TLT Options History — June 2015 In June 2015, TLT traded between $115.21 and $121.18. ATM implied volatility averaged 15.7%, placing in the 54.8% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 2.2% (HV 20d: 18.0%). Max pain ranged from $119.00 to $123.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.08.
Notable Days 2015-06-03 : Highest Volume — 166,204 contracts2015-06-29 : Largest IV spike — 10.7% change2015-06-29 : Highest IV Rank — 70.6%2015-06-29 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $117.70 $115.21 $121.18 $121.18 $117.47 Max Pain $120.16 $119.00 $123.00 $123.00 $119.00 ATM IV 15.7% 15.0% 17.6% 15.9% 17.3% Expected Move 4.6% 4.3% 5.5% 4.7% 5.3% HV 20d 18.0% 16.4% 19.7% 18.6% 19.0% HV 60d 16.4% 16.1% 17.1% 16.4% 17.1% IV Rank 54.8% 48.6% 70.6% 56.2% 68.0% IV Percentile 79.0% 66.7% 98.8% 85.3% 98.4% Term Structure -0.1% -0.5% 0.3% -0.3% 0.1% VWIV 16.3% 15.2% 19.4% 16.6% 18.9% Skew 25d 0.4% -0.2% 1.1% 0.4% -0.2% Skew 10d 0.8% -1.3% 1.8% 0.7% -1.3% Call IV 25d 15.8% 15.1% 18.0% 16.0% 17.7% Put IV 25d 16.3% 15.5% 17.9% 16.4% 17.5% Bid-Ask Spread % 13.10 8.03 37.93 18.46 37.93 Gamma HHI 0.06 0.04 0.09 0.05 0.05 Net GEX -108.6M -239.4M -28.5M -28.5M -59.7M Net DEX 1.37B 329.9M 2.71B 626.3M 585.7M Net VEX -10.6M -12.4M -9.4M -12.4M -10.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.08 0.56 1.82 0.78 1.69 Total Volume 86,097.636 45,393 166,204 82,994 69,631 Total OI 969,812 702,451 1,132,967 1,012,746 794,885
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 2015-06-01 $121.18 $123.00 15.9% 4.7% 18.6% 56.2% 16.6% 0.4% -0.3% -28.5M 626.3M -12.4M 0.78 18.46 N/A N/A 46,547 36,447 504,541 508,205 2015-06-02 $119.44 $123.00 16.2% 4.7% 19.0% 58.8% 16.8% 0.4% -0.5% -106.9M 1.38B -11.9M 0.95 16.30 N/A N/A 48,163 45,970 505,769 514,443 2015-06-03 $117.50 $122.50 16.3% 4.9% 19.7% 59.9% 17.4% 0.8% -0.4% -177.2M 2.13B -11.3M 1.07 16.71 N/A N/A 80,146 86,058 503,319 527,687 2015-06-04 $118.94 $121.00 16.3% 4.6% 19.6% 59.8% 15.9% 0.7% -0.5% -94.5M 1.33B -12.2M 0.87 14.49 N/A N/A 67,196 58,596 538,902 551,514 2015-06-05 $117.65 $121.00 15.4% 4.3% 19.3% 51.9% 15.3% 0.5% -0.3% -239.4M 2.01B -11.6M 1.12 10.18 N/A N/A 45,435 50,946 559,907 573,060 2015-06-08 $117.50 $121.00 15.5% 4.5% 19.2% 53.3% 15.9% 1.0% 0.3% -145.9M 1.92B -10.8M 0.93 8.03 N/A N/A 25,048 23,362 507,518 538,491 2015-06-09 $116.52 $120.00 15.6% 4.4% 17.5% 54.0% 15.6% 0.8% -0.0% -184.0M 2.32B -10.9M 1.74 9.78 N/A N/A 35,570 61,771 513,596 543,871 2015-06-10 $115.50 $120.00 16.0% 4.6% 17.6% 57.0% 16.2% 1.1% -0.0% -195.7M 2.71B -10.1M 1.10 11.09 N/A N/A 45,182 49,666 525,139 554,612 2015-06-11 $117.88 $120.00 15.2% 4.3% 19.0% 50.4% 15.4% 0.4% -0.1% -104.0M 1.55B -10.9M 1.09 10.59 N/A N/A 47,540 51,600 542,106 559,273 2015-06-12 $117.84 $120.00 15.3% 4.4% 19.0% 51.1% 15.6% 0.2% -0.0% -113.9M 1.55B -11.0M 0.71 10.01 N/A N/A 45,734 32,457 546,987 565,504 2015-06-15 $118.15 $120.00 15.5% 4.4% 17.4% 53.2% 15.7% 0.4% -0.3% -98.0M 1.31B -10.6M 1.41 8.91 N/A N/A 27,646 39,038 522,726 533,463 2015-06-16 $118.99 $120.00 15.3% 4.4% 16.6% 51.2% 15.9% 0.3% 0.0% -66.0M 954.1M -10.3M 1.82 8.28 N/A N/A 30,620 55,798 523,196 538,546 2015-06-17 $118.20 $120.00 15.1% 4.3% 16.5% 49.2% 15.2% 0.4% -0.2% -91.3M 1.42B -10.0M 0.58 18.04 N/A N/A 84,840 49,035 518,217 538,909 2015-06-18 $117.51 $120.00 15.0% 4.3% 16.6% 48.6% 15.4% 0.5% -0.3% -89.8M 1.66B -9.9M 0.88 11.50 N/A N/A 38,887 34,223 551,993 539,906 2015-06-19 $119.04 $119.00 15.3% 4.4% 16.5% 50.3% 15.9% 0.3% -0.3% -35.2M 788.6M -10.4M 0.71 12.48 N/A N/A 42,808 30,191 557,417 542,066 2015-06-22 $117.00 $119.00 15.4% 4.5% 17.6% 51.4% 15.9% 0.4% 0.1% -53.9M 902.3M -9.7M 1.00 9.29 N/A N/A 22,733 22,660 328,738 373,713 2015-06-23 $115.95 $119.00 15.4% 4.5% 16.4% 51.6% 15.8% 0.6% 0.2% -90.8M 1.25B -9.4M 1.63 10.21 N/A N/A 25,759 41,911 334,691 385,029 2015-06-24 $117.01 $119.00 15.2% 4.5% 16.8% 49.6% 16.0% 0.3% 0.0% -84.4M 876.8M -10.0M 0.56 11.07 N/A N/A 36,273 20,478 339,537 403,497 2015-06-25 $116.58 $119.00 15.7% 4.7% 16.8% 54.0% 16.5% 0.1% -0.1% -99.7M 1.01B -10.1M 1.34 13.25 N/A N/A 22,628 30,420 354,487 406,845 2015-06-26 $115.21 $119.00 15.9% 4.7% 17.1% 55.8% 16.7% 0.1% -0.1% -178.5M 1.52B -9.7M 0.96 9.06 N/A N/A 53,672 51,576 360,714 421,331 2015-06-29 $118.24 $119.00 17.6% 5.5% 19.5% 70.6% 19.4% -0.1% 0.0% -51.0M 329.9M -10.7M 0.79 12.48 N/A N/A 44,626 35,261 360,318 421,196 2015-06-30 $117.47 $119.00 17.3% 5.3% 19.0% 68.0% 18.9% -0.2% 0.1% -59.7M 585.7M -10.1M 1.69 37.93 N/A N/A 25,862 43,769 364,364 430,521
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