TLT Options History — December 2013

In December 2013, TLT traded between $101.81 and $104.25. ATM implied volatility averaged 11.6%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.3% (HV 20d: 11.3%). Max pain ranged from $106.00 to $110.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.64.

Notable Days

2013-12-04: Highest Volume — 99,827 contracts
2013-12-06: Largest IV drop — 9.5% change
2013-12-05: Highest IV Rank — 19.2%
2013-12-02: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$102.94	$101.81	$104.25	$103.33	$101.86
Max Pain	$109.43	$106.00	$110.00	$107.00	$110.00
ATM IV	11.6%	10.2%	13.4%	13.2%	10.9%
Expected Move	4.1%	4.0%	4.2%	4.2%	4.0%
HV 20d	11.3%	8.8%	14.1%	14.0%	10.4%
HV 60d	11.3%	10.8%	11.6%	11.4%	11.6%
IV Rank	10.0%	2.6%	19.2%	18.1%	6.4%
IV Percentile	23.4%	3.6%	55.2%	51.2%	11.5%
Term Structure	0.0%	-0.8%	1.0%	-0.6%	0.4%
VWIV	14.1%	12.5%	15.6%	12.5%	13.7%
Skew 25d	1.3%	0.5%	2.0%	1.9%	1.2%
Skew 10d	2.6%	1.0%	3.9%	3.4%	2.5%
Call IV 25d	11.1%	10.0%	12.6%	12.2%	10.5%
Put IV 25d	12.4%	10.7%	14.4%	14.1%	11.8%
Bid-Ask Spread %	7.28	4.15	11.67	4.15	9.07
Gamma HHI	0.11	0.08	0.15	0.08	0.12
Net GEX	-129.4M	-210.5M	-45.7M	-68.7M	-178.1M
Net DEX	1.27B	618.1M	1.71B	1.15B	1.44B
Net VEX	-8.7M	-9.5M	-7.6M	-9.4M	-7.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.64	1.01	4.69	2.40	1.01
Total Volume	50,210.667	21,904	99,827	41,116	40,886
Total OI	989,383.095	812,249	1,119,936	952,744	826,559

Daily Data (21 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
2013-12-02	$103.33	$107.00	13.2%	4.2%	14.0%	18.1%	12.5%	1.9%	-0.6%	-68.7M	1.15B	-9.4M	2.40	4.15	N/A	N/A	12,087	29,029	471,992	480,752
2013-12-03	$103.71	$107.00	13.0%	4.1%	14.1%	17.1%	15.6%	1.9%	-0.7%	-64.6M	1.05B	-9.4M	2.42	6.37	N/A	N/A	10,826	26,183	475,894	494,870
2013-12-04	$102.72	$106.00	13.1%	4.1%	13.9%	17.9%	14.0%	2.0%	-0.7%	-108.7M	1.50B	-9.0M	1.81	6.47	N/A	N/A	35,564	64,263	479,713	502,926
2013-12-05	$102.43	$108.00	13.4%	4.1%	13.9%	19.2%	13.1%	1.7%	-0.8%	-153.9M	1.71B	-9.2M	1.33	6.20	N/A	N/A	37,622	50,066	483,773	539,104
2013-12-06	$102.92	$110.00	12.1%	4.1%	13.6%	12.7%	13.1%	1.5%	-0.3%	-125.9M	1.50B	-9.4M	1.32	9.84	N/A	N/A	33,100	43,628	515,866	563,118
2013-12-09	$103.16	$110.00	11.8%	4.1%	10.6%	11.2%	14.8%	1.5%	-0.2%	-123.1M	1.28B	-9.0M	1.03	8.28	N/A	N/A	19,970	20,481	493,402	551,975
2013-12-10	$103.90	$110.00	11.4%	4.1%	10.8%	9.1%	14.7%	1.7%	-0.1%	-60.9M	822.8M	-9.3M	1.61	8.92	N/A	N/A	25,451	40,852	499,429	552,708
2013-12-11	$103.10	$110.00	11.9%	4.1%	11.1%	11.5%	13.7%	1.3%	0.1%	-120.0M	1.29B	-9.5M	1.06	11.54	N/A	N/A	32,365	34,199	510,465	576,424
2013-12-12	$102.71	$110.00	12.0%	4.2%	11.1%	11.9%	14.1%	1.4%	-0.2%	-170.3M	1.54B	-9.3M	1.33	11.67	N/A	N/A	18,435	24,579	503,438	572,275
2013-12-13	$103.21	$110.00	11.8%	4.1%	11.0%	10.8%	15.4%	1.4%	-0.3%	-127.6M	1.25B	-9.1M	1.18	6.91	N/A	N/A	14,721	17,396	504,833	578,142
2013-12-16	$102.83	$110.00	12.0%	4.1%	11.0%	11.9%	14.3%	1.5%	0.3%	-136.8M	1.43B	-8.8M	4.69	6.03	N/A	N/A	12,235	57,382	493,902	562,462
2013-12-17	$103.29	$110.00	12.1%	4.1%	10.9%	12.7%	14.3%	1.5%	-0.0%	-136.3M	1.30B	-9.2M	1.07	6.38	N/A	N/A	17,835	19,008	498,385	604,627
2013-12-18	$102.77	$110.00	11.2%	4.1%	10.7%	7.8%	14.6%	1.3%	0.6%	-185.2M	1.57B	-8.5M	1.14	5.72	N/A	N/A	31,524	35,861	501,160	609,521
2013-12-19	$102.67	$110.00	10.8%	4.1%	8.8%	5.8%	13.4%	0.9%	-0.1%	-168.5M	1.58B	-8.5M	1.75	6.57	N/A	N/A	11,794	20,661	507,302	605,953
2013-12-20	$104.25	$110.00	10.7%	4.1%	10.3%	5.4%	14.6%	0.8%	-0.0%	-45.7M	618.1M	-8.5M	1.09	6.31	N/A	N/A	30,638	33,407	510,091	609,845
2013-12-23	$103.66	$110.00	10.2%	4.1%	10.0%	2.6%	14.1%	0.7%	1.0%	-69.6M	704.9M	-8.3M	1.18	6.57	N/A	N/A	13,380	15,810	379,265	433,247
2013-12-24	$102.83	$110.00	10.3%	4.1%	10.3%	3.2%	13.9%	0.5%	0.8%	-129.3M	1.04B	-8.1M	1.32	6.76	N/A	N/A	9,423	12,481	382,697	435,439
2013-12-26	$102.10	$110.00	10.6%	4.0%	10.4%	4.8%	13.9%	0.8%	0.2%	-180.1M	1.37B	-7.9M	2.60	6.19	N/A	N/A	8,397	21,817	382,921	439,543
2013-12-27	$101.81	$110.00	10.8%	4.1%	10.5%	5.6%	14.3%	0.8%	0.0%	-210.5M	1.48B	-7.8M	2.17	6.70	N/A	N/A	12,818	27,817	386,249	444,529
2013-12-30	$102.51	$110.00	10.6%	4.1%	10.8%	5.0%	14.1%	1.0%	0.6%	-154.4M	1.13B	-7.8M	1.03	6.19	N/A	N/A	15,025	15,408	374,771	437,478
2013-12-31	$101.86	$110.00	10.9%	4.0%	10.4%	6.4%	13.7%	1.2%	0.4%	-178.1M	1.44B	-7.6M	1.01	9.07	N/A	N/A	20,355	20,531	383,075	443,484