TLT Options History — January 2014

In January 2014, TLT traded between $102.17 and $108.28. ATM implied volatility averaged 10.1%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 0.5% (HV 20d: 9.6%). Max pain ranged from $107.00 to $110.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2014-01-31: Highest Volume — 137,361 contracts
  • 2014-01-24: Largest IV spike — 9.0% change
  • 2014-01-06: Highest IV Rank — 8.3%
  • 2014-01-02: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.08$102.17$108.28$102.17$108.28
Max Pain$108.38$107.00$110.00$110.00$107.00
ATM IV10.1%9.0%11.3%11.1%10.3%
Expected Move3.9%3.8%4.1%4.1%4.0%
HV 20d9.6%8.6%10.4%10.4%8.7%
HV 60d11.5%11.2%11.7%11.5%11.5%
IV Rank4.1%0.0%8.3%7.4%6.9%
IV Percentile6.2%0.0%19.0%13.9%10.3%
Term Structure-0.0%-1.0%1.1%1.0%0.5%
VWIV13.9%13.0%15.0%14.5%13.5%
Skew 25d1.0%0.3%1.4%1.1%0.5%
Skew 10d1.8%0.8%2.5%2.0%1.1%
Call IV 25d9.8%8.5%11.2%10.5%10.2%
Put IV 25d10.8%9.5%12.1%11.6%10.7%
Bid-Ask Spread %6.024.508.445.774.50
Gamma HHI0.110.080.210.120.11
Net GEX23.2M-186.2M161.8M-173.4M112.0M
Net DEX-215.5M-1.30B1.23B1.23B-1.30B
Net VEX-7.7M-8.3M-7.3M-7.7M-8.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.622.551.300.62
Total Volume60,191.38119,053137,36121,532137,361
Total OI814,609.143670,594934,468839,486806,678

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$102.17$110.0011.1%4.1%10.4%7.4%14.5%1.1%1.0%-173.4M1.23B-7.7M1.305.77N/AN/A9,37212,160392,513446,973
2014-01-03$102.17$110.0011.0%4.1%9.8%7.0%13.9%1.4%1.1%-186.2M1.20B-7.6M1.145.83N/AN/A11,54613,163395,927449,165
2014-01-06$102.60$110.0011.3%4.1%9.9%8.3%15.0%0.9%-0.6%-112.6M922.6M-7.3M0.876.47N/AN/A21,56318,754380,006418,171
2014-01-07$102.86$110.0010.8%4.0%9.8%6.1%14.0%1.3%-0.6%-97.4M833.9M-7.5M0.816.24N/AN/A18,50915,016391,643424,225
2014-01-08$102.58$110.0011.0%4.0%9.8%7.1%13.2%1.3%-0.7%-114.0M901.9M-7.4M2.086.88N/AN/A14,23729,652403,003426,370
2014-01-09$103.18$110.0010.5%3.9%9.7%4.4%14.1%1.3%-0.7%-73.6M619.3M-7.3M0.785.57N/AN/A39,24630,606408,866432,190
2014-01-10$104.41$110.009.8%3.9%10.2%0.9%13.5%1.0%-0.4%52.9M-94.6M-7.6M1.065.58N/AN/A53,14856,415433,979448,339
2014-01-13$104.93$109.0010.0%3.9%10.2%1.5%13.8%1.1%-1.0%52.9M-212.2M-7.6M1.208.44N/AN/A49,32059,111433,143452,649
2014-01-14$104.45$109.0010.2%3.9%10.2%2.9%13.4%1.2%-0.8%10.1M33.0M-7.8M1.477.98N/AN/A27,20040,106452,985460,253
2014-01-15$104.34$108.0010.3%3.9%10.1%3.2%13.7%1.3%-0.7%1.4M68.5M-7.8M1.745.99N/AN/A13,38323,276464,568449,386
2014-01-16$105.04$108.009.4%3.9%10.3%0.0%13.9%1.2%-0.4%108.9M-383.0M-7.7M1.014.76N/AN/A16,53916,695469,643456,900
2014-01-17$105.48$108.009.4%3.8%10.1%0.0%13.0%1.1%-0.3%161.8M-679.3M-7.7M0.816.70N/AN/A41,92434,094474,545459,923
2014-01-21$105.56$108.009.0%3.9%10.1%0.0%13.9%1.1%0.7%92.2M-605.2M-7.5M0.834.68N/AN/A19,59016,237378,761291,833
2014-01-22$105.30$107.009.0%3.8%8.7%0.2%13.9%1.0%0.6%86.0M-487.6M-7.6M1.306.63N/AN/A8,29010,763383,052298,836
2014-01-23$106.79$107.009.3%3.9%9.6%1.6%14.1%1.0%0.1%120.7M-1.09B-7.5M1.134.87N/AN/A40,27845,517385,932304,431
2014-01-24$107.48$107.0010.1%4.0%9.1%5.8%13.9%0.3%0.2%91.1M-1.30B-8.0M0.684.92N/AN/A59,49940,588398,239325,722
2014-01-27$106.73$107.0010.5%4.0%9.0%7.6%14.1%0.8%0.4%79.5M-881.9M-8.3M0.896.75N/AN/A41,27236,707413,962338,694
2014-01-28$106.99$107.0010.0%3.9%8.8%4.9%14.6%0.7%0.4%78.1M-895.4M-8.2M2.275.78N/AN/A9,90922,451419,052351,447
2014-01-29$107.87$107.0010.1%4.0%8.9%5.4%13.8%0.5%0.4%101.5M-1.25B-8.2M0.976.65N/AN/A35,65734,438418,251360,789
2014-01-30$107.56$107.009.9%3.9%8.6%4.4%13.5%0.5%0.5%95.4M-1.17B-8.2M2.555.35N/AN/A11,38329,044429,983375,765
2014-01-31$108.28$107.0010.3%4.0%8.7%6.9%13.5%0.5%0.5%112.0M-1.30B-8.2M0.624.50N/AN/A84,57352,788414,315392,363