TLT Options History — August 2014 In August 2014, TLT traded between $114.26 and $119.05. ATM implied volatility averaged 11.2%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.0% (HV 20d: 10.2%). Max pain ranged from $109.00 to $116.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.10.
Notable Days 2014-08-15 : Highest Volume — 131,523 contracts2014-08-28 : Largest IV spike — 7.7% change2014-08-15 : Highest IV Rank — 36.5%2014-08-08 : Largest Expected Move — 3.6%Monthly Statistics Metric Avg Min Max Open Close Price $116.36 $114.26 $119.05 $114.56 $119.05 Max Pain $111.43 $109.00 $116.00 $109.00 $116.00 ATM IV 11.2% 10.4% 12.0% 10.7% 11.5% Expected Move 3.5% 3.4% 3.6% 3.5% 3.5% HV 20d 10.2% 8.9% 11.1% 10.6% 8.9% HV 60d 10.4% 10.0% 10.7% 10.6% 10.0% IV Rank 26.3% 17.0% 36.5% 21.0% 29.9% IV Percentile 62.1% 38.5% 77.4% 50.0% 74.6% Term Structure 0.1% -0.4% 0.7% 0.3% 0.3% VWIV 12.3% 9.7% 12.9% 12.6% 12.2% Skew 25d -0.1% -0.8% 0.4% 0.0% -0.8% Skew 10d -0.4% -1.7% 0.4% 0.2% -1.7% Call IV 25d 11.4% 10.7% 12.2% 10.7% 12.0% Put IV 25d 11.3% 10.4% 12.0% 10.7% 11.1% Bid-Ask Spread % 27.39 17.51 35.21 24.31 26.18 Gamma HHI 0.08 0.06 0.20 0.13 0.20 Net GEX 5.6M -137.2M 129.4M -137.2M 129.4M Net DEX -416.1M -1.29B 347.8M 347.8M -1.29B Net VEX -7.8M -8.8M -6.3M -8.6M -6.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.10 0.32 1.90 0.88 0.32 Total Volume 51,108.524 27,409 131,523 76,458 100,353 Total OI 713,046.143 646,964 769,863 749,217 717,328
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 2014-08-01 $114.56 $109.00 10.7% 3.5% 10.6% 21.0% 12.6% 0.0% 0.3% -137.2M 347.8M -8.6M 0.88 24.31 N/A N/A 40,761 35,697 264,504 484,713 2014-08-04 $114.26 $109.00 10.7% 3.5% 10.5% 20.3% 12.1% 0.3% -0.0% -76.1M 328.6M -8.6M 1.87 28.45 N/A N/A 9,630 17,997 264,235 438,992 2014-08-05 $114.63 $109.00 10.8% 3.5% 9.9% 22.3% 12.2% 0.1% -0.2% -85.1M 218.6M -8.7M 1.35 28.79 N/A N/A 13,211 17,789 265,862 449,273 2014-08-06 $114.70 $109.00 11.2% 3.5% 9.9% 26.2% 11.9% 0.4% -0.2% -76.4M 150.9M -8.7M 1.69 27.47 N/A N/A 15,131 25,568 269,043 453,324 2014-08-07 $115.77 $112.00 11.8% 3.6% 10.3% 33.3% 9.7% -0.1% -0.3% -19.7M -342.1M -8.1M 0.59 17.51 N/A N/A 27,031 16,049 272,794 463,569 2014-08-08 $115.52 $111.00 12.0% 3.6% 10.2% 35.9% 12.8% -0.1% -0.4% 5.7M -285.1M -8.7M 0.75 25.55 N/A N/A 36,910 27,538 284,438 468,435 2014-08-11 $115.51 $111.00 11.6% 3.6% 10.0% 31.1% 12.6% -0.0% 0.1% -12.5M -236.4M -8.2M 1.24 27.16 N/A N/A 14,762 18,280 286,089 452,801 2014-08-12 $114.76 $111.00 11.2% 3.6% 10.3% 26.6% 12.8% 0.2% 0.6% -68.9M 154.3M -8.8M 0.80 26.25 N/A N/A 19,409 15,510 289,427 461,876 2014-08-13 $115.51 $111.00 11.1% 3.6% 10.4% 25.8% 12.7% -0.0% 0.1% -10.8M -276.0M -8.0M 1.90 30.72 N/A N/A 14,575 27,698 293,333 466,730 2014-08-14 $116.44 $111.00 11.3% 3.6% 9.8% 27.4% 12.7% 0.1% 0.2% 44.5M -748.6M -7.7M 0.86 34.38 N/A N/A 28,404 24,539 297,011 472,852 2014-08-15 $117.71 $111.00 12.0% 3.6% 10.4% 36.5% 12.9% -0.3% 0.1% 47.4M -1.17B -7.8M 1.40 35.21 N/A N/A 54,752 76,771 297,596 471,709 2014-08-18 $116.54 $111.00 11.4% 3.5% 11.0% 29.0% 12.1% -0.4% -0.0% -1.7M -329.7M -8.0M 1.16 32.44 N/A N/A 28,005 32,410 257,289 389,675 2014-08-19 $116.18 $112.00 11.4% 3.6% 11.1% 29.0% 12.5% -0.3% 0.0% -10.1M -204.3M -7.9M 1.18 21.17 N/A N/A 14,404 16,973 269,372 397,192 2014-08-20 $115.99 $112.00 11.3% 3.5% 11.1% 28.5% 12.5% -0.3% -0.0% -16.6M -117.8M -7.7M 0.95 18.85 N/A N/A 14,034 13,375 274,711 402,355 2014-08-21 $116.64 $112.00 11.0% 3.5% 10.8% 23.8% 12.5% -0.3% 0.1% 16.9M -426.9M -7.6M 0.89 34.10 N/A N/A 18,697 16,640 280,540 405,276 2014-08-22 $117.29 $112.00 10.8% 3.5% 10.2% 21.4% 12.5% -0.1% 0.2% 53.7M -738.7M -7.4M 0.84 25.70 N/A N/A 24,837 20,819 286,391 410,070 2014-08-25 $117.73 $112.00 10.4% 3.4% 10.2% 17.0% 12.4% 0.1% 0.7% 72.1M -819.4M -7.1M 0.65 29.83 N/A N/A 17,941 11,604 274,302 390,630 2014-08-26 $117.35 $112.00 10.5% 3.4% 10.3% 18.9% 12.2% -0.6% 0.1% 61.7M -691.5M -7.2M 1.77 26.72 N/A N/A 11,526 20,412 277,722 393,472 2014-08-27 $118.35 $112.00 10.6% 3.4% 9.1% 19.9% 11.5% 0.1% 0.4% 88.2M -1.04B -6.5M 1.15 27.04 N/A N/A 23,805 27,277 278,003 407,298 2014-08-28 $118.97 $115.00 11.5% 3.4% 9.0% 29.7% 12.2% -0.4% 0.1% 113.6M -1.23B -6.7M 0.94 27.43 N/A N/A 42,412 39,743 278,966 414,771 2014-08-29 $119.05 $116.00 11.5% 3.5% 8.9% 29.9% 12.2% -0.8% 0.3% 129.4M -1.29B -6.3M 0.32 26.18 N/A N/A 75,780 24,573 285,313 432,015
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