TLT Options History — July 2015 In July 2015, TLT traded between $115.70 and $122.66. ATM implied volatility averaged 14.9%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 3.7% (HV 20d: 18.6%). Max pain ranged from $118.00 to $121.50. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.05.
Notable Days 2015-07-27 : Highest Volume — 231,426 contracts2015-07-29 : Largest IV drop — 5.1% change2015-07-08 : Highest IV Rank — 68.8%2015-07-01 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $118.94 $115.70 $122.66 $115.74 $122.66 Max Pain $118.77 $118.00 $121.50 $119.00 $121.50 ATM IV 14.9% 13.0% 17.4% 16.7% 13.2% Expected Move 4.2% 3.6% 5.1% 5.1% 3.8% HV 20d 18.6% 14.7% 20.3% 18.8% 14.8% HV 60d 18.0% 17.2% 18.4% 17.2% 17.6% IV Rank 45.7% 25.8% 68.8% 63.1% 28.1% IV Percentile 65.4% 37.7% 98.4% 96.4% 40.5% Term Structure 0.0% -0.6% 0.8% 0.3% 0.7% VWIV 15.1% 12.8% 18.3% 18.3% 13.2% Skew 25d -0.1% -0.4% 0.3% 0.2% -0.2% Skew 10d -0.3% -1.2% 1.1% 0.4% -0.7% Call IV 25d 15.3% 13.2% 17.9% 16.9% 13.5% Put IV 25d 15.2% 13.0% 17.5% 17.1% 13.3% Bid-Ask Spread % 16.96 7.50 29.52 26.86 24.03 Gamma HHI 0.06 0.04 0.10 0.06 0.09 Net GEX 18.1M -158.9M 122.6M -158.9M 97.8M Net DEX 15.1M -1.22B 1.27B 1.27B -1.22B Net VEX -10.1M -12.3M -9.1M -9.8M -12.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.05 0.54 1.87 0.89 1.40 Total Volume 91,047.455 53,505 231,426 53,505 128,162 Total OI 836,200.364 743,068 1,032,019 813,305 1,032,019
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 2015-07-01 $115.74 $119.00 16.7% 5.1% 18.8% 63.1% 18.3% 0.2% 0.3% -158.9M 1.27B -9.8M 0.89 26.86 N/A N/A 28,285 25,220 368,353 444,952 2015-07-02 $116.06 $119.00 17.0% 5.1% 18.3% 65.0% 18.2% -0.1% 0.0% -119.8M 1.07B -9.8M 1.09 25.91 N/A N/A 34,005 36,919 380,817 449,182 2015-07-06 $118.11 $118.00 17.1% 4.7% 19.0% 66.0% 16.9% -0.1% -0.6% -15.9M 337.0M -9.7M 0.77 25.48 N/A N/A 55,720 42,915 361,931 401,405 2015-07-07 $119.26 $118.00 16.9% 4.7% 19.3% 64.5% 16.7% -0.4% -0.4% 32.8M -151.5M -9.8M 0.69 20.64 N/A N/A 67,877 47,155 370,299 403,717 2015-07-08 $120.28 $118.00 17.4% 4.8% 19.2% 68.8% 17.1% -0.4% -0.3% 68.6M -485.4M -10.2M 0.54 22.68 N/A N/A 40,366 21,640 385,559 408,138 2015-07-09 $117.98 $118.00 17.0% 4.7% 20.3% 65.5% 16.8% -0.3% -0.4% 7.8M 348.1M -10.1M 0.80 26.71 N/A N/A 40,240 32,309 390,925 412,058 2015-07-10 $115.89 $118.00 17.0% 4.7% 20.0% 65.6% 16.8% -0.1% -0.5% -97.3M 1.18B -9.7M 0.65 12.96 N/A N/A 67,943 43,914 398,734 418,483 2015-07-13 $115.70 $118.00 16.3% 4.5% 20.0% 59.2% 16.2% 0.2% -0.3% -98.9M 1.11B -9.3M 1.24 12.52 N/A N/A 34,594 42,764 393,984 402,324 2015-07-14 $116.08 $118.00 15.6% 4.4% 20.0% 52.7% 15.7% 0.1% -0.4% -77.4M 963.4M -9.1M 1.13 7.50 N/A N/A 26,914 30,452 401,814 407,178 2015-07-15 $117.30 $118.00 15.2% 4.3% 20.2% 49.2% 15.3% -0.2% -0.1% -31.7M 489.4M -9.5M 1.25 7.93 N/A N/A 45,063 56,387 403,774 421,268 2015-07-16 $118.11 $118.00 14.5% 4.1% 20.3% 43.2% 14.5% -0.3% -0.3% 19.4M 150.0M -9.6M 1.41 8.21 N/A N/A 33,743 47,610 418,648 439,991 2015-07-17 $118.73 $118.00 13.9% 3.9% 20.2% 35.6% 14.0% -0.1% -0.4% 32.2M -46.4M -9.6M 0.77 8.37 N/A N/A 59,748 46,083 422,321 453,545 2015-07-20 $118.21 $118.00 14.1% 4.0% 19.7% 37.5% 14.3% 0.3% -0.1% 26.3M 134.1M -9.5M 0.79 14.02 N/A N/A 34,586 27,261 368,455 374,613 2015-07-21 $118.79 $118.00 13.5% 3.9% 18.8% 32.1% 13.8% 0.3% 0.1% 42.3M -31.8M -9.6M 0.56 13.65 N/A N/A 38,054 21,337 378,231 387,689 2015-07-22 $119.57 $118.00 13.2% 3.8% 18.5% 29.2% 13.5% 0.1% 0.1% 78.2M -419.1M -9.8M 0.96 10.57 N/A N/A 35,898 34,509 380,237 385,777 2015-07-23 $121.05 $118.00 13.3% 3.8% 18.7% 30.0% 13.9% 0.1% 0.1% 120.4M -881.4M -9.8M 1.23 11.73 N/A N/A 53,201 65,339 384,699 386,976 2015-07-24 $121.41 $118.00 13.5% 3.8% 18.6% 31.9% 13.6% -0.2% 0.2% 122.6M -1.07B -9.8M 0.93 10.67 N/A N/A 36,589 33,991 403,013 404,881 2015-07-27 $122.03 $119.00 13.8% 4.0% 17.9% 34.8% 14.5% -0.0% 0.8% 115.5M -976.9M -9.5M 1.37 8.38 N/A N/A 97,612 133,814 386,788 398,847 2015-07-28 $121.23 $121.50 13.7% 3.8% 15.9% 32.4% 14.0% -0.3% 0.6% 72.9M -597.9M -12.1M 1.16 16.62 N/A N/A 46,007 53,386 456,955 495,201 2015-07-29 $120.78 $121.50 13.0% 3.6% 15.8% 25.8% 12.8% -0.1% 0.6% 64.1M -185.0M -12.3M 1.87 29.52 N/A N/A 28,498 53,399 481,551 513,124 2015-07-30 $121.64 $121.50 13.0% 3.7% 14.7% 25.9% 13.0% -0.4% 0.6% 98.3M -650.2M -12.2M 1.65 28.06 N/A N/A 27,784 45,751 488,198 529,754 2015-07-31 $122.66 $121.50 13.2% 3.8% 14.8% 28.1% 13.2% -0.2% 0.7% 97.8M -1.22B -12.0M 1.40 24.03 N/A N/A 53,450 74,712 495,727 536,292
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