TLT Options History — February 2016

In February 2016, TLT traded between $126.61 and $133.58. ATM implied volatility averaged 15.2%, placing in the 58.0% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.3% (HV 20d: 13.8%). Max pain ranged from $123.00 to $128.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2016-02-02: Highest Volume — 152,577 contracts
  • 2016-02-08: Largest IV spike — 13.1% change
  • 2016-02-11: Highest IV Rank — 100.0%
  • 2016-02-11: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$130.48$126.61$133.58$126.61$130.98
Max Pain$125.50$123.00$128.00$125.00$128.00
ATM IV15.2%13.6%18.5%13.6%14.2%
Expected Move4.4%3.9%5.3%3.9%4.2%
HV 20d13.8%12.1%14.7%12.1%14.5%
HV 60d13.8%12.8%14.5%12.8%14.3%
IV Rank58.0%35.6%100.0%37.9%42.2%
IV Percentile61.8%32.5%100.0%32.5%46.8%
Term Structure0.0%-0.2%0.6%-0.1%-0.1%
VWIV15.7%13.6%18.3%13.6%16.8%
Skew 25d-1.5%-2.3%-0.8%-0.8%-1.4%
Skew 10d-2.9%-4.4%-1.4%-1.4%-1.9%
Call IV 25d16.2%14.3%19.8%14.3%15.2%
Put IV 25d14.6%13.1%17.5%13.5%13.8%
Bid-Ask Spread %6.104.1612.314.535.51
Gamma HHI0.120.070.220.120.07
Net GEX219.2M129.3M299.8M129.3M170.2M
Net DEX-2.42B-4.11B-1.25B-1.25B-1.72B
Net VEX-10.1M-10.7M-9.2M-9.2M-9.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.182.020.330.18
Total Volume81,137.545,354152,57769,09495,487
Total OI912,215.15756,6951,083,765756,695864,177

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$126.61$125.0013.6%3.9%12.1%37.9%13.6%-0.8%-0.1%129.3M-1.25B-9.2M0.334.53N/AN/A52,11416,980402,315354,380
2016-02-02$128.94$125.0014.7%4.3%13.3%54.5%15.1%-0.9%-0.1%207.3M-2.28B-9.6M0.784.16N/AN/A85,81466,763417,901359,222
2016-02-03$127.97$125.0015.2%4.3%13.6%62.7%15.6%-1.2%-0.2%145.6M-1.75B-10.2M0.994.62N/AN/A44,82644,519430,155397,620
2016-02-04$128.53$123.0014.9%4.3%13.0%58.2%15.2%-1.0%-0.2%172.8M-2.00B-10.4M0.696.23N/AN/A52,72536,331447,247415,396
2016-02-05$128.77$123.0015.0%4.3%13.0%59.6%15.1%-1.1%-0.1%256.7M-2.12B-10.6M0.805.52N/AN/A34,07227,423477,607431,021
2016-02-08$131.38$123.0017.0%4.9%14.4%90.0%17.5%-1.6%0.2%223.7M-3.23B-9.9M0.685.24N/AN/A63,33243,143463,961422,799
2016-02-09$131.56$124.0017.1%4.9%13.6%91.9%17.8%-1.8%0.1%227.5M-3.26B-10.1M0.426.18N/AN/A77,48632,694475,402429,636
2016-02-10$132.61$124.0016.4%4.7%13.3%80.7%17.3%-1.9%0.1%269.9M-3.85B-9.8M0.7412.31N/AN/A53,65439,737514,855439,580
2016-02-11$133.58$125.0018.5%5.3%13.2%100.0%18.3%-2.3%-0.0%261.1M-4.11B-10.4M0.708.18N/AN/A58,11040,711542,321458,129
2016-02-12$131.65$125.0016.4%4.7%14.1%71.9%16.4%-2.1%0.2%263.1M-3.26B-10.7M1.256.19N/AN/A37,91147,356555,981471,984
2016-02-16$130.18$125.0015.0%4.3%14.2%52.6%15.2%-1.9%-0.1%234.2M-2.38B-10.5M1.506.17N/AN/A25,44738,270544,496461,190
2016-02-17$129.29$126.0014.1%4.0%14.5%40.1%14.3%-1.5%-0.0%203.3M-1.78B-10.7M1.236.37N/AN/A35,49543,745548,061476,303
2016-02-18$130.88$126.0014.7%4.2%14.6%48.2%15.5%-1.7%-0.2%297.5M-2.79B-10.0M0.945.98N/AN/A41,47339,117558,959494,346
2016-02-19$131.00$127.0014.7%4.2%14.3%48.9%15.0%-1.9%-0.2%299.8M-2.85B-10.3M0.495.21N/AN/A59,50329,126571,133512,632
2016-02-22$130.95$127.0014.6%4.3%14.1%47.0%15.1%-1.5%0.2%198.4M-1.91B-10.2M2.025.17N/AN/A15,01630,338471,239360,402
2016-02-23$131.34$127.0014.8%4.3%14.1%49.0%15.4%-1.5%0.2%213.7M-2.09B-10.2M0.945.05N/AN/A26,86225,351475,446379,635
2016-02-24$131.13$127.0014.4%4.2%14.1%43.7%14.7%-1.6%0.1%218.1M-2.00B-10.2M1.064.99N/AN/A24,74826,306485,230378,784
2016-02-25$131.68$127.0014.4%4.2%14.1%44.8%14.9%-1.6%0.1%241.0M-2.28B-10.0M1.605.42N/AN/A19,08330,554487,982382,981
2016-02-26$130.50$128.0013.8%4.0%14.7%35.6%14.5%-1.4%0.6%151.3M-1.54B-10.0M1.338.92N/AN/A26,23034,898488,993394,802
2016-02-29$130.98$128.0014.2%4.2%14.5%42.2%16.8%-1.4%-0.1%170.2M-1.72B-9.7M0.185.51N/AN/A80,71914,768474,653389,524