TLT Options History — April 2016

In April 2016, TLT traded between $127.27 and $132.94. ATM implied volatility averaged 12.6%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.3% (HV 20d: 11.3%). Max pain ranged from $128.00 to $133.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.28.

Notable Days

2016-04-26: Highest Volume — 123,071 contracts
2016-04-15: Largest IV drop — 4.0% change
2016-04-07: Highest IV Rank — 30.8%
2016-04-07: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$130.35	$127.27	$132.94	$130.59	$129.44
Max Pain	$130.71	$128.00	$133.00	$130.00	$130.00
ATM IV	12.6%	12.0%	13.4%	12.3%	12.3%
Expected Move	3.6%	3.3%	3.8%	3.3%	3.5%
HV 20d	11.3%	10.7%	11.9%	11.0%	10.7%
HV 60d	12.7%	12.1%	13.1%	13.1%	12.1%
IV Rank	19.3%	11.1%	30.8%	15.9%	15.5%
IV Percentile	15.0%	3.6%	36.5%	8.7%	10.3%
Term Structure	-0.0%	-0.3%	0.3%	0.3%	0.3%
VWIV	12.6%	11.8%	13.4%	11.8%	12.6%
Skew 25d	-0.3%	-0.7%	0.2%	-0.6%	-0.7%
Skew 10d	-0.7%	-1.3%	0.2%	-0.9%	-1.2%
Call IV 25d	13.0%	12.3%	13.9%	12.7%	12.7%
Put IV 25d	12.6%	12.0%	13.4%	12.1%	12.1%
Bid-Ask Spread %	6.50	5.20	8.95	7.07	5.95
Gamma HHI	0.07	0.05	0.25	0.25	0.06
Net GEX	-27.2M	-230.9M	242.8M	242.8M	21.6M
Net DEX	-245.0M	-1.25B	1.01B	-836.5M	-34.4M
Net VEX	-9.4M	-10.9M	-8.5M	-9.0M	-10.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.28	0.47	2.38	1.16	0.52
Total Volume	59,188.238	37,148	123,071	65,081	73,202
Total OI	727,608.333	648,422	848,870	664,762	848,870

Daily Data (21 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
2016-04-01	$130.59	$130.00	12.3%	3.3%	11.0%	15.9%	11.8%	-0.6%	0.3%	242.8M	-836.5M	-9.0M	1.16	7.07	N/A	N/A	30,125	34,956	295,129	369,633
2016-04-04	$130.81	$128.00	12.8%	3.6%	10.7%	22.4%	12.9%	-0.3%	-0.2%	28.2M	-732.1M	-8.7M	1.66	7.47	N/A	N/A	15,697	26,115	276,833	371,589
2016-04-05	$132.22	$129.00	13.3%	3.7%	11.3%	28.7%	13.2%	-0.7%	-0.1%	82.4M	-1.13B	-8.5M	0.91	5.98	N/A	N/A	30,935	28,270	280,478	385,375
2016-04-06	$131.20	$130.00	12.9%	3.6%	11.1%	23.8%	12.8%	-0.5%	-0.1%	43.1M	-797.1M	-8.8M	2.38	5.86	N/A	N/A	18,624	44,285	289,377	398,130
2016-04-07	$132.94	$130.00	13.4%	3.8%	11.6%	30.8%	13.4%	-0.4%	-0.2%	101.6M	-1.25B	-8.8M	1.55	5.57	N/A	N/A	19,044	29,599	291,319	407,793
2016-04-08	$131.99	$130.00	12.9%	3.6%	11.9%	23.6%	12.9%	-0.4%	-0.3%	95.0M	-955.6M	-8.8M	1.46	5.72	N/A	N/A	21,559	31,541	293,347	420,264
2016-04-11	$131.79	$130.00	13.1%	3.6%	11.2%	26.1%	13.0%	-0.5%	-0.3%	50.0M	-856.2M	-8.8M	1.32	6.78	N/A	N/A	16,591	21,872	291,781	417,196
2016-04-12	$130.84	$130.00	13.1%	3.7%	11.5%	26.6%	12.9%	-0.2%	-0.3%	-9.2M	-460.2M	-9.2M	1.27	6.01	N/A	N/A	16,378	20,774	295,432	425,661
2016-04-13	$131.28	$130.00	12.6%	3.5%	11.4%	20.3%	12.8%	-0.3%	-0.3%	-2.2M	-575.7M	-9.3M	1.15	5.53	N/A	N/A	28,452	32,755	297,378	433,114
2016-04-14	$130.84	$130.00	12.5%	3.5%	11.6%	17.9%	12.0%	-0.4%	-0.2%	-45.4M	-359.6M	-9.2M	1.36	5.40	N/A	N/A	26,041	35,438	304,549	446,802
2016-04-15	$131.79	$133.00	12.0%	3.4%	11.5%	11.2%	12.0%	-0.2%	-0.2%	63.9M	-611.0M	-9.2M	1.16	5.95	N/A	N/A	26,636	30,813	317,536	461,476
2016-04-18	$131.26	$133.00	12.0%	3.4%	11.7%	11.1%	12.0%	-0.3%	0.2%	-22.8M	-394.4M	-8.7M	1.79	5.49	N/A	N/A	13,319	23,829	278,079	389,724
2016-04-19	$130.92	$132.00	12.1%	3.5%	11.1%	12.6%	12.2%	-0.3%	0.2%	-52.0M	-277.9M	-9.1M	0.81	5.20	N/A	N/A	24,037	19,384	282,432	396,721
2016-04-20	$129.51	$132.00	12.4%	3.6%	11.9%	17.5%	12.6%	-0.2%	0.1%	-131.3M	222.2M	-9.6M	1.28	6.21	N/A	N/A	24,980	31,966	297,256	399,620
2016-04-21	$128.70	$132.00	12.7%	3.6%	11.4%	21.2%	13.0%	0.2%	0.1%	-194.2M	580.5M	-9.5M	1.34	7.03	N/A	N/A	33,098	44,434	301,249	406,318
2016-04-22	$128.48	$132.00	12.4%	3.6%	11.4%	17.5%	12.7%	-0.1%	-0.1%	-230.9M	750.4M	-10.4M	1.88	6.03	N/A	N/A	23,735	44,694	317,033	442,210
2016-04-25	$127.96	$132.00	12.6%	3.6%	11.4%	19.3%	13.4%	-0.1%	0.0%	-175.5M	776.7M	-10.1M	0.47	7.89	N/A	N/A	38,555	17,933	308,035	425,244
2016-04-26	$127.27	$132.00	12.2%	3.5%	10.8%	13.9%	12.4%	-0.2%	0.0%	-202.9M	1.01B	-10.1M	1.28	8.95	N/A	N/A	53,905	69,166	328,750	431,012
2016-04-27	$128.35	$130.00	12.2%	3.5%	10.8%	14.3%	12.1%	-0.3%	0.0%	-140.2M	564.7M	-10.9M	1.54	8.45	N/A	N/A	27,419	42,322	354,678	468,061
2016-04-28	$129.10	$130.00	12.2%	3.5%	10.7%	14.8%	12.5%	-0.5%	0.3%	-94.3M	215.2M	-10.6M	0.55	7.88	N/A	N/A	32,561	17,914	359,589	474,702
2016-04-29	$129.44	$130.00	12.3%	3.5%	10.7%	15.5%	12.6%	-0.7%	0.3%	21.6M	-34.4M	-10.7M	0.52	5.95	N/A	N/A	48,168	25,034	375,069	473,801