TLT Options History — September 2013

In September 2013, TLT traded between $102.38 and $107.05. ATM implied volatility averaged 14.5%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.6% (HV 20d: 14.0%). Max pain ranged from $102.00 to $107.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.06.

Notable Days

  • 2013-09-18: Highest Volume — 152,554 contracts
  • 2013-09-30: Largest IV spike — 12.5% change
  • 2013-09-03: Highest IV Rank — 39.5%
  • 2013-09-03: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.45$102.38$107.05$104.22$106.40
Max Pain$104.68$102.00$107.00$102.00$107.00
ATM IV14.5%12.4%17.3%17.3%15.3%
Expected Move4.2%3.5%5.0%5.0%4.4%
HV 20d14.0%12.7%14.9%14.5%12.7%
HV 60d15.3%13.4%16.0%16.0%13.4%
IV Rank25.2%13.9%39.5%39.5%28.8%
IV Percentile56.6%25.0%87.3%87.3%66.7%
Term Structure-0.2%-1.2%1.2%-1.0%-0.9%
VWIV14.6%12.5%17.5%17.5%15.4%
Skew 25d0.8%0.2%1.3%0.8%1.3%
Skew 10d1.3%0.0%4.6%0.7%4.6%
Call IV 25d14.3%12.2%17.3%17.3%15.1%
Put IV 25d15.1%13.2%18.0%18.0%16.3%
Bid-Ask Spread %10.743.3025.743.3013.18
Gamma HHI0.080.060.190.060.07
Net GEX-69.7M-173.1M41.3M-56.3M-15.9M
Net DEX1.10B-392.1M2.10B1.32B109.8M
Net VEX-8.5M-8.9M-8.0M-8.5M-8.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.612.280.950.93
Total Volume73,055.8540,116152,55477,50860,496
Total OI941,353.55782,6681,138,941832,591808,209

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$104.22$102.0017.3%5.0%14.5%39.5%17.5%0.8%-1.0%-56.3M1.32B-8.5M0.953.30N/AN/A39,77837,730409,342423,249
2013-09-04$103.99$106.0016.9%4.8%14.5%37.0%16.8%0.8%-0.9%-71.1M1.44B-8.4M2.083.96N/AN/A17,06035,532429,302442,963
2013-09-05$102.54$105.0016.8%4.8%14.8%36.7%16.8%0.5%-0.8%-144.0M2.01B-8.0M2.286.37N/AN/A35,14780,189437,088469,036
2013-09-06$103.05$105.0015.9%4.6%14.9%32.1%16.0%0.5%-0.7%-173.1M1.92B-8.4M1.225.03N/AN/A45,61255,762452,846516,010
2013-09-09$103.10$103.0015.7%4.5%14.9%31.2%15.8%0.5%-0.8%-121.5M1.78B-8.5M1.1311.53N/AN/A22,06625,017454,542497,629
2013-09-10$102.38$103.0015.5%4.5%14.9%30.2%15.8%0.2%-0.8%-156.3M2.10B-8.4M0.718.30N/AN/A24,03617,132460,318510,522
2013-09-11$103.29$103.0015.3%4.4%14.6%29.0%15.4%0.2%-1.2%-120.2M1.73B-8.4M0.6725.74N/AN/A37,35425,131469,338515,093
2013-09-12$103.15$0.0014.5%4.2%14.6%25.0%14.5%0.9%-0.4%-124.9M1.75B-8.5M1.107.66N/AN/A27,08429,754486,271525,647
2013-09-13$103.55$104.0014.3%4.2%13.9%23.9%14.6%0.8%-0.5%-136.0M1.61B-8.6M0.719.75N/AN/A37,04826,169492,106536,598
2013-09-16$102.86$106.0014.7%4.1%14.0%25.8%14.6%1.0%0.5%-104.8M1.91B-8.5M1.186.77N/AN/A23,34227,448491,602520,400
2013-09-17$103.71$106.0014.0%4.0%14.0%22.2%14.0%1.0%0.5%-77.9M1.58B-8.5M0.678.92N/AN/A39,50726,425501,371526,771
2013-09-18$104.99$105.0014.1%4.0%14.4%22.8%14.1%1.1%0.2%-8.7M930.8M-8.7M0.679.26N/AN/A91,13561,419516,944538,535
2013-09-19$104.37$105.0013.7%3.9%13.9%20.7%13.7%1.0%-0.2%-7.4M1.22B-8.6M1.507.63N/AN/A58,88388,617537,247553,139
2013-09-20$104.93$105.0012.7%3.6%13.6%15.5%12.8%1.0%-0.3%-130.6M1.09B-8.7M0.7211.04N/AN/A47,51734,098542,572596,369
2013-09-23$105.69$105.0012.4%3.5%13.3%13.9%12.5%1.1%0.6%-7.8M243.7M-8.4M1.6813.72N/AN/A24,78641,759345,894436,774
2013-09-24$106.83$105.0012.5%3.6%13.7%14.8%12.7%0.8%0.6%18.2M-216.7M-8.6M0.9411.25N/AN/A36,29734,255351,938461,222
2013-09-25$107.05$104.0012.7%3.6%13.0%15.6%12.8%0.6%0.5%41.3M-392.1M-8.2M0.7214.37N/AN/A30,83422,150362,971474,943
2013-09-26$106.30$105.0013.3%3.8%12.9%18.7%13.2%0.7%1.1%2.4M9.6M-8.9M0.6221.09N/AN/A24,77115,345371,785486,706
2013-09-27$106.56$105.0013.6%3.8%12.7%20.0%13.3%0.8%1.2%1.4M-150.6M-8.8M0.6116.02N/AN/A33,91020,522380,496493,283
2013-09-30$106.40$107.0015.3%4.4%12.7%28.8%15.4%1.3%-0.9%-15.9M109.8M-8.8M0.9313.18N/AN/A31,36929,127351,726456,483