TLT Options History — April 2013

In April 2013, TLT traded between $117.91 and $123.39. ATM implied volatility averaged 12.8%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 0.0% (HV 20d: 12.8%). Max pain ranged from $117.00 to $120.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.19.

Notable Days

2013-04-05: Highest Volume — 130,224 contracts
2013-04-26: Largest IV spike — 19.5% change
2013-04-30: Highest IV Rank — 50.4%
2013-04-15: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$121.70	$117.91	$123.39	$118.39	$123.01
Max Pain	$119.50	$117.00	$120.00	$118.00	$120.00
ATM IV	12.8%	11.1%	17.7%	13.8%	17.7%
Expected Move	3.3%	3.1%	3.7%	3.2%	3.3%
HV 20d	12.8%	10.4%	14.3%	10.5%	13.3%
HV 60d	11.9%	10.7%	12.5%	11.0%	11.7%
IV Rank	18.4%	6.9%	50.4%	24.7%	50.4%
IV Percentile	25.2%	1.2%	88.5%	36.1%	88.5%
Term Structure	0.3%	-0.1%	0.5%	0.5%	0.0%
VWIV	11.8%	11.2%	13.2%	11.3%	11.2%
Skew 25d	0.1%	-0.4%	0.8%	0.2%	-0.3%
Skew 10d	0.3%	-0.7%	1.3%	0.5%	-0.7%
Call IV 25d	11.8%	11.0%	13.2%	11.2%	12.0%
Put IV 25d	11.9%	11.3%	13.3%	11.4%	11.7%
Bid-Ask Spread %	10.47	7.65	13.58	10.67	11.00
Gamma HHI	0.10	0.07	0.16	0.14	0.07
Net GEX	50.1M	-122.6M	123.5M	-97.8M	65.4M
Net DEX	-636.9M	-1.43B	199.4M	83.6M	-632.8M
Net VEX	-6.7M	-7.3M	-5.9M	-7.1M	-7.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.19	0.35	3.69	1.32	0.35
Total Volume	53,430.409	15,429	130,224	25,173	33,166
Total OI	745,890.409	486,735	966,624	724,326	533,257

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-04-01	$118.39	$118.00	13.8%	3.2%	10.5%	24.7%	11.3%	0.2%	0.5%	-97.8M	83.6M	-7.1M	1.32	10.67	N/A	N/A	10,839	14,334	216,851	507,475
2013-04-02	$117.91	$118.00	14.6%	3.1%	10.4%	30.0%	11.4%	0.3%	0.5%	-122.6M	199.4M	-7.0M	1.63	12.01	N/A	N/A	12,403	20,180	221,079	515,141
2013-04-03	$118.97	$118.00	15.8%	3.2%	10.8%	37.6%	11.6%	0.6%	0.3%	-22.2M	-179.4M	-6.5M	0.75	11.67	N/A	N/A	32,255	24,139	224,336	522,284
2013-04-04	$120.39	$118.00	13.3%	3.4%	10.9%	21.3%	11.9%	0.8%	0.4%	79.4M	-669.0M	-6.6M	1.22	13.52	N/A	N/A	52,453	63,923	238,346	530,138
2013-04-05	$122.82	$117.00	11.9%	3.4%	12.2%	12.5%	12.2%	0.4%	0.5%	123.5M	-1.43B	-5.9M	0.86	9.91	N/A	N/A	69,960	60,264	248,565	562,979
2013-04-08	$121.88	$120.00	13.4%	3.4%	11.8%	22.1%	12.2%	0.2%	0.5%	95.1M	-842.8M	-6.7M	0.85	11.18	N/A	N/A	32,043	27,315	244,176	577,206
2013-04-09	$121.58	$120.00	12.4%	3.3%	11.9%	15.7%	11.9%	0.4%	0.4%	78.7M	-713.1M	-7.0M	1.55	9.24	N/A	N/A	18,583	28,722	260,655	591,164
2013-04-10	$119.91	$120.00	11.1%	3.3%	13.2%	6.9%	11.8%	0.4%	0.4%	23.5M	-146.2M	-6.9M	0.74	10.81	N/A	N/A	46,997	34,773	261,879	600,969
2013-04-11	$120.14	$120.00	11.4%	3.3%	13.1%	9.4%	11.7%	0.4%	0.5%	41.8M	-203.5M	-7.3M	3.69	7.65	N/A	N/A	22,457	82,833	270,663	608,214
2013-04-12	$121.93	$120.00	11.8%	3.4%	13.8%	11.6%	11.9%	0.3%	0.3%	64.5M	-810.5M	-7.1M	0.89	8.82	N/A	N/A	27,284	24,181	270,793	663,373
2013-04-15	$122.99	$120.00	13.0%	3.7%	13.9%	19.4%	13.2%	0.1%	-0.1%	103.1M	-1.13B	-6.6M	0.57	9.26	N/A	N/A	33,111	18,893	259,774	660,458
2013-04-16	$121.98	$120.00	12.0%	3.4%	14.3%	13.0%	12.1%	-0.2%	0.1%	82.8M	-821.5M	-6.8M	1.25	8.18	N/A	N/A	14,223	17,822	273,692	662,720
2013-04-17	$122.79	$120.00	12.3%	3.5%	14.3%	15.3%	12.6%	0.0%	0.2%	119.5M	-1.17B	-6.6M	0.79	9.73	N/A	N/A	21,653	17,026	276,572	668,467
2013-04-18	$123.09	$120.00	12.0%	3.4%	13.4%	13.2%	12.3%	-0.3%	0.3%	98.3M	-1.24B	-6.7M	1.33	11.24	N/A	N/A	20,555	27,401	276,542	666,637
2013-04-19	$122.83	$120.00	11.5%	3.3%	13.3%	9.9%	11.7%	-0.1%	0.4%	67.8M	-1.14B	-6.7M	0.77	7.98	N/A	N/A	24,452	18,937	282,224	684,400
2013-04-22	$122.92	$120.00	11.5%	3.3%	13.3%	10.0%	11.7%	-0.3%	0.2%	52.8M	-561.7M	-6.4M	0.94	10.55	N/A	N/A	7,964	7,465	212,210	274,525
2013-04-23	$122.49	$120.00	11.3%	3.3%	13.4%	8.8%	11.6%	-0.4%	0.4%	38.7M	-454.3M	-6.5M	0.55	13.58	N/A	N/A	27,660	15,074	215,127	277,738
2013-04-24	$122.80	$120.00	11.3%	3.2%	13.4%	8.5%	11.4%	-0.3%	0.2%	38.1M	-511.3M	-6.5M	1.57	12.47	N/A	N/A	11,360	17,819	220,177	281,666
2013-04-25	$122.27	$120.00	11.1%	3.2%	13.4%	7.1%	11.3%	-0.1%	0.4%	22.1M	-386.2M	-6.5M	2.56	11.06	N/A	N/A	13,470	34,474	223,898	287,006
2013-04-26	$123.39	$120.00	13.3%	3.2%	13.4%	21.3%	11.4%	0.0%	0.3%	84.9M	-686.7M	-6.5M	1.03	10.34	N/A	N/A	30,007	30,820	228,552	287,243
2013-04-29	$122.94	$120.00	15.7%	3.4%	13.5%	36.9%	11.9%	0.1%	-0.1%	65.1M	-572.3M	-6.7M	1.01	9.44	N/A	N/A	13,044	13,135	235,915	284,503
2013-04-30	$123.01	$120.00	17.7%	3.3%	13.3%	50.4%	11.2%	-0.3%	0.0%	65.4M	-632.8M	-7.0M	0.35	11.00	N/A	N/A	24,654	8,512	242,628	290,629