TLT Options History — December 2014

In December 2014, TLT traded between $120.43 and $127.62. ATM implied volatility averaged 12.1%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 0.3% (HV 20d: 11.7%). Max pain ranged from $119.00 to $123.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.07.

Notable Days

2014-12-23: Highest Volume — 113,851 contracts
2014-12-17: Largest IV drop — 12.1% change
2014-12-16: Highest IV Rank — 47.8%
2014-12-16: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$124.19	$120.43	$127.62	$121.55	$125.92
Max Pain	$121.18	$119.00	$123.00	$119.00	$123.00
ATM IV	12.1%	10.2%	14.7%	11.3%	12.6%
Expected Move	3.6%	3.3%	4.1%	3.3%	3.7%
HV 20d	11.7%	8.8%	15.1%	8.8%	13.8%
HV 60d	10.8%	10.0%	11.8%	10.0%	11.1%
IV Rank	25.9%	10.2%	47.8%	19.3%	30.1%
IV Percentile	78.9%	24.2%	98.4%	68.7%	91.3%
Term Structure	0.2%	-0.5%	1.0%	0.5%	0.5%
VWIV	12.9%	11.6%	14.4%	11.8%	13.4%
Skew 25d	-0.9%	-2.2%	-0.2%	-1.0%	-0.4%
Skew 10d	-1.9%	-4.0%	-0.2%	-2.4%	-1.1%
Call IV 25d	12.8%	10.4%	16.1%	11.7%	13.2%
Put IV 25d	11.8%	9.9%	13.8%	10.7%	12.7%
Bid-Ask Spread %	35.18	24.68	54.52	38.47	24.68
Gamma HHI	0.08	0.06	0.12	0.08	0.07
Net GEX	55.1M	-14.5M	116.9M	64.1M	41.8M
Net DEX	-967.8M	-1.87B	-229.4M	-713.3M	-733.0M
Net VEX	-5.9M	-7.0M	-5.1M	-6.1M	-6.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.60	1.81	0.77	1.34
Total Volume	60,066	19,106	113,851	57,934	22,358
Total OI	591,104.636	512,732	701,334	556,759	553,002

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
2014-12-01	$121.55	$119.00	11.3%	3.3%	8.8%	19.3%	11.8%	-1.0%	0.5%	64.1M	-713.3M	-6.1M	0.77	38.47	N/A	N/A	32,678	25,256	215,338	341,421
2014-12-02	$120.43	$119.00	11.2%	3.4%	9.5%	18.9%	12.2%	-0.7%	0.1%	22.5M	-406.8M	-5.9M	0.60	35.74	N/A	N/A	29,798	17,902	221,218	351,332
2014-12-03	$120.74	$119.00	11.1%	3.4%	9.5%	17.7%	12.1%	-0.2%	0.1%	35.9M	-453.6M	-6.2M	0.85	29.58	N/A	N/A	21,728	18,445	223,598	354,473
2014-12-04	$121.80	$119.00	10.8%	3.4%	9.9%	15.2%	11.9%	-0.2%	0.5%	79.0M	-776.0M	-5.6M	1.14	30.51	N/A	N/A	8,943	10,163	226,818	357,920
2014-12-05	$121.09	$119.00	10.2%	3.3%	9.8%	10.2%	11.6%	-0.5%	0.8%	36.1M	-579.2M	-5.7M	1.40	31.52	N/A	N/A	24,136	33,812	228,510	362,210
2014-12-08	$122.56	$119.00	10.8%	3.3%	9.9%	15.1%	11.6%	-0.2%	0.0%	94.9M	-964.9M	-5.3M	0.96	28.87	N/A	N/A	26,179	25,028	223,036	363,491
2014-12-09	$123.20	$119.00	11.3%	3.4%	9.3%	19.3%	12.1%	-0.7%	-0.3%	116.9M	-1.13B	-5.3M	0.81	30.55	N/A	N/A	33,177	26,755	226,680	368,473
2014-12-10	$124.36	$119.00	12.3%	3.6%	9.7%	27.7%	12.5%	-0.7%	-0.3%	116.4M	-1.39B	-5.4M	0.77	29.13	N/A	N/A	31,498	24,342	233,100	370,378
2014-12-11	$124.44	$119.00	12.9%	3.6%	9.6%	32.9%	12.8%	-0.9%	-0.4%	116.9M	-1.39B	-5.4M	1.02	54.52	N/A	N/A	30,465	30,998	234,942	372,703
2014-12-12	$126.29	$119.00	14.0%	3.9%	10.6%	42.2%	13.5%	-1.8%	-0.4%	95.1M	-1.79B	-5.1M	1.13	34.79	N/A	N/A	45,993	52,177	239,997	380,304
2014-12-15	$126.00	$123.00	13.6%	3.9%	10.7%	39.1%	13.9%	-2.0%	-0.2%	87.4M	-1.60B	-5.4M	1.18	38.41	N/A	N/A	27,263	32,074	242,726	395,402
2014-12-16	$127.62	$123.00	14.7%	4.1%	11.1%	47.8%	14.4%	-2.2%	-0.5%	70.1M	-1.87B	-5.1M	0.88	31.16	N/A	N/A	53,119	46,612	247,155	406,529
2014-12-17	$126.38	$123.00	12.9%	3.8%	12.0%	32.9%	13.8%	-1.8%	0.1%	57.6M	-1.60B	-5.4M	1.21	43.29	N/A	N/A	45,697	55,168	258,198	425,233
2014-12-18	$124.57	$123.00	11.8%	3.6%	13.1%	23.6%	12.9%	-1.2%	-0.1%	18.2M	-989.1M	-6.0M	1.28	44.23	N/A	N/A	38,805	49,678	262,488	430,187
2014-12-19	$125.87	$123.00	12.1%	3.7%	13.4%	26.4%	13.2%	-1.3%	-0.4%	48.4M	-1.45B	-5.7M	0.78	42.55	N/A	N/A	21,800	17,011	269,040	432,294
2014-12-22	$126.10	$123.00	11.8%	3.6%	13.3%	23.4%	13.3%	-0.9%	0.4%	52.2M	-1.13B	-5.7M	1.76	32.38	N/A	N/A	19,301	33,929	230,601	282,131
2014-12-23	$123.95	$123.00	11.8%	3.6%	15.1%	23.5%	12.6%	-0.7%	0.6%	14.2M	-410.8M	-6.5M	0.72	31.59	N/A	N/A	66,059	47,792	221,800	296,633
2014-12-24	$123.95	$123.00	11.8%	3.7%	14.9%	24.1%	13.5%	-0.5%	0.5%	-6.0M	-229.4M	-7.0M	1.09	37.53	N/A	N/A	27,001	29,506	211,410	319,021
2014-12-26	$124.47	$123.00	11.7%	3.6%	14.9%	23.2%	14.2%	-0.9%	1.0%	-14.5M	-395.8M	-6.7M	1.42	33.40	N/A	N/A	26,281	37,191	217,332	327,571
2014-12-29	$125.15	$123.00	12.5%	3.7%	14.8%	29.3%	14.0%	-0.7%	0.5%	26.4M	-593.8M	-6.6M	1.81	33.58	N/A	N/A	17,721	32,115	209,624	326,638
2014-12-30	$125.68	$123.00	12.4%	3.7%	14.4%	29.0%	13.3%	-0.7%	0.4%	37.5M	-709.4M	-6.4M	0.72	37.42	N/A	N/A	14,805	10,693	211,626	331,719
2014-12-31	$125.92	$123.00	12.6%	3.7%	13.8%	30.1%	13.4%	-0.4%	0.5%	41.8M	-733.0M	-6.6M	1.34	24.68	N/A	N/A	9,544	12,814	215,482	337,520