TLT Options History — September 2015 In September 2015, TLT traded between $118.84 and $124.01. ATM implied volatility averaged 15.2%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.2% (HV 20d: 15.4%). Max pain ranged from $121.00 to $123.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.15.
Notable Days 2015-09-18 : Highest Volume — 242,735 contracts2015-09-17 : Largest IV drop — 7.5% change2015-09-01 : Highest IV Rank — 61.9%2015-09-01 : Largest Expected Move — 5.0%Monthly Statistics Metric Avg Min Max Open Close Price $121.56 $118.84 $124.01 $121.90 $123.57 Max Pain $121.71 $121.00 $123.00 $123.00 $121.00 ATM IV 15.2% 13.9% 16.8% 16.8% 14.8% Expected Move 4.3% 4.0% 5.0% 5.0% 4.1% HV 20d 15.4% 13.5% 17.8% 15.2% 16.8% HV 60d 15.8% 15.2% 16.4% 16.1% 15.2% IV Rank 46.3% 34.3% 61.9% 61.9% 42.5% IV Percentile 59.4% 38.1% 92.9% 92.9% 47.6% Term Structure -0.0% -0.6% 0.6% -0.4% 0.6% VWIV 15.3% 14.1% 17.5% 17.5% 14.4% Skew 25d -0.1% -0.9% 0.7% 0.4% -0.6% Skew 10d 0.1% -1.1% 1.2% 0.4% 0.2% Call IV 25d 15.4% 14.3% 16.8% 16.8% 15.2% Put IV 25d 15.4% 14.0% 17.2% 17.2% 14.6% Bid-Ask Spread % 19.50 7.68 47.53 47.53 10.55 Gamma HHI 0.12 0.08 0.27 0.09 0.09 Net GEX -44.0M -373.6M 340.6M -86.7M 236.0M Net DEX 379.6M -1.61B 2.60B 669.5M -1.56B Net VEX -11.0M -13.0M -9.4M -12.8M -10.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.15 0.48 1.87 1.47 1.55 Total Volume 88,106.905 38,175 242,735 77,084 55,035 Total OI 1,109,291.667 916,203 1,399,044 1,165,927 968,022
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 2015-09-01 $121.90 $123.00 16.8% 5.0% 15.2% 61.9% 17.5% 0.4% -0.4% -86.7M 669.5M -12.8M 1.47 47.53 N/A N/A 31,187 45,897 517,940 647,987 2015-09-02 $121.06 $123.00 16.6% 4.7% 15.1% 59.8% 16.8% 0.3% -0.3% -158.3M 1.33B -13.0M 1.85 42.14 N/A N/A 24,271 44,850 524,100 663,843 2015-09-03 $121.50 $122.00 16.1% 4.4% 14.8% 54.6% 15.7% 0.7% -0.4% -134.0M 1.10B -12.6M 1.18 34.59 N/A N/A 29,605 35,075 526,606 676,181 2015-09-04 $122.63 $122.00 15.5% 4.3% 14.4% 49.2% 15.2% 0.4% -0.3% -43.0M 226.3M -12.2M 1.19 37.28 N/A N/A 31,248 37,073 529,772 688,891 2015-09-08 $120.87 $123.00 15.6% 4.5% 14.6% 50.0% 15.6% 0.4% -0.0% -201.4M 1.37B -11.4M 1.87 23.84 N/A N/A 15,252 28,477 507,622 667,935 2015-09-09 $121.44 $122.00 15.8% 4.4% 13.5% 52.1% 15.9% 0.6% -0.3% -186.0M 1.08B -11.4M 1.19 22.34 N/A N/A 22,286 26,622 510,397 678,424 2015-09-10 $120.69 $122.00 15.4% 4.3% 13.5% 48.5% 15.2% 0.2% -0.4% -265.8M 1.51B -10.9M 1.03 27.09 N/A N/A 25,836 26,605 511,989 678,438 2015-09-11 $121.35 $122.00 15.1% 4.2% 13.7% 45.4% 14.8% -0.2% -0.5% -153.7M 972.4M -10.4M 0.89 14.90 N/A N/A 31,180 27,630 512,025 676,088 2015-09-14 $121.61 $122.00 15.0% 4.3% 13.7% 45.2% 15.3% -0.1% -0.4% -140.1M 727.9M -9.8M 0.83 7.68 N/A N/A 20,846 17,329 496,600 650,854 2015-09-15 $119.25 $122.00 15.6% 4.4% 15.0% 50.2% 15.7% 0.0% -0.6% -292.9M 2.29B -9.4M 1.29 12.75 N/A N/A 60,741 78,593 506,327 654,917 2015-09-16 $118.84 $122.00 15.5% 4.4% 14.9% 49.3% 16.3% -0.2% -0.4% -318.5M 2.60B -9.8M 1.00 9.61 N/A N/A 37,199 37,052 546,286 685,695 2015-09-17 $120.26 $122.00 14.3% 4.1% 15.2% 38.5% 14.6% 0.0% -0.0% -373.6M 1.62B -9.6M 0.48 22.42 N/A N/A 162,029 77,836 547,939 703,804 2015-09-18 $122.11 $121.00 14.2% 4.1% 15.8% 37.7% 14.6% -0.4% -0.2% 340.6M -674.4M -10.8M 0.92 15.13 N/A N/A 126,622 116,113 667,687 731,357 2015-09-21 $120.12 $121.00 13.9% 4.0% 16.5% 34.3% 14.1% -0.3% 0.3% 20.7M 268.6M -10.6M 1.25 11.64 N/A N/A 36,295 45,492 453,762 462,441 2015-09-22 $122.10 $121.00 14.1% 4.1% 17.8% 36.5% 14.5% -0.4% 0.4% 136.7M -834.5M -10.9M 0.80 10.17 N/A N/A 42,321 33,693 462,893 471,730 2015-09-23 $121.80 $121.00 14.2% 4.1% 16.8% 37.5% 14.5% -0.1% 0.4% 104.1M -438.2M -11.1M 1.59 12.32 N/A N/A 27,440 43,532 457,560 485,862 2015-09-24 $122.55 $121.00 14.5% 4.2% 15.8% 39.9% 14.9% -0.5% 0.4% 143.7M -915.7M -10.8M 1.25 12.26 N/A N/A 49,265 61,768 464,807 490,258 2015-09-25 $121.59 $121.00 14.5% 4.1% 16.0% 39.9% 14.5% -0.2% 0.4% 72.1M -282.1M -11.1M 1.23 11.72 N/A N/A 33,729 41,520 473,118 499,209 2015-09-28 $123.52 $121.00 15.3% 4.5% 17.0% 47.4% 15.5% -0.9% 0.4% 178.2M -1.48B -10.5M 0.61 11.38 N/A N/A 66,345 40,208 457,853 474,015 2015-09-29 $124.01 $121.00 15.8% 4.5% 16.8% 52.4% 15.6% -0.7% 0.2% 197.2M -1.61B -11.1M 0.73 12.10 N/A N/A 32,467 23,681 482,106 481,785 2015-09-30 $123.57 $121.00 14.8% 4.1% 16.8% 42.5% 14.4% -0.6% 0.6% 236.0M -1.56B -10.3M 1.55 10.55 N/A N/A 21,566 33,469 485,387 482,635
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