TLT Options History — September 2012

In September 2012, TLT traded between $118.30 and $127.32. ATM implied volatility averaged 16.7%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.8% (HV 20d: 14.9%). Max pain ranged from $122.00 to $126.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.36.

Notable Days

  • 2012-09-12: Highest Volume — 163,440 contracts
  • 2012-09-10: Largest IV spike — 34.7% change
  • 2012-09-11: Highest IV Rank — 39.3%
  • 2012-09-14: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.95$118.30$127.32$127.32$124.22
Max Pain$123.84$122.00$126.00$126.00$123.00
ATM IV16.7%14.1%22.6%19.3%15.7%
Expected Move4.3%4.0%5.0%4.3%4.0%
HV 20d14.9%12.4%16.5%13.2%16.3%
HV 60d13.7%13.0%14.4%13.0%13.9%
IV Rank17.9%8.3%39.3%27.4%14.1%
IV Percentile41.3%10.7%81.7%64.3%40.9%
Term Structure0.7%-0.6%1.8%0.1%1.5%
VWIV15.4%13.9%17.7%16.4%13.9%
Skew 25d0.5%0.2%1.2%0.3%0.5%
Skew 10d1.0%0.4%2.3%0.7%0.8%
Call IV 25d15.1%13.9%17.2%15.3%13.9%
Put IV 25d15.6%14.4%18.4%15.6%14.4%
Bid-Ask Spread %8.917.6110.438.4210.43
Gamma HHI0.210.120.410.180.23
Net GEX-106.7M-194.6M-25.0M-35.4M-68.8M
Net DEX834.6M-151.4M2.34B-144.9M76.5M
Net VEX-6.0M-6.4M-5.5M-5.5M-6.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.464.851.541.40
Total Volume61,330.31624,135163,44051,27994,300
Total OI589,005.947455,312702,287531,484524,486

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$127.32$126.0019.3%4.3%13.2%27.4%16.4%0.3%0.1%-35.4M-144.9M-5.5M1.548.42N/AN/A20,22231,057179,128352,356
2012-09-05$126.72$126.0021.4%4.3%12.4%34.9%15.4%0.4%-0.6%-46.4M-8.6M-5.5M0.618.27N/AN/A20,68212,630190,792364,238
2012-09-06$124.61$126.0016.9%4.3%13.7%18.3%15.2%0.6%-0.5%-94.4M537.3M-5.7M1.079.27N/AN/A37,91240,396203,222366,519
2012-09-07$124.03$125.0016.1%4.1%13.8%15.5%14.6%0.5%0.4%-194.6M739.0M-6.0M1.119.99N/AN/A30,12933,378213,070381,982
2012-09-10$124.33$125.0021.6%4.3%13.7%35.9%15.4%0.5%0.1%-93.3M574.8M-5.8M0.709.46N/AN/A21,02514,800208,980373,903
2012-09-11$123.55$125.0022.6%4.2%13.8%39.3%15.0%0.4%0.5%-109.9M786.9M-5.7M0.838.09N/AN/A13,19410,941207,244378,005
2012-09-12$122.01$125.0017.4%4.5%13.7%20.3%15.8%0.5%0.0%-129.0M1.21B-5.7M4.858.83N/AN/A27,930135,510209,196379,470
2012-09-13$121.53$124.0015.3%4.4%12.8%12.8%15.5%0.5%0.4%-173.2M1.59B-6.3M1.039.41N/AN/A31,94633,026216,284426,254
2012-09-14$118.30$124.0017.5%5.0%15.8%20.7%17.7%1.2%0.2%-162.1M2.34B-6.0M1.568.63N/AN/A57,24989,408225,719427,241
2012-09-17$119.72$124.0016.6%4.8%16.3%17.5%16.9%0.7%1.0%-159.3M1.86B-6.1M0.647.61N/AN/A34,64122,126225,500435,909
2012-09-18$120.32$123.0015.6%4.5%16.4%13.7%15.7%0.7%1.1%-151.4M1.68B-6.3M1.027.81N/AN/A24,81425,272246,305432,778
2012-09-19$121.11$123.0015.2%4.4%16.5%12.5%15.5%0.7%1.1%-135.3M1.40B-6.4M1.607.78N/AN/A14,84423,740255,051433,908
2012-09-20$121.41$123.0015.4%4.4%15.3%13.1%15.6%0.3%0.9%-142.6M1.32B-6.3M1.839.08N/AN/A15,24327,883257,888440,511
2012-09-21$121.55$122.0014.2%4.1%15.2%8.8%14.6%0.2%1.8%-118.2M1.28B-6.2M1.488.26N/AN/A16,42424,355259,659442,628
2012-09-24$122.50$122.0014.1%4.0%15.6%8.3%14.7%0.4%1.5%-86.3M518.1M-6.2M0.468.64N/AN/A30,23313,985160,568294,744
2012-09-25$123.71$122.0014.2%4.1%15.8%8.5%14.6%0.5%1.1%-53.6M184.2M-6.0M1.239.61N/AN/A19,53224,023180,963298,854
2012-09-26$125.04$122.0014.5%4.2%16.3%9.7%14.7%0.6%1.1%-25.0M-151.4M-5.9M0.909.79N/AN/A27,89425,214187,344300,962
2012-09-27$124.15$123.0014.2%4.1%16.4%8.7%14.7%0.9%1.3%-48.6M75.0M-6.1M2.009.96N/AN/A13,10026,218197,022312,430
2012-09-28$124.22$123.0015.7%4.0%16.3%14.1%13.9%0.5%1.5%-68.8M76.5M-6.2M1.4010.43N/AN/A39,22955,071201,973322,513