TLT Options History — February 2013

In February 2013, TLT traded between $115.54 and $119.33. ATM implied volatility averaged 13.7%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.8% (HV 20d: 11.9%). Max pain ranged from $119.00 to $120.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.89.

Notable Days

  • 2013-02-19: Highest Volume — 158,839 contracts
  • 2013-02-25: Largest IV spike — 38.5% change
  • 2013-02-25: Highest IV Rank — 45.1%
  • 2013-02-01: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.01$115.54$119.33$115.54$118.51
Max Pain$119.37$119.00$120.00$119.00$120.00
ATM IV13.7%12.1%17.6%14.3%12.9%
Expected Move3.7%3.4%4.0%4.0%3.4%
HV 20d11.9%10.5%12.9%10.5%12.8%
HV 60d11.4%11.0%12.0%11.7%12.0%
IV Rank17.4%6.1%45.1%21.4%11.8%
IV Percentile30.8%6.3%86.5%33.3%20.6%
Term Structure0.5%-0.0%0.9%0.0%0.1%
VWIV13.0%12.0%14.2%14.2%12.0%
Skew 25d0.9%0.3%1.7%1.5%0.3%
Skew 10d1.7%0.3%3.3%3.2%0.6%
Call IV 25d12.6%12.0%13.6%13.6%12.0%
Put IV 25d13.5%12.3%15.1%15.1%12.3%
Bid-Ask Spread %10.338.4018.5513.9510.16
Gamma HHI0.220.160.320.190.23
Net GEX-286.8M-476.7M-190.2M-355.1M-352.2M
Net DEX2.02B610.0M3.09B3.09B894.4M
Net VEX-8.9M-9.8M-7.9M-8.1M-9.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.890.675.931.450.67
Total Volume69,942.21134,648158,83998,57838,344
Total OI797,999.947668,873858,291780,747837,614

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$115.54$119.0014.3%4.0%10.5%21.4%14.2%1.5%0.0%-355.1M3.09B-8.1M1.4513.95N/AN/A40,29558,283295,355485,392
2013-02-04$117.02$119.0015.9%3.9%11.5%33.3%14.1%1.7%0.3%-256.0M2.34B-8.6M2.0918.55N/AN/A40,87185,509288,130471,486
2013-02-05$115.98$119.0016.2%4.0%11.8%35.4%14.0%1.4%-0.0%-251.0M2.90B-9.1M5.938.40N/AN/A14,89888,409321,056506,785
2013-02-06$116.93$119.0012.8%3.8%12.0%11.2%13.7%1.3%0.2%-304.8M2.54B-9.6M1.339.11N/AN/A14,88319,765304,443534,272
2013-02-07$116.67$119.0013.2%3.8%12.0%13.6%13.3%1.2%0.4%-276.5M2.39B-9.4M0.879.64N/AN/A25,83822,469321,362511,847
2013-02-08$117.12$119.0012.5%3.6%12.1%8.5%12.4%1.1%0.9%-301.8M2.18B-9.4M1.1810.29N/AN/A25,28029,853326,963516,249
2013-02-11$117.03$119.0012.6%3.6%11.6%9.2%12.7%0.9%0.5%-268.7M2.25B-9.1M0.988.69N/AN/A20,54720,226323,856509,932
2013-02-12$116.74$119.0012.3%3.5%11.5%7.5%12.5%1.0%0.7%-281.2M2.45B-8.7M3.709.17N/AN/A10,12737,443318,311515,289
2013-02-13$115.79$119.0012.8%3.7%11.6%11.0%12.9%0.8%0.3%-272.8M2.91B-8.3M1.129.38N/AN/A17,45919,575320,625517,957
2013-02-14$116.84$119.0012.5%3.6%12.1%8.6%12.5%1.0%0.5%-232.6M2.40B-8.6M1.639.85N/AN/A14,15923,024322,997521,746
2013-02-15$116.50$119.0012.1%3.5%11.7%6.1%12.3%0.5%0.9%-312.3M2.58B-8.5M1.939.39N/AN/A20,74140,051328,305529,986
2013-02-19$115.92$119.0012.8%3.7%11.3%10.7%12.7%0.8%0.7%-225.2M1.84B-7.9M1.039.80N/AN/A78,25980,580267,385401,488
2013-02-20$116.27$120.0012.9%3.7%11.4%11.3%13.1%1.0%0.7%-254.6M1.69B-8.2M3.919.56N/AN/A20,61480,509249,728419,586
2013-02-21$116.95$120.0012.7%3.6%11.7%10.1%13.0%0.7%0.9%-287.2M1.63B-9.5M1.709.66N/AN/A31,02052,662253,424485,876
2013-02-22$117.03$120.0012.7%3.5%11.7%10.1%12.5%0.8%0.9%-476.7M1.65B-9.8M0.9712.03N/AN/A19,18018,663263,320520,266
2013-02-25$119.33$120.0017.6%3.8%12.8%45.1%13.6%0.4%0.2%-190.2M610.0M-9.1M1.438.80N/AN/A34,34649,163261,751514,498
2013-02-26$118.64$120.0015.9%3.6%12.9%32.8%12.9%0.3%0.5%-254.5M925.3M-9.3M1.4910.04N/AN/A22,82634,097263,752530,759
2013-02-27$118.29$120.0015.8%3.5%12.8%32.4%12.5%0.8%0.7%-296.1M1.10B-9.2M2.569.80N/AN/A22,16856,766267,950532,258
2013-02-28$118.51$120.0012.9%3.4%12.8%11.8%12.0%0.3%0.1%-352.2M894.4M-9.1M0.6710.16N/AN/A22,98315,361269,625567,989