TLT Options History — July 2014

In July 2014, TLT traded between $110.68 and $115.93. ATM implied volatility averaged 10.2%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 0.7% (HV 20d: 10.9%). Max pain ranged from $105.00 to $109.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.81.

Notable Days

2014-07-31: Highest Volume — 106,192 contracts
2014-07-17: Largest IV spike — 11.1% change
2014-07-31: Highest IV Rank — 10.0%
2014-07-31: Largest Expected Move — 3.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$113.71	$110.68	$115.93	$112.28	$113.98
Max Pain	$105.91	$105.00	$109.00	$105.00	$109.00
ATM IV	10.2%	9.6%	10.7%	10.6%	10.7%
Expected Move	3.4%	3.3%	3.5%	3.4%	3.5%
HV 20d	10.9%	9.8%	11.7%	9.8%	10.7%
HV 60d	10.1%	9.8%	10.6%	9.8%	10.6%
IV Rank	7.2%	3.5%	10.0%	9.5%	10.0%
IV Percentile	26.9%	4.8%	49.6%	38.1%	49.6%
Term Structure	-0.1%	-0.5%	0.5%	-0.3%	0.5%
VWIV	11.7%	8.7%	12.6%	12.2%	12.1%
Skew 25d	0.2%	-0.2%	0.6%	0.5%	-0.0%
Skew 10d	0.3%	-0.5%	1.6%	1.6%	1.3%
Call IV 25d	10.2%	9.4%	10.9%	10.5%	10.9%
Put IV 25d	10.5%	9.8%	11.0%	11.0%	10.9%
Bid-Ask Spread %	26.34	13.50	35.38	13.50	34.42
Gamma HHI	0.12	0.08	0.21	0.09	0.18
Net GEX	-37.3M	-208.5M	54.7M	-20.4M	-169.5M
Net DEX	-10.8M	-752.3M	901.6M	201.0M	611.2M
Net VEX	-7.8M	-8.5M	-7.4M	-7.6M	-8.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.81	0.64	4.81	2.58	1.53
Total Volume	51,554.5	24,924	106,192	56,746	106,192
Total OI	677,681.318	610,199	744,692	612,506	723,990

Daily Data (22 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
2014-07-01	$112.28	$105.00	10.6%	3.4%	9.8%	9.5%	12.2%	0.5%	-0.3%	-20.4M	201.0M	-7.6M	2.58	13.50	N/A	N/A	15,854	40,892	261,147	351,359
2014-07-02	$111.08	$105.00	10.7%	3.4%	10.5%	9.7%	12.5%	0.5%	-0.2%	-113.3M	667.4M	-7.5M	1.93	21.80	N/A	N/A	27,661	53,260	264,836	366,308
2014-07-03	$110.68	$105.00	10.0%	3.3%	10.6%	5.7%	11.7%	0.3%	-0.3%	-208.5M	901.6M	-7.6M	2.65	17.21	N/A	N/A	16,653	44,048	273,756	395,182
2014-07-07	$111.49	$105.00	10.0%	3.3%	10.9%	6.2%	11.3%	0.4%	-0.1%	-85.2M	491.2M	-7.7M	0.64	14.05	N/A	N/A	18,179	11,693	262,119	382,179
2014-07-08	$112.74	$105.00	10.4%	3.3%	11.6%	8.0%	11.7%	0.6%	-0.5%	14.0M	-9.0M	-7.7M	1.39	26.07	N/A	N/A	17,849	24,818	267,286	379,166
2014-07-09	$112.83	$105.00	10.3%	3.4%	11.5%	7.8%	11.5%	0.5%	-0.3%	6.5M	42.9M	-7.8M	2.49	32.35	N/A	N/A	10,595	26,390	270,199	395,369
2014-07-10	$112.86	$105.00	10.3%	3.4%	11.5%	8.0%	11.9%	0.4%	-0.1%	-13.7M	46.0M	-8.0M	1.65	31.32	N/A	N/A	14,760	24,395	272,977	413,430
2014-07-11	$113.58	$105.00	10.3%	3.4%	11.3%	7.4%	11.9%	0.3%	-0.5%	39.8M	-213.6M	-7.9M	1.40	25.87	N/A	N/A	19,786	27,609	274,017	426,097
2014-07-14	$113.09	$106.00	10.2%	3.4%	11.4%	7.3%	12.0%	0.4%	-0.0%	-6.5M	68.3M	-7.7M	0.70	27.87	N/A	N/A	18,934	13,207	269,068	402,344
2014-07-15	$112.86	$106.00	9.7%	3.3%	11.4%	4.1%	12.0%	0.4%	0.1%	-23.5M	206.9M	-7.8M	1.45	26.42	N/A	N/A	18,261	26,465	278,468	406,250
2014-07-16	$113.46	$106.00	9.6%	3.3%	11.1%	3.5%	12.6%	0.4%	0.0%	34.5M	-97.1M	-8.0M	1.96	27.89	N/A	N/A	10,068	19,773	287,253	419,509
2014-07-17	$114.89	$106.00	10.6%	3.4%	11.7%	9.6%	12.2%	-0.0%	-0.2%	54.7M	-752.3M	-7.4M	1.23	22.11	N/A	N/A	42,040	51,912	286,941	427,299
2014-07-18	$114.52	$106.00	10.0%	3.3%	10.6%	5.9%	12.0%	0.0%	-0.1%	-69.8M	-464.2M	-8.1M	1.26	27.25	N/A	N/A	19,043	23,925	296,254	448,438
2014-07-21	$115.09	$106.00	10.3%	3.4%	10.4%	7.5%	12.2%	-0.0%	-0.3%	-1.6M	-438.0M	-7.6M	1.31	20.34	N/A	N/A	21,958	28,842	246,755	363,444
2014-07-22	$115.33	$106.00	10.2%	3.4%	10.3%	7.2%	12.1%	-0.2%	-0.1%	2.6M	-459.2M	-8.0M	1.62	29.17	N/A	N/A	15,857	25,691	258,275	377,766
2014-07-23	$115.18	$106.00	10.1%	3.4%	9.8%	6.2%	11.9%	0.0%	-0.0%	-6.8M	-397.8M	-8.1M	4.81	26.93	N/A	N/A	13,601	65,485	264,974	387,615
2014-07-24	$114.32	$106.00	10.0%	3.4%	10.3%	6.0%	12.0%	0.2%	-0.0%	-92.6M	105.8M	-7.9M	1.17	33.03	N/A	N/A	16,005	18,775	263,064	445,031
2014-07-25	$115.67	$106.00	10.0%	3.4%	10.9%	6.0%	11.2%	0.1%	-0.1%	385.9K	-484.9M	-7.8M	1.70	26.89	N/A	N/A	16,067	27,245	269,748	438,943
2014-07-28	$115.51	$106.00	10.2%	3.4%	10.9%	7.0%	8.7%	0.3%	0.4%	-25.7M	-264.0M	-7.7M	1.99	29.32	N/A	N/A	8,342	16,582	259,799	429,957
2014-07-29	$115.93	$106.00	10.4%	3.4%	10.9%	8.1%	12.3%	0.1%	0.2%	-9.4M	-369.6M	-7.6M	2.59	30.27	N/A	N/A	13,930	36,093	258,229	433,620
2014-07-30	$114.32	$109.00	10.2%	3.4%	11.4%	7.0%	10.0%	-0.0%	0.1%	-127.2M	369.0M	-8.3M	1.77	35.38	N/A	N/A	23,673	41,791	256,363	454,165
2014-07-31	$113.98	$109.00	10.7%	3.5%	10.7%	10.0%	12.1%	-0.0%	0.5%	-169.5M	611.2M	-8.5M	1.53	34.42	N/A	N/A	41,945	64,247	258,545	465,445