TLT Options History — February 2015

In February 2015, TLT traded between $126.17 and $137.48. ATM implied volatility averaged 16.2%, placing in the 59.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 1.6% (HV 20d: 17.7%). Max pain ranged from $131.00 to $135.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.97.

Notable Days

  • 2015-02-17: Highest Volume — 133,324 contracts
  • 2015-02-06: Largest IV drop — 5.7% change
  • 2015-02-04: Highest IV Rank — 66.7%
  • 2015-02-04: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$130.07$126.17$137.48$137.48$129.55
Max Pain$133.08$131.00$135.00$134.00$131.00
ATM IV16.2%15.4%17.0%15.9%15.7%
Expected Move4.7%4.5%4.9%4.6%4.6%
HV 20d17.7%16.4%19.1%17.7%16.8%
HV 60d15.5%14.1%16.2%14.1%16.2%
IV Rank59.1%52.4%66.7%56.8%55.4%
IV Percentile94.0%88.1%98.0%95.6%88.1%
Term Structure0.1%-0.4%0.8%-0.3%0.1%
VWIV16.8%16.2%17.4%16.4%16.2%
Skew 25d-0.8%-1.7%-0.1%-0.8%-0.1%
Skew 10d-1.5%-3.2%0.6%-0.4%0.6%
Call IV 25d16.9%16.0%17.8%16.7%16.0%
Put IV 25d16.1%14.9%17.2%15.9%15.9%
Bid-Ask Spread %13.039.8117.8110.2512.19
Gamma HHI0.110.070.220.070.11
Net GEX-88.7M-221.7M44.6M44.6M39.5M
Net DEX593.3M-955.4M1.78B-955.4M172.5M
Net VEX-8.9M-9.4M-7.5M-7.5M-9.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.521.530.611.03
Total Volume84,614.68457,457133,32467,26780,112
Total OI752,386.053646,797855,285646,797772,784

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$137.48$134.0015.9%4.6%17.7%56.8%16.4%-0.8%-0.3%44.6M-955.4M-7.5M0.6110.25N/AN/A41,89525,372232,848413,949
2015-02-03$134.60$134.0016.7%4.9%19.1%64.2%17.3%-0.4%-0.3%-24.7M-256.9M-8.6M0.769.81N/AN/A55,41641,988254,981426,904
2015-02-04$134.76$134.5017.0%4.9%18.2%66.7%17.4%-0.6%-0.0%-15.9M-328.1M-8.6M0.5215.86N/AN/A61,39131,937265,273434,982
2015-02-05$133.30$135.0016.7%4.8%18.7%63.9%17.3%-1.7%-0.4%-25.4M-22.6M-8.7M0.8014.16N/AN/A39,03831,364294,836438,950
2015-02-06$131.15$134.0015.8%4.7%19.0%55.7%16.7%-0.9%-0.1%-116.7M671.0M-8.9M0.8815.40N/AN/A50,81344,666299,387448,367
2015-02-09$130.82$134.0016.0%4.7%18.7%57.5%16.8%-1.1%0.6%-102.4M548.3M-8.5M0.7713.22N/AN/A35,85827,628281,161432,502
2015-02-10$129.76$133.0016.2%4.7%18.7%59.5%16.8%-1.0%0.3%-131.4M875.2M-8.5M1.3915.05N/AN/A38,63853,640295,904442,642
2015-02-11$129.98$133.0016.0%4.7%18.7%57.6%17.0%-1.1%0.5%-139.7M781.0M-9.3M0.7615.53N/AN/A40,74931,019308,807471,873
2015-02-12$129.53$133.0015.6%4.6%18.4%54.7%16.8%-0.9%0.8%-143.5M868.9M-9.4M0.7517.81N/AN/A39,37529,449326,183479,170
2015-02-13$128.18$133.0015.4%4.5%17.5%52.4%16.4%-1.5%0.5%-179.6M1.27B-9.4M1.3113.62N/AN/A41,28353,977341,713485,238
2015-02-17$126.28$133.0016.1%4.6%17.7%58.6%17.0%-0.9%-0.2%-221.7M1.78B-8.7M1.3511.23N/AN/A56,75876,566312,962481,901
2015-02-18$126.87$133.0016.6%4.7%16.9%62.6%17.0%-0.9%-0.2%-183.2M1.57B-9.0M0.9813.41N/AN/A55,71754,628333,346488,456
2015-02-19$126.17$133.0016.5%4.7%16.6%61.9%16.8%-0.6%-0.0%-192.3M1.67B-9.2M1.2310.77N/AN/A26,58732,649350,313492,643
2015-02-20$126.54$133.0016.7%4.8%16.8%63.8%17.2%-0.9%-0.0%-190.5M1.60B-8.8M1.5312.19N/AN/A35,06553,617360,657494,628
2015-02-23$127.95$132.0016.6%4.9%16.4%62.8%17.1%-0.6%0.1%-57.1M532.4M-9.0M0.9410.87N/AN/A29,63727,820286,012376,096
2015-02-24$129.57$132.0015.9%4.8%17.3%56.9%16.6%-0.5%-0.1%-17.8M101.3M-9.0M0.9310.23N/AN/A62,97558,434294,381384,016
2015-02-25$130.22$132.0015.9%4.6%17.4%57.2%16.4%-0.1%0.1%18.3M-76.0M-9.3M0.9512.44N/AN/A34,46032,624325,419414,030
2015-02-26$128.62$132.0015.7%4.6%16.4%55.6%16.2%-0.5%0.2%-45.2M461.4M-9.2M0.9613.45N/AN/A38,07236,462331,415420,606
2015-02-27$129.55$131.0015.7%4.6%16.8%55.4%16.2%-0.1%0.1%39.5M172.5M-9.2M1.0312.19N/AN/A39,47940,633340,441432,343