TLT Options History — April 2015 In April 2015, TLT traded between $125.71 and $132.18. ATM implied volatility averaged 13.8%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 0.4% (HV 20d: 14.3%). Max pain ranged from $130.00 to $132.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.21.
Notable Days 2015-04-29 : Highest Volume — 129,292 contracts2015-04-24 : Largest IV drop — 5.4% change2015-04-01 : Highest IV Rank — 56.5%2015-04-01 : Largest Expected Move — 4.6%Monthly Statistics Metric Avg Min Max Open Close Price $129.53 $125.71 $132.18 $132.18 $125.95 Max Pain $130.10 $130.00 $132.00 $132.00 $130.00 ATM IV 13.8% 12.6% 15.9% 15.9% 13.8% Expected Move 4.0% 3.7% 4.6% 4.6% 4.3% HV 20d 14.3% 12.5% 16.8% 16.2% 13.0% HV 60d 16.1% 14.9% 17.0% 17.0% 14.9% IV Rank 38.6% 28.1% 56.5% 56.5% 38.1% IV Percentile 71.0% 61.1% 90.1% 90.1% 70.6% Term Structure -0.1% -0.3% 0.6% -0.3% 0.6% VWIV 14.2% 13.1% 16.1% 16.1% 15.0% Skew 25d -0.4% -0.9% 0.3% -0.5% 0.2% Skew 10d -0.5% -1.5% 1.7% -1.1% 1.7% Call IV 25d 14.2% 13.2% 16.1% 16.1% 13.9% Put IV 25d 13.8% 12.7% 15.6% 15.6% 14.1% Bid-Ask Spread % 13.63 6.64 49.45 49.45 12.80 Gamma HHI 0.07 0.05 0.22 0.06 0.06 Net GEX -11.2M -120.3M 186.0M 80.8M -78.5M Net DEX -110.1M -895.1M 865.3M -895.1M 744.1M Net VEX -9.1M -10.0M -8.1M -9.1M -9.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.21 0.69 2.25 0.93 1.25 Total Volume 72,011.143 33,419 129,292 66,970 114,350 Total OI 683,739.143 592,679 771,546 678,090 693,233
Daily Data (21 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 2015-04-01 $132.18 $132.00 15.9% 4.6% 16.2% 56.5% 16.1% -0.5% -0.3% 80.8M -895.1M -9.1M 0.93 49.45 N/A N/A 34,746 32,224 309,378 368,712 2015-04-02 $130.75 $130.00 15.5% 4.4% 16.8% 52.6% 14.8% -0.4% -0.2% 31.5M -446.1M -10.0M 0.69 9.85 N/A N/A 54,667 37,573 322,470 378,528 2015-04-06 $129.97 $130.00 14.9% 4.2% 14.8% 47.5% 14.6% -0.4% -0.3% 19.5M -209.6M -9.5M 1.39 17.52 N/A N/A 36,357 50,597 328,843 357,773 2015-04-07 $131.18 $130.00 14.9% 4.2% 14.9% 48.0% 15.0% -0.9% -0.3% 66.1M -590.7M -9.2M 0.73 11.86 N/A N/A 36,174 26,300 328,987 378,100 2015-04-08 $131.13 $130.00 14.3% 4.1% 14.4% 42.5% 14.3% -0.8% -0.2% 75.1M -558.5M -9.4M 0.82 11.95 N/A N/A 18,370 15,049 342,476 383,115 2015-04-09 $129.40 $130.00 14.0% 4.0% 15.2% 39.6% 14.0% -0.5% -0.2% -63.4M 110.2M -9.3M 1.37 26.01 N/A N/A 27,337 37,494 348,876 388,628 2015-04-10 $129.62 $130.00 13.8% 3.9% 15.2% 37.8% 14.1% -0.1% -0.1% -72.4M 27.3M -9.3M 1.76 8.75 N/A N/A 33,800 59,456 351,547 400,958 2015-04-13 $129.85 $130.00 14.0% 4.0% 15.1% 39.4% 14.3% -0.4% -0.0% -40.5M -66.4M -8.3M 1.19 6.64 N/A N/A 17,334 20,605 316,173 381,173 2015-04-14 $130.72 $130.00 13.7% 3.9% 14.9% 37.0% 13.9% -0.4% -0.2% 5.5M -401.7M -8.8M 1.07 9.82 N/A N/A 39,520 42,143 318,295 385,280 2015-04-15 $130.57 $130.00 13.3% 3.8% 14.7% 34.0% 13.7% -0.4% -0.2% -3.0M -315.0M -8.9M 1.82 8.53 N/A N/A 19,872 36,162 325,380 403,127 2015-04-16 $130.18 $130.00 13.4% 3.9% 13.0% 34.6% 13.5% -0.2% -0.3% -41.5M -157.2M -8.1M 2.25 11.58 N/A N/A 33,646 75,577 328,319 409,379 2015-04-17 $131.48 $130.00 13.8% 4.0% 13.4% 37.8% 14.1% -0.5% -0.3% 186.0M -628.8M -9.4M 0.98 10.83 N/A N/A 42,309 41,284 339,562 431,984 2015-04-20 $130.37 $130.00 13.6% 4.0% 13.6% 36.2% 14.0% -0.8% -0.3% 5.1M -398.1M -9.2M 1.06 10.86 N/A N/A 29,050 30,798 280,998 311,681 2015-04-21 $129.73 $130.00 13.3% 3.9% 13.7% 33.8% 13.7% -0.7% -0.3% -17.0M -218.7M -9.4M 1.11 8.53 N/A N/A 21,598 23,963 289,320 322,713 2015-04-22 $127.58 $130.00 13.4% 3.9% 14.2% 34.7% 14.0% -0.2% -0.3% -79.2M 438.7M -9.4M 1.03 10.77 N/A N/A 35,553 36,583 292,234 326,041 2015-04-23 $128.21 $130.00 13.4% 3.9% 14.2% 34.4% 13.9% -0.4% -0.2% -71.8M 208.5M -9.4M 1.39 11.25 N/A N/A 26,783 37,279 301,821 333,040 2015-04-24 $129.00 $130.00 12.6% 3.7% 13.4% 28.1% 13.1% -0.5% -0.2% -49.2M -78.4M -9.2M 1.09 12.41 N/A N/A 27,780 30,154 310,887 342,582 2015-04-27 $129.17 $130.00 13.0% 3.9% 12.5% 31.1% 13.8% -0.3% 0.6% 1.0M -147.7M -8.7M 1.25 9.37 N/A N/A 17,582 21,974 300,437 329,963 2015-04-28 $127.35 $130.00 13.1% 3.9% 13.3% 32.2% 14.2% -0.1% 0.6% -68.5M 406.4M -8.6M 1.14 12.60 N/A N/A 28,481 32,418 303,728 336,234 2015-04-29 $125.71 $130.00 13.4% 4.1% 13.9% 34.2% 14.7% 0.3% 0.6% -120.3M 865.3M -9.2M 1.15 14.86 N/A N/A 60,035 69,257 311,929 344,618 2015-04-30 $125.95 $130.00 13.8% 4.3% 13.0% 38.1% 15.0% 0.2% 0.6% -78.5M 744.1M -9.6M 1.25 12.80 N/A N/A 50,925 63,425 333,202 360,031
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