TLT Options History — June 2014

In June 2014, TLT traded between $110.96 and $113.52. ATM implied volatility averaged 10.1%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 0.4% (HV 20d: 10.5%). Max pain ranged from $104.00 to $105.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.26.

Notable Days

  • 2014-06-03: Highest Volume — 160,157 contracts
  • 2014-06-18: Largest IV drop — 6.9% change
  • 2014-06-02: Highest IV Rank — 14.3%
  • 2014-06-02: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.07$110.96$113.52$112.96$113.52
Max Pain$104.57$104.00$105.00$105.00$104.00
ATM IV10.1%9.4%11.8%11.8%10.3%
Expected Move3.5%3.4%3.6%3.6%3.4%
HV 20d10.5%9.6%11.5%10.4%10.0%
HV 60d9.8%9.5%10.1%9.9%9.6%
IV Rank6.2%2.5%14.3%14.3%7.5%
IV Percentile17.4%3.2%56.3%56.3%25.8%
Term Structure0.0%-0.6%0.9%-0.5%-0.1%
VWIV12.6%11.7%13.4%13.2%12.6%
Skew 25d0.1%-0.1%0.3%-0.1%0.2%
Skew 10d0.1%-0.4%1.2%-0.1%1.2%
Call IV 25d10.1%9.4%12.1%12.1%10.6%
Put IV 25d10.2%9.6%12.0%12.0%10.8%
Bid-Ask Spread %24.7112.0531.0224.9822.62
Gamma HHI0.140.090.210.130.10
Net GEX-3.0M-288.1M116.5M39.3M52.0M
Net DEX-36.0M-516.5M658.5M-409.4M-383.6M
Net VEX-8.8M-10.1M-7.1M-9.7M-7.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.572.781.330.60
Total Volume52,491.04827,027160,15776,80138,433
Total OI807,035.048616,717911,389806,764616,717

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$112.96$105.0011.8%3.6%10.4%14.3%13.2%-0.1%-0.5%39.3M-409.4M-9.7M1.3324.98N/AN/A32,98343,818350,280456,484
2014-06-03$111.57$105.0011.5%3.6%11.1%12.7%13.4%0.0%-0.6%-29.0M246.3M-9.7M0.8623.11N/AN/A86,18873,969365,747476,391
2014-06-04$111.54$105.0011.4%3.6%11.0%12.0%13.4%-0.0%-0.5%-55.5M373.6M-10.1M1.4723.74N/AN/A30,82445,429379,877509,776
2014-06-05$111.59$105.0011.0%3.5%10.9%9.9%13.3%0.0%-0.5%-32.6M161.7M-9.7M1.0826.04N/AN/A23,22125,147391,735496,136
2014-06-06$111.59$104.0010.3%3.5%10.8%7.5%12.8%-0.1%-0.5%-42.3M221.0M-9.6M0.5725.96N/AN/A33,32919,043401,059502,229
2014-06-09$111.43$104.009.8%3.5%10.8%4.8%12.8%0.1%-0.2%-7.0M125.3M-9.2M0.7112.05N/AN/A19,34413,646384,141473,848
2014-06-10$111.02$104.009.6%3.5%10.8%3.6%11.9%0.1%-0.1%-42.0M370.0M-9.0M0.8428.56N/AN/A20,26117,012386,125476,182
2014-06-11$111.22$104.009.7%3.5%10.3%4.2%12.4%0.1%-0.3%-35.2M264.9M-9.1M0.9128.41N/AN/A14,66113,334393,822483,334
2014-06-12$112.21$104.009.8%3.5%10.1%5.1%12.5%-0.0%-0.2%73.1M-353.1M-9.5M0.6630.16N/AN/A21,95814,387398,653484,180
2014-06-13$112.15$104.009.8%3.4%9.6%5.1%12.6%0.2%-0.1%86.5M-365.7M-9.2M0.6325.47N/AN/A22,77014,418403,356487,733
2014-06-16$112.43$104.0010.0%3.5%9.6%5.8%12.2%0.0%-0.1%116.5M-482.1M-9.2M1.8625.08N/AN/A16,62830,980390,878470,513
2014-06-17$111.54$105.0010.1%3.5%9.7%6.5%13.0%0.1%-0.1%-6.3M26.5M-9.1M2.0627.18N/AN/A16,97734,897395,494494,987
2014-06-18$112.40$105.009.4%3.5%10.0%2.5%12.3%0.2%0.0%112.5M-413.0M-9.2M2.7830.71N/AN/A19,34653,691397,777513,612
2014-06-19$110.96$105.0010.0%3.4%10.8%5.7%11.9%0.1%-0.2%-288.1M658.5M-8.2M1.6829.38N/AN/A36,29560,978330,170534,572
2014-06-20$111.80$105.009.6%3.4%11.2%3.7%11.7%0.2%0.0%-73.8M236.6M-8.2M2.5217.64N/AN/A10,67826,909335,983553,821
2014-06-23$111.45$105.009.7%3.4%11.0%4.0%11.9%0.1%0.8%-45.9M249.5M-8.0M1.0018.47N/AN/A15,58815,528280,575340,035
2014-06-24$112.58$105.009.6%3.4%11.5%3.9%12.3%0.3%0.9%12.9M-170.5M-7.9M2.1319.00N/AN/A11,99125,481283,845348,668
2014-06-25$112.87$105.009.7%3.4%10.5%4.1%13.1%0.1%0.8%23.8M-265.0M-7.8M0.8127.68N/AN/A21,90717,648284,228358,774
2014-06-26$113.41$105.009.5%3.4%10.6%3.3%12.6%0.2%0.9%39.4M-516.5M-7.1M0.9931.02N/AN/A17,85817,730285,665366,659
2014-06-27$113.24$104.009.7%3.4%10.6%4.3%12.7%0.3%0.9%38.3M-332.3M-8.0M1.0421.64N/AN/A13,26813,759288,310375,365
2014-06-30$113.52$104.0010.3%3.4%10.0%7.5%12.6%0.2%-0.1%52.0M-383.6M-7.8M0.6022.62N/AN/A24,03514,398277,932338,785