TLT Options History — February 2014

In February 2014, TLT traded between $105.92 and $109.32. ATM implied volatility averaged 10.6%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.4% (HV 20d: 10.2%). Max pain ranged from $108.00 to $110.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.05.

Notable Days

2014-02-03: Highest Volume — 105,363 contracts
2014-02-07: Largest IV drop — 10.0% change
2014-02-04: Highest IV Rank — 17.0%
2014-02-05: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$107.13	$105.92	$109.32	$109.32	$108.57
Max Pain	$108.58	$108.00	$110.00	$110.00	$109.00
ATM IV	10.6%	9.5%	12.4%	12.3%	10.2%
Expected Move	4.0%	4.0%	4.1%	4.0%	4.0%
HV 20d	10.2%	8.9%	11.1%	8.9%	9.3%
HV 60d	10.3%	9.6%	11.6%	11.3%	9.6%
IV Rank	8.1%	2.6%	17.0%	16.4%	6.1%
IV Percentile	15.9%	2.0%	44.4%	42.5%	11.1%
Term Structure	0.1%	-0.5%	0.8%	-0.4%	0.8%
VWIV	14.2%	13.2%	14.7%	14.2%	14.4%
Skew 25d	0.1%	-0.2%	0.5%	0.5%	-0.2%
Skew 10d	0.3%	-0.5%	1.5%	1.5%	0.2%
Call IV 25d	10.6%	9.5%	12.4%	12.2%	10.2%
Put IV 25d	10.7%	9.7%	12.8%	12.8%	10.1%
Bid-Ask Spread %	17.99	5.03	27.13	5.03	15.37
Gamma HHI	0.09	0.07	0.14	0.12	0.14
Net GEX	30.5M	-51.8M	146.0M	73.2M	146.0M
Net DEX	-153.4M	-994.7M	498.3M	-994.7M	-990.4M
Net VEX	-8.8M	-9.6M	-7.9M	-8.9M	-8.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.30	1.86	0.90	0.30
Total Volume	41,587.053	18,450	105,363	105,363	64,626
Total OI	797,214.316	703,226	847,695	745,490	781,499

Daily Data (19 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
2014-02-03	$109.32	$110.00	12.3%	4.0%	8.9%	16.4%	14.2%	0.5%	-0.4%	73.2M	-994.7M	-8.9M	0.90	5.03	N/A	N/A	55,331	50,032	361,457	384,033
2014-02-04	$108.16	$108.00	12.4%	4.0%	10.2%	17.0%	14.4%	0.4%	-0.5%	40.8M	-520.6M	-9.6M	1.31	18.29	N/A	N/A	18,251	23,866	379,496	401,173
2014-02-05	$107.16	$108.00	12.3%	4.1%	11.0%	16.3%	14.3%	0.2%	-0.4%	10.3M	-122.7M	-9.6M	1.33	19.91	N/A	N/A	15,930	21,135	388,911	406,867
2014-02-06	$106.70	$108.00	12.0%	4.0%	11.1%	15.1%	14.2%	0.1%	-0.3%	-9.4M	101.0M	-9.5M	1.86	20.43	N/A	N/A	23,096	42,911	395,042	414,462
2014-02-07	$106.79	$109.00	10.8%	4.0%	11.1%	9.1%	14.7%	0.2%	-0.1%	-8.8M	48.7M	-9.3M	1.72	27.13	N/A	N/A	16,805	28,905	405,060	427,170
2014-02-10	$107.09	$109.00	10.6%	4.0%	10.4%	8.0%	14.5%	0.2%	0.1%	15.6M	-65.3M	-9.2M	0.80	17.38	N/A	N/A	13,289	10,634	389,448	407,112
2014-02-11	$106.47	$109.00	10.3%	4.0%	10.6%	6.5%	13.9%	0.5%	0.3%	-17.5M	213.1M	-9.0M	1.23	19.11	N/A	N/A	18,919	23,327	396,816	410,794
2014-02-12	$105.92	$109.00	10.0%	4.0%	10.6%	5.1%	14.4%	0.4%	0.3%	-51.8M	498.3M	-8.9M	0.91	21.34	N/A	N/A	20,194	18,473	405,700	418,337
2014-02-13	$106.52	$109.00	9.8%	4.0%	10.8%	4.1%	14.5%	0.3%	0.1%	8.4M	151.8M	-8.9M	0.75	21.98	N/A	N/A	14,220	10,606	414,302	423,104
2014-02-14	$106.58	$109.00	9.5%	4.0%	10.5%	2.6%	14.0%	0.2%	0.1%	63.0M	139.5M	-8.7M	0.68	11.24	N/A	N/A	14,042	9,496	419,999	427,696
2014-02-18	$106.82	$109.00	10.4%	4.0%	10.5%	7.0%	13.8%	-0.2%	0.0%	27.6M	-57.4M	-8.7M	0.83	15.85	N/A	N/A	16,061	13,348	414,376	422,324
2014-02-19	$106.37	$109.00	10.5%	4.1%	10.6%	7.5%	14.4%	-0.1%	0.0%	-11.6M	193.4M	-8.6M	1.75	21.70	N/A	N/A	8,281	14,505	420,768	426,127
2014-02-20	$106.11	$108.00	10.3%	4.0%	10.6%	6.8%	14.6%	-0.1%	0.0%	-29.2M	331.6M	-8.2M	1.38	21.50	N/A	N/A	8,902	12,319	417,749	419,050
2014-02-21	$106.67	$108.00	10.0%	4.0%	9.5%	4.9%	14.3%	-0.0%	-0.1%	31.2M	37.3M	-8.1M	1.58	19.87	N/A	N/A	16,364	25,857	419,855	420,589
2014-02-24	$106.40	$108.00	9.7%	4.0%	9.2%	3.8%	14.1%	0.0%	0.7%	4.9M	85.5M	-7.9M	1.10	11.22	N/A	N/A	8,804	9,646	366,333	336,893
2014-02-25	$107.35	$108.00	9.9%	4.0%	9.5%	4.8%	13.2%	0.1%	0.6%	56.9M	-335.0M	-8.1M	0.33	16.90	N/A	N/A	40,353	13,159	369,958	341,823
2014-02-26	$107.92	$108.00	10.2%	4.0%	9.6%	6.2%	13.8%	-0.1%	0.5%	97.0M	-639.9M	-8.5M	0.57	18.48	N/A	N/A	31,374	17,765	393,638	348,240
2014-02-27	$108.51	$108.00	10.2%	4.0%	9.4%	6.3%	13.9%	-0.2%	0.6%	132.5M	-988.3M	-8.5M	0.63	19.04	N/A	N/A	24,185	15,143	412,341	358,530
2014-02-28	$108.57	$109.00	10.2%	4.0%	9.3%	6.1%	14.4%	-0.2%	0.8%	146.0M	-990.4M	-8.6M	0.30	15.37	N/A	N/A	49,775	14,851	414,726	366,773