TLT Options History — June 2013

In June 2013, TLT traded between $107.88 and $115.29. ATM implied volatility averaged 17.6%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 0.7% (HV 20d: 16.9%). Max pain ranged from $113.00 to $118.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.29.

Notable Days

  • 2013-06-20: Highest Volume — 278,989 contracts
  • 2013-06-06: Largest IV drop — 31.7% change
  • 2013-06-05: Highest IV Rank — 100.0%
  • 2013-06-05: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.09$107.88$115.29$114.78$110.44
Max Pain$115.45$113.00$118.00$118.00$113.00
ATM IV17.6%14.5%29.1%23.1%17.1%
Expected Move4.6%4.2%5.2%4.7%4.2%
HV 20d16.9%14.7%18.4%14.7%16.9%
HV 60d14.9%13.8%15.7%13.8%15.6%
IV Rank42.9%25.0%100.0%86.2%38.1%
IV Percentile81.2%55.6%100.0%98.4%86.9%
Term Structure-0.2%-2.7%0.7%-1.8%0.7%
VWIV16.1%14.7%18.1%17.0%14.7%
Skew 25d0.5%-0.1%1.7%0.3%0.4%
Skew 10d1.1%-0.5%3.1%0.6%0.3%
Call IV 25d15.9%14.5%18.2%16.8%14.6%
Put IV 25d16.5%15.0%18.3%17.1%15.1%
Bid-Ask Spread %11.085.5822.4110.166.67
Gamma HHI0.160.110.220.200.12
Net GEX-210.8M-333.0M-63.4M-214.7M-86.4M
Net DEX2.26B1.12B3.84B1.85B1.12B
Net VEX-9.5M-11.0M-8.5M-9.7M-9.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.454.670.880.64
Total Volume118,388.7550,773278,98982,15977,887
Total OI912,080.25726,6301,075,841826,951809,907

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$114.78$118.0023.1%4.7%14.7%86.2%17.0%0.3%-1.8%-214.7M1.85B-9.7M0.8810.16N/AN/A43,76238,397340,966485,985
2013-06-04$113.72$118.0024.4%4.7%14.9%94.2%17.2%-0.1%-1.7%-220.9M2.25B-9.4M0.878.60N/AN/A28,17224,637362,183494,105
2013-06-05$115.29$118.0029.1%5.2%16.0%100.0%18.1%0.0%-2.7%-191.0M1.55B-10.0M0.549.49N/AN/A38,36820,730364,044503,250
2013-06-06$115.22$118.0019.9%5.1%15.9%52.5%18.0%0.1%-2.3%-177.8M1.52B-9.9M0.9510.02N/AN/A63,30559,913382,438505,217
2013-06-07$113.16$117.0014.9%4.2%16.9%27.2%15.0%0.7%0.3%-324.5M2.70B-8.8M1.659.67N/AN/A52,97987,420407,355523,466
2013-06-10$112.62$116.0016.3%4.2%16.7%33.9%15.0%0.5%0.3%-296.8M2.99B-8.5M4.2210.28N/AN/A36,450153,934384,142532,414
2013-06-11$113.96$116.0017.0%4.3%17.3%37.9%15.2%0.1%0.5%-237.9M2.13B-9.3M1.128.52N/AN/A53,72860,286394,855523,969
2013-06-12$112.33$116.0016.5%4.5%17.6%35.2%15.7%0.0%0.2%-210.0M2.40B-9.0M4.6714.90N/AN/A42,351197,654417,840498,227
2013-06-13$114.09$116.0016.0%4.6%18.4%32.7%16.1%0.4%0.2%-214.9M1.77B-10.9M1.0922.41N/AN/A36,26439,486428,321580,102
2013-06-14$113.82$116.0015.6%4.5%17.9%30.7%15.9%0.4%0.2%-256.2M2.37B-11.0M0.929.18N/AN/A55,57350,879437,024638,817
2013-06-17$113.22$115.0015.6%4.5%17.5%30.5%15.8%0.4%0.2%-277.8M2.26B-10.4M0.9516.36N/AN/A26,03224,741425,396581,368
2013-06-18$113.28$115.0015.4%4.4%17.5%29.7%15.6%0.4%0.3%-285.2M2.22B-10.3M0.4510.41N/AN/A51,72823,166432,715587,226
2013-06-19$112.11$115.0014.5%4.2%17.4%25.0%14.7%0.2%0.6%-333.0M2.79B-9.7M0.6710.20N/AN/A62,29141,866439,234584,830
2013-06-20$110.27$115.0016.0%4.6%17.6%32.4%16.0%0.5%0.3%-330.8M3.57B-9.1M1.4922.38N/AN/A111,823167,166449,828583,258
2013-06-21$108.40$114.0017.3%5.0%18.1%39.4%17.4%0.9%-0.0%-169.1M3.84B-8.7M1.1414.89N/AN/A82,94794,381497,271564,360
2013-06-24$108.85$114.0017.1%4.9%18.2%38.3%17.0%1.7%0.0%-130.2M2.16B-8.9M1.516.65N/AN/A89,223134,458306,062420,568
2013-06-25$107.88$113.0016.6%4.7%16.4%35.5%16.9%1.2%-0.2%-102.7M2.16B-8.7M0.625.58N/AN/A51,77532,295348,035416,864
2013-06-26$108.58$113.0015.7%4.5%15.9%30.9%16.0%1.2%0.3%-92.4M1.93B-9.3M0.698.60N/AN/A30,30620,790365,130426,966
2013-06-27$109.69$113.0014.9%4.3%16.6%26.9%15.2%0.9%0.4%-63.4M1.52B-9.5M0.686.66N/AN/A36,14324,469370,729427,138
2013-06-28$110.44$113.0017.1%4.2%16.9%38.1%14.7%0.4%0.7%-86.4M1.12B-9.7M0.646.67N/AN/A47,49130,396377,673432,234