TLT Options History — July 2013

In July 2013, TLT traded between $106.26 and $110.41. ATM implied volatility averaged 16.3%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 1.4% (HV 20d: 17.7%). Max pain ranged from $109.00 to $113.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.22.

Notable Days

2013-07-05: Highest Volume — 135,838 contracts
2013-07-26: Largest IV spike — 34.9% change
2013-07-31: Highest IV Rank — 85.9%
2013-07-08: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$108.18	$106.26	$110.41	$110.41	$107.70
Max Pain	$110.23	$109.00	$113.00	$113.00	$109.00
ATM IV	16.3%	12.4%	26.4%	19.6%	26.4%
Expected Move	4.1%	3.6%	4.4%	4.1%	4.1%
HV 20d	17.7%	15.6%	19.3%	16.8%	17.1%
HV 60d	16.1%	14.9%	16.6%	14.9%	16.0%
IV Rank	34.0%	14.4%	85.9%	51.0%	85.9%
IV Percentile	63.6%	24.6%	99.6%	92.9%	99.6%
Term Structure	0.4%	-0.0%	0.8%	0.5%	0.2%
VWIV	14.4%	12.7%	16.0%	14.6%	14.5%
Skew 25d	0.8%	0.4%	1.2%	0.9%	1.0%
Skew 10d	1.5%	0.7%	2.2%	1.5%	2.2%
Call IV 25d	14.0%	12.5%	15.3%	14.2%	14.2%
Put IV 25d	14.8%	13.0%	16.3%	15.1%	15.1%
Bid-Ask Spread %	8.46	6.26	11.78	9.91	7.90
Gamma HHI	0.11	0.06	0.34	0.15	0.08
Net GEX	-59.3M	-117.6M	112.3M	-112.0M	-61.2M
Net DEX	1.51B	559.2M	2.77B	1.27B	984.9M
Net VEX	-7.4M	-9.4M	-6.6M	-9.4M	-7.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.22	0.61	4.04	0.73	0.69
Total Volume	54,732.227	20,181	135,838	35,514	92,718
Total OI	746,426.773	538,693	845,429	789,441	667,852

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
2013-07-01	$110.41	$113.00	19.6%	4.1%	16.8%	51.0%	14.6%	0.9%	0.5%	-112.0M	1.27B	-9.4M	0.73	9.91	N/A	N/A	20,541	14,973	367,546	421,895
2013-07-02	$110.34	$113.00	19.6%	4.2%	16.6%	51.0%	15.3%	0.9%	0.3%	-108.1M	1.28B	-9.3M	1.99	9.56	N/A	N/A	13,636	27,161	371,808	425,565
2013-07-03	$110.01	$113.00	16.9%	4.4%	15.6%	37.0%	15.5%	1.2%	-0.0%	-117.6M	1.42B	-9.2M	0.83	10.94	N/A	N/A	11,023	9,158	374,895	443,838
2013-07-05	$106.26	$110.00	15.1%	4.4%	19.3%	28.0%	15.6%	0.8%	0.1%	-116.3M	2.77B	-7.2M	1.04	6.76	N/A	N/A	66,676	69,162	377,950	447,348
2013-07-08	$107.29	$110.00	15.6%	4.4%	19.2%	30.6%	15.5%	1.2%	0.1%	-110.2M	2.30B	-7.7M	0.64	9.63	N/A	N/A	33,066	21,107	379,298	444,813
2013-07-09	$107.40	$110.00	16.0%	4.4%	19.2%	32.7%	15.7%	0.9%	0.2%	-105.8M	2.25B	-7.6M	1.08	8.59	N/A	N/A	24,090	25,925	378,825	443,488
2013-07-10	$106.56	$110.00	14.8%	4.4%	18.5%	26.3%	16.0%	1.0%	0.2%	-103.7M	2.50B	-7.3M	4.04	11.46	N/A	N/A	22,876	92,452	385,988	449,494
2013-07-11	$107.81	$110.00	14.7%	4.2%	18.8%	25.8%	15.0%	0.8%	0.3%	-64.9M	1.91B	-7.4M	0.87	11.78	N/A	N/A	28,097	24,440	395,374	442,733
2013-07-12	$107.72	$110.00	14.5%	4.2%	17.6%	24.8%	14.7%	0.7%	0.4%	-46.7M	1.92B	-7.4M	0.64	9.20	N/A	N/A	29,229	18,569	400,416	445,013
2013-07-15	$108.29	$110.00	14.6%	4.2%	17.8%	25.5%	14.9%	0.6%	0.3%	-64.1M	1.80B	-7.3M	1.22	6.64	N/A	N/A	9,954	12,165	394,858	432,740
2013-07-16	$108.66	$110.00	14.3%	4.1%	17.9%	24.1%	14.7%	0.5%	0.3%	-56.0M	1.68B	-7.1M	1.57	6.60	N/A	N/A	14,591	22,924	396,134	435,137
2013-07-17	$108.86	$110.00	13.8%	3.9%	18.0%	21.1%	13.9%	0.5%	0.5%	-19.9M	1.63B	-7.0M	1.26	6.68	N/A	N/A	17,969	22,567	399,475	438,519
2013-07-18	$107.50	$110.00	13.4%	3.8%	18.1%	19.1%	13.6%	0.8%	0.7%	-69.9M	2.06B	-6.6M	1.72	6.94	N/A	N/A	21,404	36,880	397,840	429,666
2013-07-19	$109.20	$110.00	12.6%	3.6%	18.3%	15.3%	12.9%	0.8%	0.8%	40.1M	1.44B	-6.7M	0.61	6.26	N/A	N/A	38,621	23,597	402,219	441,382
2013-07-22	$109.36	$110.00	12.4%	3.6%	17.2%	14.4%	12.7%	0.4%	0.8%	-3.0M	559.2M	-6.9M	0.96	7.48	N/A	N/A	17,531	16,746	263,531	275,162
2013-07-23	$108.90	$110.00	12.7%	3.6%	17.3%	15.5%	12.9%	0.6%	0.8%	-5.3M	654.3M	-6.7M	0.82	7.53	N/A	N/A	20,684	16,941	272,318	283,591
2013-07-24	$107.52	$110.00	13.2%	3.8%	17.6%	18.0%	13.4%	0.7%	0.5%	-60.0M	1.01B	-6.9M	2.02	7.87	N/A	N/A	21,214	42,825	283,239	291,298
2013-07-25	$107.48	$110.00	13.1%	3.7%	17.4%	17.4%	13.4%	0.7%	0.6%	-110.9M	1.07B	-7.0M	0.61	8.40	N/A	N/A	38,709	23,678	293,193	313,960
2013-07-26	$108.14	$109.00	17.6%	3.7%	17.1%	40.9%	13.1%	0.8%	0.7%	112.3M	647.0M	-7.1M	0.91	8.42	N/A	N/A	36,652	33,308	318,168	326,198
2013-07-29	$107.35	$109.00	22.8%	4.1%	17.0%	67.7%	14.4%	0.7%	0.0%	-56.0M	1.06B	-7.1M	1.52	8.44	N/A	N/A	15,495	23,479	299,485	324,520
2013-07-30	$107.31	$109.00	24.3%	4.0%	17.0%	75.6%	14.1%	0.9%	0.1%	-65.1M	1.11B	-7.2M	1.18	9.06	N/A	N/A	14,338	16,938	306,840	337,777
2013-07-31	$107.70	$109.00	26.4%	4.1%	17.1%	85.9%	14.5%	1.0%	0.2%	-61.2M	984.9M	-7.7M	0.69	7.90	N/A	N/A	54,964	37,754	317,067	350,785