TLT Options History — November 2015

In November 2015, TLT traded between $118.33 and $121.97. ATM implied volatility averaged 12.3%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.8% (HV 20d: 10.5%). Max pain ranged from $121.00 to $125.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2015-11-05: Highest Volume — 92,259 contracts
  • 2015-11-06: Largest IV drop — 5.6% change
  • 2015-11-02: Highest IV Rank — 36.7%
  • 2015-11-05: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.19$118.33$121.97$121.97$121.45
Max Pain$122.63$121.00$125.00$123.00$122.00
ATM IV12.3%11.7%13.1%13.1%11.9%
Expected Move3.6%3.3%3.8%3.6%3.6%
HV 20d10.5%8.5%11.5%10.4%8.5%
HV 60d13.2%12.4%14.0%14.0%12.4%
IV Rank27.7%18.8%36.7%36.7%21.4%
IV Percentile11.5%4.4%20.2%20.2%6.0%
Term Structure0.1%-0.4%0.9%0.2%0.1%
VWIV12.7%12.1%13.7%13.1%12.9%
Skew 25d0.1%-0.2%0.7%0.1%-0.1%
Skew 10d0.7%-0.5%1.7%0.4%1.5%
Call IV 25d12.5%11.9%13.5%13.5%12.0%
Put IV 25d12.6%11.9%13.6%13.6%11.9%
Bid-Ask Spread %22.746.2650.2913.016.26
Gamma HHI0.090.060.220.060.09
Net GEX-34.8M-215.5M118.9M-37.1M44.4M
Net DEX538.7M-390.8M1.49B261.4M-390.8M
Net VEX-7.2M-7.7M-6.8M-7.4M-7.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.472.011.640.76
Total Volume49,547.7513,32692,25961,75027,397
Total OI742,087.15674,824858,480674,824699,461

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$121.97$123.0013.1%3.6%10.4%36.7%13.1%0.1%0.2%-37.1M261.4M-7.4M1.6413.01N/AN/A23,36838,382307,023367,801
2015-11-03$120.92$125.0012.8%3.6%10.6%34.1%12.6%0.3%0.1%-90.7M704.8M-7.0M0.908.89N/AN/A24,89622,304307,183383,849
2015-11-04$121.14$124.5012.8%3.5%10.7%33.4%12.4%0.3%0.1%-90.0M622.0M-7.1M1.2613.81N/AN/A26,46433,476310,587386,608
2015-11-05$120.83$124.0012.7%3.8%10.3%32.7%13.7%0.3%-0.2%-104.5M737.5M-7.2M0.7219.17N/AN/A53,54838,711317,435394,358
2015-11-06$119.00$124.0012.0%3.6%11.5%23.6%12.7%0.7%-0.1%-215.5M1.41B-6.9M2.0112.07N/AN/A22,50645,271343,930406,882
2015-11-09$118.33$124.0012.2%3.7%11.2%25.2%13.0%0.5%0.9%-155.7M1.49B-6.8M0.7813.15N/AN/A23,10218,045317,244395,854
2015-11-10$118.69$124.0012.2%3.7%11.3%26.1%12.9%0.3%0.7%-132.3M1.33B-6.9M0.8222.43N/AN/A31,55525,903328,281396,823
2015-11-11$118.37$123.0012.1%3.7%10.5%24.2%12.8%0.3%0.7%-122.8M1.31B-7.0M1.4922.36N/AN/A17,05625,418348,641393,680
2015-11-12$119.03$122.0012.4%3.7%10.9%27.8%13.0%-0.1%0.6%-88.8M1.04B-7.2M0.5227.75N/AN/A33,17517,088365,051411,054
2015-11-13$119.69$122.0012.3%3.6%11.2%27.4%12.7%-0.2%0.4%-5.5M671.6M-7.5M0.6922.83N/AN/A36,48025,054382,599412,457
2015-11-16$119.57$122.0012.7%3.7%11.2%32.2%13.0%0.1%-0.0%-53.2M816.7M-7.1M0.5120.24N/AN/A16,1898,222367,723408,181
2015-11-17$119.81$122.0012.8%3.7%11.1%34.0%13.1%-0.1%-0.3%-30.9M636.1M-7.3M0.7613.84N/AN/A23,05117,411375,194410,444
2015-11-18$120.05$121.0012.5%3.6%10.5%29.1%12.8%-0.0%0.1%19.9M531.4M-6.8M0.8618.52N/AN/A40,03234,287382,823411,253
2015-11-19$120.81$121.0012.3%3.5%10.8%26.7%12.4%-0.1%0.3%74.7M42.6M-7.7M0.5612.85N/AN/A44,57225,082404,063426,814
2015-11-20$120.46$121.0011.7%3.3%10.5%18.8%12.1%-0.2%0.1%118.9M51.9M-7.7M1.5349.80N/AN/A27,32341,941423,148435,332
2015-11-23$120.82$122.0012.3%3.5%10.3%27.0%12.5%-0.0%-0.2%24.3M-36.6M-7.7M0.4746.71N/AN/A9,0714,255339,399353,298
2015-11-24$120.81$122.0012.3%3.6%10.2%27.6%12.5%-0.2%-0.4%25.5M-129.5M-7.7M1.1850.29N/AN/A9,97111,762343,277355,109
2015-11-25$121.06$122.0012.1%3.5%10.2%25.0%12.5%-0.1%-0.2%41.4M-130.2M-7.5M0.7118.46N/AN/A18,00412,822348,468364,099
2015-11-27$120.97$122.0011.8%3.5%8.7%20.0%12.1%-0.1%-0.4%82.6M-187.2M-7.3M1.0342.42N/AN/A18,57319,188350,565365,752
2015-11-30$121.45$122.0011.9%3.6%8.5%21.4%12.9%-0.1%0.1%44.4M-390.8M-7.1M0.766.26N/AN/A15,56411,833341,052358,409