TLT Options History — June 2016

In June 2016, TLT traded between $130.31 and $139.47. ATM implied volatility averaged 14.2%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.0% (HV 20d: 11.2%). Max pain ranged from $130.00 to $136.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.00.

Notable Days

2016-06-16: Highest Volume — 240,620 contracts
2016-06-16: Largest IV spike — 11.7% change
2016-06-16: Highest IV Rank — 77.8%
2016-06-27: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$134.81	$130.31	$139.47	$130.31	$138.89
Max Pain	$133.57	$130.00	$136.50	$130.00	$136.50
ATM IV	14.2%	11.9%	16.9%	12.2%	14.7%
Expected Move	4.1%	3.4%	5.1%	3.4%	4.1%
HV 20d	11.2%	7.3%	16.5%	9.6%	16.4%
HV 60d	11.1%	10.4%	13.0%	10.7%	12.8%
IV Rank	41.9%	10.1%	77.8%	13.9%	48.0%
IV Percentile	58.8%	4.0%	94.4%	11.9%	76.2%
Term Structure	-0.1%	-0.7%	0.3%	-0.1%	0.2%
VWIV	14.6%	11.9%	18.0%	11.9%	15.5%
Skew 25d	-1.3%	-2.3%	-0.4%	-0.6%	-1.3%
Skew 10d	-2.4%	-4.4%	-0.2%	-0.5%	-2.5%
Call IV 25d	15.1%	12.2%	18.4%	12.6%	15.5%
Put IV 25d	13.8%	11.8%	16.3%	12.0%	14.2%
Bid-Ask Spread %	11.55	4.41	27.27	4.41	17.34
Gamma HHI	0.07	0.04	0.35	0.05	0.05
Net GEX	204.1M	5.8M	690.4M	32.3M	159.6M
Net DEX	-2.03B	-3.85B	-137.9M	-425.5M	-2.97B
Net VEX	-14.8M	-18.1M	-11.8M	-12.0M	-18.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.44	2.20	0.77	0.73
Total Volume	138,687.318	75,940	240,620	154,839	234,695
Total OI	1,116,770.818	929,508	1,412,807	929,508	1,412,807

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
2016-06-01	$130.31	$130.00	12.2%	3.4%	9.6%	13.9%	11.9%	-0.6%	-0.1%	32.3M	-425.5M	-12.0M	0.77	4.41	N/A	N/A	87,583	67,256	433,733	495,775
2016-06-02	$131.36	$132.00	12.2%	3.4%	9.9%	13.5%	12.3%	-0.4%	-0.0%	115.6M	-978.9M	-12.7M	0.86	5.71	N/A	N/A	56,753	48,753	452,324	528,063
2016-06-03	$133.10	$132.00	12.1%	3.5%	10.6%	13.4%	12.2%	-0.4%	-0.1%	217.5M	-1.86B	-12.2M	1.00	5.46	N/A	N/A	78,633	78,396	452,228	537,194
2016-06-06	$132.21	$132.00	11.9%	3.4%	10.8%	10.1%	12.0%	-0.4%	0.0%	144.1M	-1.19B	-12.2M	0.87	6.29	N/A	N/A	47,743	41,685	436,432	517,975
2016-06-07	$132.59	$132.00	12.0%	3.4%	10.9%	11.9%	11.9%	-0.4%	-0.2%	171.8M	-1.35B	-12.3M	1.17	5.59	N/A	N/A	40,030	46,811	440,856	519,568
2016-06-08	$133.25	$132.00	12.3%	3.4%	11.0%	16.0%	12.1%	-0.4%	-0.4%	216.8M	-1.66B	-11.9M	0.90	5.94	N/A	N/A	45,734	41,373	442,401	532,044
2016-06-09	$134.07	$132.00	12.8%	3.6%	11.0%	21.9%	12.7%	-0.6%	-0.2%	249.5M	-2.01B	-11.8M	0.75	5.28	N/A	N/A	69,049	52,109	445,884	536,501
2016-06-10	$134.88	$132.00	13.7%	3.8%	10.9%	34.4%	13.4%	-1.2%	-0.4%	299.7M	-2.46B	-13.0M	0.74	5.82	N/A	N/A	64,801	48,122	483,102	556,709
2016-06-13	$135.38	$133.00	14.9%	4.2%	10.6%	51.2%	15.3%	-1.4%	-0.3%	251.6M	-2.50B	-13.1M	0.66	5.07	N/A	N/A	62,095	41,020	488,761	544,735
2016-06-14	$135.26	$133.00	15.1%	4.3%	10.0%	54.1%	15.0%	-1.6%	-0.3%	272.0M	-2.57B	-13.6M	1.74	8.63	N/A	N/A	55,182	95,847	516,946	555,527
2016-06-15	$135.76	$133.00	15.1%	4.3%	10.0%	53.7%	15.8%	-1.5%	-0.3%	241.0M	-2.63B	-14.6M	1.08	7.44	N/A	N/A	64,831	70,264	532,987	610,743
2016-06-16	$136.49	$133.00	16.9%	4.9%	7.3%	77.8%	17.6%	-2.0%	-0.5%	266.9M	-3.03B	-14.8M	0.44	4.87	N/A	N/A	167,372	73,248	561,244	639,404
2016-06-17	$135.62	$134.00	16.0%	4.6%	7.9%	65.5%	18.0%	-2.2%	-0.7%	132.4M	-2.69B	-16.2M	0.71	5.73	N/A	N/A	108,102	77,082	626,632	666,181
2016-06-20	$134.20	$135.00	14.9%	4.4%	9.1%	50.5%	15.4%	-1.8%	0.1%	122.6M	-1.29B	-17.7M	0.66	20.37	N/A	N/A	60,223	39,757	565,522	546,691
2016-06-21	$133.56	$135.00	14.3%	4.2%	9.4%	43.3%	14.6%	-1.7%	0.2%	67.6M	-859.7M	-17.8M	1.32	18.73	N/A	N/A	33,745	44,429	565,828	553,153
2016-06-22	$133.83	$135.00	15.1%	4.6%	9.2%	54.4%	16.6%	-1.8%	-0.2%	79.7M	-1.03B	-17.5M	0.63	16.64	N/A	N/A	46,646	29,294	576,251	577,808
2016-06-23	$132.14	$135.00	14.2%	4.2%	10.3%	41.8%	15.0%	-1.8%	-0.0%	5.8M	-137.9M	-17.3M	1.05	18.32	N/A	N/A	74,402	78,282	601,860	580,372
2016-06-24	$135.70	$135.00	15.4%	4.6%	13.7%	57.8%	16.2%	-2.0%	0.0%	690.4M	-2.36B	-17.4M	0.59	21.92	N/A	N/A	126,626	74,837	643,844	624,989
2016-06-27	$139.28	$135.00	16.8%	5.1%	16.0%	77.5%	17.6%	-2.3%	-0.0%	274.8M	-3.85B	-15.6M	1.92	27.16	N/A	N/A	54,829	105,328	587,160	607,944
2016-06-28	$139.47	$136.00	15.8%	4.6%	16.0%	63.1%	16.1%	-1.7%	-0.0%	260.8M	-3.81B	-15.7M	2.20	27.27	N/A	N/A	33,874	74,374	595,675	666,049
2016-06-29	$138.40	$136.00	14.6%	4.1%	16.5%	46.9%	14.7%	-1.3%	0.3%	217.2M	-3.04B	-17.5M	1.28	10.15	N/A	N/A	92,125	117,781	603,386	705,670
2016-06-30	$138.89	$136.50	14.7%	4.1%	16.4%	48.0%	15.5%	-1.3%	0.2%	159.6M	-2.97B	-18.1M	0.73	17.34	N/A	N/A	135,305	99,390	645,257	767,550