TLT Options History — April 2014 In April 2014, TLT traded between $107.27 and $111.33. ATM implied volatility averaged 10.6%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 0.4% (HV 20d: 10.3%). Max pain ranged from $106.00 to $109.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.15.
Notable Days 2014-04-17 : Highest Volume — 102,986 contracts2014-04-04 : Largest IV drop — 14.4% change2014-04-02 : Highest IV Rank — 12.0%2014-04-14 : Largest Expected Move — 4.0%Monthly Statistics Metric Avg Min Max Open Close Price $109.92 $107.27 $111.33 $107.89 $111.10 Max Pain $107.05 $106.00 $109.00 $109.00 $106.00 ATM IV 10.6% 9.7% 11.4% 11.3% 10.5% Expected Move 3.9% 3.8% 4.0% 3.9% 3.9% HV 20d 10.3% 8.4% 11.3% 11.2% 8.4% HV 60d 10.3% 9.9% 10.7% 10.3% 9.9% IV Rank 8.3% 3.6% 12.0% 11.4% 7.6% IV Percentile 25.9% 5.2% 39.3% 36.1% 23.4% Term Structure -0.2% -0.9% 0.5% -0.4% 0.5% VWIV 14.0% 12.7% 14.8% 14.8% 13.8% Skew 25d 0.1% -0.2% 0.5% 0.4% -0.2% Skew 10d 0.2% -0.7% 1.0% 0.4% -0.3% Call IV 25d 10.7% 9.6% 11.4% 11.1% 10.8% Put IV 25d 10.8% 9.9% 11.8% 11.6% 10.6% Bid-Ask Spread % 20.06 14.80 25.29 17.00 25.29 Gamma HHI 0.12 0.08 0.17 0.08 0.15 Net GEX 68.2M -83.6M 156.4M -46.2M 102.9M Net DEX -708.7M -1.37B 473.8M 199.8M -1.07B Net VEX -9.8M -10.6M -8.9M -9.5M -10.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.15 0.31 2.88 2.08 0.31 Total Volume 53,139.667 26,324 102,986 51,332 78,354 Total OI 791,632.476 690,249 866,838 690,249 860,499
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 2014-04-01 $107.89 $109.00 11.3% 3.9% 11.2% 11.4% 14.8% 0.4% -0.4% -46.2M 199.8M -9.5M 2.08 17.00 N/A N/A 16,672 34,660 302,718 387,531 2014-04-02 $107.27 $107.00 11.4% 3.9% 11.3% 12.0% 14.1% 0.5% -0.4% -83.6M 473.8M -9.5M 1.64 17.39 N/A N/A 22,724 37,271 307,635 398,316 2014-04-03 $107.74 $107.00 11.3% 3.9% 10.8% 11.9% 13.8% 0.4% -0.4% -65.6M 245.7M -9.5M 1.59 18.57 N/A N/A 12,425 19,740 311,624 409,815 2014-04-04 $108.46 $107.00 9.7% 3.9% 10.7% 3.8% 14.2% 0.3% -0.3% -4.3M -159.0M -8.9M 0.90 25.04 N/A N/A 47,914 43,005 313,419 412,359 2014-04-07 $109.11 $107.00 9.7% 3.8% 10.8% 3.6% 14.0% 0.3% -0.2% 48.0M -397.8M -8.9M 0.91 23.07 N/A N/A 24,328 22,023 321,236 410,983 2014-04-08 $109.37 $107.00 9.9% 3.9% 10.8% 4.7% 13.7% 0.4% -0.3% 75.2M -555.3M -9.1M 0.53 23.24 N/A N/A 17,243 9,081 332,071 423,788 2014-04-09 $108.83 $107.00 9.8% 3.9% 10.9% 4.0% 14.0% 0.4% -0.4% 34.3M -310.6M -9.0M 1.17 24.87 N/A N/A 14,300 16,793 333,441 427,314 2014-04-10 $109.84 $107.00 10.1% 3.9% 10.3% 5.9% 13.6% 0.3% -0.5% 100.9M -759.6M -9.0M 0.76 19.97 N/A N/A 33,064 25,266 333,475 437,442 2014-04-11 $110.73 $107.00 11.1% 4.0% 10.6% 10.6% 14.3% 0.1% -0.9% 112.9M -1.10B -9.4M 0.41 17.05 N/A N/A 62,396 25,517 343,358 449,593 2014-04-14 $110.44 $107.00 11.2% 4.0% 10.3% 11.3% 14.3% 0.0% -0.1% 93.5M -992.4M -10.0M 0.49 16.44 N/A N/A 35,431 17,373 363,498 437,042 2014-04-15 $111.13 $107.00 11.3% 4.0% 10.4% 11.4% 14.5% -0.1% -0.0% 120.2M -1.37B -9.9M 0.91 17.83 N/A N/A 27,231 24,821 388,856 449,715 2014-04-16 $111.27 $107.00 10.8% 4.0% 9.8% 9.2% 14.5% -0.2% -0.0% 103.0M -1.37B -9.7M 0.59 18.82 N/A N/A 31,079 18,428 390,867 454,265 2014-04-17 $110.05 $107.00 10.5% 4.0% 10.8% 7.8% 12.7% -0.2% -0.0% 118.8M -785.4M -10.4M 0.73 19.18 N/A N/A 59,463 43,523 405,158 461,680 2014-04-21 $109.96 $107.00 10.5% 3.9% 10.2% 7.7% 14.1% 0.0% -0.2% 89.7M -686.9M -10.6M 1.08 19.06 N/A N/A 13,879 15,030 408,722 375,056 2014-04-22 $110.33 $107.00 10.3% 4.0% 10.0% 6.7% 14.4% -0.1% -0.2% 98.6M -876.9M -10.4M 1.97 21.23 N/A N/A 16,120 31,711 413,525 382,335 2014-04-23 $110.96 $107.00 10.4% 3.9% 10.0% 7.4% 13.3% 0.1% -0.2% 117.6M -1.18B -10.3M 0.94 21.39 N/A N/A 13,952 13,074 420,874 399,828 2014-04-24 $111.17 $108.00 10.6% 4.0% 9.7% 8.2% 14.3% -0.0% -0.1% 127.0M -1.24B -10.2M 1.09 20.73 N/A N/A 14,415 15,752 420,407 406,355 2014-04-25 $111.33 $107.00 11.0% 3.9% 9.5% 10.2% 14.4% -0.1% -0.3% 156.4M -1.30B -10.3M 1.22 14.80 N/A N/A 30,593 37,345 425,279 414,274 2014-04-28 $110.79 $107.00 11.0% 3.9% 9.5% 10.2% 14.5% 0.1% 0.5% 77.5M -874.1M -10.4M 1.87 21.43 N/A N/A 16,293 30,479 416,310 419,777 2014-04-29 $110.64 $106.00 10.8% 3.9% 9.4% 9.0% 13.9% 0.0% 0.4% 56.4M -766.7M -10.4M 2.88 18.89 N/A N/A 12,167 34,998 420,061 433,781 2014-04-30 $111.10 $106.00 10.5% 3.9% 8.4% 7.6% 13.8% -0.2% 0.5% 102.9M -1.07B -10.5M 0.31 25.29 N/A N/A 59,686 18,668 423,672 436,827
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