TLT Options History — September 2016

In September 2016, TLT traded between $134.13 and $139.84. ATM implied volatility averaged 12.8%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.5% (HV 20d: 11.2%). Max pain ranged from $139.50 to $140.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.84.

Notable Days

2016-09-08: Highest Volume — 192,987 contracts
2016-09-22: Largest IV drop — 8.3% change
2016-09-13: Highest IV Rank — 40.6%
2016-09-20: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$136.95	$134.13	$139.84	$139.69	$137.48
Max Pain	$139.97	$139.50	$140.00	$140.00	$140.00
ATM IV	12.8%	11.6%	14.1%	12.7%	12.3%
Expected Move	3.6%	3.1%	4.0%	3.5%	3.5%
HV 20d	11.2%	9.9%	12.1%	10.4%	11.6%
HV 60d	13.3%	11.5%	14.5%	13.6%	11.6%
IV Rank	22.2%	6.1%	40.6%	20.7%	16.0%
IV Percentile	37.0%	2.4%	73.8%	35.7%	26.6%
Term Structure	0.1%	-0.4%	0.7%	0.2%	0.6%
VWIV	12.6%	10.8%	14.2%	12.2%	12.2%
Skew 25d	0.6%	0.1%	0.9%	0.6%	0.3%
Skew 10d	1.2%	0.2%	2.0%	1.4%	0.5%
Call IV 25d	12.7%	11.7%	14.0%	12.5%	12.3%
Put IV 25d	13.3%	12.0%	14.7%	13.1%	12.5%
Bid-Ask Spread %	5.49	4.11	8.58	4.60	4.24
Gamma HHI	0.09	0.05	0.21	0.05	0.09
Net GEX	-196.9M	-554.6M	104.8M	-28.9M	-186.6M
Net DEX	1.13B	-823.7M	3.97B	-575.2M	256.0M
Net VEX	-16.9M	-18.4M	-15.0M	-17.5M	-15.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.84	0.94	4.33	2.28	1.31
Total Volume	109,951.75	63,648	192,987	104,955	84,223
Total OI	1,390,513.35	1,207,983	1,621,036	1,434,185	1,338,871

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
2016-09-01	$139.69	$140.00	12.7%	3.5%	10.4%	20.7%	12.2%	0.6%	0.2%	-28.9M	-575.2M	-17.5M	2.28	4.60	N/A	N/A	32,018	72,937	557,386	876,799
2016-09-02	$138.56	$139.50	12.1%	3.1%	10.2%	13.4%	10.8%	0.7%	0.3%	-187.6M	436.5M	-17.4M	1.85	4.54	N/A	N/A	43,825	80,940	546,555	891,448
2016-09-06	$139.66	$140.00	12.5%	3.5%	10.5%	18.2%	12.3%	0.5%	-0.2%	25.9M	-568.5M	-16.2M	1.65	7.19	N/A	N/A	41,184	67,755	540,083	864,302
2016-09-07	$139.84	$140.00	12.5%	3.5%	9.9%	18.4%	12.3%	0.5%	-0.3%	54.8M	-660.1M	-16.9M	1.69	6.82	N/A	N/A	30,482	51,457	558,942	896,008
2016-09-08	$137.62	$140.00	12.7%	3.6%	11.2%	21.0%	12.5%	0.6%	-0.2%	-287.0M	1.39B	-17.9M	3.98	8.58	N/A	N/A	38,715	154,272	566,966	915,879
2016-09-09	$135.60	$140.00	13.6%	3.8%	11.8%	33.4%	13.2%	0.8%	-0.3%	-488.0M	3.17B	-18.4M	1.40	5.89	N/A	N/A	56,330	78,810	558,082	950,146
2016-09-12	$135.60	$140.00	13.6%	3.8%	11.3%	33.3%	13.2%	0.9%	-0.4%	-452.5M	2.86B	-17.9M	1.85	7.85	N/A	N/A	30,257	55,852	545,522	933,735
2016-09-13	$134.13	$140.00	14.1%	4.0%	11.5%	40.6%	14.2%	0.7%	-0.3%	-547.4M	3.97B	-17.6M	1.97	5.91	N/A	N/A	49,822	97,927	552,345	948,115
2016-09-14	$134.37	$140.00	14.0%	4.0%	11.5%	38.6%	13.9%	0.8%	-0.1%	-554.6M	3.81B	-18.2M	2.35	5.47	N/A	N/A	30,475	71,675	573,301	968,438
2016-09-16	$134.66	$140.00	13.3%	3.7%	11.3%	29.0%	13.3%	0.6%	-0.4%	-541.6M	3.49B	-16.8M	0.94	5.66	N/A	N/A	49,310	46,157	613,238	1,007,798
2016-09-19	$134.38	$140.00	13.8%	3.9%	11.2%	36.1%	13.5%	0.7%	-0.1%	-325.2M	2.38B	-18.2M	1.08	4.69	N/A	N/A	42,547	45,793	470,325	737,658
2016-09-20	$134.77	$140.00	14.1%	4.0%	11.3%	39.7%	14.1%	0.7%	-0.1%	-281.0M	2.09B	-18.2M	1.25	5.09	N/A	N/A	41,079	51,223	498,050	750,493
2016-09-21	$135.72	$140.00	13.1%	3.8%	11.2%	26.5%	13.2%	0.7%	0.0%	-246.1M	1.50B	-17.7M	4.33	5.08	N/A	N/A	33,317	144,393	512,491	773,586
2016-09-22	$136.95	$140.00	12.0%	3.4%	11.7%	11.6%	12.0%	0.5%	0.1%	-100.7M	537.0M	-16.1M	1.72	5.00	N/A	N/A	52,285	89,825	522,240	830,528
2016-09-23	$137.06	$140.00	11.7%	3.3%	11.8%	8.0%	12.0%	0.6%	0.3%	29.2M	419.5M	-16.3M	1.56	4.64	N/A	N/A	49,125	76,656	552,675	852,567
2016-09-26	$137.48	$140.00	11.9%	3.4%	11.8%	10.9%	12.1%	0.5%	0.5%	-23.3M	-40.8M	-15.9M	1.12	4.11	N/A	N/A	30,079	33,569	507,985	737,329
2016-09-27	$138.61	$140.00	11.6%	3.3%	12.1%	6.4%	11.6%	0.3%	0.7%	104.8M	-823.7M	-15.0M	1.08	5.25	N/A	N/A	41,846	45,041	510,271	754,548
2016-09-28	$138.25	$140.00	11.6%	3.3%	11.3%	6.1%	11.3%	0.3%	0.7%	22.2M	-439.3M	-15.5M	2.30	4.36	N/A	N/A	22,406	51,532	510,116	778,251
2016-09-29	$138.60	$140.00	12.3%	3.5%	11.3%	15.9%	12.5%	0.1%	0.7%	75.9M	-680.2M	-15.2M	1.14	4.88	N/A	N/A	39,259	44,637	516,577	790,618
2016-09-30	$137.48	$140.00	12.3%	3.5%	11.6%	16.0%	12.2%	0.3%	0.6%	-186.6M	256.0M	-15.4M	1.31	4.24	N/A	N/A	36,511	47,712	528,191	810,680