TLT Options History — October 2012

In October 2012, TLT traded between $120.11 and $124.42. ATM implied volatility averaged 16.4%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.5% (HV 20d: 13.9%). Max pain ranged from $123.00 to $124.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.43.

Notable Days

  • 2012-10-16: Highest Volume — 135,219 contracts
  • 2012-10-04: Largest IV drop — 29.3% change
  • 2012-10-03: Highest IV Rank — 36.8%
  • 2012-10-26: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.47$120.11$124.42$124.42$123.36
Max Pain$123.38$123.00$124.00$124.00$123.00
ATM IV16.4%12.6%21.9%18.2%20.4%
Expected Move4.4%4.0%4.7%4.2%4.7%
HV 20d13.9%10.7%15.7%15.4%14.7%
HV 60d14.1%13.6%14.5%13.8%14.2%
IV Rank16.7%2.8%36.8%23.3%31.4%
IV Percentile47.2%2.0%83.7%65.5%83.3%
Term Structure0.3%-0.4%1.2%1.1%-0.4%
VWIV15.7%14.2%16.5%15.1%16.5%
Skew 25d0.9%0.3%1.7%0.7%0.3%
Skew 10d1.7%0.3%3.0%1.4%0.3%
Call IV 25d15.3%13.9%16.5%14.4%16.5%
Put IV 25d16.2%14.5%17.0%15.0%16.8%
Bid-Ask Spread %9.563.5823.3610.0023.36
Gamma HHI0.240.140.530.180.17
Net GEX-152.4M-377.4M-46.5M-90.7M-60.9M
Net DEX705.4M139.8M1.97B184.8M162.4M
Net VEX-6.2M-6.7M-5.7M-6.4M-5.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.406.361.950.40
Total Volume51,489.76217,014135,21948,26368,967
Total OI575,870.333477,476689,133528,598511,507

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$124.42$124.0018.2%4.2%15.4%23.3%15.1%0.7%1.1%-90.7M184.8M-6.4M1.9510.00N/AN/A16,37531,888191,518337,080
2012-10-02$124.25$124.0018.8%4.0%15.4%25.5%14.2%0.6%1.2%-98.6M232.4M-6.6M1.089.14N/AN/A15,83517,097200,429358,961
2012-10-03$124.29$124.0021.9%4.1%15.3%36.8%14.7%1.0%1.1%-90.2M213.4M-6.6M0.729.92N/AN/A28,75320,795209,334363,672
2012-10-04$122.74$124.0015.5%4.2%14.8%13.2%14.7%1.2%0.9%-144.9M725.7M-6.7M1.259.05N/AN/A28,07435,044218,304373,323
2012-10-05$121.15$124.0012.6%4.4%15.4%2.8%15.4%1.7%0.1%-207.9M1.39B-6.4M1.477.57N/AN/A30,73445,043229,016389,557
2012-10-08$122.17$124.0015.5%4.4%15.7%13.5%15.2%1.2%0.6%-192.3M858.7M-6.3M0.647.90N/AN/A16,45710,603204,626375,423
2012-10-09$121.95$124.0016.4%4.4%15.6%16.7%15.8%1.1%0.4%-187.9M907.6M-6.3M1.728.09N/AN/A6,25410,760210,181376,709
2012-10-10$122.81$124.0013.9%4.4%15.2%7.6%15.6%0.9%0.4%-176.6M615.6M-6.3M2.4010.33N/AN/A9,51622,836210,671378,908
2012-10-11$123.66$123.0015.5%4.4%15.3%13.3%16.0%1.0%0.4%-158.5M285.5M-6.1M1.499.55N/AN/A13,65420,380212,573389,995
2012-10-12$123.97$123.0015.3%4.4%11.2%12.8%15.7%1.0%0.4%-103.9M139.8M-6.0M1.097.98N/AN/A18,80920,551215,766394,122
2012-10-15$123.69$123.0015.4%4.4%10.7%13.2%15.8%1.1%0.2%-176.5M245.9M-5.7M1.168.20N/AN/A8,89410,328216,538388,219
2012-10-16$121.98$123.0015.7%4.5%11.9%14.3%15.9%0.9%0.1%-268.7M964.4M-5.7M6.368.61N/AN/A18,361116,858219,161390,239
2012-10-17$120.85$123.0016.3%4.7%12.2%16.2%16.5%1.0%-0.2%-310.5M1.94B-6.3M2.318.52N/AN/A20,68847,811223,621463,660
2012-10-18$120.11$123.0016.1%4.6%12.4%15.6%16.3%0.8%0.1%-195.8M1.97B-6.0M0.979.00N/AN/A45,16044,033224,473440,364
2012-10-19$121.74$123.0016.1%4.6%13.3%15.7%16.4%0.7%0.1%-377.4M1.07B-6.5M1.399.32N/AN/A41,11956,949251,561437,572
2012-10-22$120.96$123.0016.3%4.7%13.2%16.1%16.3%0.7%0.0%-84.2M753.9M-6.2M0.539.90N/AN/A22,69911,967170,906306,570
2012-10-23$122.69$123.0015.9%4.6%13.7%14.9%16.2%0.5%0.2%-46.5M342.4M-6.2M0.799.53N/AN/A12,99610,299182,933308,956
2012-10-24$121.48$123.0015.4%4.4%13.5%13.2%15.5%0.8%0.2%-77.4M650.7M-6.1M0.5910.32N/AN/A25,05014,840186,469312,401
2012-10-25$120.86$123.0016.2%4.6%13.4%15.9%16.4%0.8%-0.1%-94.8M809.8M-6.1M0.853.58N/AN/A24,18920,634185,579317,026
2012-10-26$122.64$123.0017.1%4.7%14.5%19.3%16.4%0.7%-0.1%-55.9M348.2M-6.2M0.8310.81N/AN/A21,81418,171192,413322,941
2012-10-31$123.36$123.0020.4%4.7%14.7%31.4%16.5%0.3%-0.4%-60.9M162.4M-5.9M0.4023.36N/AN/A49,38619,581189,467322,040