TLT Options History — March 2016

In March 2016, TLT traded between $127.37 and $130.97. ATM implied volatility averaged 13.1%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 0.3% (HV 20d: 12.8%). Max pain ranged from $129.00 to $130.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.14.

Notable Days

2016-03-03: Highest Volume — 176,937 contracts
2016-03-21: Largest IV spike — 4.4% change
2016-03-08: Highest IV Rank — 40.2%
2016-03-02: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$128.97	$127.37	$130.97	$128.43	$130.57
Max Pain	$129.64	$129.00	$130.00	$130.00	$129.00
ATM IV	13.1%	11.9%	14.1%	13.7%	12.8%
Expected Move	3.7%	3.4%	4.0%	3.9%	3.6%
HV 20d	12.8%	10.9%	16.2%	16.2%	11.1%
HV 60d	13.4%	12.8%	15.0%	15.0%	13.1%
IV Rank	26.7%	10.9%	40.2%	34.9%	21.8%
IV Percentile	23.2%	3.2%	47.2%	34.5%	15.5%
Term Structure	0.1%	-0.2%	0.5%	-0.1%	0.4%
VWIV	13.4%	12.4%	14.6%	14.0%	13.8%
Skew 25d	-0.5%	-0.9%	-0.1%	-0.9%	-0.2%
Skew 10d	-0.9%	-2.0%	-0.3%	-1.9%	-0.6%
Call IV 25d	13.6%	12.4%	14.6%	14.4%	13.0%
Put IV 25d	13.1%	12.2%	13.8%	13.5%	12.8%
Bid-Ask Spread %	7.82	5.67	14.03	5.89	6.73
Gamma HHI	0.07	0.05	0.11	0.05	0.07
Net GEX	-49.0M	-185.6M	82.7M	19.4M	82.7M
Net DEX	-150.7M	-890.3M	858.0M	-207.5M	-783.5M
Net VEX	-10.0M	-11.2M	-8.7M	-9.4M	-9.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.14	0.36	2.42	0.82	0.81
Total Volume	65,463	27,219	176,937	85,210	71,597
Total OI	832,540	609,760	1,002,191	832,984	677,359

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
2016-03-01	$128.43	$130.00	13.7%	3.9%	16.2%	34.9%	14.0%	-0.9%	-0.1%	19.4M	-207.5M	-9.4M	0.82	5.89	N/A	N/A	46,861	38,349	439,985	392,999
2016-03-02	$128.89	$130.00	13.9%	4.0%	14.8%	38.0%	14.6%	-0.8%	-0.1%	29.8M	-351.5M	-10.3M	0.73	6.17	N/A	N/A	33,596	24,651	457,540	408,000
2016-03-03	$129.49	$130.00	13.6%	3.8%	14.6%	33.5%	13.4%	-0.8%	-0.1%	71.9M	-715.2M	-10.2M	1.33	9.06	N/A	N/A	75,984	100,953	472,279	411,800
2016-03-04	$128.66	$130.00	13.2%	3.8%	14.8%	27.3%	13.4%	-0.4%	0.1%	-81.4M	-46.0M	-11.1M	1.81	10.07	N/A	N/A	44,499	80,752	493,719	482,169
2016-03-07	$128.56	$130.00	13.6%	3.9%	14.8%	33.5%	14.0%	-0.6%	0.2%	-50.4M	-25.2M	-11.2M	2.42	6.90	N/A	N/A	20,450	49,493	456,485	465,922
2016-03-08	$130.01	$130.00	14.1%	4.0%	13.4%	40.2%	13.9%	-0.8%	-0.2%	48.6M	-881.2M	-11.2M	0.81	9.46	N/A	N/A	28,348	22,874	459,223	470,211
2016-03-09	$129.18	$130.00	13.9%	4.0%	13.6%	37.2%	14.1%	-0.7%	-0.0%	-16.2M	-374.9M	-10.8M	1.80	12.02	N/A	N/A	22,499	40,591	462,245	473,478
2016-03-10	$128.61	$130.00	13.7%	3.9%	13.2%	34.0%	14.3%	-0.6%	-0.1%	-98.1M	28.6M	-11.0M	1.58	9.27	N/A	N/A	27,445	43,461	464,856	492,899
2016-03-11	$127.37	$130.00	13.3%	3.8%	13.1%	28.9%	13.5%	-0.1%	-0.0%	-185.6M	858.0M	-10.8M	1.11	6.88	N/A	N/A	31,799	35,301	472,401	518,566
2016-03-14	$128.20	$130.00	13.1%	3.7%	12.6%	26.3%	13.5%	-0.3%	0.1%	-112.8M	344.7M	-10.7M	0.49	5.68	N/A	N/A	23,805	11,775	451,165	507,196
2016-03-15	$127.94	$130.00	12.9%	3.7%	12.1%	24.3%	13.3%	-0.4%	0.1%	-131.2M	479.3M	-10.5M	0.36	5.99	N/A	N/A	43,850	15,986	457,550	509,648
2016-03-16	$128.03	$130.00	12.5%	3.6%	11.9%	18.3%	12.7%	-0.2%	-0.1%	-136.2M	498.5M	-9.9M	1.21	7.90	N/A	N/A	45,049	54,641	467,522	511,544
2016-03-17	$128.99	$130.00	12.2%	3.5%	11.3%	14.6%	12.4%	-0.3%	0.1%	-111.4M	35.9M	-9.8M	0.81	8.79	N/A	N/A	23,497	18,961	459,502	542,689
2016-03-18	$129.14	$130.00	11.9%	3.4%	11.3%	10.9%	12.7%	-0.2%	0.2%	-76.3M	-20.1M	-9.4M	0.76	6.83	N/A	N/A	29,012	22,059	459,510	538,198
2016-03-21	$127.95	$129.00	12.5%	3.6%	11.7%	18.0%	13.2%	-0.5%	0.3%	-159.7M	231.0M	-9.5M	0.81	14.03	N/A	N/A	15,991	13,009	264,689	357,062
2016-03-22	$128.08	$129.00	12.5%	3.6%	11.6%	18.3%	12.9%	-0.5%	0.4%	-167.7M	183.5M	-9.5M	0.55	6.79	N/A	N/A	17,540	9,679	273,016	362,183
2016-03-23	$129.62	$129.00	13.0%	3.7%	12.5%	24.7%	13.2%	-0.3%	0.5%	-110.4M	-417.1M	-9.4M	1.76	7.82	N/A	N/A	20,539	36,069	280,710	363,161
2016-03-24	$129.46	$129.00	12.9%	3.6%	12.4%	23.3%	12.9%	-0.6%	0.3%	24.8M	-327.3M	-9.5M	0.73	6.10	N/A	N/A	23,203	16,915	289,055	383,614
2016-03-28	$129.64	$129.00	13.1%	3.8%	12.0%	27.1%	13.6%	-0.5%	0.3%	3.2M	-476.8M	-9.3M	0.85	6.55	N/A	N/A	15,590	13,270	276,802	332,958
2016-03-29	$130.97	$129.00	13.3%	3.7%	12.5%	28.7%	13.3%	-0.5%	0.2%	62.8M	-890.3M	-8.7M	1.73	5.67	N/A	N/A	22,442	38,796	278,751	336,103
2016-03-30	$129.64	$129.00	13.0%	3.6%	10.9%	24.5%	12.9%	-0.3%	0.5%	16.2M	-457.3M	-9.3M	1.88	7.38	N/A	N/A	23,965	45,040	286,858	354,258
2016-03-31	$130.57	$129.00	12.8%	3.6%	11.1%	21.8%	13.8%	-0.2%	0.4%	82.7M	-783.5M	-9.1M	0.81	6.73	N/A	N/A	39,656	31,941	295,311	382,048