TLT Options History — August 2016 In August 2016, TLT traded between $137.94 and $140.24. ATM implied volatility averaged 12.5%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.5% (HV 20d: 12.0%). Max pain ranged from $139.00 to $140.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.67.
Notable Days 2016-08-26 : Highest Volume — 212,231 contracts2016-08-29 : Largest IV drop — 6.1% change2016-08-02 : Highest IV Rank — 34.2%2016-08-02 : Largest Expected Move — 3.9%Monthly Statistics Metric Avg Min Max Open Close Price $139.24 $137.94 $140.24 $139.70 $139.90 Max Pain $139.17 $139.00 $140.00 $140.00 $139.00 ATM IV 12.5% 11.8% 13.7% 13.2% 12.7% Expected Move 3.5% 3.3% 3.9% 3.8% 3.5% HV 20d 12.0% 10.6% 13.4% 13.4% 10.6% HV 60d 13.7% 13.5% 13.9% 13.5% 13.6% IV Rank 18.3% 8.5% 34.2% 28.0% 20.4% IV Percentile 24.6% 3.2% 55.6% 44.0% 34.9% Term Structure -0.0% -0.5% 0.5% -0.3% 0.3% VWIV 12.4% 11.7% 13.7% 13.2% 12.8% Skew 25d 0.3% -0.1% 0.6% -0.1% 0.6% Skew 10d 0.3% -0.4% 1.3% -0.3% 1.3% Call IV 25d 12.6% 11.7% 13.8% 13.5% 12.6% Put IV 25d 12.8% 12.0% 13.9% 13.4% 13.1% Bid-Ask Spread % 4.63 3.85 5.91 3.85 4.88 Gamma HHI 0.06 0.05 0.09 0.05 0.06 Net GEX -4.1M -161.4M 131.2M -16.6M -30.4M Net DEX -440.7M -1.33B 877.7M -469.5M -667.0M Net VEX -17.3M -19.1M -15.2M -16.8M -17.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.67 0.69 3.30 1.20 1.75 Total Volume 108,348.043 28,698 212,231 93,492 96,852 Total OI 1,402,209.913 1,282,427 1,559,138 1,309,071 1,414,318
Daily Data (23 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 2016-08-01 $139.70 $140.00 13.2% 3.8% 13.4% 28.0% 13.2% -0.1% -0.3% -16.6M -469.5M -16.8M 1.20 3.85 N/A N/A 42,547 50,945 505,976 803,095 2016-08-02 $138.36 $140.00 13.7% 3.9% 12.8% 34.2% 13.7% 0.1% -0.5% -101.9M 314.8M -17.2M 2.20 4.32 N/A N/A 47,671 104,982 515,863 811,908 2016-08-03 $138.60 $140.00 13.5% 3.8% 12.8% 31.6% 13.3% 0.1% -0.5% -85.7M 181.7M -16.9M 1.95 4.46 N/A N/A 35,990 70,050 530,912 840,806 2016-08-04 $139.38 $139.00 13.0% 3.6% 13.0% 25.1% 12.4% 0.1% -0.4% -26.9M -267.1M -17.5M 2.07 4.58 N/A N/A 33,022 68,478 538,322 857,481 2016-08-05 $137.94 $140.00 12.8% 3.6% 13.2% 22.7% 12.6% 0.1% -0.4% -161.4M 877.7M -18.3M 2.21 4.63 N/A N/A 31,856 70,269 544,778 871,544 2016-08-08 $138.22 $139.00 12.6% 3.6% 13.1% 20.1% 12.4% 0.2% -0.1% -62.8M 263.0M -17.0M 1.69 4.81 N/A N/A 35,605 60,130 527,434 825,853 2016-08-09 $139.64 $139.00 12.2% 3.5% 12.5% 13.9% 12.0% 0.1% -0.0% 62.1M -773.1M -15.2M 2.03 4.12 N/A N/A 29,553 59,876 538,305 829,892 2016-08-10 $140.24 $139.00 12.0% 3.5% 11.8% 12.2% 12.1% 0.3% 0.0% 84.4M -1.14B -15.6M 2.24 4.32 N/A N/A 34,233 76,793 546,572 833,674 2016-08-11 $138.81 $139.00 12.2% 3.5% 11.4% 13.5% 12.3% 0.2% -0.0% -23.1M -15.6M -16.9M 1.60 4.68 N/A N/A 34,930 56,003 554,055 860,559 2016-08-12 $140.04 $139.00 11.9% 3.4% 11.4% 10.3% 12.1% 0.2% -0.0% 131.2M -900.7M -16.4M 0.70 4.30 N/A N/A 110,304 77,426 563,031 877,790 2016-08-15 $138.85 $139.00 12.4% 3.6% 11.8% 17.4% 12.4% 0.2% 0.3% 14.7M -286.2M -18.6M 1.01 4.68 N/A N/A 62,057 62,954 599,045 875,882 2016-08-16 $138.41 $139.00 12.4% 3.6% 11.7% 17.3% 12.4% 0.3% 0.3% -10.6M 9.8M -19.1M 0.69 4.70 N/A N/A 83,336 57,743 625,214 894,886 2016-08-17 $139.22 $139.00 12.2% 3.5% 11.7% 13.9% 12.4% 0.4% 0.4% 38.2M -670.2M -18.5M 1.09 5.56 N/A N/A 18,333 19,960 633,251 906,751 2016-08-18 $139.44 $139.00 12.0% 3.4% 11.7% 12.0% 12.1% 0.3% 0.5% 35.8M -824.3M -18.3M 1.23 4.42 N/A N/A 12,852 15,846 633,121 916,724 2016-08-19 $138.72 $139.00 11.8% 3.3% 11.8% 8.5% 11.9% 0.2% 0.4% -94.5M -243.6M -17.9M 0.92 4.44 N/A N/A 83,944 76,980 638,485 920,653 2016-08-22 $139.81 $139.00 12.3% 3.4% 12.1% 15.2% 12.2% 0.3% -0.1% 62.8M -1.13B -17.1M 0.95 4.52 N/A N/A 63,480 60,310 532,241 750,186 2016-08-23 $140.08 $139.00 12.1% 3.4% 12.1% 13.1% 12.1% 0.2% -0.1% 107.5M -1.33B -16.9M 0.90 4.24 N/A N/A 51,765 46,539 545,374 758,708 2016-08-24 $139.70 $139.00 12.2% 3.4% 11.6% 13.9% 11.9% 0.3% -0.2% 81.2M -1.04B -16.9M 2.53 4.24 N/A N/A 20,035 50,784 550,164 767,082 2016-08-25 $139.06 $139.00 12.7% 3.6% 11.7% 20.7% 12.3% 0.4% -0.2% 7.7M -425.6M -17.7M 1.60 4.84 N/A N/A 35,204 56,499 565,388 792,294 2016-08-26 $138.48 $139.00 13.0% 3.6% 11.3% 25.0% 12.8% 0.4% -0.2% -107.3M 101.1M -18.0M 3.30 5.91 N/A N/A 49,332 162,899 569,837 805,507 2016-08-29 $140.11 $139.00 12.2% 3.3% 11.2% 14.2% 11.7% 0.4% 0.3% 23.3M -1.02B -16.8M 2.23 5.25 N/A N/A 31,282 69,853 546,032 832,203 2016-08-30 $139.79 $139.00 12.4% 3.4% 10.6% 16.4% 12.0% 0.6% 0.3% -22.0M -681.7M -17.7M 2.26 4.70 N/A N/A 22,271 50,232 555,654 843,978 2016-08-31 $139.90 $139.00 12.7% 3.5% 10.6% 20.4% 12.8% 0.6% 0.3% -30.4M -667.0M -17.7M 1.75 4.88 N/A N/A 35,252 61,600 556,644 857,674
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