TLT Options History — August 2013

In August 2013, TLT traded between $102.13 and $107.26. ATM implied volatility averaged 14.0%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 0.5% (HV 20d: 14.6%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.85.

Notable Days

2013-08-01: Highest Volume — 123,708 contracts
2013-08-15: Largest IV spike — 33.2% change
2013-08-01: Highest IV Rank — 36.6%
2013-08-19: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$105.10	$102.13	$107.26	$105.36	$105.99
Max Pain	$108.81	$105.00	$110.00	$109.00	$105.00
ATM IV	14.0%	11.1%	16.8%	16.8%	15.9%
Expected Move	4.2%	3.3%	4.6%	4.2%	4.5%
HV 20d	14.6%	13.3%	18.6%	18.6%	13.5%
HV 60d	16.4%	15.8%	16.8%	16.5%	16.1%
IV Rank	22.5%	7.5%	36.6%	36.6%	32.1%
IV Percentile	48.5%	4.0%	83.3%	83.3%	76.2%
Term Structure	0.3%	-0.3%	2.2%	0.2%	0.6%
VWIV	14.7%	11.9%	16.0%	15.0%	15.8%
Skew 25d	1.1%	0.4%	1.7%	1.0%	0.4%
Skew 10d	2.4%	1.2%	3.4%	2.6%	1.2%
Call IV 25d	14.3%	11.6%	15.7%	14.6%	15.7%
Put IV 25d	15.4%	12.7%	17.0%	15.6%	16.2%
Bid-Ask Spread %	7.08	2.59	20.25	11.08	3.53
Gamma HHI	0.11	0.05	0.36	0.11	0.36
Net GEX	-48.4M	-142.1M	171.0M	-114.0M	171.0M
Net DEX	1.36B	649.2M	2.36B	1.58B	649.2M
Net VEX	-8.0M	-9.2M	-7.2M	-7.2M	-9.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.24	2.13	1.22	0.79
Total Volume	66,185.955	24,850	123,708	123,708	53,140
Total OI	793,652.455	707,112	880,143	709,122	850,241

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
2013-08-01	$105.36	$109.00	16.8%	4.2%	18.6%	36.6%	15.0%	1.0%	0.2%	-114.0M	1.58B	-7.2M	1.22	11.08	N/A	N/A	55,724	67,984	344,127	364,995
2013-08-02	$106.52	$109.00	11.4%	3.3%	14.7%	8.8%	11.9%	1.2%	2.2%	8.6M	1.27B	-7.8M	0.57	2.66	N/A	N/A	65,264	37,139	362,552	407,558
2013-08-05	$105.70	$110.00	13.9%	4.0%	14.5%	21.7%	14.9%	0.9%	0.4%	-86.5M	1.41B	-7.7M	2.13	3.44	N/A	N/A	21,253	45,308	354,828	385,849
2013-08-06	$106.01	$110.00	13.0%	3.9%	14.5%	17.2%	13.9%	1.1%	0.4%	-108.3M	1.40B	-8.0M	0.69	8.11	N/A	N/A	14,706	10,144	366,408	393,115
2013-08-07	$106.80	$110.00	11.8%	3.9%	14.6%	11.2%	13.8%	0.7%	0.2%	-70.0M	1.08B	-8.2M	0.74	9.60	N/A	N/A	26,463	19,707	372,778	396,272
2013-08-08	$107.09	$110.00	11.5%	3.8%	13.9%	9.6%	13.6%	0.9%	0.4%	-28.5M	959.2M	-8.2M	1.06	20.25	N/A	N/A	21,731	23,018	385,665	405,743
2013-08-09	$107.26	$110.00	11.1%	3.7%	14.0%	7.5%	13.0%	0.7%	0.5%	2.7M	851.0M	-8.0M	1.02	9.53	N/A	N/A	25,705	26,288	394,384	417,203
2013-08-12	$106.53	$110.00	11.8%	3.8%	14.0%	11.2%	13.5%	0.9%	0.4%	-93.9M	1.25B	-7.8M	0.80	10.66	N/A	N/A	23,356	18,776	394,166	407,072
2013-08-13	$104.99	$110.00	11.8%	4.0%	14.7%	11.2%	14.1%	0.9%	0.3%	-139.5M	1.83B	-7.4M	1.33	9.27	N/A	N/A	26,533	35,240	397,175	413,152
2013-08-14	$105.15	$109.00	11.3%	4.0%	14.7%	8.2%	14.4%	1.1%	0.2%	-142.1M	1.83B	-7.7M	0.85	5.73	N/A	N/A	13,903	11,770	409,532	425,835
2013-08-15	$103.73	$109.00	15.0%	4.3%	14.8%	27.4%	15.1%	1.3%	0.2%	-109.4M	2.22B	-7.4M	0.95	5.68	N/A	N/A	41,920	39,942	412,975	428,230
2013-08-16	$103.37	$109.00	15.3%	4.4%	13.3%	29.1%	15.7%	1.6%	0.3%	-140.4M	2.36B	-7.4M	1.22	5.15	N/A	N/A	49,012	59,953	435,327	444,816
2013-08-19	$102.47	$109.00	16.0%	4.6%	13.3%	32.4%	16.0%	1.5%	-0.1%	-72.9M	1.77B	-7.3M	0.86	8.14	N/A	N/A	39,721	34,333	332,388	374,724
2013-08-20	$103.26	$108.00	15.7%	4.5%	13.9%	31.1%	15.6%	1.6%	0.1%	-44.0M	1.54B	-7.7M	0.43	5.98	N/A	N/A	45,405	19,385	354,466	387,355
2013-08-21	$102.13	$108.00	15.8%	4.5%	13.7%	31.4%	15.7%	1.7%	-0.0%	-33.4M	1.83B	-7.4M	0.60	6.19	N/A	N/A	63,556	38,149	378,742	394,426
2013-08-22	$103.17	$108.00	15.3%	4.4%	14.4%	29.1%	15.5%	1.5%	-0.0%	38.5M	1.51B	-7.9M	0.74	5.37	N/A	N/A	31,673	23,518	398,966	417,036
2013-08-23	$104.29	$108.00	14.7%	4.2%	14.9%	26.1%	14.8%	1.5%	0.3%	-25.8M	876.8M	-8.2M	0.24	6.24	N/A	N/A	82,008	19,516	409,043	421,696
2013-08-26	$104.81	$108.00	14.5%	4.1%	14.9%	24.7%	14.8%	1.4%	0.2%	-39.8M	1.15B	-8.2M	1.00	5.22	N/A	N/A	31,060	31,082	378,297	402,719
2013-08-27	$106.13	$108.00	15.1%	4.3%	15.7%	28.1%	15.3%	0.8%	-0.2%	-10.3M	704.5M	-8.7M	0.52	5.64	N/A	N/A	55,252	28,755	389,490	408,840
2013-08-28	$105.27	$108.00	15.6%	4.5%	15.8%	30.5%	15.7%	1.0%	-0.3%	-28.3M	1.05B	-8.8M	0.66	5.70	N/A	N/A	18,909	12,560	394,684	421,033
2013-08-29	$106.11	$0.00	15.4%	4.4%	14.1%	29.8%	15.7%	0.9%	0.9%	612.3K	723.3M	-9.0M	0.35	2.59	N/A	N/A	34,998	12,232	400,981	425,470
2013-08-30	$105.99	$105.00	15.9%	4.5%	13.5%	32.1%	15.8%	0.4%	0.6%	171.0M	649.2M	-9.2M	0.79	3.53	N/A	N/A	29,641	23,499	418,702	431,539