TLT Options History — January 2015 In January 2015, TLT traded between $127.26 and $138.40. ATM implied volatility averaged 15.9%, placing in the 57.6% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.0% (HV 20d: 15.9%). Max pain ranged from $123.00 to $131.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.21.
Notable Days 2015-01-30 : Highest Volume — 267,867 contracts2015-01-06 : Largest IV spike — 11.6% change2015-01-20 : Highest IV Rank — 75.7%2015-01-20 : Largest Expected Move — 5.2%Monthly Statistics Metric Avg Min Max Open Close Price $133.02 $127.26 $138.40 $127.26 $138.40 Max Pain $128.10 $123.00 $131.00 $123.00 $131.00 ATM IV 15.9% 13.2% 18.0% 13.2% 15.7% Expected Move 4.5% 3.8% 5.2% 3.8% 4.6% HV 20d 15.9% 14.2% 17.3% 14.2% 17.3% HV 60d 12.5% 11.0% 14.0% 11.0% 14.0% IV Rank 57.6% 35.2% 75.7% 35.2% 55.2% IV Percentile 97.4% 93.7% 99.6% 95.2% 94.4% Term Structure -0.1% -0.6% 0.5% 0.5% 0.3% VWIV 16.1% 14.2% 18.1% 14.2% 15.7% Skew 25d -1.5% -2.4% -0.6% -0.6% -1.3% Skew 10d -2.7% -5.0% -1.4% -1.7% -2.3% Call IV 25d 17.1% 13.6% 19.5% 13.6% 16.4% Put IV 25d 15.6% 13.1% 17.7% 13.1% 15.2% Bid-Ask Spread % 20.99 11.73 50.73 50.73 11.73 Gamma HHI 0.09 0.07 0.21 0.09 0.07 Net GEX 57.1M -46.5M 117.9M 86.5M 117.9M Net DEX -1.48B -2.14B -927.5M -1.08B -2.14B Net VEX -6.7M -7.6M -5.6M -6.0M -7.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.21 0.72 3.07 1.07 1.72 Total Volume 93,686.65 33,653 267,867 82,813 267,867 Total OI 640,447.4 538,949 763,447 565,423 706,756
Daily Data (20 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 2015-01-02 $127.26 $123.00 13.2% 3.8% 14.2% 35.2% 14.2% -0.6% 0.5% 86.5M -1.08B -6.0M 1.07 50.73 N/A N/A 40,038 42,775 220,454 344,969 2015-01-05 $129.32 $123.00 14.5% 4.1% 14.8% 46.5% 14.6% -1.1% 0.0% 85.2M -1.44B -5.8M 0.88 34.46 N/A N/A 37,588 33,237 221,229 333,253 2015-01-06 $131.65 $125.00 16.2% 4.6% 15.3% 60.5% 15.9% -1.2% -0.1% 100.2M -1.80B -5.6M 1.14 29.01 N/A N/A 48,867 55,565 232,973 349,386 2015-01-07 $131.39 $127.00 16.0% 4.4% 15.2% 58.4% 15.6% -1.5% -0.4% 85.3M -1.66B -5.9M 0.92 30.70 N/A N/A 47,269 43,604 246,709 375,052 2015-01-08 $129.62 $127.00 14.9% 4.0% 16.3% 49.2% 14.5% -0.9% -0.2% 46.9M -1.09B -7.0M 1.15 28.33 N/A N/A 51,003 58,588 275,537 401,159 2015-01-09 $130.92 $127.00 15.1% 4.2% 16.3% 51.3% 15.5% -1.5% 0.3% 39.4M -1.39B -6.3M 1.04 26.01 N/A N/A 43,985 45,901 273,679 420,153 2015-01-12 $131.88 $127.00 16.2% 4.6% 16.4% 60.8% 16.7% -2.3% -0.2% 73.1M -1.57B -6.1M 0.96 19.34 N/A N/A 48,717 46,965 265,725 401,785 2015-01-13 $131.60 $128.00 15.8% 4.4% 15.9% 57.5% 16.2% -1.8% -0.4% 68.6M -1.51B -7.1M 0.96 24.04 N/A N/A 38,805 37,378 284,870 412,761 2015-01-14 $132.71 $128.00 16.4% 4.5% 15.9% 62.3% 15.6% -1.8% -0.6% 88.9M -1.74B -6.5M 3.07 16.60 N/A N/A 41,816 128,359 278,056 417,139 2015-01-15 $134.85 $128.00 17.7% 5.0% 16.2% 73.0% 17.3% -1.5% -0.5% 77.6M -2.00B -6.8M 1.27 13.07 N/A N/A 33,304 42,190 281,641 464,757 2015-01-16 $133.19 $128.00 17.2% 4.8% 16.5% 68.9% 17.5% -2.4% -0.5% 22.5M -1.57B -7.1M 0.97 13.18 N/A N/A 32,735 31,723 285,717 477,730 2015-01-20 $134.96 $129.00 18.0% 5.2% 15.6% 75.7% 18.1% -2.1% -0.6% 19.5M -1.35B -6.4M 1.29 14.36 N/A N/A 23,880 30,841 215,517 323,432 2015-01-21 $133.40 $130.00 16.4% 4.7% 16.4% 62.2% 16.5% -1.5% -0.4% -13.4M -994.3M -7.1M 1.31 14.74 N/A N/A 30,175 39,642 225,830 343,009 2015-01-22 $132.97 $130.00 15.6% 4.5% 16.5% 54.9% 15.9% -1.5% -0.2% -46.5M -927.5M -7.4M 0.72 19.02 N/A N/A 49,693 35,564 233,527 353,977 2015-01-23 $134.82 $130.00 16.5% 4.8% 15.2% 62.3% 16.7% -1.6% -0.3% 108.1M -1.53B -7.6M 1.36 15.98 N/A N/A 33,703 45,874 259,828 365,587 2015-01-26 $134.36 $130.00 15.8% 4.6% 15.4% 56.5% 16.1% -1.4% 0.1% 24.9M -1.29B -7.1M 1.11 15.84 N/A N/A 15,913 17,740 241,860 348,015 2015-01-27 $134.57 $130.00 15.3% 4.5% 15.4% 52.2% 16.5% -1.4% 0.4% 22.9M -1.36B -6.7M 1.02 13.20 N/A N/A 37,976 38,878 245,793 355,399 2015-01-28 $136.78 $130.00 15.8% 4.7% 16.0% 56.3% 16.7% -1.6% 0.4% 76.0M -1.71B -7.4M 1.24 14.52 N/A N/A 41,631 51,429 267,158 381,190 2015-01-29 $135.80 $131.00 15.3% 4.4% 16.5% 52.1% 15.8% -1.3% 0.5% 58.8M -1.41B -6.9M 0.95 14.98 N/A N/A 42,330 40,185 276,975 400,361 2015-01-30 $138.40 $131.00 15.7% 4.6% 17.3% 55.2% 15.7% -1.3% 0.3% 117.9M -2.14B -7.1M 1.72 11.73 N/A N/A 98,323 169,544 295,002 411,754
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