TLT Options History — May 2014

In May 2014, TLT traded between $110.79 and $114.76. ATM implied volatility averaged 10.6%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.7% (HV 20d: 8.9%). Max pain ranged from $104.00 to $107.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.25.

Notable Days

2014-05-29: Highest Volume — 141,018 contracts
2014-05-28: Largest IV spike — 9.5% change
2014-05-15: Highest IV Rank — 11.5%
2014-05-15: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$112.67	$110.79	$114.76	$112.02	$114.10
Max Pain	$105.30	$104.00	$107.00	$107.00	$105.00
ATM IV	10.6%	10.0%	11.3%	10.5%	10.7%
Expected Move	3.8%	3.6%	4.0%	3.9%	3.6%
HV 20d	8.9%	8.0%	10.2%	8.3%	9.9%
HV 60d	9.9%	9.6%	10.3%	9.7%	9.9%
IV Rank	7.9%	5.0%	11.5%	7.4%	8.4%
IV Percentile	27.6%	11.9%	44.8%	23.0%	32.9%
Term Structure	0.2%	-0.2%	0.7%	0.5%	0.6%
VWIV	13.7%	12.4%	14.9%	14.1%	14.7%
Skew 25d	0.0%	-0.5%	0.4%	0.0%	-0.5%
Skew 10d	-0.0%	-1.0%	0.7%	0.1%	-0.7%
Call IV 25d	10.7%	9.9%	11.5%	10.5%	10.9%
Put IV 25d	10.7%	10.0%	11.5%	10.6%	10.4%
Bid-Ask Spread %	19.11	7.60	25.28	20.77	23.70
Gamma HHI	0.18	0.11	0.21	0.18	0.21
Net GEX	88.3M	26.5M	175.3M	122.9M	26.5M
Net DEX	-1.14B	-1.89B	-441.7M	-1.13B	-1.39B
Net VEX	-9.8M	-10.5M	-8.3M	-10.2M	-8.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.66	2.37	1.10	0.66
Total Volume	58,849.714	23,542	141,018	68,595	106,495
Total OI	825,788	768,777	886,567	828,641	862,025

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
2014-05-01	$112.02	$107.00	10.5%	3.9%	8.3%	7.4%	14.1%	0.0%	0.5%	122.9M	-1.13B	-10.2M	1.10	20.77	N/A	N/A	32,723	35,872	389,996	438,645
2014-05-02	$112.71	$106.00	10.1%	3.9%	8.4%	5.4%	13.8%	0.0%	0.5%	140.9M	-1.50B	-10.1M	1.22	19.89	N/A	N/A	49,405	60,294	396,240	453,406
2014-05-05	$112.03	$105.00	10.6%	3.9%	8.7%	8.3%	14.0%	0.4%	-0.2%	88.8M	-1.02B	-10.2M	1.43	18.27	N/A	N/A	14,626	20,843	385,442	435,131
2014-05-06	$112.48	$105.00	10.7%	4.0%	8.6%	8.8%	14.2%	0.1%	-0.0%	89.4M	-1.16B	-10.5M	0.67	15.75	N/A	N/A	24,126	16,237	388,687	444,192
2014-05-07	$112.08	$105.00	10.6%	3.9%	8.8%	8.2%	14.4%	0.3%	-0.0%	87.1M	-1.05B	-10.1M	1.94	17.87	N/A	N/A	13,119	25,471	394,301	447,353
2014-05-08	$111.60	$105.00	10.4%	3.9%	8.7%	7.3%	14.1%	0.3%	-0.1%	47.4M	-776.3M	-10.4M	1.00	23.75	N/A	N/A	23,242	23,171	397,395	457,385
2014-05-09	$111.24	$105.00	10.3%	3.9%	8.3%	6.6%	14.1%	0.2%	-0.0%	44.2M	-600.1M	-10.0M	1.18	19.93	N/A	N/A	13,752	16,254	402,244	461,785
2014-05-12	$110.79	$106.00	10.2%	3.9%	8.0%	6.1%	14.0%	0.3%	0.4%	55.6M	-441.7M	-9.9M	2.33	20.17	N/A	N/A	12,668	29,518	393,054	420,121
2014-05-13	$111.75	$105.00	10.0%	3.9%	8.5%	5.0%	12.4%	0.1%	0.2%	88.0M	-928.7M	-9.9M	1.18	20.64	N/A	N/A	10,817	12,725	396,862	428,904
2014-05-14	$112.96	$105.00	10.5%	4.0%	9.0%	7.6%	14.5%	0.1%	0.3%	132.4M	-1.51B	-9.7M	1.17	13.30	N/A	N/A	34,505	40,290	399,577	431,827
2014-05-15	$113.86	$105.00	11.3%	4.0%	9.3%	11.5%	14.9%	0.1%	0.2%	135.3M	-1.81B	-9.7M	0.89	14.79	N/A	N/A	51,987	46,020	402,137	454,175
2014-05-16	$113.54	$107.00	11.1%	4.0%	8.3%	10.4%	14.5%	-0.1%	0.2%	69.7M	-1.54B	-10.0M	1.12	16.48	N/A	N/A	21,141	23,716	409,771	476,796
2014-05-19	$112.70	$0.00	11.0%	3.6%	8.9%	10.0%	13.1%	-0.1%	0.2%	58.4M	-923.7M	-9.8M	2.37	7.60	N/A	N/A	13,303	31,501	372,033	396,744
2014-05-20	$112.95	$105.00	11.1%	3.7%	8.9%	10.4%	13.1%	0.0%	0.0%	65.2M	-1.02B	-9.7M	1.17	14.52	N/A	N/A	17,896	20,940	376,074	402,558
2014-05-21	$112.26	$106.00	10.5%	3.7%	9.0%	7.8%	12.6%	0.0%	0.0%	29.5M	-673.9M	-9.8M	2.02	20.88	N/A	N/A	20,755	41,891	384,436	410,889
2014-05-22	$112.10	$107.00	10.3%	3.6%	9.1%	6.6%	13.5%	-0.1%	0.1%	32.0M	-654.4M	-9.8M	0.82	17.72	N/A	N/A	20,868	17,017	393,020	417,061
2014-05-23	$112.70	$104.00	10.1%	3.6%	9.2%	5.5%	13.5%	-0.2%	0.0%	114.9M	-1.03B	-9.6M	1.11	22.78	N/A	N/A	16,669	18,517	401,311	415,276
2014-05-27	$113.36	$104.00	10.1%	3.6%	9.2%	5.8%	13.0%	-0.1%	0.4%	132.6M	-1.30B	-9.3M	0.88	23.73	N/A	N/A	17,937	15,861	386,307	396,411
2014-05-28	$114.76	$104.00	11.1%	3.6%	9.9%	10.6%	13.1%	-0.4%	0.5%	175.3M	-1.89B	-9.0M	1.16	23.54	N/A	N/A	38,248	44,406	391,554	401,325
2014-05-29	$114.15	$105.00	10.8%	3.6%	10.2%	9.2%	12.7%	-0.2%	0.7%	118.6M	-1.51B	-9.5M	0.86	25.28	N/A	N/A	76,011	65,007	402,275	426,823
2014-05-30	$114.10	$105.00	10.7%	3.6%	9.9%	8.4%	14.7%	-0.5%	0.6%	26.5M	-1.39B	-8.3M	0.66	23.70	N/A	N/A	64,224	42,271	395,199	466,826