TLT Options History — June 2012

In June 2012, TLT traded between $124.63 and $130.36. ATM implied volatility averaged 17.3%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 0.1% (HV 20d: 17.5%). Max pain ranged from $123.00 to $126.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.00.

Notable Days

2012-06-01: Highest Volume — 125,348 contracts
2012-06-11: Largest IV spike — 21.8% change
2012-06-01: Highest IV Rank — 42.1%
2012-06-01: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$126.34	$124.63	$130.36	$130.36	$125.20
Max Pain	$125.33	$123.00	$126.00	$123.00	$125.00
ATM IV	17.3%	14.6%	23.1%	23.1%	14.8%
Expected Move	5.1%	4.2%	6.4%	6.4%	4.2%
HV 20d	17.5%	14.4%	19.0%	14.4%	14.8%
HV 60d	15.3%	14.6%	16.5%	15.7%	14.7%
IV Rank	22.3%	12.9%	42.1%	42.1%	13.4%
IV Percentile	40.4%	15.9%	77.8%	77.8%	17.1%
Term Structure	0.4%	-0.7%	1.1%	-0.4%	0.7%
VWIV	17.9%	14.8%	22.5%	22.5%	14.9%
Skew 25d	-0.6%	-1.3%	0.5%	-1.2%	-0.6%
Skew 10d	-1.2%	-2.9%	0.5%	-2.5%	-0.3%
Call IV 25d	18.2%	15.0%	23.4%	23.4%	15.0%
Put IV 25d	17.6%	14.4%	22.2%	22.2%	14.4%
Bid-Ask Spread %	9.47	7.99	12.04	8.79	11.27
Gamma HHI	0.08	0.06	0.24	0.09	0.09
Net GEX	21.6M	-33.6M	89.5M	89.5M	-33.6M
Net DEX	-318.2M	-1.50B	77.8M	-1.50B	77.8M
Net VEX	-5.8M	-6.4M	-5.2M	-6.1M	-5.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.44	1.64	0.93	0.73
Total Volume	51,808.238	16,142	125,348	125,348	69,620
Total OI	683,230.952	496,858	825,979	776,723	584,216

Daily Data (21 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
2012-06-01	$130.36	$123.00	23.1%	6.4%	14.4%	42.1%	22.5%	-1.2%	-0.4%	89.5M	-1.50B	-6.1M	0.93	8.79	N/A	N/A	64,798	60,550	252,192	524,531
2012-06-04	$129.33	$126.00	23.1%	6.1%	15.1%	42.1%	21.7%	-1.0%	-0.7%	73.0M	-1.08B	-6.0M	0.82	9.03	N/A	N/A	41,599	34,088	242,494	530,705
2012-06-05	$127.60	$126.00	20.4%	5.8%	16.3%	32.9%	20.2%	-1.0%	-0.2%	57.6M	-689.0M	-6.3M	0.94	9.83	N/A	N/A	30,873	29,114	250,327	542,295
2012-06-06	$125.05	$126.00	17.3%	5.5%	18.4%	22.2%	19.5%	-1.3%	0.5%	5.8M	-52.0M	-6.4M	1.18	12.04	N/A	N/A	43,494	51,122	250,024	545,923
2012-06-07	$125.24	$126.00	16.0%	5.2%	18.4%	17.7%	18.7%	-0.7%	0.6%	-2.1M	-55.9M	-6.3M	0.64	8.23	N/A	N/A	33,137	21,121	257,120	554,303
2012-06-08	$125.21	$126.00	16.7%	5.3%	18.3%	20.1%	18.8%	-0.7%	0.4%	14.7M	-58.7M	-6.2M	0.81	8.65	N/A	N/A	34,912	28,105	261,780	553,149
2012-06-11	$125.78	$126.00	20.4%	5.6%	18.2%	32.7%	19.7%	-0.9%	-0.1%	40.4M	-336.9M	-6.1M	1.56	8.11	N/A	N/A	16,359	25,462	248,686	542,590
2012-06-12	$124.63	$126.00	18.6%	5.6%	18.2%	26.4%	19.8%	-0.5%	-0.0%	7.7M	-4.9M	-6.3M	1.16	7.99	N/A	N/A	18,166	21,148	253,300	559,433
2012-06-13	$125.86	$126.00	16.9%	5.8%	18.4%	20.9%	20.3%	-0.8%	-0.2%	54.9M	-364.6M	-6.2M	0.64	8.74	N/A	N/A	25,543	16,374	256,593	561,598
2012-06-14	$125.70	$125.00	19.3%	5.5%	18.4%	28.9%	19.6%	-0.4%	-0.1%	48.5M	-309.1M	-5.9M	0.44	9.16	N/A	N/A	16,820	7,468	259,579	565,248
2012-06-15	$126.40	$126.00	18.9%	5.4%	17.5%	27.7%	19.2%	-0.7%	0.0%	48.6M	-485.6M	-5.7M	0.86	8.79	N/A	N/A	25,997	22,299	259,426	566,553
2012-06-18	$127.08	$125.00	16.9%	4.8%	17.6%	20.8%	17.1%	-0.0%	0.5%	6.1M	-284.8M	-5.3M	0.80	8.30	N/A	N/A	21,831	17,566	161,246	335,612
2012-06-19	$125.42	$125.00	16.5%	4.7%	18.3%	19.5%	16.8%	-0.1%	0.7%	-6.2M	-54.9M	-5.6M	0.80	8.53	N/A	N/A	15,028	11,947	171,991	339,957
2012-06-20	$126.04	$125.00	15.6%	4.5%	17.8%	16.3%	15.8%	0.5%	1.1%	2.6M	-164.9M	-5.3M	0.55	9.40	N/A	N/A	55,446	30,425	178,156	343,139
2012-06-21	$126.71	$125.00	15.5%	4.4%	17.7%	15.9%	16.2%	0.2%	0.8%	23.1M	-292.4M	-5.8M	1.30	10.42	N/A	N/A	21,575	28,151	197,197	359,990
2012-06-22	$125.02	$125.00	14.9%	4.3%	18.4%	13.8%	15.2%	-0.3%	0.8%	3.0M	60.3M	-5.8M	1.64	9.53	N/A	N/A	16,635	27,242	203,966	367,532
2012-06-25	$126.84	$125.00	15.2%	4.3%	19.0%	14.8%	15.3%	-0.4%	0.7%	12.3M	-312.4M	-5.4M	1.37	9.56	N/A	N/A	13,752	18,815	192,491	361,292
2012-06-26	$126.34	$125.00	14.6%	4.2%	19.0%	12.9%	14.8%	-0.3%	0.8%	-5.3M	-192.6M	-5.4M	1.18	11.19	N/A	N/A	11,494	13,548	197,767	366,344
2012-06-27	$126.54	$125.00	14.7%	4.2%	16.8%	13.3%	14.8%	-0.8%	0.7%	4.7M	-253.0M	-5.3M	1.21	10.89	N/A	N/A	7,320	8,822	201,422	371,267
2012-06-28	$126.85	$125.00	14.7%	4.2%	16.3%	13.0%	14.9%	-0.6%	0.8%	7.7M	-323.1M	-5.2M	1.45	10.46	N/A	N/A	12,338	17,869	202,466	373,950
2012-06-29	$125.20	$125.00	14.8%	4.2%	14.8%	13.4%	14.9%	-0.6%	0.7%	-33.6M	77.8M	-5.4M	0.73	11.27	N/A	N/A	40,156	29,464	205,709	378,507