76	N/A	N/A	15,372	18,702	198,695	491,724
2012-05-16	$122.01	$118.00	16.2%	4.7%	8.7%	18.4%	16.6%	-0.7%	0.3%	44.5M	-725.0M	-4.6M	0.80	8.49	N/A	N/A	24,123	19,243	199,203	499,785
2012-05-17	$124.17	$118.00	18.7%	5.4%	10.2%	27.0%	18.8%	-0.7%	-0.3%	67.8M	-1.12B	-4.3M	0.88	8.47	N/A	N/A	54,663	48,246	203,596	504,037
2012-05-18	$124.20	$120.00	17.2%	4.9%	10.2%	21.8%	17.5%	-1.3%	0.6%	47.9M	-1.04B	-4.5M	0.85	8.08	N/A	N/A	42,875	36,334	207,567	526,144
2012-05-21	$123.94	$120.00	17.1%	4.9%	10.3%	21.6%	17.5%	-1.4%	0.3%	17.7M	-519.6M	-4.5M	1.16	7.94	N/A	N/A	34,195	39,725	168,520	420,724
2012-05-22	$122.56	$121.00	16.5%	4.7%	10.8%	19.3%	16.7%	-1.0%	0.2%	3.9M	-298.2M	-4.7M	1.27	10.11	N/A	N/A	16,742	21,243	190,316	437,271
2012-05-23	$123.41	$121.00	17.4%	5.0%	10.6%	22.4%	18.1%	-1.7%	0.4%	18.1M	-472.0M	-4.9M	0.65	9.95	N/A	N/A	43,950	28,778	196,794	438,794
2012-05-24	$122.94	$121.00	16.2%	4.7%	10.8%	18.5%	16.5%	-0.7%	0.8%	-38.2M	-296.7M	-5.0M	2.20	10.07	N/A	N/A	12,442	27,318	218,596	454,806
2012-05-25	$123.40	$121.00	16.7%	4.6%	10.8%	20.1%	16.2%	-1.1%	0.8%	5.1M	-452.1M	-4.8M	1.04	9.91	N/A	N/A	23,187	24,028	221,971	451,685
2012-05-29	$123.02	$121.00	20.2%	4.5%	10.9%	32.0%	16.1%	-0.7%	0.8%	21.3M	-427.6M	-4.6M	0.82	10.30	N/A	N/A	22,545	18,541	216,391	442,026
2012-05-30	$126.14	$121.00	25.1%	5.1%	12.9%	48.8%	18.2%	-0.8%	0.4%	78.8M	-979.0M	-4.6M	1.34	9.55	N/A	N/A	49,440	66,019	221,673	446,544
2012-05-31	$127.60	$122.00	20.7%	5.5%	13.2%	33.8%	19.3%	-0.6%	-0.4%	92.3M	-1.20B	-5.0M	0.46	8.55	N/A	N/A	182,202	84,462	232,657	482,114