TLT Options History — January 2013

In January 2013, TLT traded between $116.75 and $120.32. ATM implied volatility averaged 14.1%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.4% (HV 20d: 12.7%). Max pain ranged from $120.00 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 1.99.

Notable Days

  • 2013-01-18: Highest Volume — 179,652 contracts
  • 2013-01-25: Largest IV spike — 40.1% change
  • 2013-01-29: Highest IV Rank — 80.1%
  • 2013-01-29: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.91$116.75$120.32$119.56$117.32
Max Pain$121.71$120.00$124.00$124.00$120.00
ATM IV14.1%11.3%22.5%17.3%14.9%
Expected Move3.6%3.2%4.1%3.7%4.0%
HV 20d12.7%10.2%13.7%13.1%10.2%
HV 60d12.2%11.3%13.0%12.9%11.4%
IV Rank19.3%0.0%80.1%41.6%25.9%
IV Percentile27.3%0.0%97.2%80.2%46.0%
Term Structure0.5%-0.6%1.2%0.3%-0.4%
VWIV12.8%11.6%14.6%13.2%13.8%
Skew 25d0.6%0.1%1.4%0.1%0.8%
Skew 10d1.3%0.2%2.7%0.2%1.6%
Call IV 25d12.6%11.1%14.1%13.2%13.7%
Put IV 25d13.2%11.9%15.5%13.3%14.5%
Bid-Ask Spread %10.969.0614.089.0613.64
Gamma HHI0.190.070.390.090.19
Net GEX-143.5M-293.8M-2.5M-91.8M-293.8M
Net DEX1.59B1000.0M2.48B1.35B2.44B
Net VEX-5.9M-8.4M-4.6M-5.5M-8.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.990.406.780.860.40
Total Volume64,651.42921,340179,65254,78787,416
Total OI609,292.81482,157727,586556,077727,586

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$119.56$124.0017.3%3.7%13.1%41.6%13.2%0.1%0.3%-91.8M1.35B-5.5M0.869.06N/AN/A29,49625,291231,728324,349
2013-01-03$117.94$124.0014.5%3.8%13.4%20.7%13.4%0.3%0.6%-94.4M1.69B-4.8M1.0610.21N/AN/A35,29337,541227,026326,663
2013-01-04$118.40$124.0012.6%3.9%13.6%6.7%13.8%0.6%0.2%-123.3M1.62B-5.0M1.009.43N/AN/A28,31428,298232,611334,192
2013-01-07$118.45$123.0013.1%3.8%13.5%10.6%13.3%0.4%0.7%-83.8M1.53B-4.8M0.459.71N/AN/A28,82113,056237,420330,755
2013-01-08$119.23$122.0013.5%3.6%13.7%12.9%12.9%0.3%0.8%-64.1M1.30B-5.1M0.9110.02N/AN/A14,80613,464256,442332,671
2013-01-09$119.12$122.0011.3%3.6%13.5%0.0%12.7%0.3%0.9%-63.8M1.35B-4.9M0.9811.37N/AN/A10,78710,553260,738337,455
2013-01-10$118.79$121.0012.3%3.5%13.4%7.3%13.0%0.4%1.1%-76.0M1.46B-4.9M1.7811.32N/AN/A11,59520,694265,102341,175
2013-01-11$119.85$121.0012.2%3.5%13.4%6.8%12.4%0.5%1.1%-2.5M1.20B-5.0M0.8411.37N/AN/A23,05619,329266,287349,275
2013-01-14$119.52$122.0011.9%3.4%13.4%4.3%12.2%0.4%1.0%-48.0M1.35B-4.7M1.619.48N/AN/A8,19513,197263,552345,180
2013-01-15$120.07$122.0011.4%3.3%13.2%1.0%11.6%0.6%0.9%-42.3M1.26B-4.6M3.3410.54N/AN/A27,04390,251264,704347,677
2013-01-16$120.32$122.0011.9%3.4%12.2%4.5%12.0%0.6%1.0%-97.6M1.29B-5.4M6.789.16N/AN/A15,308103,769260,235381,250
2013-01-17$119.12$122.0012.2%3.5%12.2%6.3%12.3%0.5%0.9%-200.6M1.97B-6.3M1.649.73N/AN/A15,25425,014263,901441,525
2013-01-18$120.04$122.0011.6%3.3%12.5%2.2%12.1%0.4%1.2%-200.3M1.64B-6.4M1.019.61N/AN/A89,54490,108267,582443,727
2013-01-22$120.27$122.0011.9%3.4%12.5%4.7%12.1%0.7%0.6%-188.0M1000.0M-6.1M2.5410.63N/AN/A8,54921,726171,517310,640
2013-01-23$120.09$121.0011.5%3.3%11.8%1.2%12.0%0.9%0.6%-212.1M1.03B-7.3M2.7711.02N/AN/A7,07819,627211,010357,935
2013-01-24$119.67$121.0011.3%3.2%11.8%0.2%11.8%0.9%0.9%-248.2M1.24B-7.4M1.8413.09N/AN/A12,38022,841215,828367,320
2013-01-25$118.03$121.0015.8%3.7%12.6%32.6%13.0%0.8%0.2%-239.1M1.91B-7.0M1.7512.01N/AN/A27,47848,020220,210378,927
2013-01-28$117.60$120.0020.9%4.0%12.5%68.9%14.1%1.1%-0.4%-216.8M2.01B-7.0M2.4311.50N/AN/A19,24146,724225,532386,844
2013-01-29$116.95$120.0022.5%4.1%12.2%80.1%14.6%1.4%-0.6%-211.7M2.30B-7.0M1.6513.25N/AN/A17,89529,547229,333402,638
2013-01-30$116.75$120.0020.7%4.0%10.9%67.3%13.3%1.1%-0.2%-215.7M2.48B-6.9M6.1414.08N/AN/A22,545138,536239,138417,469
2013-01-31$117.32$120.0014.9%4.0%10.2%25.9%13.8%0.8%-0.4%-293.8M2.44B-8.4M0.4013.64N/AN/A62,55624,860248,822478,764