TLT Options History — May 2015

In May 2015, TLT traded between $118.49 and $124.02. ATM implied volatility averaged 15.8%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 0.8% (HV 20d: 16.6%). Max pain ranged from $123.00 to $130.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.15.

Notable Days

  • 2015-05-12: Highest Volume — 193,848 contracts
  • 2015-05-11: Largest IV spike — 13.4% change
  • 2015-05-19: Highest IV Rank — 63.3%
  • 2015-05-18: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.11$118.49$124.02$124.02$122.74
Max Pain$124.70$123.00$130.00$130.00$123.00
ATM IV15.8%14.3%16.7%14.8%15.3%
Expected Move4.6%4.2%4.8%4.6%4.5%
HV 20d16.6%12.9%19.7%13.5%18.8%
HV 60d16.0%14.8%16.7%15.2%16.2%
IV Rank55.6%42.4%63.3%47.1%51.0%
IV Percentile85.6%70.2%96.4%77.0%74.6%
Term Structure0.0%-0.6%0.5%0.5%0.3%
VWIV16.3%15.0%17.0%16.1%16.2%
Skew 25d0.5%-0.2%1.2%0.9%0.1%
Skew 10d0.7%-0.9%2.5%2.1%-0.4%
Call IV 25d15.9%14.0%17.2%14.6%15.4%
Put IV 25d16.4%14.9%17.3%15.5%15.5%
Bid-Ask Spread %23.6016.3055.1455.1418.10
Gamma HHI0.060.050.210.210.05
Net GEX-83.2M-196.1M82.3M-196.1M82.3M
Net DEX1.24B-280.0M2.44B1.33B-280.0M
Net VEX-11.4M-12.6M-9.5M-9.5M-11.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.541.811.771.33
Total Volume117,438.4569,249193,848144,093137,421
Total OI935,401.75711,6441,070,007727,3101,063,155

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$124.02$130.0014.8%4.6%13.5%47.1%16.1%0.9%0.5%-196.1M1.33B-9.5M1.7755.14N/AN/A52,08592,008351,614375,696
2015-05-04$122.83$129.0015.7%4.5%13.7%54.7%16.0%0.8%0.4%-117.4M1.45B-9.8M1.0427.34N/AN/A40,80442,521328,863382,781
2015-05-05$122.72$127.0016.2%4.5%12.9%58.7%16.1%1.1%-0.4%-114.7M1.50B-9.8M1.0227.37N/AN/A63,44764,845350,682402,188
2015-05-06$120.76$126.0016.5%4.7%13.6%61.4%16.6%1.1%-0.2%-121.1M1.97B-9.8M1.0922.65N/AN/A57,97762,967380,895424,563
2015-05-07$122.19$126.0015.7%4.6%14.3%54.3%16.3%0.7%-0.1%-98.0M1.43B-10.9M1.0125.26N/AN/A79,60080,395409,282441,178
2015-05-08$122.51$125.0014.3%4.2%14.3%42.4%15.0%0.9%-0.0%-27.5M1.26B-11.0M0.8519.66N/AN/A58,75850,208439,295474,744
2015-05-11$119.53$125.0016.2%4.7%16.1%59.0%16.8%0.8%0.5%-109.5M2.03B-10.6M1.8120.01N/AN/A51,65593,521424,591444,027
2015-05-12$120.02$125.0016.2%4.7%15.9%58.6%16.6%1.2%0.1%-133.8M2.04B-11.2M1.6924.66N/AN/A72,100121,748447,210487,399
2015-05-13$118.90$125.0016.3%4.7%16.0%60.2%16.6%1.0%0.1%-152.0M2.44B-11.4M0.9625.36N/AN/A81,19778,117473,453522,273
2015-05-14$119.18$124.0015.8%4.6%16.2%55.2%16.3%0.7%0.5%-155.8M2.33B-12.1M1.0339.11N/AN/A39,11040,162511,574549,772
2015-05-15$121.62$124.0015.5%4.5%17.7%52.9%15.9%-0.1%0.4%-17.1M1.04B-12.6M1.3024.09N/AN/A57,65175,014516,354553,653
2015-05-18$119.55$124.0016.7%4.8%18.3%62.8%16.8%-0.1%-0.6%-121.0M1.30B-12.0M1.0219.01N/AN/A59,13560,496431,882478,099
2015-05-19$118.49$123.0016.7%4.8%18.4%63.3%17.0%0.1%-0.6%-144.2M1.72B-12.1M1.2317.71N/AN/A40,80450,204464,781498,001
2015-05-20$118.79$123.0016.6%4.8%17.9%62.3%16.7%0.4%-0.6%-134.7M1.69B-12.5M1.0018.51N/AN/A53,05453,183487,160520,861
2015-05-21$120.36$123.0016.1%4.6%18.7%58.3%16.4%-0.1%-0.4%-69.1M827.8M-12.6M0.9618.55N/AN/A35,26033,989490,394520,744
2015-05-22$120.40$123.0015.7%4.5%18.4%54.6%16.0%0.3%-0.3%-90.1M943.2M-12.6M0.8618.01N/AN/A38,30032,938494,257529,453
2015-05-26$122.40$123.0015.7%4.6%19.7%54.9%16.5%-0.2%0.3%-9.3M-61.5M-12.1M0.5416.30N/AN/A68,29136,696476,809501,281
2015-05-27$122.74$123.0015.1%4.5%19.3%49.7%15.8%0.0%0.5%43.8M-154.0M-11.6M1.1717.95N/AN/A55,31764,794500,003509,989
2015-05-28$122.45$123.0015.3%4.6%18.8%51.0%16.1%0.4%0.4%21.1M-14.0M-12.5M1.4117.11N/AN/A30,31142,686514,110534,969
2015-05-29$122.74$123.0015.3%4.5%18.8%51.0%16.2%0.1%0.3%82.3M-280.0M-11.8M1.3318.10N/AN/A59,00378,418522,116541,039