TLT Options History — October 2013

In October 2013, TLT traded between $104.54 and $108.31. ATM implied volatility averaged 12.8%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 3.4% (HV 20d: 9.4%). Max pain ranged from $104.50 to $109.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.96.

Notable Days

2013-10-16: Highest Volume — 186,432 contracts
2013-10-22: Largest IV drop — 8.8% change
2013-10-08: Highest IV Rank — 33.3%
2013-10-08: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$106.56	$104.54	$108.31	$105.80	$107.64
Max Pain	$106.68	$104.50	$109.00	$107.00	$108.50
ATM IV	12.8%	9.8%	16.1%	15.2%	10.1%
Expected Move	3.7%	2.8%	4.6%	4.4%	2.9%
HV 20d	9.4%	8.7%	11.2%	11.2%	9.0%
HV 60d	12.6%	11.6%	13.3%	13.3%	11.6%
IV Rank	16.2%	0.8%	33.3%	28.4%	2.4%
IV Percentile	35.5%	0.4%	83.3%	66.3%	1.6%
Term Structure	-0.2%	-1.6%	0.9%	-1.1%	0.7%
VWIV	13.0%	9.9%	16.0%	15.5%	10.4%
Skew 25d	1.0%	0.5%	1.7%	1.3%	0.6%
Skew 10d	2.3%	1.2%	3.6%	3.6%	2.9%
Call IV 25d	12.5%	9.7%	15.8%	14.9%	9.8%
Put IV 25d	13.5%	10.4%	16.7%	16.2%	10.4%
Bid-Ask Spread %	12.09	6.62	16.39	12.06	12.95
Gamma HHI	0.12	0.06	0.59	0.07	0.08
Net GEX	27.5M	-156.4M	851.9M	-16.6M	-59.7M
Net DEX	-31.2M	-1.14B	1.21B	368.3M	-329.3M
Net VEX	-8.7M	-9.4M	-7.9M	-9.0M	-8.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.48	2.28	0.69	0.64
Total Volume	66,270.174	22,621	186,432	53,117	67,521
Total OI	957,382.348	846,088	1,142,587	846,088	969,122

Daily Data (23 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
2013-10-01	$105.80	$107.00	15.2%	4.4%	11.2%	28.4%	15.5%	1.3%	-1.1%	-16.6M	368.3M	-9.0M	0.69	12.06	N/A	N/A	31,411	21,706	370,549	475,539
2013-10-02	$105.96	$107.00	14.8%	4.2%	11.2%	26.4%	14.8%	1.0%	-0.9%	-11.6M	304.1M	-9.0M	0.73	14.31	N/A	N/A	48,863	35,804	379,779	486,894
2013-10-03	$105.79	$107.00	15.0%	4.3%	9.7%	27.3%	15.0%	0.8%	-1.1%	-6.3M	347.6M	-9.1M	0.80	10.63	N/A	N/A	38,365	30,595	406,349	506,225
2013-10-04	$105.71	$106.50	14.7%	4.2%	9.7%	26.0%	14.9%	0.9%	-1.1%	-41.0M	395.0M	-9.1M	1.10	10.63	N/A	N/A	31,086	34,279	425,610	519,017
2013-10-07	$106.14	$106.50	15.4%	4.4%	9.7%	29.5%	15.7%	0.6%	-1.3%	-10.3M	240.2M	-9.0M	0.81	13.63	N/A	N/A	29,629	23,924	402,489	509,182
2013-10-08	$106.17	$106.50	16.1%	4.6%	9.2%	33.3%	16.0%	0.8%	-1.5%	-1.9M	218.3M	-9.3M	0.51	11.85	N/A	N/A	26,241	13,396	420,158	522,127
2013-10-09	$105.32	$106.50	15.6%	4.5%	9.4%	30.4%	15.6%	0.6%	-1.6%	-76.2M	697.1M	-9.3M	0.61	14.99	N/A	N/A	37,498	22,862	431,570	528,788
2013-10-10	$105.49	$0.00	14.4%	4.2%	9.4%	24.7%	14.7%	1.0%	-0.7%	-83.0M	590.1M	-9.4M	0.87	6.62	N/A	N/A	35,132	30,529	453,983	540,594
2013-10-11	$105.46	$104.50	14.0%	4.1%	9.4%	22.3%	14.3%	0.9%	-0.8%	-113.4M	543.7M	-8.9M	0.87	8.18	N/A	N/A	25,897	22,548	469,682	551,452
2013-10-14	$104.61	$106.00	13.9%	3.9%	9.5%	21.8%	13.7%	1.3%	0.4%	-145.9M	1.14B	-8.8M	0.66	11.16	N/A	N/A	26,790	17,714	448,116	541,027
2013-10-15	$104.54	$106.00	13.7%	3.9%	9.1%	20.9%	14.9%	1.5%	0.4%	-156.4M	1.21B	-8.7M	1.24	10.40	N/A	N/A	17,217	21,337	457,028	548,343
2013-10-16	$105.85	$106.00	13.4%	3.8%	9.2%	19.3%	13.7%	1.4%	0.2%	-53.1M	240.7M	-8.4M	0.77	11.41	N/A	N/A	105,151	81,281	464,869	560,272
2013-10-17	$106.81	$105.00	12.4%	3.6%	9.3%	14.2%	13.1%	1.7%	0.3%	232.6M	-808.2M	-8.4M	1.19	11.61	N/A	N/A	52,574	62,335	508,035	590,894
2013-10-18	$107.04	$105.00	12.0%	3.5%	9.2%	12.3%	12.4%	1.4%	-0.0%	851.9M	-1.05B	-8.4M	0.97	10.58	N/A	N/A	44,484	43,055	520,148	622,439
2013-10-21	$106.70	$107.00	11.9%	3.4%	9.0%	11.7%	11.9%	1.2%	0.2%	48.0M	-91.1M	-8.7M	1.39	12.82	N/A	N/A	20,475	28,426	392,384	472,437
2013-10-22	$107.89	$107.00	10.9%	3.1%	9.1%	6.3%	11.2%	0.9%	0.6%	106.1M	-786.8M	-8.0M	1.12	13.78	N/A	N/A	35,012	39,318	401,032	489,086
2013-10-23	$108.31	$107.00	10.5%	3.0%	9.1%	4.5%	10.7%	0.7%	0.7%	101.6M	-1.01B	-7.9M	0.48	11.36	N/A	N/A	42,215	20,143	414,123	508,272
2013-10-24	$107.89	$107.00	10.5%	3.0%	8.8%	4.4%	10.7%	0.6%	-0.2%	79.8M	-893.9M	-8.4M	0.87	12.03	N/A	N/A	32,725	28,474	436,474	516,722
2013-10-25	$108.29	$107.00	10.2%	2.9%	8.9%	2.7%	10.9%	0.5%	-0.2%	72.4M	-1.14B	-8.4M	2.28	12.72	N/A	N/A	14,491	33,037	453,056	533,758
2013-10-28	$107.92	$106.00	10.0%	2.8%	9.0%	1.5%	10.0%	0.7%	0.7%	8.8M	-440.4M	-8.1M	1.07	16.39	N/A	N/A	26,329	28,233	403,394	499,847
2013-10-29	$108.06	$109.00	10.1%	2.9%	8.7%	2.5%	10.2%	0.7%	0.7%	-21.4M	-405.2M	-8.4M	1.56	11.81	N/A	N/A	8,823	13,798	411,490	518,683
2013-10-30	$107.41	$109.00	9.8%	2.8%	9.0%	0.8%	9.9%	0.8%	0.9%	-72.8M	-59.3M	-8.3M	0.81	16.07	N/A	N/A	40,634	32,857	414,093	524,663
2013-10-31	$107.64	$108.50	10.1%	2.9%	9.0%	2.4%	10.4%	0.6%	0.7%	-59.7M	-329.3M	-8.9M	0.64	12.95	N/A	N/A	41,288	26,233	435,867	533,255