TLT Options History — December 2012

In December 2012, TLT traded between $120.51 and $125.59. ATM implied volatility averaged 13.3%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 3.8% (HV 20d: 9.5%). Max pain ranged from $124.00 to $125.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.39.

Notable Days

  • 2012-12-13: Highest Volume — 108,268 contracts
  • 2012-12-28: Largest IV spike — 24.2% change
  • 2012-12-31: Highest IV Rank — 33.4%
  • 2012-12-28: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$123.05$120.51$125.59$124.66$121.18
Max Pain$124.35$124.00$125.00$125.00$124.00
ATM IV13.3%11.7%16.2%13.9%16.2%
Expected Move3.6%3.3%3.8%3.4%3.7%
HV 20d9.5%6.5%12.4%10.6%12.4%
HV 60d12.6%11.9%13.6%13.6%12.7%
IV Rank11.8%0.1%33.4%14.9%33.4%
IV Percentile15.9%0.8%65.5%14.3%65.5%
Term Structure0.7%0.2%1.0%0.8%0.4%
VWIV12.6%11.6%13.5%12.2%13.2%
Skew 25d0.6%0.1%0.9%0.7%0.3%
Skew 10d1.4%0.5%1.9%1.9%0.9%
Call IV 25d12.4%11.3%13.1%11.8%13.1%
Put IV 25d13.0%11.8%13.9%12.6%13.5%
Bid-Ask Spread %10.277.7528.779.178.69
Gamma HHI0.190.100.520.130.10
Net GEX-178.8M-447.5M-51.5M-119.0M-72.6M
Net DEX792.2M-16.5M2.17B329.0M855.0M
Net VEX-6.6M-7.3M-5.9M-7.3M-5.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.213.141.373.14
Total Volume42,438.213,770108,26844,47338,696
Total OI653,566.05521,750763,262625,869540,671

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$124.66$125.0013.9%3.4%10.6%14.9%12.2%0.7%0.8%-119.0M329.0M-7.3M1.379.17N/AN/A18,78625,687237,999387,870
2012-12-04$125.38$125.0014.1%3.3%10.6%17.9%12.2%0.6%1.0%-87.4M44.1M-7.2M1.719.48N/AN/A9,38416,005247,238398,546
2012-12-05$125.32$125.0014.4%3.3%9.9%20.1%11.8%0.5%1.0%-88.5M58.1M-7.0M1.8110.61N/AN/A6,10011,022250,054402,728
2012-12-06$125.59$125.0012.7%3.4%7.7%7.2%12.0%0.4%0.8%-77.4M-16.5M-7.0M0.9910.40N/AN/A19,00718,852250,064403,747
2012-12-07$124.43$125.0011.7%3.6%6.5%0.1%12.5%0.6%0.8%-214.4M517.1M-7.0M1.2910.12N/AN/A16,58421,327260,053415,579
2012-12-10$124.98$125.0013.7%3.5%6.7%14.9%12.4%0.8%0.7%-121.3M231.6M-6.7M1.008.50N/AN/A18,77418,790251,336408,286
2012-12-11$124.03$125.0015.3%3.5%7.2%26.9%12.5%0.4%0.5%-181.3M577.7M-6.7M0.879.21N/AN/A21,88318,966256,221410,046
2012-12-12$122.59$124.0011.7%3.5%7.9%0.1%12.6%0.4%0.4%-245.2M1.14B-6.7M1.319.15N/AN/A24,47332,093273,797415,707
2012-12-13$122.68$124.0012.8%3.7%7.9%8.2%12.8%0.7%0.8%-275.7M1.13B-6.8M0.7628.77N/AN/A61,65446,614278,763423,612
2012-12-14$123.60$124.0012.3%3.5%8.6%4.2%12.7%0.7%0.9%-263.5M640.8M-6.8M1.089.13N/AN/A18,10719,511282,463427,192
2012-12-17$121.75$124.0013.2%3.8%9.9%10.9%13.3%0.9%0.7%-318.1M1.59B-6.8M2.989.40N/AN/A12,89338,443293,986441,211
2012-12-18$120.51$124.0013.0%3.7%10.2%9.8%13.3%0.7%0.9%-270.0M2.17B-6.4M2.439.89N/AN/A28,44169,111310,838443,353
2012-12-19$120.91$124.0012.8%3.7%10.0%7.8%13.0%0.7%0.8%-330.8M2.02B-6.4M1.059.35N/AN/A14,68315,462315,021448,241
2012-12-20$120.93$124.0012.6%3.6%10.0%6.5%13.0%0.7%0.9%-228.2M1.81B-6.3M0.869.53N/AN/A13,75811,833318,153423,361
2012-12-21$122.25$124.0012.4%3.6%10.9%5.1%12.5%0.4%0.9%-447.5M1.03B-6.5M1.628.95N/AN/A23,87338,695321,844421,447
2012-12-24$122.03$124.0012.3%3.5%10.7%4.4%11.6%0.1%0.9%-66.3M618.6M-6.3M0.217.75N/AN/A24,2745,052218,262303,488
2012-12-26$122.20$124.0012.4%3.5%10.6%4.9%12.6%0.4%0.8%-62.9M545.2M-6.3M1.238.57N/AN/A6,1707,600218,771305,530
2012-12-27$122.61$124.0012.8%3.7%10.7%8.0%13.1%0.5%0.4%-53.6M388.9M-6.3M1.219.85N/AN/A13,40216,212220,738307,058
2012-12-28$123.31$124.0015.9%3.8%10.9%30.9%13.5%0.7%0.2%-51.5M159.4M-6.5M0.878.81N/AN/A14,19412,353225,999312,048
2012-12-31$121.18$124.0016.2%3.7%12.4%33.4%13.2%0.3%0.4%-72.6M855.0M-5.9M3.148.69N/AN/A9,35029,346229,590311,081