TLT Options History — November 2014

In November 2014, TLT traded between $118.41 and $122.49. ATM implied volatility averaged 11.4%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 3.1% (HV 20d: 8.2%). Max pain ranged from $118.00 to $119.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.97.

Notable Days

  • 2014-11-28: Highest Volume — 86,016 contracts
  • 2014-11-07: Largest IV drop — 5.5% change
  • 2014-11-04: Highest IV Rank — 28.9%
  • 2014-11-04: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.60$118.41$122.49$119.05$122.49
Max Pain$118.11$118.00$119.00$119.00$119.00
ATM IV11.4%10.7%12.4%11.9%11.1%
Expected Move3.4%3.3%3.6%3.5%3.3%
HV 20d8.2%7.4%9.9%9.9%8.3%
HV 60d10.8%9.9%11.2%11.1%9.9%
IV Rank20.0%14.3%28.9%24.4%18.2%
IV Percentile68.0%47.2%90.5%81.7%63.5%
Term Structure0.1%-0.6%0.7%-0.3%-0.3%
VWIV12.1%11.6%13.0%12.5%11.6%
Skew 25d-0.6%-0.9%0.0%-0.1%-0.8%
Skew 10d-1.3%-2.1%0.1%-0.5%-2.1%
Call IV 25d11.8%10.9%12.9%12.1%11.7%
Put IV 25d11.2%10.3%12.7%12.1%10.9%
Bid-Ask Spread %28.3620.1538.3538.3525.13
Gamma HHI0.120.070.520.070.09
Net GEX16.8M-76.9M207.1M-37.1M112.4M
Net DEX-441.4M-1.47B110.9M-157.4M-1.47B
Net VEX-6.8M-8.2M-5.4M-7.4M-5.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.101.481.380.10
Total Volume46,431.10523,68486,01663,99286,016
Total OI656,514.842572,780698,506636,674610,957

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$119.05$119.0011.9%3.5%9.9%24.4%12.5%-0.1%-0.3%-37.1M-157.4M-7.4M1.3838.35N/AN/A26,90337,089249,010387,664
2014-11-04$119.32$118.0012.4%3.6%8.7%28.9%13.0%-0.7%-0.0%-45.7M-165.4M-8.2M0.9524.64N/AN/A21,80420,671251,859400,628
2014-11-05$119.24$118.0012.3%3.6%8.7%27.6%12.9%0.0%-0.1%-47.4M-144.6M-8.0M0.9523.31N/AN/A18,45817,608255,896403,135
2014-11-06$118.41$118.0011.7%3.5%8.9%23.1%12.6%-0.3%-0.1%-76.9M110.9M-7.9M1.0420.15N/AN/A25,05825,943259,716405,191
2014-11-07$119.70$118.0011.1%3.4%9.1%17.7%12.2%-0.1%0.2%15.8M-433.8M-7.4M1.3225.10N/AN/A34,40545,419265,966410,649
2014-11-10$118.67$118.0011.1%3.4%9.2%17.9%12.1%-0.7%0.5%-36.6M-107.0M-7.3M1.0628.61N/AN/A24,05225,388261,681401,572
2014-11-11$118.75$118.0011.2%3.4%9.2%18.8%11.9%-0.4%0.0%-31.4M-196.3M-7.0M1.4828.80N/AN/A16,86724,891262,195395,335
2014-11-12$118.59$118.0011.4%3.4%7.6%20.5%12.1%-0.8%0.4%-36.7M-81.2M-7.2M0.8534.73N/AN/A21,72818,375269,720406,800
2014-11-13$118.88$118.0011.7%3.4%7.5%22.4%12.1%-0.8%0.2%-16.1M-208.3M-7.0M1.2036.85N/AN/A16,85120,144273,591409,090
2014-11-14$119.49$118.0011.5%3.4%7.6%21.4%12.0%-0.6%0.1%17.3M-435.2M-7.1M0.8133.58N/AN/A18,24114,741275,225415,383
2014-11-17$119.18$118.0011.6%3.4%7.5%21.8%12.2%-0.9%0.3%7.5M-347.4M-6.9M1.2123.98N/AN/A20,44524,771271,744404,221
2014-11-18$119.50$118.0011.1%3.4%7.4%17.7%12.2%-0.8%0.7%26.6M-476.3M-6.7M1.3121.31N/AN/A13,81318,117279,179412,301
2014-11-19$118.76$118.0011.0%3.3%7.7%17.1%12.0%-0.8%0.4%-15.1M-192.4M-6.6M1.2329.48N/AN/A13,50416,633278,354413,432
2014-11-20$119.32$118.0011.2%3.4%7.4%18.3%12.5%-0.9%0.2%31.5M-424.9M-6.3M0.7631.77N/AN/A25,76819,621277,328412,253
2014-11-21$120.11$118.0010.7%3.4%7.8%14.3%11.9%-0.8%0.5%207.1M-768.7M-6.0M0.8629.66N/AN/A27,14423,278282,880415,626
2014-11-24$120.20$118.0010.7%3.3%7.7%14.6%11.9%-0.4%-0.3%62.8M-720.4M-5.9M0.5525.16N/AN/A15,2378,447239,701333,079
2014-11-25$121.19$118.0011.2%3.3%7.9%19.0%11.6%-0.6%-0.6%84.5M-999.0M-5.9M0.7931.49N/AN/A26,82421,194246,174337,453
2014-11-26$121.53$118.0010.9%3.3%7.9%15.9%11.6%-0.8%-0.4%96.8M-1.17B-5.8M0.5426.77N/AN/A30,36116,382255,270343,524
2014-11-28$122.49$119.0011.1%3.3%8.3%18.2%11.6%-0.8%-0.3%112.4M-1.47B-5.4M0.1025.13N/AN/A78,3967,620258,248352,709