TLT Options History — May 2013

In May 2013, TLT traded between $113.84 and $124.01. ATM implied volatility averaged 13.2%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 0.4% (HV 20d: 13.6%). Max pain ranged from $118.00 to $121.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.64.

Notable Days

2013-05-13: Highest Volume — 164,128 contracts
2013-05-02: Largest IV drop — 31.8% change
2013-05-01: Highest IV Rank — 59.3%
2013-05-31: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$118.12	$113.84	$124.01	$124.01	$114.45
Max Pain	$120.27	$118.00	$121.00	$121.00	$118.00
ATM IV	13.2%	9.7%	19.1%	19.1%	18.6%
Expected Move	3.7%	3.0%	4.5%	3.4%	4.5%
HV 20d	13.6%	11.6%	16.9%	13.3%	16.3%
HV 60d	12.8%	11.4%	14.0%	11.5%	13.9%
IV Rank	22.5%	0.0%	59.3%	59.3%	57.1%
IV Percentile	35.9%	0.0%	90.9%	90.9%	89.3%
Term Structure	0.1%	-0.7%	0.8%	-0.0%	-0.7%
VWIV	13.1%	10.8%	16.1%	12.3%	16.1%
Skew 25d	0.5%	-0.3%	1.0%	-0.1%	0.4%
Skew 10d	1.1%	-0.6%	2.2%	-0.1%	1.9%
Call IV 25d	12.9%	10.7%	15.8%	12.4%	15.8%
Put IV 25d	13.4%	10.7%	16.1%	12.3%	16.1%
Bid-Ask Spread %	10.96	8.52	18.18	8.66	9.82
Gamma HHI	0.16	0.07	0.27	0.08	0.16
Net GEX	-154.9M	-292.2M	100.2M	87.3M	-263.4M
Net DEX	1.04B	-746.2M	2.37B	-742.4M	2.08B
Net VEX	-8.1M	-9.5M	-6.6M	-7.0M	-9.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.64	0.67	7.67	0.67	1.28
Total Volume	71,759.955	20,168	164,128	45,076	144,090
Total OI	653,361.591	529,789	798,670	529,789	798,670

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
2013-05-01	$124.01	$121.00	19.1%	3.4%	13.3%	59.3%	12.3%	-0.1%	-0.0%	87.3M	-742.4M	-7.0M	0.67	8.66	N/A	N/A	27,028	18,048	236,432	293,357
2013-05-02	$123.85	$121.00	13.0%	3.3%	12.8%	19.6%	11.8%	-0.3%	-0.0%	100.2M	-746.2M	-6.9M	1.17	8.94	N/A	N/A	14,631	17,110	244,735	299,547
2013-05-03	$120.93	$121.00	10.4%	3.0%	13.8%	2.5%	10.8%	0.0%	0.8%	-63.6M	165.1M	-6.8M	1.12	13.16	N/A	N/A	47,947	53,631	251,649	306,701
2013-05-06	$120.63	$121.00	11.4%	3.2%	13.6%	9.1%	11.2%	0.5%	0.6%	-35.0M	164.3M	-6.8M	1.07	10.77	N/A	N/A	18,447	19,733	238,126	307,073
2013-05-07	$120.16	$121.00	10.8%	3.2%	13.6%	4.8%	11.1%	0.5%	0.5%	-57.4M	301.8M	-6.9M	0.81	9.98	N/A	N/A	11,118	9,050	243,895	309,672
2013-05-08	$120.35	$121.00	9.7%	3.1%	12.7%	0.0%	11.1%	0.4%	0.6%	-47.2M	223.4M	-6.7M	0.85	16.24	N/A	N/A	18,301	15,629	245,333	309,893
2013-05-09	$120.04	$121.00	10.5%	3.3%	12.7%	5.7%	11.6%	0.3%	0.6%	-66.5M	301.7M	-6.8M	1.15	11.51	N/A	N/A	26,931	30,835	251,910	314,691
2013-05-10	$118.75	$121.00	10.7%	3.3%	12.0%	6.7%	11.9%	0.5%	0.5%	-102.8M	683.1M	-6.7M	2.17	10.21	N/A	N/A	28,013	60,867	259,453	318,440
2013-05-13	$117.84	$121.00	13.7%	3.7%	11.6%	25.8%	13.3%	0.8%	0.0%	-93.9M	799.2M	-6.6M	7.67	12.23	N/A	N/A	18,935	145,193	256,904	315,501
2013-05-14	$116.56	$121.00	13.1%	3.7%	11.8%	22.0%	13.0%	0.8%	0.1%	-250.3M	1.65B	-8.1M	2.48	11.27	N/A	N/A	19,735	48,925	263,687	440,937
2013-05-15	$117.34	$121.00	12.4%	3.8%	11.8%	17.7%	13.4%	1.0%	0.1%	-214.3M	1.39B	-8.4M	4.00	9.27	N/A	N/A	18,866	75,484	269,009	441,930
2013-05-16	$118.56	$120.00	12.6%	3.6%	12.5%	19.0%	13.1%	0.7%	0.3%	-241.1M	1.17B	-9.3M	0.98	9.96	N/A	N/A	36,087	35,382	273,210	494,790
2013-05-17	$117.06	$120.00	12.8%	3.7%	13.1%	20.4%	13.0%	0.8%	0.3%	-292.2M	1.88B	-9.3M	1.81	18.18	N/A	N/A	26,268	47,500	277,868	510,141
2013-05-20	$116.92	$120.00	13.3%	3.8%	13.1%	23.3%	13.5%	0.6%	-0.1%	-238.0M	1.45B	-9.0M	2.13	8.52	N/A	N/A	10,808	23,037	227,263	412,831
2013-05-21	$117.84	$120.00	13.3%	3.8%	13.6%	23.2%	13.5%	0.6%	0.1%	-218.1M	1.14B	-9.0M	0.76	8.88	N/A	N/A	31,139	23,730	230,637	424,720
2013-05-22	$116.09	$120.00	14.1%	4.1%	14.2%	28.8%	14.4%	0.8%	-0.1%	-251.2M	1.73B	-9.1M	0.95	10.59	N/A	N/A	43,293	41,091	245,683	433,116
2013-05-23	$116.64	$120.00	13.8%	4.0%	14.4%	26.8%	14.1%	0.8%	-0.0%	-241.4M	1.50B	-9.4M	1.10	11.92	N/A	N/A	27,108	29,937	268,162	443,590
2013-05-24	$116.80	$120.00	13.4%	3.8%	13.9%	24.0%	13.8%	0.1%	0.1%	-230.9M	1.41B	-9.4M	0.84	9.40	N/A	N/A	23,608	19,746	276,373	448,896
2013-05-28	$113.84	$120.00	14.6%	4.2%	16.1%	31.9%	15.1%	0.4%	-0.4%	-228.6M	2.37B	-8.3M	0.91	10.23	N/A	N/A	51,176	46,742	270,764	430,584
2013-05-29	$115.12	$119.00	14.7%	4.2%	16.9%	32.1%	15.1%	0.9%	-0.3%	-227.8M	1.94B	-8.9M	1.31	10.50	N/A	N/A	35,496	46,432	289,275	436,960
2013-05-30	$114.84	$118.00	15.1%	4.3%	16.4%	34.9%	15.4%	0.3%	-0.6%	-232.1M	2.04B	-9.1M	0.94	10.97	N/A	N/A	47,157	44,435	304,053	457,494
2013-05-31	$114.45	$118.00	18.6%	4.5%	16.3%	57.1%	16.1%	0.4%	-0.7%	-263.4M	2.08B	-9.5M	1.28	9.82	N/A	N/A	63,247	80,843	332,652	466,018