TLT Options History — July 2016 In July 2016, TLT traded between $138.24 and $143.38. ATM implied volatility averaged 14.3%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 2.4% (HV 20d: 16.8%). Max pain ranged from $135.00 to $140.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.51.
Notable Days 2016-07-01 : Highest Volume — 240,788 contracts2016-07-08 : Largest IV drop — 9.8% change2016-07-05 : Highest IV Rank — 70.8%2016-07-05 : Largest Expected Move — 4.5%Monthly Statistics Metric Avg Min Max Open Close Price $140.33 $138.24 $143.38 $140.59 $141.59 Max Pain $138.90 $135.00 $140.00 $138.00 $139.00 ATM IV 14.3% 12.8% 16.3% 15.2% 12.8% Expected Move 4.1% 3.6% 4.5% 4.2% 3.6% HV 20d 16.8% 12.7% 19.4% 16.3% 13.1% HV 60d 13.3% 12.8% 13.8% 12.8% 13.3% IV Rank 43.3% 21.7% 70.8% 54.8% 21.7% IV Percentile 67.1% 31.0% 92.5% 84.9% 31.0% Term Structure -0.0% -0.4% 0.4% 0.2% 0.4% VWIV 14.3% 12.9% 16.0% 14.9% 12.9% Skew 25d -0.5% -1.3% -0.0% -1.3% -0.0% Skew 10d -1.0% -2.5% -0.1% -1.8% -0.1% Call IV 25d 14.8% 12.8% 17.2% 16.0% 12.8% Put IV 25d 14.3% 12.8% 16.0% 14.7% 12.8% Bid-Ask Spread % 10.51 3.82 31.40 25.36 3.82 Gamma HHI 0.06 0.05 0.13 0.07 0.06 Net GEX 55.1M -170.1M 291.1M 223.2M 133.6M Net DEX -1.62B -4.05B -17.7M -2.97B -2.10B Net VEX -16.4M -18.0M -14.6M -15.4M -16.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.51 0.80 2.52 0.87 0.98 Total Volume 117,639.4 49,810 240,788 240,788 120,776 Total OI 1,362,241.5 1,226,112 1,509,401 1,336,408 1,423,045
Daily Data (20 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 2016-07-01 $140.59 $138.00 15.2% 4.2% 16.3% 54.8% 14.9% -1.3% 0.2% 223.2M -2.97B -15.4M 0.87 25.36 N/A N/A 128,879 111,909 556,970 779,438 2016-07-05 $142.45 $135.00 16.3% 4.5% 16.3% 70.8% 16.0% -1.2% -0.2% 230.1M -3.58B -15.0M 0.95 4.92 N/A N/A 72,384 68,912 567,255 768,525 2016-07-06 $142.48 $136.00 16.2% 4.5% 16.4% 69.2% 15.8% -1.2% -0.2% 236.1M -3.59B -15.0M 1.24 6.23 N/A N/A 54,993 68,057 578,523 784,530 2016-07-07 $142.55 $137.00 16.0% 4.4% 16.4% 66.3% 15.6% -0.9% -0.4% 213.7M -3.51B -15.5M 1.96 5.94 N/A N/A 40,516 79,590 596,487 826,319 2016-07-08 $143.38 $137.00 14.4% 4.1% 16.4% 45.0% 14.4% -0.7% -0.3% 291.1M -4.05B -14.6M 2.20 5.46 N/A N/A 43,430 95,383 604,679 864,175 2016-07-11 $142.29 $138.00 14.2% 4.0% 16.8% 41.7% 14.3% -0.6% -0.1% 158.2M -2.95B -16.0M 2.52 23.20 N/A N/A 34,445 86,637 579,069 836,456 2016-07-12 $140.02 $139.00 14.2% 4.0% 18.1% 41.5% 14.7% -0.5% -0.1% 70.7M -1.52B -16.6M 1.20 28.19 N/A N/A 71,204 85,219 584,375 861,554 2016-07-13 $141.62 $140.00 14.5% 4.1% 18.3% 45.6% 14.8% -0.4% -0.1% 109.2M -2.28B -15.6M 1.29 31.40 N/A N/A 38,678 49,881 578,686 885,500 2016-07-14 $139.68 $140.00 14.6% 4.2% 19.2% 47.7% 14.7% -0.3% -0.2% 156.4K -942.3M -17.3M 1.40 28.40 N/A N/A 51,916 72,792 583,162 902,838 2016-07-15 $138.51 $140.00 14.4% 4.1% 19.4% 44.3% 15.2% -0.2% -0.2% -170.1M -80.0M -17.9M 1.58 4.81 N/A N/A 65,721 103,685 587,433 921,968 2016-07-18 $138.24 $140.00 13.9% 4.0% 19.3% 37.4% 13.0% -0.3% 0.1% -114.7M -17.7M -18.0M 1.97 5.38 N/A N/A 35,302 69,485 479,513 746,599 2016-07-19 $139.05 $140.00 14.3% 4.1% 18.9% 42.9% 14.4% -0.4% -0.1% -71.2M -501.2M -17.2M 0.98 4.49 N/A N/A 38,500 37,843 483,219 759,276 2016-07-20 $138.30 $140.00 13.9% 4.0% 18.9% 37.6% 14.1% -0.3% 0.0% -110.9M -148.8M -17.1M 1.93 4.89 N/A N/A 25,502 49,338 494,128 763,754 2016-07-21 $138.38 $140.00 13.7% 3.9% 18.9% 34.7% 13.8% -0.3% 0.1% -138.5M -67.2M -18.0M 2.07 5.46 N/A N/A 40,043 83,079 498,851 774,616 2016-07-22 $138.80 $140.00 13.4% 3.8% 18.1% 31.0% 13.5% -0.3% 0.1% 49.2M -377.2M -17.3M 2.20 5.30 N/A N/A 26,305 57,752 514,062 822,611 2016-07-25 $138.68 $140.00 13.6% 3.9% 15.7% 33.2% 13.8% -0.4% 0.0% -84.3M -238.2M -17.7M 1.52 4.33 N/A N/A 19,796 30,014 489,866 797,150 2016-07-26 $139.05 $140.00 13.8% 4.0% 12.7% 36.0% 13.9% -0.3% -0.1% -19.2M -633.8M -15.6M 1.25 4.10 N/A N/A 23,644 29,528 493,510 801,396 2016-07-27 $140.51 $140.00 13.5% 3.8% 13.3% 31.3% 13.4% -0.2% 0.1% 68.4M -1.43B -14.6M 0.80 4.40 N/A N/A 59,220 47,229 498,046 805,742 2016-07-28 $140.46 $139.00 13.6% 3.9% 12.9% 33.1% 13.8% -0.1% 0.2% 27.6M -1.40B -17.3M 1.22 4.07 N/A N/A 60,978 74,223 532,599 818,905 2016-07-29 $141.59 $139.00 12.8% 3.6% 13.1% 21.7% 12.9% -0.0% 0.4% 133.6M -2.10B -16.0M 0.98 3.82 N/A N/A 61,147 59,629 564,938 858,107
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