TLT Options History — August 2012

In August 2012, TLT traded between $121.01 and $129.51. ATM implied volatility averaged 14.7%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.2% (HV 20d: 13.5%). Max pain ranged from $125.00 to $129.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.65.

Notable Days

2012-08-31: Highest Volume — 110,522 contracts
2012-08-02: Largest IV drop — 39.4% change
2012-08-01: Highest IV Rank — 46.5%
2012-08-01: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$125.11	$121.01	$129.51	$128.78	$127.72
Max Pain	$126.65	$125.00	$129.00	$129.00	$126.00
ATM IV	14.7%	11.8%	25.0%	25.0%	14.9%
Expected Move	4.2%	4.0%	4.5%	4.5%	4.2%
HV 20d	13.5%	12.1%	14.9%	12.1%	13.1%
HV 60d	14.5%	12.6%	15.3%	14.5%	13.0%
IV Rank	10.1%	0.0%	46.5%	46.5%	11.1%
IV Percentile	17.3%	0.0%	86.1%	86.1%	23.0%
Term Structure	0.4%	-0.0%	0.8%	-0.0%	0.2%
VWIV	14.9%	14.0%	16.8%	16.8%	14.9%
Skew 25d	0.1%	-0.3%	0.5%	-0.1%	0.3%
Skew 10d	0.3%	-0.4%	1.1%	-0.1%	0.3%
Call IV 25d	14.8%	14.1%	16.2%	16.2%	14.9%
Put IV 25d	14.9%	14.1%	16.1%	16.1%	15.2%
Bid-Ask Spread %	8.88	7.37	13.98	9.74	9.80
Gamma HHI	0.14	0.06	0.21	0.06	0.17
Net GEX	-97.9M	-199.1M	8.6M	-12.9M	-22.5M
Net DEX	603.6M	-371.1M	1.85B	-93.1M	-371.1M
Net VEX	-5.4M	-5.9M	-4.7M	-4.9M	-5.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.65	0.39	5.24	0.98	0.39
Total Volume	58,198.043	21,810	110,522	57,033	110,522
Total OI	557,733.435	479,219	645,154	496,795	557,487

Daily Data (23 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
2012-08-01	$128.78	$129.00	25.0%	4.5%	12.1%	46.5%	16.8%	-0.1%	-0.0%	-12.9M	-93.1M	-4.9M	0.98	9.74	N/A	N/A	28,876	28,157	182,725	314,070
2012-08-02	$129.51	$129.00	15.1%	4.2%	12.1%	11.3%	15.0%	0.3%	0.5%	8.6M	-266.9M	-4.9M	2.97	9.08	N/A	N/A	17,621	52,358	197,908	329,454
2012-08-03	$127.42	$129.00	14.1%	4.0%	13.3%	7.4%	14.3%	0.1%	0.6%	-99.8M	400.2M	-5.2M	1.52	10.90	N/A	N/A	38,048	57,770	202,125	360,289
2012-08-06	$127.47	$128.00	15.3%	4.2%	12.9%	11.8%	14.8%	0.3%	0.5%	-116.2M	329.7M	-5.1M	1.09	7.37	N/A	N/A	18,679	20,306	196,141	366,072
2012-08-07	$125.83	$127.00	16.4%	4.3%	13.6%	15.7%	15.1%	0.5%	0.3%	-173.6M	807.0M	-5.4M	1.52	8.38	N/A	N/A	24,431	37,180	205,569	377,090
2012-08-08	$125.16	$127.00	14.0%	4.3%	13.7%	7.2%	15.0%	0.2%	0.1%	-187.9M	965.3M	-5.2M	1.21	13.98	N/A	N/A	17,950	21,786	208,785	379,242
2012-08-09	$125.07	$127.00	12.7%	4.2%	13.3%	2.8%	14.6%	0.3%	0.3%	-199.1M	1.02B	-5.1M	0.83	8.14	N/A	N/A	42,612	35,200	213,221	383,554
2012-08-10	$125.70	$127.00	11.9%	4.0%	13.5%	0.0%	14.3%	0.0%	0.5%	-153.8M	713.5M	-5.3M	1.07	7.48	N/A	N/A	14,151	15,136	230,245	389,213
2012-08-13	$125.49	$127.00	12.5%	4.0%	13.3%	1.9%	14.0%	-0.1%	0.7%	-168.8M	801.1M	-4.7M	5.24	8.06	N/A	N/A	8,661	45,410	214,938	379,839
2012-08-14	$123.79	$127.00	13.5%	4.0%	13.8%	5.6%	14.3%	0.1%	0.6%	-176.3M	1.31B	-5.0M	4.04	8.58	N/A	N/A	20,347	82,194	217,343	387,787
2012-08-15	$122.05	$127.00	11.8%	4.2%	14.4%	0.0%	14.8%	-0.3%	0.3%	-188.5M	1.81B	-5.2M	1.25	7.74	N/A	N/A	41,602	51,997	220,687	399,801
2012-08-16	$121.01	$126.00	15.4%	4.4%	14.6%	12.9%	15.5%	0.2%	0.2%	-175.4M	1.85B	-5.5M	1.57	8.24	N/A	N/A	36,968	58,076	231,720	394,341
2012-08-17	$121.60	$126.00	14.6%	4.2%	13.8%	10.1%	14.8%	-0.1%	0.5%	-135.6M	1.61B	-5.8M	1.14	8.34	N/A	N/A	26,734	30,540	245,058	400,096
2012-08-20	$121.85	$126.00	14.7%	4.2%	13.5%	10.4%	15.1%	0.0%	0.5%	-73.0M	945.0M	-5.6M	1.37	8.04	N/A	N/A	14,697	20,207	158,115	321,104
2012-08-21	$122.39	$126.00	14.3%	4.1%	13.2%	9.1%	14.8%	0.2%	0.6%	-69.9M	820.7M	-5.8M	2.03	8.96	N/A	N/A	20,036	40,752	164,226	327,994
2012-08-22	$124.41	$125.00	13.9%	4.0%	14.9%	7.3%	14.1%	0.1%	0.8%	-32.4M	226.1M	-5.5M	0.66	8.74	N/A	N/A	21,372	14,077	169,886	318,365
2012-08-23	$124.93	$126.00	14.2%	4.1%	14.9%	8.5%	14.3%	0.1%	0.6%	-28.7M	121.2M	-5.6M	1.29	8.38	N/A	N/A	26,594	34,377	172,825	320,694
2012-08-24	$124.81	$125.00	14.4%	4.1%	13.5%	9.3%	14.6%	0.0%	0.8%	-53.8M	260.5M	-5.9M	1.16	8.50	N/A	N/A	22,681	26,229	184,148	343,570
2012-08-27	$125.54	$125.00	14.8%	4.2%	13.4%	10.6%	15.1%	0.1%	0.3%	-49.1M	163.8M	-5.9M	1.45	8.69	N/A	N/A	10,661	15,448	183,989	346,667
2012-08-28	$125.84	$126.00	14.6%	4.2%	13.4%	10.3%	15.1%	0.4%	0.4%	-44.8M	121.5M	-5.8M	1.42	8.38	N/A	N/A	16,215	22,980	185,959	351,081
2012-08-29	$125.29	$126.00	14.7%	4.2%	13.3%	10.3%	15.1%	0.4%	0.5%	-58.0M	247.6M	-5.8M	1.23	8.96	N/A	N/A	9,780	12,030	192,232	354,364
2012-08-30	$125.94	$126.00	15.3%	4.4%	13.3%	12.6%	15.6%	0.1%	0.0%	-41.1M	80.7M	-5.8M	2.63	9.86	N/A	N/A	7,471	19,636	194,060	353,790
2012-08-31	$127.72	$126.00	14.9%	4.2%	13.1%	11.1%	14.9%	0.3%	0.2%	-22.5M	-371.1M	-5.4M	0.39	9.80	N/A	N/A	79,263	31,259	196,251	361,236