TLT Options History — January 2016

In January 2016, TLT traded between $120.94 and $127.30. ATM implied volatility averaged 13.7%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 0.4% (HV 20d: 13.3%). Max pain ranged from $120.00 to $125.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.07.

Notable Days

2016-01-15: Highest Volume — 279,098 contracts
2016-01-15: Largest IV spike — 8.6% change
2016-01-20: Highest IV Rank — 55.8%
2016-01-20: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$124.53	$120.94	$127.30	$121.46	$127.30
Max Pain	$122.68	$120.00	$125.00	$120.00	$125.00
ATM IV	13.7%	13.1%	15.0%	13.1%	13.3%
Expected Move	3.9%	3.6%	4.3%	3.6%	3.8%
HV 20d	13.3%	11.7%	14.0%	13.2%	11.8%
HV 60d	12.9%	12.2%	13.4%	12.3%	12.9%
IV Rank	38.3%	28.3%	55.8%	28.3%	33.1%
IV Percentile	32.0%	19.4%	54.0%	19.8%	23.0%
Term Structure	-0.1%	-0.6%	0.6%	-0.2%	0.6%
VWIV	13.8%	12.8%	15.2%	13.3%	13.3%
Skew 25d	-0.6%	-1.1%	-0.1%	-0.1%	-0.8%
Skew 10d	-1.2%	-2.3%	-0.3%	-0.3%	-1.4%
Call IV 25d	14.2%	13.4%	15.9%	13.5%	13.6%
Put IV 25d	13.7%	12.7%	14.8%	13.4%	12.8%
Bid-Ask Spread %	5.79	4.14	10.11	5.61	4.50
Gamma HHI	0.14	0.11	0.17	0.12	0.13
Net GEX	327.1M	114.4M	541.8M	301.1M	180.0M
Net DEX	-1.95B	-3.87B	-928.5M	-1.34B	-1.80B
Net VEX	-12.3M	-15.4M	-9.6M	-12.7M	-9.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.18	2.12	0.75	0.67
Total Volume	98,302.474	37,856	279,098	76,869	107,105
Total OI	1,015,999.632	729,445	1,295,596	1,121,282	791,848

Daily Data (19 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
2016-01-04	$121.46	$120.00	13.1%	3.6%	13.2%	28.3%	13.3%	-0.1%	-0.2%	301.1M	-1.34B	-12.7M	0.75	5.61	N/A	N/A	43,985	32,884	794,753	326,529
2016-01-05	$120.94	$120.00	13.2%	3.6%	13.0%	29.8%	13.0%	-0.1%	-0.3%	252.1M	-928.5M	-12.4M	1.40	4.94	N/A	N/A	16,218	22,754	807,642	338,870
2016-01-06	$122.60	$120.00	13.3%	3.6%	13.4%	31.1%	12.9%	-0.1%	-0.3%	411.1M	-1.94B	-13.1M	1.51	6.40	N/A	N/A	20,662	31,179	809,391	342,291
2016-01-07	$122.75	$120.00	13.8%	3.7%	13.5%	38.0%	13.3%	-0.4%	-0.4%	419.4M	-2.02B	-13.3M	1.26	6.42	N/A	N/A	22,263	28,141	815,568	352,935
2016-01-08	$123.30	$121.00	13.9%	3.8%	13.5%	39.3%	13.3%	-0.3%	-0.2%	484.6M	-2.35B	-13.5M	1.61	7.80	N/A	N/A	35,279	56,823	816,991	356,232
2016-01-11	$122.11	$121.00	13.5%	3.7%	14.0%	33.4%	13.1%	-0.3%	-0.4%	384.2M	-1.49B	-12.8M	0.98	5.52	N/A	N/A	34,361	33,806	821,860	376,802
2016-01-12	$123.60	$121.00	13.6%	3.8%	13.4%	36.2%	13.3%	-0.2%	-0.5%	515.8M	-2.42B	-13.8M	0.66	6.50	N/A	N/A	70,340	46,610	833,570	385,519
2016-01-13	$124.92	$122.00	14.4%	4.0%	12.9%	46.8%	14.3%	-0.3%	-0.4%	519.9M	-3.17B	-14.7M	0.73	6.25	N/A	N/A	57,516	41,903	823,212	400,688
2016-01-14	$123.90	$122.00	13.6%	3.8%	13.1%	35.1%	13.3%	-0.5%	-0.5%	514.8M	-2.49B	-14.0M	1.39	5.33	N/A	N/A	41,097	57,118	854,115	414,649
2016-01-15	$125.72	$123.00	14.7%	4.1%	13.9%	52.0%	15.2%	-0.8%	-0.6%	541.8M	-3.87B	-15.4M	0.18	10.11	N/A	N/A	236,203	42,895	861,060	434,536
2016-01-19	$125.33	$123.00	14.6%	4.2%	13.3%	50.4%	14.7%	-0.8%	-0.1%	284.9M	-1.97B	-12.0M	1.31	5.44	N/A	N/A	29,556	38,852	559,987	271,415
2016-01-20	$126.66	$123.00	15.0%	4.3%	13.7%	55.8%	15.2%	-1.1%	-0.2%	307.0M	-2.52B	-12.3M	0.88	5.92	N/A	N/A	77,205	67,880	566,057	288,813
2016-01-21	$125.83	$125.00	13.9%	4.0%	13.9%	42.7%	14.5%	-1.0%	-0.0%	277.3M	-2.00B	-12.5M	0.19	5.38	N/A	N/A	213,947	39,904	575,021	321,657
2016-01-22	$125.32	$125.00	13.3%	3.8%	13.8%	33.3%	13.6%	-0.9%	0.1%	273.0M	-1.61B	-13.0M	0.54	4.56	N/A	N/A	47,365	25,650	598,981	340,500
2016-01-25	$126.02	$125.00	13.7%	3.9%	13.5%	39.6%	14.4%	-0.9%	0.5%	143.9M	-1.30B	-9.7M	0.69	4.24	N/A	N/A	22,394	15,462	405,469	323,976
2016-01-26	$126.12	$125.00	13.8%	4.0%	13.5%	41.3%	14.0%	-0.8%	0.4%	156.8M	-1.34B	-9.8M	1.79	4.14	N/A	N/A	18,766	33,518	413,048	324,968
2016-01-27	$126.04	$125.00	13.2%	3.8%	13.5%	32.0%	14.0%	-0.9%	0.6%	114.4M	-1.23B	-9.7M	1.58	5.88	N/A	N/A	28,573	45,208	417,873	344,096
2016-01-28	$126.22	$125.00	13.1%	3.7%	11.7%	30.0%	12.8%	-0.9%	0.5%	132.4M	-1.34B	-9.7M	2.12	5.00	N/A	N/A	26,996	57,329	427,503	365,568
2016-01-29	$127.30	$125.00	13.3%	3.8%	11.8%	33.1%	13.3%	-0.8%	0.6%	180.0M	-1.80B	-9.6M	0.67	4.50	N/A	N/A	64,181	42,924	427,480	364,368