TLT Options History — December 2015

In December 2015, TLT traded between $119.50 and $123.86. ATM implied volatility averaged 12.7%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 1.6% (HV 20d: 14.2%). Max pain ranged from $120.00 to $123.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.95.

Notable Days

2015-12-31: Highest Volume — 410,278 contracts
2015-12-16: Largest IV drop — 13.3% change
2015-12-14: Highest IV Rank — 56.2%
2015-12-14: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$121.78	$119.50	$123.86	$122.83	$120.69
Max Pain	$120.82	$120.00	$123.00	$123.00	$121.00
ATM IV	12.7%	11.2%	15.2%	12.6%	12.5%
Expected Move	3.6%	3.2%	4.3%	3.9%	3.6%
HV 20d	14.2%	8.6%	17.0%	9.2%	16.5%
HV 60d	12.6%	12.0%	13.6%	12.5%	12.2%
IV Rank	21.8%	0.0%	56.2%	31.3%	18.9%
IV Percentile	14.8%	0.0%	56.7%	13.5%	9.1%
Term Structure	0.1%	-0.7%	0.7%	-0.0%	0.2%
VWIV	12.9%	11.2%	15.3%	14.1%	12.4%
Skew 25d	0.1%	-0.2%	0.6%	0.1%	-0.2%
Skew 10d	0.5%	-0.5%	1.5%	0.9%	-0.5%
Call IV 25d	12.8%	11.2%	15.5%	12.9%	12.7%
Put IV 25d	13.0%	11.3%	15.4%	13.0%	12.5%
Bid-Ask Spread %	7.02	3.90	45.82	5.32	45.82
Gamma HHI	0.10	0.07	0.23	0.10	0.09
Net GEX	51.7M	-103.1M	329.6M	93.1M	89.1M
Net DEX	-430.6M	-1.53B	757.7M	-728.2M	-251.6M
Net VEX	-8.6M	-10.1M	-7.5M	-7.5M	-8.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.07	2.38	0.77	0.07
Total Volume	92,755.682	34,459	410,278	34,459	410,278
Total OI	838,564.455	705,250	1,054,316	705,250	796,619

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
2015-12-01	$122.83	$123.00	12.6%	3.9%	9.2%	31.3%	14.1%	0.1%	-0.0%	93.1M	-728.2M	-7.5M	0.77	5.32	N/A	N/A	19,447	15,012	338,621	366,629
2015-12-02	$122.89	$123.00	12.6%	3.9%	8.6%	31.0%	14.0%	0.1%	-0.0%	101.3M	-776.5M	-7.5M	2.38	4.47	N/A	N/A	27,648	65,712	347,910	371,620
2015-12-03	$119.50	$120.00	13.1%	3.6%	13.3%	36.6%	13.0%	0.5%	0.0%	-95.1M	757.7M	-7.8M	1.94	6.21	N/A	N/A	34,897	67,675	355,704	404,564
2015-12-04	$120.59	$120.00	12.0%	3.4%	13.7%	23.1%	12.1%	0.4%	0.0%	29.6M	230.9M	-7.8M	1.02	4.79	N/A	N/A	36,532	37,083	366,528	417,862
2015-12-07	$121.75	$120.00	12.6%	3.5%	12.9%	30.4%	12.7%	0.4%	-0.3%	20.0M	-324.8M	-7.5M	1.86	5.16	N/A	N/A	15,429	28,729	355,792	404,599
2015-12-08	$121.78	$120.00	13.0%	3.6%	12.7%	30.1%	13.1%	0.6%	-0.2%	8.0M	-256.9M	-8.0M	1.51	4.64	N/A	N/A	29,120	43,942	362,022	415,803
2015-12-09	$121.67	$120.00	13.5%	3.8%	12.7%	32.9%	13.8%	0.6%	-0.0%	8.2M	-229.6M	-8.5M	1.76	4.70	N/A	N/A	24,907	43,735	381,389	447,553
2015-12-10	$121.85	$120.00	13.3%	3.8%	12.6%	25.6%	13.5%	0.5%	-0.1%	342.5K	-240.9M	-8.5M	2.21	5.06	N/A	N/A	13,417	29,658	382,510	470,326
2015-12-11	$123.86	$120.00	14.1%	4.1%	13.6%	39.0%	14.5%	0.5%	-0.1%	122.4M	-1.20B	-8.0M	0.97	5.69	N/A	N/A	50,805	49,228	383,542	470,015
2015-12-14	$122.18	$120.00	15.2%	4.3%	14.6%	56.2%	15.3%	-0.1%	-0.7%	-3.7M	-348.9M	-8.6M	0.55	5.71	N/A	N/A	91,319	49,904	382,617	477,234
2015-12-15	$121.42	$121.00	14.9%	4.3%	14.8%	50.3%	14.9%	0.1%	-0.6%	-58.5M	-1.7M	-9.8M	0.35	4.68	N/A	N/A	138,361	49,037	460,904	505,103
2015-12-16	$121.08	$121.00	12.9%	3.7%	14.9%	19.2%	13.1%	0.3%	-0.2%	-66.1M	30.7M	-10.0M	0.54	6.71	N/A	N/A	75,243	40,426	517,127	515,657
2015-12-17	$122.63	$121.00	12.1%	3.5%	15.5%	7.0%	12.2%	0.2%	-0.0%	180.2M	-1.06B	-10.1M	0.51	6.73	N/A	N/A	49,813	25,256	531,436	522,880
2015-12-18	$123.30	$121.00	12.0%	3.4%	15.4%	5.7%	12.3%	-0.0%	0.1%	329.6M	-1.53B	-9.3M	0.70	4.11	N/A	N/A	68,531	47,846	526,821	523,299
2015-12-21	$123.11	$121.00	11.9%	3.4%	15.4%	3.8%	12.3%	-0.1%	0.6%	155.2M	-1.08B	-9.5M	0.58	4.52	N/A	N/A	32,428	18,826	437,842	381,186
2015-12-22	$122.32	$121.00	11.5%	3.3%	15.6%	0.0%	11.6%	-0.1%	0.5%	70.5M	-780.4M	-9.4M	0.48	4.61	N/A	N/A	36,504	17,479	442,969	384,683
2015-12-23	$121.43	$121.00	11.4%	3.3%	15.9%	0.0%	11.6%	-0.1%	0.6%	-103.1M	-264.0M	-9.1M	0.48	7.19	N/A	N/A	35,155	16,914	443,991	385,248
2015-12-24	$121.83	$121.00	11.2%	3.2%	15.9%	0.0%	11.2%	0.1%	0.6%	73.0M	-599.5M	-9.2M	0.57	6.23	N/A	N/A	31,979	18,366	443,816	384,205
2015-12-28	$122.19	$121.00	11.8%	3.3%	15.9%	9.5%	11.9%	-0.1%	0.7%	158.4M	-882.4M	-8.9M	0.54	4.27	N/A	N/A	34,454	18,598	434,311	337,792
2015-12-29	$120.17	$121.00	12.0%	3.4%	17.0%	13.0%	12.2%	-0.2%	0.5%	13.9M	18.9M	-8.4M	0.60	3.90	N/A	N/A	31,928	19,113	439,984	340,096
2015-12-30	$120.03	$121.00	12.3%	3.4%	16.4%	16.7%	12.1%	-0.1%	0.3%	10.7M	31.6M	-8.4M	0.45	3.99	N/A	N/A	34,421	15,470	445,307	344,302
2015-12-31	$120.69	$121.00	12.5%	3.6%	16.5%	18.9%	12.4%	-0.2%	0.2%	89.1M	-251.6M	-8.3M	0.07	45.82	N/A	N/A	383,892	26,386	451,447	345,172