TLT Options History — July 2012

In July 2012, TLT traded between $125.25 and $132.16. ATM implied volatility averaged 15.6%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.0% (HV 20d: 12.5%). Max pain ranged from $125.00 to $129.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.10.

Notable Days

2012-07-27: Highest Volume — 126,298 contracts
2012-07-30: Largest IV spike — 21.8% change
2012-07-31: Highest IV Rank — 45.8%
2012-07-31: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$128.93	$125.25	$132.16	$126.22	$129.70
Max Pain	$127.48	$125.00	$129.00	$125.00	$129.00
ATM IV	15.6%	13.1%	24.8%	15.7%	24.8%
Expected Move	4.2%	3.8%	4.6%	4.1%	4.6%
HV 20d	12.5%	10.3%	15.0%	15.0%	12.2%
HV 60d	13.9%	13.5%	14.7%	14.7%	14.4%
IV Rank	13.5%	4.6%	45.8%	16.6%	45.8%
IV Percentile	21.6%	2.8%	84.5%	28.6%	84.5%
Term Structure	0.6%	-0.2%	1.1%	0.5%	-0.2%
VWIV	14.9%	13.6%	16.3%	14.8%	16.3%
Skew 25d	-0.3%	-0.8%	0.3%	-0.4%	-0.5%
Skew 10d	-0.5%	-1.5%	1.0%	-0.6%	-0.4%
Call IV 25d	15.1%	13.7%	16.7%	14.8%	16.7%
Put IV 25d	14.7%	13.4%	16.2%	14.4%	16.2%
Bid-Ask Spread %	10.23	8.23	25.21	9.73	9.94
Gamma HHI	0.12	0.06	0.67	0.06	0.06
Net GEX	60.4M	-16.4M	298.7M	-1.7M	-715.5K
Net DEX	-553.2M	-997.5M	30.6M	-171.5M	-315.1M
Net VEX	-4.5M	-5.4M	-4.0M	-5.0M	-4.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.10	0.29	2.20	0.62	0.29
Total Volume	48,392.095	20,270	126,298	42,714	74,680
Total OI	569,489.048	417,831	665,396	563,859	479,987

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
2012-07-02	$126.22	$125.00	15.7%	4.1%	15.0%	16.6%	14.8%	-0.4%	0.5%	-1.7M	-171.5M	-5.0M	0.62	9.73	N/A	N/A	26,425	16,289	192,046	371,813
2012-07-03	$125.25	$125.00	17.6%	4.1%	14.5%	23.2%	14.9%	-0.8%	0.6%	-16.4M	30.6M	-5.4M	1.20	9.78	N/A	N/A	11,249	13,447	205,642	377,510
2012-07-05	$125.89	$125.00	15.2%	4.2%	12.7%	14.9%	14.9%	-0.7%	0.4%	-3.2M	-121.8M	-5.1M	0.75	12.38	N/A	N/A	13,171	9,930	207,709	382,880
2012-07-06	$127.06	$127.00	13.1%	4.2%	13.1%	7.6%	14.6%	-0.3%	0.7%	66.4M	-429.8M	-4.8M	0.81	9.47	N/A	N/A	37,199	30,113	212,874	384,207
2012-07-09	$128.18	$127.00	15.2%	4.3%	13.4%	14.8%	15.2%	-0.1%	0.1%	54.9M	-636.1M	-4.6M	1.06	8.40	N/A	N/A	17,449	18,564	213,971	393,807
2012-07-10	$128.44	$127.00	15.2%	4.3%	13.4%	11.5%	15.2%	-0.3%	0.4%	71.5M	-720.6M	-4.7M	1.13	8.44	N/A	N/A	16,269	18,442	220,555	398,160
2012-07-11	$128.60	$127.00	14.2%	4.3%	12.8%	7.8%	15.4%	0.2%	0.1%	77.9M	-742.5M	-4.6M	1.22	25.21	N/A	N/A	17,793	21,626	223,773	404,044
2012-07-12	$129.51	$127.00	14.9%	4.3%	12.6%	10.6%	15.2%	0.2%	0.4%	103.5M	-981.2M	-4.4M	1.18	8.96	N/A	N/A	20,271	23,830	230,017	410,422
2012-07-13	$129.17	$127.00	14.1%	4.1%	12.7%	7.7%	14.3%	0.3%	0.7%	113.6M	-897.9M	-4.3M	1.29	8.67	N/A	N/A	38,017	49,031	232,578	413,775
2012-07-16	$129.77	$127.00	14.9%	4.3%	12.6%	10.3%	15.0%	-0.2%	0.5%	109.3M	-960.8M	-4.3M	0.65	8.49	N/A	N/A	33,998	22,147	228,822	405,052
2012-07-17	$128.75	$127.00	14.6%	4.2%	12.9%	9.4%	14.9%	-0.4%	0.8%	87.9M	-705.1M	-4.4M	1.26	8.99	N/A	N/A	22,562	28,355	232,665	410,054
2012-07-18	$128.82	$128.00	14.1%	4.0%	11.9%	7.4%	14.2%	-0.3%	1.0%	84.2M	-669.7M	-4.4M	1.62	8.23	N/A	N/A	11,260	18,280	232,867	420,788
2012-07-19	$128.49	$128.00	13.7%	3.9%	11.9%	6.2%	14.1%	-0.5%	1.0%	62.6M	-547.0M	-4.3M	1.48	10.56	N/A	N/A	11,749	17,440	230,605	429,597
2012-07-20	$130.06	$128.00	13.3%	3.8%	12.4%	4.6%	13.6%	-0.3%	1.1%	298.7M	-997.5M	-4.1M	1.40	8.87	N/A	N/A	29,222	41,003	230,911	434,485
2012-07-23	$130.79	$128.00	14.3%	4.1%	11.2%	8.4%	14.6%	-0.5%	0.7%	28.9M	-522.6M	-4.0M	1.21	9.61	N/A	N/A	19,387	23,466	148,199	269,632
2012-07-24	$131.82	$129.00	14.8%	4.3%	10.5%	10.2%	15.1%	-0.4%	0.5%	43.0M	-688.5M	-4.1M	0.77	9.76	N/A	N/A	24,020	18,532	157,856	281,276
2012-07-25	$132.16	$129.00	14.9%	4.3%	10.3%	10.4%	15.1%	-0.4%	0.8%	57.3M	-757.1M	-4.2M	1.13	9.51	N/A	N/A	13,952	15,713	169,195	288,147
2012-07-26	$130.95	$129.00	14.7%	4.2%	11.0%	9.7%	15.0%	-0.8%	0.7%	41.1M	-512.1M	-4.3M	1.14	9.86	N/A	N/A	20,975	23,810	173,514	295,342
2012-07-27	$128.48	$129.00	16.8%	4.3%	13.3%	17.2%	15.3%	-0.7%	0.4%	-3.6M	-49.1M	-4.6M	2.20	10.65	N/A	N/A	39,442	86,856	180,754	298,098
2012-07-30	$129.44	$129.00	20.5%	4.4%	12.4%	30.4%	15.8%	-0.4%	0.4%	-7.8M	-222.5M	-4.7M	0.65	9.30	N/A	N/A	12,267	8,003	176,496	309,145
2012-07-31	$129.70	$129.00	24.8%	4.6%	12.2%	45.8%	16.3%	-0.5%	-0.2%	-715.5K	-315.1M	-4.6M	0.29	9.94	N/A	N/A	57,901	16,779	175,344	304,643