TLT Options History — October 2014 In October 2014, TLT traded between $117.20 and $122.55. ATM implied volatility averaged 13.3%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.6% (HV 20d: 11.7%). Max pain ranged from $114.00 to $130.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.19.
Notable Days 2014-10-15 : Highest Volume — 157,920 contracts2014-10-15 : Largest IV spike — 41.4% change2014-10-13 : Highest IV Rank — 100.0%2014-10-15 : Largest Expected Move — 4.7%Monthly Statistics Metric Avg Min Max Open Close Price $119.80 $117.20 $122.55 $118.23 $119.26 Max Pain $116.91 $114.00 $130.00 $114.00 $119.00 ATM IV 13.3% 11.2% 20.9% 11.9% 11.3% Expected Move 3.8% 3.6% 4.7% 3.6% 3.6% HV 20d 11.7% 9.9% 12.5% 12.1% 9.9% HV 60d 11.4% 11.1% 11.7% 11.1% 11.2% IV Rank 48.4% 18.6% 100.0% 40.9% 19.5% IV Percentile 90.4% 67.5% 100.0% 83.3% 70.2% Term Structure -0.3% -7.3% 1.0% 0.5% 1.0% VWIV 13.6% 12.5% 16.3% 12.6% 12.5% Skew 25d -1.1% -5.8% 0.0% -0.3% -0.9% Skew 10d -2.0% -7.4% 0.2% 0.0% -2.2% Call IV 25d 13.9% 11.8% 20.4% 12.3% 11.8% Put IV 25d 12.8% 10.9% 16.2% 12.0% 10.9% Bid-Ask Spread % 25.11 17.34 62.24 27.27 23.88 Gamma HHI 0.09 0.05 0.23 0.07 0.10 Net GEX 22.6M -65.3M 120.0M 42.9M -65.3M Net DEX -815.5M -1.61B -307.7M -788.8M -366.7M Net VEX -7.7M -8.4M -7.0M -7.3M -7.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.19 0.68 2.03 1.64 0.95 Total Volume 60,074.739 21,492 157,920 108,062 73,412 Total OI 651,280.826 563,458 765,353 563,458 674,639
Daily Data (23 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 2014-10-01 $118.23 $114.00 11.9% 3.6% 12.1% 40.9% 12.6% -0.3% 0.5% 42.9M -788.8M -7.3M 1.64 27.27 N/A N/A 40,985 67,077 224,928 338,530 2014-10-02 $117.20 $114.00 12.0% 3.6% 11.6% 42.3% 12.8% -0.1% 0.6% -16.5M -370.9M -8.0M 1.37 24.14 N/A N/A 16,172 22,099 241,256 373,885 2014-10-03 $117.70 $114.00 11.7% 3.6% 11.7% 37.5% 12.5% -0.2% 0.7% -20.8M -575.1M -7.7M 1.36 18.18 N/A N/A 18,100 24,571 243,883 379,388 2014-10-06 $117.77 $114.00 11.9% 3.6% 11.7% 40.6% 12.8% -0.1% -0.2% 21.1M -564.9M -7.6M 1.23 18.59 N/A N/A 13,969 17,201 238,551 366,100 2014-10-07 $119.36 $114.00 13.0% 3.7% 12.5% 55.8% 13.2% -0.1% -0.3% 51.7M -1.02B -7.6M 1.36 18.08 N/A N/A 24,750 33,762 245,835 376,840 2014-10-08 $119.39 $114.00 13.0% 3.8% 12.1% 56.3% 13.4% 0.0% -0.2% 50.2M -1.03B -7.7M 1.52 18.77 N/A N/A 23,656 35,856 253,627 390,540 2014-10-09 $118.87 $114.00 12.9% 3.7% 12.2% 59.7% 13.1% -0.4% -0.1% 33.2M -858.4M -7.5M 0.82 18.29 N/A N/A 25,373 20,879 258,075 398,090 2014-10-10 $120.05 $115.00 13.3% 3.8% 11.6% 78.4% 13.4% -0.3% -0.2% 120.0M -1.27B -7.4M 0.87 17.76 N/A N/A 32,144 28,051 267,519 406,723 2014-10-13 $120.78 $115.00 14.7% 3.9% 11.6% 100.0% 13.8% -0.7% -0.6% 69.4M -1.38B -7.4M 0.68 17.34 N/A N/A 31,757 21,597 264,513 391,911 2014-10-14 $120.94 $114.00 14.8% 3.9% 11.3% 100.0% 13.9% -0.9% -0.6% 67.3M -1.41B -7.0M 1.04 18.23 N/A N/A 25,548 26,508 271,439 400,887 2014-10-15 $122.55 $115.00 20.9% 4.7% 11.6% 100.0% 16.3% -5.8% -7.3% 55.6M -1.61B -8.1M 0.85 62.24 N/A N/A 85,543 72,377 278,200 420,084 2014-10-16 $121.75 $115.00 17.1% 4.5% 12.2% 67.8% 15.3% -1.8% -0.9% 52.6M -1.31B -8.3M 0.96 43.72 N/A N/A 46,212 44,535 292,587 435,971 2014-10-17 $121.07 $115.00 14.5% 4.1% 12.2% 46.2% 14.2% -2.2% -0.6% 70.4M -1.19B -7.8M 0.90 36.32 N/A N/A 27,070 24,408 306,925 458,428 2014-10-20 $121.49 $0.00 13.6% 3.8% 12.1% 38.3% 15.1% -1.8% -0.1% 27.8M -994.2M -7.7M 1.34 19.29 N/A N/A 24,298 32,605 259,146 357,539 2014-10-21 $120.94 $130.00 13.4% 3.8% 12.4% 37.0% 14.6% -1.7% -0.2% 24.0M -887.5M -7.3M 1.14 19.64 N/A N/A 21,149 24,088 265,576 360,255 2014-10-22 $120.65 $121.00 13.4% 3.9% 12.1% 37.2% 13.6% -1.1% -0.5% 14.9M -696.8M -7.9M 1.13 22.11 N/A N/A 23,911 27,103 268,777 369,196 2014-10-23 $119.66 $120.00 12.8% 3.9% 12.2% 32.1% 13.7% -0.9% 0.1% 12.8M -400.5M -8.1M 1.45 24.61 N/A N/A 30,122 43,746 275,511 375,475 2014-10-24 $119.68 $119.00 13.0% 3.9% 12.1% 34.0% 13.7% -1.5% -0.3% 13.0M -365.1M -8.4M 0.92 22.65 N/A N/A 27,581 25,388 278,713 386,418 2014-10-27 $119.94 $119.00 12.6% 3.9% 11.9% 30.4% 13.7% -1.1% 0.9% -6.2M -518.2M -7.5M 2.03 20.78 N/A N/A 7,090 14,402 257,846 374,612 2014-10-28 $119.19 $119.00 11.4% 3.7% 12.0% 20.2% 13.4% -1.1% 0.6% -24.9M -307.7M -7.5M 1.86 25.90 N/A N/A 12,950 24,121 260,016 378,128 2014-10-29 $119.42 $119.00 11.5% 3.6% 10.5% 21.4% 13.0% -0.9% 0.7% -29.3M -371.9M -7.5M 1.29 31.97 N/A N/A 32,843 42,527 263,074 383,049 2014-10-30 $119.53 $119.00 11.2% 3.6% 9.9% 18.6% 12.7% -0.7% 0.9% -43.5M -470.4M -7.8M 0.71 27.79 N/A N/A 25,902 18,281 270,586 396,188 2014-10-31 $119.26 $119.00 11.3% 3.6% 9.9% 19.5% 12.5% -0.9% 1.0% -65.3M -366.7M -7.7M 0.95 23.88 N/A N/A 37,671 35,741 274,974 399,665
« Sep 2014 | All History | Nov 2014 » Home TLT History October 2014