TLT Options History — August 2015 In August 2015, TLT traded between $121.48 and $126.34. ATM implied volatility averaged 14.8%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.3% (HV 20d: 13.4%). Max pain ranged from $121.00 to $123.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.36.
Notable Days 2015-08-21 : Highest Volume — 159,613 contracts2015-08-20 : Largest IV spike — 6.7% change2015-08-26 : Highest IV Rank — 65.4%2015-08-26 : Largest Expected Move — 5.2%Monthly Statistics Metric Avg Min Max Open Close Price $123.68 $121.48 $126.34 $123.55 $121.48 Max Pain $122.05 $121.00 $123.00 $121.50 $123.00 ATM IV 14.8% 13.1% 17.2% 14.1% 16.1% Expected Move 4.3% 3.7% 5.2% 4.0% 4.7% HV 20d 13.4% 10.5% 15.8% 13.9% 15.3% HV 60d 16.7% 16.1% 17.6% 17.5% 16.1% IV Rank 42.8% 27.1% 65.4% 36.3% 55.2% IV Percentile 61.6% 36.9% 97.2% 50.4% 81.3% Term Structure 0.0% -0.8% 1.2% -0.1% -0.8% VWIV 15.5% 13.2% 18.7% 14.2% 16.7% Skew 25d 0.1% -1.0% 0.7% -0.1% 0.5% Skew 10d 0.0% -3.2% 3.8% -0.1% 3.8% Call IV 25d 15.1% 13.0% 17.7% 14.4% 16.2% Put IV 25d 15.1% 13.4% 18.2% 14.4% 16.6% Bid-Ask Spread % 28.19 7.32 48.31 48.31 40.03 Gamma HHI 0.08 0.06 0.16 0.08 0.11 Net GEX 37.9M -192.6M 418.3M 97.7M -114.9M Net DEX -604.7M -2.35B 1.15B -1.12B 1.08B Net VEX -12.1M -13.8M -11.1M -12.1M -12.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.36 0.42 2.79 0.86 0.69 Total Volume 99,387.524 61,369 159,613 103,960 93,893 Total OI 1,123,242.476 967,264 1,274,151 967,264 1,142,500
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 2015-08-03 $123.55 $121.50 14.1% 4.0% 13.9% 36.3% 14.2% -0.1% -0.1% 97.7M -1.12B -12.1M 0.86 48.31 N/A N/A 55,999 47,961 459,246 508,018 2015-08-04 $122.56 $121.50 14.0% 3.9% 14.1% 35.2% 13.6% 0.2% -0.2% 28.6M -406.1M -12.1M 2.79 38.60 N/A N/A 21,405 59,707 433,147 540,566 2015-08-05 $121.63 $122.00 13.9% 3.7% 14.1% 34.7% 13.2% 0.7% -0.3% -33.9M 187.6M -12.3M 2.50 7.32 N/A N/A 19,939 49,795 440,965 559,880 2015-08-06 $122.73 $121.00 13.8% 4.1% 12.3% 33.7% 14.3% -0.1% -0.1% 26.5M -460.5M -12.0M 2.02 28.20 N/A N/A 28,751 58,164 444,594 566,588 2015-08-07 $124.35 $121.00 13.5% 4.0% 10.5% 30.7% 16.2% 0.2% -0.2% 66.1M -1.23B -11.7M 2.72 27.62 N/A N/A 37,294 101,454 452,199 592,732 2015-08-10 $122.81 $121.00 13.1% 3.9% 11.8% 27.1% 13.9% 0.4% 0.6% -29.8M -131.9M -11.9M 1.36 23.49 N/A N/A 30,272 41,132 446,029 594,757 2015-08-11 $124.75 $122.00 13.4% 4.2% 12.6% 30.0% 14.7% -0.1% 1.2% 55.8M -1.27B -11.1M 0.42 26.41 N/A N/A 96,506 40,367 450,230 603,713 2015-08-12 $124.06 $122.00 13.7% 4.2% 12.8% 33.0% 14.7% 0.0% 0.9% 72.1M -1.12B -12.1M 0.97 34.30 N/A N/A 47,297 45,783 519,466 620,796 2015-08-13 $123.70 $122.00 13.8% 4.1% 12.8% 33.7% 14.4% -0.1% 0.5% 66.9M -798.4M -12.6M 0.89 37.22 N/A N/A 40,808 36,402 534,271 634,735 2015-08-14 $123.89 $122.00 13.4% 4.0% 12.8% 29.9% 14.8% 0.1% 0.6% 50.2M -1.01B -12.0M 1.32 29.25 N/A N/A 32,098 42,297 535,508 638,678 2015-08-17 $124.44 $122.00 13.9% 4.0% 12.6% 34.6% 14.5% -0.1% -0.3% 111.1M -1.22B -11.3M 0.99 18.31 N/A N/A 35,858 35,665 519,911 625,394 2015-08-18 $123.51 $122.00 14.0% 4.0% 13.0% 35.0% 14.8% 0.2% -0.2% 29.5M -506.9M -11.6M 1.24 12.72 N/A N/A 46,904 58,096 534,585 642,527 2015-08-19 $124.72 $122.00 14.1% 4.0% 13.2% 36.2% 14.6% -0.1% -0.3% 178.1M -1.34B -12.1M 0.56 9.56 N/A N/A 39,228 22,141 555,336 659,581 2015-08-20 $126.02 $122.00 15.0% 4.3% 13.0% 45.1% 15.3% -0.3% -0.4% 319.3M -2.28B -11.2M 2.01 11.98 N/A N/A 40,823 82,052 566,500 667,307 2015-08-21 $126.34 $122.00 15.9% 4.6% 13.0% 53.4% 16.3% -0.5% -0.4% 418.3M -2.35B -11.9M 1.13 37.71 N/A N/A 74,868 84,745 574,505 699,646 2015-08-24 $126.29 $123.00 16.9% 4.9% 13.0% 62.7% 17.2% -1.0% -0.5% 32.2M -1.56B -11.6M 0.84 46.19 N/A N/A 68,556 57,564 477,842 602,195 2015-08-25 $124.04 $122.00 16.8% 5.0% 14.5% 62.0% 17.6% -0.3% 0.3% -49.0M -319.6M -12.5M 1.30 34.39 N/A N/A 54,288 70,818 502,733 618,495 2015-08-26 $121.92 $123.00 17.2% 5.2% 15.8% 65.4% 18.7% 0.6% 0.0% -152.6M 1.08B -13.4M 1.40 27.04 N/A N/A 53,930 75,667 521,937 659,638 2015-08-27 $122.06 $123.00 17.1% 5.0% 15.6% 63.9% 17.7% 0.6% 0.3% -192.6M 1.15B -13.8M 1.56 26.23 N/A N/A 34,573 54,088 526,358 690,956 2015-08-28 $122.39 $123.00 16.8% 5.0% 15.4% 61.8% 17.2% 0.6% 0.2% -183.0M 921.1M -13.2M 0.93 27.13 N/A N/A 36,264 33,686 531,211 692,817 2015-08-31 $121.48 $123.00 16.1% 4.7% 15.3% 55.2% 16.7% 0.5% -0.8% -114.9M 1.08B -12.4M 0.69 40.03 N/A N/A 55,476 38,417 507,824 634,676
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