TLT Options History — October 2015 In October 2015, TLT traded between $121.87 and $124.53. ATM implied volatility averaged 13.6%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 0.1% (HV 20d: 13.5%). Max pain ranged from $121.00 to $125.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.28.
Notable Days 2015-10-02 : Highest Volume — 149,010 contracts2015-10-21 : Largest IV drop — 4.8% change2015-10-01 : Highest IV Rank — 44.8%2015-10-01 : Largest Expected Move — 4.2%Monthly Statistics Metric Avg Min Max Open Close Price $123.43 $121.87 $124.53 $123.99 $122.65 Max Pain $123.68 $121.00 $125.00 $121.00 $123.00 ATM IV 13.6% 12.5% 15.0% 15.0% 12.5% Expected Move 3.9% 3.6% 4.2% 4.2% 3.6% HV 20d 13.5% 9.7% 17.1% 16.6% 11.2% HV 60d 14.3% 14.0% 15.1% 15.1% 14.2% IV Rank 36.5% 29.9% 44.8% 44.8% 30.1% IV Percentile 29.0% 14.7% 50.8% 50.8% 14.7% Term Structure 0.2% -0.3% 1.1% 0.5% 1.1% VWIV 13.8% 12.7% 15.0% 14.6% 12.7% Skew 25d -0.1% -0.4% 0.2% -0.4% -0.1% Skew 10d 0.1% -0.9% 1.2% -0.9% 0.2% Call IV 25d 13.9% 12.5% 15.3% 15.3% 12.5% Put IV 25d 13.8% 12.4% 15.1% 14.9% 12.4% Bid-Ask Spread % 13.43 9.09 22.43 22.43 11.46 Gamma HHI 0.13 0.06 0.70 0.09 0.43 Net GEX 93.8M -560.1M 802.8M 244.3M -560.1M Net DEX -587.7M -2.01B 672.0M -1.73B 321.4M Net VEX -8.5M -10.3M -7.6M -10.3M -7.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.28 0.40 2.51 0.89 1.27 Total Volume 58,799.045 29,694 149,010 49,172 62,231 Total OI 869,222.864 650,353 1,015,810 972,164 792,352
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 2015-10-01 $123.99 $121.00 15.0% 4.2% 16.6% 44.8% 14.6% -0.4% 0.5% 244.3M -1.73B -10.3M 0.89 22.43 N/A N/A 25,995 23,177 483,384 488,780 2015-10-02 $124.53 $121.00 14.7% 3.8% 16.6% 42.1% 13.6% -0.3% 0.7% 328.5M -2.01B -9.9M 1.36 12.36 N/A N/A 63,018 85,992 478,424 500,027 2015-10-05 $122.87 $123.00 14.7% 4.2% 17.1% 41.7% 15.0% -0.3% -0.3% 163.3M -825.9M -10.1M 1.52 14.67 N/A N/A 19,949 30,226 468,734 517,453 2015-10-06 $123.33 $124.00 14.7% 4.1% 16.2% 41.6% 14.7% 0.0% -0.1% 182.6M -1.01B -10.0M 0.89 16.41 N/A N/A 28,680 25,425 472,073 533,169 2015-10-07 $123.00 $124.00 14.6% 4.1% 16.2% 41.2% 14.4% 0.2% -0.2% 183.6M -779.6M -9.5M 1.42 18.42 N/A N/A 13,575 19,245 475,667 540,143 2015-10-08 $122.01 $124.00 14.4% 4.0% 16.3% 39.0% 14.4% -0.1% -0.2% 105.7M -29.9M -9.3M 0.93 15.00 N/A N/A 29,824 27,659 467,727 539,862 2015-10-09 $122.44 $124.00 14.0% 3.9% 16.3% 35.2% 14.1% -0.3% -0.1% 135.8M -341.8M -9.1M 0.56 11.09 N/A N/A 33,011 18,483 464,217 545,656 2015-10-12 $123.22 $124.00 13.9% 4.0% 16.4% 35.0% 14.2% -0.3% -0.0% 189.8M -857.6M -8.5M 0.68 10.66 N/A N/A 34,395 23,389 440,069 532,186 2015-10-13 $123.36 $124.00 13.9% 3.9% 14.6% 34.8% 14.2% -0.2% -0.2% 162.4M -769.2M -8.4M 1.38 12.40 N/A N/A 12,495 17,199 429,076 542,887 2015-10-14 $124.45 $124.00 13.5% 3.8% 14.6% 31.1% 14.2% -0.0% -0.2% 169.4M -1.47B -8.1M 1.22 12.14 N/A N/A 35,586 43,328 432,084 545,125 2015-10-15 $123.89 $124.00 13.4% 3.8% 14.4% 29.9% 14.2% -0.2% 0.0% 195.5M -1.12B -8.0M 0.57 10.64 N/A N/A 35,017 19,831 434,826 561,910 2015-10-16 $123.93 $125.00 13.3% 3.8% 13.4% 40.1% 13.4% -0.3% -0.1% 802.8M -985.6M -8.0M 0.40 11.95 N/A N/A 42,258 17,068 440,186 569,570 2015-10-19 $123.58 $125.00 13.4% 3.8% 11.9% 41.4% 14.3% 0.0% -0.1% -4.3M -214.1M -8.0M 0.84 13.48 N/A N/A 23,926 20,123 277,015 373,338 2015-10-20 $122.86 $125.00 13.4% 3.8% 10.7% 41.0% 13.5% 0.0% 0.1% -24.6M 36.7M -8.0M 1.21 12.34 N/A N/A 24,702 29,898 286,039 380,632 2015-10-21 $124.02 $123.00 12.8% 3.7% 11.2% 32.9% 13.0% -0.1% 0.0% 31.2M -374.3M -7.9M 2.30 11.89 N/A N/A 18,971 43,631 298,941 396,315 2015-10-22 $124.23 $123.00 12.6% 3.6% 11.0% 30.2% 13.1% -0.1% -0.0% 44.7M -435.8M -7.7M 1.39 9.09 N/A N/A 18,269 25,302 303,675 412,120 2015-10-23 $123.23 $124.00 12.6% 3.6% 11.0% 30.9% 13.2% -0.1% -0.1% -37.7M -44.5M -7.6M 1.29 14.24 N/A N/A 19,265 24,884 310,995 401,329 2015-10-26 $124.01 $124.00 13.0% 3.7% 9.7% 35.6% 13.4% -0.2% 0.7% 36.2M -380.6M -7.7M 2.51 11.39 N/A N/A 19,781 49,645 312,698 397,715 2015-10-27 $124.28 $124.00 13.0% 3.7% 9.7% 36.2% 13.1% -0.3% 0.6% -9.0M -417.5M -7.8M 1.71 14.30 N/A N/A 16,123 27,613 317,332 430,711 2015-10-28 $123.79 $124.00 12.9% 3.8% 9.7% 34.4% 13.6% 0.1% 0.9% -47.1M -161.7M -7.7M 1.43 16.62 N/A N/A 19,242 27,459 324,372 440,992 2015-10-29 $121.87 $124.00 12.9% 3.7% 11.1% 34.2% 13.6% -0.1% 0.7% -229.0M 672.0M -7.6M 2.47 12.49 N/A N/A 28,186 69,503 321,964 441,133 2015-10-30 $122.65 $123.00 12.5% 3.6% 11.2% 30.1% 12.7% -0.1% 1.1% -560.1M 321.4M -7.7M 1.27 11.46 N/A N/A 27,406 34,825 330,159 462,193
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