TLT Options History — November 2013

In November 2013, TLT traded between $102.78 and $106.29. ATM implied volatility averaged 11.1%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 1.9% (HV 20d: 13.0%). Max pain ranged from $106.00 to $111.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.18.

Notable Days

  • 2013-11-08: Highest Volume — 184,609 contracts
  • 2013-11-20: Largest IV spike — 17.9% change
  • 2013-11-29: Highest IV Rank — 13.5%
  • 2013-11-11: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.44$102.78$106.29$106.19$104.45
Max Pain$108.82$106.00$111.00$108.50$107.00
ATM IV11.1%9.7%12.3%10.9%12.3%
Expected Move3.9%3.0%4.3%3.0%4.2%
HV 20d13.0%10.2%14.4%10.3%14.3%
HV 60d12.0%11.3%12.5%11.9%11.3%
IV Rank7.5%0.3%13.5%6.2%13.5%
IV Percentile13.0%0.4%33.3%5.6%33.3%
Term Structure0.2%-0.4%0.9%0.9%-0.1%
VWIV13.2%10.2%15.6%10.2%13.5%
Skew 25d1.4%1.0%1.9%1.0%1.9%
Skew 10d2.7%2.2%3.6%2.2%3.6%
Call IV 25d10.6%9.4%11.7%10.3%11.5%
Put IV 25d12.0%10.7%13.3%11.3%13.3%
Bid-Ask Spread %7.692.8536.5010.384.33
Gamma HHI0.100.070.140.070.09
Net GEX-127.0M-299.4M10.1M-87.5M10.1M
Net DEX1.16B519.2M2.23B876.2M713.8M
Net VEX-9.4M-10.0M-8.7M-9.1M-9.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.522.390.521.05
Total Volume64,912.326,476184,609114,73726,476
Total OI1,018,508.25921,8001,164,085965,582979,857

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$106.19$108.5010.9%3.0%10.3%6.2%10.2%1.0%0.9%-87.5M876.2M-9.1M0.5210.38N/AN/A75,36039,377419,929545,653
2013-11-04$106.29$107.0010.7%3.1%10.2%5.2%10.9%1.3%0.3%-45.1M519.2M-9.5M1.0911.04N/AN/A23,99326,162464,619520,439
2013-11-05$105.02$107.0011.4%3.3%11.1%9.1%11.4%1.4%-0.1%-112.8M1.18B-9.2M0.6910.75N/AN/A45,96931,834478,298536,206
2013-11-06$105.07$107.0010.9%3.1%10.7%6.6%10.9%1.1%0.0%-122.8M1.21B-9.3M0.9812.10N/AN/A24,55124,053494,443550,073
2013-11-07$105.96$107.0010.9%3.1%11.2%6.4%11.0%1.3%0.1%-13.4M657.8M-9.6M0.9511.41N/AN/A31,46429,967503,552561,646
2013-11-08$103.41$106.0011.1%3.2%14.2%7.5%10.9%1.6%0.5%-266.5M2.23B-8.7M2.3911.86N/AN/A54,534130,075514,092575,863
2013-11-11$103.02$0.0011.3%4.3%14.0%8.6%15.2%1.5%0.5%-299.4M2.11B-8.7M2.203.20N/AN/A12,87028,360489,385578,374
2013-11-12$103.50$111.0011.0%4.3%14.1%7.1%15.6%1.4%0.5%-298.7M1.87B-8.9M1.142.85N/AN/A19,86922,708493,335586,765
2013-11-13$103.88$107.0011.3%4.3%13.3%8.3%14.8%1.4%0.5%-270.5M1.62B-9.3M1.113.87N/AN/A29,49232,781503,633597,315
2013-11-14$104.52$110.0010.3%4.3%13.1%3.5%14.6%1.1%0.6%-211.6M1.14B-9.5M0.753.59N/AN/A56,31842,436514,078608,106
2013-11-15$104.73$110.0010.0%4.2%13.1%2.0%14.4%1.2%0.3%-188.0M996.6M-9.7M1.303.98N/AN/A23,41330,553539,673624,412
2013-11-18$105.36$110.009.7%4.1%13.3%0.3%13.6%1.4%0.3%-45.2M530.0M-9.5M0.923.59N/AN/A22,02920,203450,597471,203
2013-11-19$104.56$110.0010.1%4.1%12.8%2.4%13.1%1.5%0.1%-81.4M935.7M-9.6M1.053.76N/AN/A19,39120,322462,434481,493
2013-11-20$102.78$110.0011.9%3.9%13.7%11.8%14.7%1.3%-0.4%-157.2M1.72B-9.2M1.5436.50N/AN/A35,82255,280470,489491,424
2013-11-21$102.95$110.0012.0%4.2%13.8%12.2%13.0%1.3%-0.1%-182.1M1.64B-9.3M1.385.29N/AN/A41,29157,159478,489497,864
2013-11-22$103.91$110.0011.2%4.1%14.3%7.9%14.3%1.4%0.2%-88.8M1.08B-9.7M1.234.07N/AN/A23,16228,574496,256510,876
2013-11-25$104.21$110.0011.4%4.2%14.4%9.1%13.8%1.4%-0.2%-24.7M802.0M-9.6M1.243.60N/AN/A14,67618,231476,064473,588
2013-11-26$104.60$110.0011.8%4.1%14.4%11.0%12.1%1.7%-0.3%-19.1M652.4M-9.8M0.803.25N/AN/A27,27721,855475,090479,931
2013-11-27$104.42$110.0011.9%4.2%14.4%11.5%15.4%1.8%0.1%-36.0M772.0M-10.0M1.194.34N/AN/A13,84216,517482,945491,676
2013-11-29$104.45$107.0012.3%4.2%14.3%13.5%13.5%1.9%-0.1%10.1M713.8M-9.8M1.054.33N/AN/A12,93413,542483,806496,051