TLT Options History — September 2014 In September 2014, TLT traded between $112.80 and $117.38. ATM implied volatility averaged 11.6%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 0.2% (HV 20d: 11.9%). Max pain ranged from $114.00 to $117.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.22.
Notable Days 2014-09-12 : Highest Volume — 122,004 contracts2014-09-17 : Largest IV drop — 9.4% change2014-09-15 : Highest IV Rank — 49.3%2014-09-11 : Largest Expected Move — 3.6%Monthly Statistics Metric Avg Min Max Open Close Price $115.13 $112.80 $117.38 $116.73 $116.27 Max Pain $115.67 $114.00 $117.00 $117.00 $114.00 ATM IV 11.6% 10.5% 12.8% 12.7% 11.5% Expected Move 3.5% 3.4% 3.6% 3.6% 3.5% HV 20d 11.9% 10.6% 12.7% 11.7% 10.6% HV 60d 11.0% 10.6% 11.2% 10.9% 10.8% IV Rank 36.3% 20.8% 49.3% 44.9% 35.6% IV Percentile 72.7% 40.1% 88.5% 86.9% 78.6% Term Structure -0.0% -0.6% 0.4% -0.4% 0.4% VWIV 12.4% 11.9% 12.7% 12.6% 12.5% Skew 25d 0.0% -0.8% 0.7% -0.8% -0.2% Skew 10d -0.2% -1.3% 0.5% -1.3% -0.2% Call IV 25d 11.7% 10.5% 13.1% 13.1% 11.8% Put IV 25d 11.7% 10.6% 12.9% 12.2% 11.6% Bid-Ask Spread % 23.67 15.63 36.24 31.68 19.55 Gamma HHI 0.08 0.05 0.15 0.05 0.07 Net GEX -87.3M -205.8M 37.6M -51.1M -9.2M Net DEX 543.8M -440.5M 1.72B 155.9M -259.1M Net VEX -7.3M -8.0M -6.3M -7.3M -7.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.22 0.35 2.15 1.20 0.35 Total Volume 53,725.143 24,932 122,004 85,017 43,458 Total OI 663,837.429 490,958 778,852 648,930 565,014
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 2014-09-02 $116.73 $117.00 12.7% 3.6% 11.7% 44.9% 12.6% -0.8% -0.4% -51.1M 155.9M -7.3M 1.20 31.68 N/A N/A 38,634 46,383 234,602 414,328 2014-09-03 $117.38 $117.00 12.8% 3.5% 11.8% 45.7% 12.7% 0.7% -0.4% -33.3M -42.8M -7.2M 1.85 26.57 N/A N/A 20,799 38,503 244,017 424,026 2014-09-04 $115.95 $116.00 12.4% 3.5% 12.7% 44.1% 12.7% -0.1% 0.1% -96.6M 447.2M -7.7M 1.16 36.24 N/A N/A 40,854 47,201 254,158 440,248 2014-09-05 $115.73 $116.00 11.5% 3.5% 12.3% 32.1% 12.2% -0.2% -0.1% -133.6M 668.1M -8.0M 0.91 30.05 N/A N/A 25,414 23,001 270,547 462,071 2014-09-08 $115.78 $116.00 12.0% 3.5% 12.3% 41.7% 12.6% -0.1% -0.2% -89.7M 468.6M -7.8M 1.22 31.42 N/A N/A 12,955 15,797 263,357 441,109 2014-09-09 $115.69 $116.00 12.0% 3.5% 12.3% 41.9% 12.6% 0.2% -0.4% -95.0M 500.2M -7.7M 2.15 23.03 N/A N/A 8,233 17,706 267,693 443,542 2014-09-10 $114.96 $116.00 11.9% 3.5% 12.3% 41.4% 12.4% -0.2% -0.2% -146.1M 830.3M -7.5M 1.84 30.61 N/A N/A 15,715 28,887 268,505 452,485 2014-09-11 $114.58 $116.00 12.0% 3.6% 12.1% 42.3% 12.6% -0.1% -0.2% -180.7M 992.0M -7.6M 1.21 29.58 N/A N/A 17,073 20,704 271,539 458,665 2014-09-12 $113.38 $116.00 12.4% 3.6% 12.2% 48.4% 12.5% 0.5% -0.6% -177.1M 1.50B -7.4M 1.33 20.84 N/A N/A 52,435 69,569 277,533 465,681 2014-09-15 $113.55 $116.00 12.5% 3.6% 11.3% 49.3% 12.6% 0.3% -0.2% -163.0M 1.32B -7.8M 1.31 19.47 N/A N/A 18,461 24,100 285,247 460,652 2014-09-16 $113.09 $116.00 12.3% 3.5% 11.0% 46.6% 12.5% 0.2% -0.3% -178.7M 1.52B -7.6M 1.29 15.63 N/A N/A 13,868 17,855 294,812 467,640 2014-09-17 $112.80 $116.00 11.2% 3.4% 11.0% 30.4% 12.4% 0.3% 0.0% -205.8M 1.72B -7.2M 1.02 20.06 N/A N/A 44,685 45,739 296,657 471,745 2014-09-18 $113.16 $116.00 11.0% 3.5% 11.1% 28.1% 12.5% 0.2% 0.1% -174.2M 1.55B -7.1M 1.31 19.40 N/A N/A 21,792 28,586 304,703 474,149 2014-09-19 $114.60 $116.00 10.5% 3.4% 11.9% 20.8% 12.1% 0.2% 0.1% -101.1M 780.9M -6.9M 0.69 20.41 N/A N/A 37,089 25,545 307,757 470,269 2014-09-22 $114.74 $115.00 10.6% 3.4% 11.7% 23.2% 12.2% -0.0% 0.2% -19.3M 127.2M -6.3M 0.94 20.67 N/A N/A 12,837 12,095 194,111 296,847 2014-09-23 $115.45 $115.00 10.6% 3.4% 11.9% 22.7% 11.9% -0.1% 0.2% -7.6M -19.6M -6.6M 0.98 18.88 N/A N/A 28,844 28,324 197,890 301,622 2014-09-24 $114.81 $115.00 10.7% 3.4% 11.9% 23.6% 12.3% -0.1% 0.3% -36.0M 122.2M -7.0M 1.37 22.92 N/A N/A 15,332 21,003 216,416 317,875 2014-09-25 $116.17 $115.00 10.9% 3.5% 12.3% 27.7% 12.1% -0.2% 0.2% 16.6M -280.6M -7.2M 1.29 20.71 N/A N/A 17,830 22,971 223,100 327,579 2014-09-26 $116.00 $115.00 11.4% 3.5% 12.1% 34.1% 12.4% -0.2% 0.2% 37.6M -239.5M -7.3M 1.54 20.41 N/A N/A 28,586 43,972 225,372 332,406 2014-09-29 $116.93 $114.00 11.6% 3.5% 12.6% 37.2% 12.3% -0.2% 0.4% 11.2M -440.5M -7.3M 0.62 18.95 N/A N/A 21,784 13,609 223,757 330,860 2014-09-30 $116.27 $114.00 11.5% 3.5% 10.6% 35.6% 12.5% -0.2% 0.4% -9.2M -259.1M -7.5M 0.35 19.55 N/A N/A 32,243 11,215 229,325 335,689
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