TLT Options History — March 2015 In March 2015, TLT traded between $123.59 and $132.62. ATM implied volatility averaged 15.2%, placing in the 50.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 1.2% (HV 20d: 16.3%). Max pain ranged from $129.00 to $133.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.22.
Notable Days 2015-03-06 : Highest Volume — 186,367 contracts2015-03-18 : Largest IV drop — 6.2% change2015-03-02 : Highest IV Rank — 59.6%2015-03-02 : Largest Expected Move — 4.8%Monthly Statistics Metric Avg Min Max Open Close Price $128.61 $123.59 $132.62 $126.88 $130.57 Max Pain $130.73 $129.00 $133.00 $131.50 $131.00 ATM IV 15.2% 14.3% 16.2% 16.2% 15.7% Expected Move 4.4% 4.1% 4.8% 4.8% 4.4% HV 20d 16.3% 14.6% 17.6% 16.0% 15.8% HV 60d 16.9% 16.5% 17.2% 16.7% 17.1% IV Rank 50.7% 43.1% 59.6% 59.6% 54.6% IV Percentile 83.3% 77.0% 93.7% 93.7% 86.1% Term Structure -0.0% -0.5% 0.6% -0.2% -0.3% VWIV 15.4% 14.2% 17.1% 17.0% 15.1% Skew 25d -0.4% -0.8% -0.1% -0.3% -0.6% Skew 10d -0.8% -1.5% 0.2% -0.3% -1.0% Call IV 25d 15.6% 14.7% 16.6% 16.6% 16.0% Put IV 25d 15.2% 14.2% 16.3% 16.3% 15.4% Bid-Ask Spread % 12.56 7.28 36.08 12.86 11.12 Gamma HHI 0.09 0.06 0.22 0.09 0.07 Net GEX -31.6M -172.1M 173.9M -109.6M -11.2M Net DEX 201.1M -1.07B 2.16B 905.1M -415.1M Net VEX -8.8M -9.6M -7.8M -9.6M -9.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.22 0.39 1.77 1.50 0.84 Total Volume 67,778.364 36,161 186,367 75,133 41,370 Total OI 741,334.773 563,539 881,873 722,138 675,383
Daily Data (22 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 2015-03-02 $126.88 $131.50 16.2% 4.8% 16.0% 59.6% 17.0% -0.3% -0.2% -109.6M 905.1M -9.6M 1.50 12.86 N/A N/A 30,034 45,099 312,576 409,562 2015-03-03 $126.50 $131.00 16.2% 4.7% 16.0% 59.1% 16.8% -0.1% -0.5% -160.2M 1.08B -9.4M 1.60 9.79 N/A N/A 26,661 42,612 317,066 429,394 2015-03-04 $126.55 $131.00 15.3% 4.5% 14.7% 52.2% 17.1% -0.1% -0.5% -164.1M 1.03B -9.0M 1.11 11.88 N/A N/A 42,355 46,903 319,141 429,264 2015-03-05 $126.22 $133.00 15.2% 4.3% 14.6% 51.0% 14.7% -0.1% -0.4% -172.1M 1.13B -9.3M 1.39 17.04 N/A N/A 30,644 42,700 330,434 440,962 2015-03-06 $123.59 $132.00 14.6% 4.2% 15.7% 45.5% 15.0% -0.1% 0.2% -154.1M 2.16B -8.6M 1.23 10.12 N/A N/A 83,751 102,616 339,180 446,425 2015-03-09 $124.64 $131.00 14.9% 4.2% 15.6% 48.8% 15.1% -0.1% -0.1% -126.1M 1.38B -8.7M 1.51 9.07 N/A N/A 16,922 25,548 334,663 414,111 2015-03-10 $126.28 $130.00 15.5% 4.4% 16.5% 53.7% 15.5% -0.5% -0.2% -99.8M 881.7M -9.0M 0.64 9.77 N/A N/A 28,486 18,175 339,829 426,084 2015-03-11 $127.20 $130.00 15.7% 4.4% 16.6% 55.2% 15.8% -0.4% -0.3% -73.5M 551.3M -8.8M 1.40 12.60 N/A N/A 19,993 28,079 345,465 430,998 2015-03-12 $127.11 $130.00 15.4% 4.4% 16.6% 53.1% 15.7% -0.4% -0.2% -88.6M 545.5M -9.0M 0.74 24.03 N/A N/A 41,352 30,617 349,715 438,842 2015-03-13 $126.72 $130.00 15.1% 4.3% 16.6% 50.2% 15.2% -0.8% -0.2% -116.5M 718.7M -9.4M 1.36 10.35 N/A N/A 18,698 25,367 372,788 452,799 2015-03-16 $127.94 $130.00 15.5% 4.4% 16.6% 53.5% 15.5% -0.4% -0.2% -63.0M 358.8M -8.3M 1.59 10.70 N/A N/A 16,246 25,875 358,829 439,301 2015-03-17 $129.00 $130.00 15.8% 4.5% 15.9% 56.5% 15.9% -0.2% -0.2% -19.9M 8.8M -8.4M 0.81 8.56 N/A N/A 25,305 20,495 364,382 448,804 2015-03-18 $131.49 $129.00 14.9% 4.3% 17.1% 48.1% 15.0% -0.3% -0.1% 133.1M -961.6M -8.4M 1.12 36.08 N/A N/A 60,055 67,417 376,212 457,523 2015-03-19 $130.82 $129.00 15.1% 4.3% 17.1% 49.8% 15.2% -0.4% -0.0% 117.9M -787.7M -8.7M 1.21 13.77 N/A N/A 34,848 42,012 396,042 469,937 2015-03-20 $131.51 $130.00 14.3% 4.1% 17.1% 43.1% 14.5% -0.5% 0.3% 173.9M -1.07B -8.5M 0.63 9.94 N/A N/A 39,825 25,015 397,809 484,064 2015-03-23 $131.35 $130.00 14.4% 4.1% 16.8% 44.5% 14.2% -0.5% 0.5% 69.4M -736.4M -7.9M 1.49 8.90 N/A N/A 24,168 36,075 256,866 306,673 2015-03-24 $132.62 $131.00 14.5% 4.2% 16.6% 45.3% 15.2% -0.4% 0.4% 91.8M -982.8M -7.8M 1.04 7.28 N/A N/A 27,188 28,161 270,498 330,407 2015-03-25 $131.50 $132.00 14.5% 4.3% 16.9% 45.3% 15.2% -0.5% 0.6% 49.2M -683.4M -9.0M 1.69 9.80 N/A N/A 13,420 22,741 282,231 348,234 2015-03-26 $129.46 $132.00 14.6% 4.3% 17.2% 45.2% 15.2% -0.7% 0.5% -35.2M 81.4M -8.7M 1.77 11.06 N/A N/A 29,222 51,662 285,166 359,893 2015-03-27 $131.06 $131.50 14.8% 4.4% 17.6% 46.8% 15.2% -0.6% 0.4% 59.0M -442.0M -8.7M 0.39 12.25 N/A N/A 54,777 21,533 288,590 371,585 2015-03-30 $130.35 $131.00 15.6% 4.5% 15.9% 53.5% 15.5% -0.7% -0.2% 4.5M -324.9M -9.1M 1.72 9.34 N/A N/A 13,626 23,476 308,327 353,311 2015-03-31 $130.57 $131.00 15.7% 4.4% 15.8% 54.6% 15.1% -0.6% -0.3% -11.2M -415.1M -9.6M 0.84 11.12 N/A N/A 22,458 18,912 311,478 363,905
« Feb 2015 | All History | Apr 2015 » Home TLT History March 2015