TLT Options History — November 2012

In November 2012, TLT traded between $121.79 and $126.73. ATM implied volatility averaged 14.5%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 0.6% (HV 20d: 13.9%). Max pain ranged from $123.00 to $125.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2012-11-07: Highest Volume — 115,473 contracts
  • 2012-11-07: Largest IV drop — 41.6% change
  • 2012-11-06: Highest IV Rank — 85.3%
  • 2012-11-01: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$124.82$121.79$126.73$122.35$124.79
Max Pain$124.48$123.00$125.00$123.00$125.00
ATM IV14.5%11.7%25.3%19.9%11.7%
Expected Move3.9%3.3%4.8%4.8%3.3%
HV 20d13.9%10.6%15.9%14.9%10.6%
HV 60d14.2%13.7%15.0%14.3%13.7%
IV Rank14.8%0.0%85.3%29.4%0.0%
IV Percentile20.5%0.0%98.8%80.2%0.4%
Term Structure0.3%-1.3%1.2%-0.9%1.2%
VWIV14.0%11.6%18.2%18.2%11.6%
Skew 25d0.5%0.0%1.1%1.1%0.1%
Skew 10d1.0%0.1%2.6%2.6%0.1%
Call IV 25d13.7%11.9%16.4%16.4%11.9%
Put IV 25d14.2%11.9%17.5%17.5%11.9%
Bid-Ask Spread %11.817.0842.3610.968.95
Gamma HHI0.150.070.290.150.15
Net GEX-23.7M-115.9M206.7M-74.0M-115.9M
Net DEX-14.8M-664.2M591.4M455.4M255.0M
Net VEX-5.9M-7.3M-5.0M-6.1M-7.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.303.171.180.30
Total Volume46,427.90511,271115,47346,77781,077
Total OI576,970.476506,931684,225536,935624,417

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$122.35$123.0019.9%4.8%14.9%29.4%18.2%1.1%-0.9%-74.0M455.4M-6.1M1.1810.96N/AN/A21,50625,271206,181330,754
2012-11-02$122.26$123.0018.8%4.7%14.9%25.5%16.6%1.0%-1.3%-92.6M502.1M-6.1M0.6910.47N/AN/A21,73814,950221,518348,133
2012-11-05$122.95$124.0022.4%4.4%14.4%56.0%15.6%0.7%-0.2%-82.6M307.9M-5.6M0.417.11N/AN/A16,7016,828194,862340,324
2012-11-06$121.79$124.0025.3%4.5%14.0%85.3%16.0%0.6%-0.4%-102.9M591.4M-5.7M1.087.08N/AN/A15,30216,454205,591342,458
2012-11-07$124.00$124.0014.8%4.4%15.1%18.5%15.4%0.2%-0.0%-29.5M-64.5M-5.5M2.0242.36N/AN/A38,22477,249211,795347,935
2012-11-08$125.84$124.0013.2%4.1%15.9%8.6%14.9%0.3%-0.0%24.6M-446.0M-5.6M1.309.00N/AN/A19,00624,766216,605388,933
2012-11-09$125.98$124.0012.7%4.0%15.8%5.4%14.5%0.3%0.2%206.7M-510.6M-5.5M0.637.31N/AN/A30,30419,081220,037394,754
2012-11-12$126.19$124.0013.5%3.9%15.6%10.3%14.1%0.3%0.1%59.9M-561.9M-5.3M1.647.23N/AN/A9,34815,340230,118387,411
2012-11-13$126.61$124.0013.0%3.8%15.6%7.0%13.8%0.4%0.3%73.4M-646.9M-5.1M1.887.19N/AN/A8,48215,978229,204391,315
2012-11-14$126.73$125.0013.0%3.9%15.6%7.2%14.2%0.6%0.2%82.4M-664.2M-5.0M0.818.08N/AN/A40,17532,568229,107396,190
2012-11-15$126.48$125.0014.0%4.0%14.6%13.6%14.8%0.7%0.1%62.8M-580.8M-6.1M3.1741.87N/AN/A16,51052,256254,228409,280
2012-11-16$126.37$125.0013.8%4.0%14.0%12.6%14.4%0.5%0.1%12.1M-451.4M-5.8M0.637.68N/AN/A28,91918,199238,754445,471
2012-11-19$125.66$125.0013.4%3.8%14.0%9.9%13.9%0.6%0.4%-23.3M-6.6M-6.2M1.097.62N/AN/A13,15314,279204,422302,509
2012-11-20$124.40$125.0012.6%3.6%14.0%4.8%12.4%0.9%0.9%-69.5M317.9M-6.1M0.399.38N/AN/A45,10717,789209,002309,477
2012-11-21$124.33$125.0012.7%3.6%13.7%5.1%12.8%0.8%0.7%-79.3M352.3M-6.0M0.658.89N/AN/A11,3127,337202,973316,423
2012-11-23$124.21$125.0012.3%3.5%12.9%3.2%12.5%0.7%1.0%-102.7M381.0M-6.0M0.968.54N/AN/A5,7455,526206,609319,138
2012-11-26$124.80$125.0012.4%3.5%12.3%3.4%12.7%0.5%0.6%-62.1M174.6M-5.6M1.278.87N/AN/A29,82937,747196,608313,720
2012-11-27$125.29$125.0011.7%3.4%12.1%0.0%12.1%0.3%1.1%-56.5M47.2M-6.2M1.418.57N/AN/A10,08914,198215,574339,318
2012-11-28$125.11$125.0012.3%3.5%11.2%3.9%12.6%0.2%0.8%-60.2M105.6M-6.4M1.1210.30N/AN/A31,67235,575219,071344,896
2012-11-29$125.13$125.0011.8%3.4%11.0%1.0%12.0%0.0%1.0%-68.2M132.4M-7.0M1.9710.65N/AN/A9,90019,496240,443370,822
2012-11-30$124.79$125.0011.7%3.3%10.6%0.0%11.6%0.1%1.2%-115.9M255.0M-7.3M0.308.95N/AN/A62,37018,707241,776382,641