TLT Options History — March 2013

In March 2013, TLT traded between $114.75 and $118.90. ATM implied volatility averaged 11.9%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.7% (HV 20d: 11.1%). Max pain ranged from $118.00 to $120.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.27.

Notable Days

  • 2013-03-11: Highest Volume — 144,324 contracts
  • 2013-03-06: Largest IV drop — 15.9% change
  • 2013-03-05: Highest IV Rank — 26.2%
  • 2013-03-07: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116.76$114.75$118.90$118.90$117.76
Max Pain$118.10$118.00$120.00$120.00$118.00
ATM IV11.9%10.0%14.9%12.8%10.5%
Expected Move3.4%3.0%3.6%3.4%3.0%
HV 20d11.1%9.7%12.7%12.7%10.3%
HV 60d11.8%11.3%12.1%12.0%11.3%
IV Rank9.4%0.0%26.2%10.7%3.3%
IV Percentile10.0%0.0%53.6%17.9%0.4%
Term Structure0.6%0.4%0.8%0.4%0.7%
VWIV12.0%10.6%13.0%12.0%10.6%
Skew 25d0.7%-0.1%1.4%0.5%-0.1%
Skew 10d1.5%-0.0%2.6%1.2%-0.0%
Call IV 25d11.6%10.8%12.2%11.8%10.8%
Put IV 25d12.3%10.7%13.4%12.4%10.7%
Bid-Ask Spread %10.808.1912.739.8712.46
Gamma HHI0.210.150.270.200.23
Net GEX-362.8M-650.2M-115.2M-238.9M-157.7M
Net DEX1.48B140.0M3.42B759.5M146.0M
Net VEX-8.3M-9.0M-6.5M-9.0M-6.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.270.5514.211.011.05
Total Volume53,284.814,290144,32443,54338,924
Total OI789,546.5643,098904,126838,077732,858

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$118.90$120.0012.8%3.4%12.7%10.7%12.0%0.5%0.4%-238.9M759.5M-9.0M1.019.87N/AN/A21,61521,928267,294570,783
2013-03-04$118.27$118.0014.5%3.5%11.5%23.1%12.4%1.0%0.6%-299.0M1.14B-8.9M0.559.49N/AN/A21,74211,867261,854558,627
2013-03-05$117.93$118.0014.9%3.5%10.7%26.2%12.6%1.1%0.6%-343.8M1.29B-9.0M1.579.64N/AN/A20,24131,859270,206562,315
2013-03-06$116.86$118.0012.6%3.5%10.7%9.3%12.5%1.1%0.6%-461.6M1.94B-9.0M1.299.14N/AN/A13,85817,825276,276577,974
2013-03-07$115.96$118.0013.3%3.6%10.7%14.4%12.8%1.2%0.5%-527.2M2.49B-8.9M1.7910.48N/AN/A22,31939,888277,349579,593
2013-03-08$114.75$118.0011.2%3.5%11.3%0.0%12.4%0.9%0.5%-650.2M3.42B-8.6M1.6910.45N/AN/A35,27559,604283,046597,590
2013-03-11$114.86$118.0011.6%3.5%11.2%2.6%13.0%1.2%0.5%-617.1M3.21B-7.9M14.218.19N/AN/A9,488134,836278,489583,664
2013-03-12$115.69$118.0011.1%3.4%11.5%0.0%12.8%1.4%0.5%-590.2M2.50B-8.7M5.7311.23N/AN/A13,52977,586282,268599,375
2013-03-13$115.57$118.0010.0%3.3%11.5%0.0%12.1%1.0%0.6%-588.2M2.46B-8.5M5.4610.78N/AN/A12,80769,880284,839605,996
2013-03-14$115.22$118.0011.5%3.3%11.2%9.5%11.8%1.1%0.7%-530.1M2.59B-8.7M1.5911.18N/AN/A11,41418,167286,346611,650
2013-03-15$115.76$118.0011.3%3.2%10.8%8.1%11.5%1.1%0.8%-528.0M2.25B-8.3M1.0110.39N/AN/A23,73223,944289,726614,400
2013-03-18$116.64$118.0011.3%3.2%11.1%8.3%11.7%0.7%0.6%-257.3M926.9M-8.0M0.7210.75N/AN/A23,57716,958178,299464,799
2013-03-19$117.43$118.0011.8%3.4%11.2%11.7%12.0%0.4%0.6%-207.6M613.5M-7.8M1.0410.44N/AN/A28,55229,638183,088469,047
2013-03-20$116.12$118.0011.6%3.3%11.9%10.1%11.6%0.2%0.5%-292.4M1.17B-8.7M1.0811.59N/AN/A14,30515,409194,934480,358
2013-03-21$117.24$118.0011.9%3.4%12.2%12.7%12.4%0.7%0.5%-212.8M709.8M-8.3M1.9411.54N/AN/A14,97129,022198,679482,881
2013-03-22$117.33$118.0012.0%3.5%12.2%13.3%12.0%0.4%0.4%-183.1M630.8M-8.2M0.7812.73N/AN/A39,96831,326206,398503,078
2013-03-25$117.22$118.0011.7%3.4%9.9%11.0%11.8%0.3%0.4%-237.5M680.7M-8.2M0.8211.69N/AN/A14,28911,752213,625505,680
2013-03-26$117.36$118.0010.9%3.1%9.7%6.1%11.1%0.2%0.8%-217.8M554.3M-7.8M0.8512.26N/AN/A7,7286,562218,307508,502
2013-03-27$118.36$118.0011.1%3.2%10.2%7.2%11.4%0.2%0.7%-115.2M140.0M-7.4M1.2711.66N/AN/A12,90916,402220,561510,176
2013-03-28$117.76$118.0010.5%3.0%10.3%3.3%10.6%-0.1%0.7%-157.7M146.0M-6.5M1.0512.46N/AN/A18,96719,957221,364511,494