TLT Options History — May 2016

In May 2016, TLT traded between $127.98 and $132.21. ATM implied volatility averaged 12.2%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.2% (HV 20d: 11.0%). Max pain ranged from $130.00 to $130.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.09.

Notable Days

2016-05-31: Highest Volume — 166,753 contracts
2016-05-31: Largest IV spike — 5.9% change
2016-05-03: Highest IV Rank — 22.3%
2016-05-05: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$130.35	$127.98	$132.21	$127.98	$130.13
Max Pain	$130.00	$130.00	$130.00	$130.00	$130.00
ATM IV	12.2%	11.3%	12.8%	12.7%	11.9%
Expected Move	3.5%	3.1%	3.7%	3.6%	3.4%
HV 20d	11.0%	10.1%	11.9%	11.4%	10.4%
HV 60d	11.4%	10.7%	12.5%	12.3%	10.7%
IV Rank	14.4%	1.5%	22.3%	20.3%	10.7%
IV Percentile	11.5%	0.4%	24.6%	19.4%	4.4%
Term Structure	0.3%	-0.1%	0.6%	0.0%	-0.1%
VWIV	12.5%	10.9%	13.3%	13.2%	12.2%
Skew 25d	-0.2%	-0.6%	0.1%	-0.2%	-0.4%
Skew 10d	-0.4%	-1.3%	-0.1%	-0.6%	-0.8%
Call IV 25d	12.5%	11.3%	13.2%	13.0%	12.3%
Put IV 25d	12.3%	11.2%	12.9%	12.8%	11.9%
Bid-Ask Spread %	5.19	3.81	6.58	5.73	5.30
Gamma HHI	0.06	0.05	0.08	0.07	0.06
Net GEX	69.4M	-83.0M	246.3M	-83.0M	-5.1M
Net DEX	-477.0M	-1.46B	583.9M	583.9M	-262.3M
Net VEX	-10.7M	-11.2M	-10.2M	-11.2M	-10.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.68	2.11	0.68	0.71
Total Volume	74,509.048	41,863	166,753	74,222	166,753
Total OI	874,938.905	784,786	985,919	805,538	860,213

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
2016-05-02	$127.98	$130.00	12.7%	3.6%	11.4%	20.3%	13.2%	-0.2%	0.0%	-83.0M	583.9M	-11.2M	0.68	5.73	N/A	N/A	44,076	30,146	363,541	441,997
2016-05-03	$129.46	$130.00	12.8%	3.6%	11.5%	22.3%	12.7%	-0.6%	0.1%	25.5M	-140.6M	-10.9M	0.87	6.19	N/A	N/A	29,519	25,563	381,972	454,833
2016-05-04	$130.02	$130.00	12.7%	3.6%	11.3%	20.4%	12.5%	-0.2%	0.1%	65.1M	-374.9M	-10.8M	0.76	5.68	N/A	N/A	30,185	23,087	385,955	458,995
2016-05-05	$130.99	$130.00	12.5%	3.7%	10.6%	17.8%	13.3%	-0.1%	0.2%	166.3M	-928.4M	-10.2M	0.85	5.40	N/A	N/A	68,638	58,427	395,830	463,182
2016-05-06	$130.55	$130.00	12.1%	3.6%	10.4%	12.8%	12.8%	-0.1%	0.4%	128.2M	-645.6M	-10.6M	0.80	6.58	N/A	N/A	61,072	48,888	416,012	496,355
2016-05-09	$130.72	$130.00	12.3%	3.6%	10.4%	15.3%	12.8%	-0.0%	0.3%	95.6M	-654.0M	-10.7M	1.43	5.44	N/A	N/A	23,570	33,728	398,199	470,818
2016-05-10	$130.83	$130.00	12.2%	3.6%	10.1%	14.0%	12.7%	-0.2%	0.3%	111.6M	-721.1M	-10.6M	1.08	4.91	N/A	N/A	25,086	27,163	401,559	473,347
2016-05-11	$131.61	$130.00	12.1%	3.6%	10.2%	12.9%	12.8%	-0.3%	0.4%	169.6M	-1.12B	-10.4M	1.25	5.28	N/A	N/A	32,009	40,035	408,084	475,811
2016-05-12	$131.04	$130.00	12.2%	3.6%	10.3%	13.6%	12.7%	-0.1%	0.4%	144.0M	-836.6M	-10.8M	1.05	5.26	N/A	N/A	24,281	25,480	422,603	490,472
2016-05-13	$132.21	$130.00	12.2%	3.6%	10.4%	13.6%	12.8%	-0.2%	0.6%	246.3M	-1.46B	-10.5M	0.71	4.33	N/A	N/A	36,113	25,777	427,982	494,848
2016-05-16	$131.12	$130.00	12.6%	3.6%	10.8%	19.0%	12.9%	-0.3%	0.4%	164.6M	-858.0M	-10.8M	1.32	4.97	N/A	N/A	22,949	30,380	428,154	483,891
2016-05-17	$131.63	$130.00	12.6%	3.6%	10.8%	19.2%	13.1%	-0.2%	0.3%	210.9M	-1.13B	-10.5M	1.22	3.81	N/A	N/A	18,857	23,006	431,170	487,776
2016-05-18	$129.39	$130.00	12.5%	3.6%	11.9%	18.9%	12.9%	0.1%	0.4%	-23.0M	131.9M	-10.6M	0.93	4.84	N/A	N/A	39,669	36,834	437,918	495,240
2016-05-19	$130.01	$130.00	12.7%	3.6%	11.7%	21.2%	13.0%	-0.1%	0.2%	44.7M	-247.6M	-10.8M	1.07	4.32	N/A	N/A	37,104	39,535	442,620	504,754
2016-05-20	$130.16	$130.00	12.0%	3.4%	11.7%	12.2%	12.5%	-0.2%	0.4%	16.2M	-314.8M	-10.9M	0.92	4.73	N/A	N/A	40,769	37,388	458,982	526,937
2016-05-23	$130.37	$130.00	12.2%	3.4%	11.6%	14.8%	12.4%	-0.3%	0.4%	46.0M	-474.3M	-10.8M	0.83	5.22	N/A	N/A	27,728	22,950	368,645	416,141
2016-05-24	$129.88	$130.00	12.1%	3.4%	11.5%	12.7%	12.4%	-0.1%	0.4%	24.4M	-296.8M	-10.8M	1.20	4.63	N/A	N/A	26,770	31,990	376,481	423,681
2016-05-25	$129.36	$130.00	11.5%	3.2%	11.3%	4.7%	11.4%	-0.1%	0.5%	-42.1M	-34.8M	-10.7M	1.88	5.71	N/A	N/A	30,903	57,999	377,357	428,279
2016-05-26	$130.04	$130.00	11.4%	3.2%	11.2%	3.9%	11.2%	-0.1%	0.6%	-8.9M	-161.0M	-10.7M	2.11	5.13	N/A	N/A	22,719	47,949	390,757	455,630
2016-05-27	$129.82	$130.00	11.3%	3.1%	11.2%	1.5%	10.9%	-0.1%	0.4%	-40.0M	-75.1M	-10.4M	1.18	5.41	N/A	N/A	41,061	48,534	395,881	460,815
2016-05-31	$130.13	$130.00	11.9%	3.4%	10.4%	10.7%	12.2%	-0.4%	-0.1%	-5.1M	-262.3M	-10.3M	0.71	5.30	N/A	N/A	97,719	69,034	397,267	462,946