TLT Options History — October 2016

In October 2016, TLT traded between $130.47 and $136.89. ATM implied volatility averaged 12.7%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.7% (HV 20d: 10.0%). Max pain ranged from $135.00 to $140.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.63.

Notable Days

2016-10-27: Highest Volume — 153,492 contracts
2016-10-31: Largest IV spike — 7.8% change
2016-10-31: Highest IV Rank — 34.7%
2016-10-31: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$133.01	$130.47	$136.89	$136.89	$131.22
Max Pain	$137.14	$135.00	$140.00	$140.00	$135.00
ATM IV	12.7%	11.6%	13.7%	12.6%	13.7%
Expected Move	3.7%	3.4%	4.1%	3.4%	4.1%
HV 20d	10.0%	8.6%	12.1%	11.7%	9.7%
HV 60d	10.9%	10.5%	11.7%	11.6%	10.6%
IV Rank	21.7%	5.6%	34.7%	20.1%	34.7%
IV Percentile	42.3%	2.4%	73.0%	37.3%	73.0%
Term Structure	0.0%	-0.5%	0.5%	0.3%	-0.2%
VWIV	13.0%	11.9%	14.5%	12.3%	14.5%
Skew 25d	0.6%	0.4%	0.7%	0.4%	0.7%
Skew 10d	1.1%	0.6%	1.9%	0.6%	1.9%
Call IV 25d	12.7%	11.5%	13.5%	12.8%	13.5%
Put IV 25d	13.3%	12.0%	14.2%	13.2%	14.2%
Bid-Ask Spread %	4.06	3.41	4.84	3.96	4.37
Gamma HHI	0.08	0.06	0.12	0.08	0.07
Net GEX	-331.6M	-561.9M	-132.2M	-132.2M	-312.3M
Net DEX	2.52B	644.3M	3.98B	644.3M	2.32B
Net VEX	-15.0M	-16.0M	-13.8M	-15.1M	-15.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.63	0.51	3.66	1.39	0.91
Total Volume	93,079.714	40,958	153,492	50,446	75,665
Total OI	1,313,301.333	1,175,957	1,496,500	1,212,668	1,269,048

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
2016-10-03	$136.89	$140.00	12.6%	3.4%	11.7%	20.1%	12.3%	0.4%	0.3%	-132.2M	644.3M	-15.1M	1.39	3.96	N/A	N/A	21,067	29,379	482,331	730,337
2016-10-04	$135.26	$140.00	12.8%	3.5%	12.1%	23.1%	12.4%	0.6%	0.4%	-274.9M	1.74B	-15.3M	2.31	4.18	N/A	N/A	33,808	78,029	486,118	742,637
2016-10-05	$134.42	$140.00	12.8%	3.4%	11.7%	22.5%	12.2%	0.7%	0.3%	-339.9M	2.28B	-15.6M	2.43	3.94	N/A	N/A	35,248	85,575	496,519	765,881
2016-10-06	$133.86	$138.00	12.9%	3.8%	11.7%	23.7%	13.6%	0.6%	0.4%	-414.7M	2.77B	-16.0M	1.67	4.60	N/A	N/A	43,184	72,024	507,045	800,172
2016-10-07	$133.85	$137.00	12.7%	3.7%	10.5%	21.2%	13.4%	0.6%	0.5%	-561.9M	2.78B	-15.4M	1.99	4.71	N/A	N/A	41,929	83,528	518,409	808,166
2016-10-10	$133.08	$136.00	13.4%	3.8%	9.4%	30.6%	13.7%	0.7%	-0.1%	-381.5M	2.90B	-15.6M	1.28	4.57	N/A	N/A	40,110	51,273	504,001	773,440
2016-10-11	$132.99	$137.00	13.2%	3.8%	9.4%	28.4%	13.7%	0.7%	-0.1%	-386.5M	2.96B	-15.5M	3.66	3.41	N/A	N/A	23,183	84,961	526,843	788,393
2016-10-12	$132.75	$137.00	13.3%	3.8%	8.6%	29.9%	13.3%	0.5%	-0.2%	-427.9M	3.26B	-16.0M	1.40	3.96	N/A	N/A	28,093	39,445	536,407	839,697
2016-10-13	$133.49	$137.00	12.8%	3.7%	8.8%	23.0%	13.3%	0.4%	-0.1%	-399.4M	2.66B	-14.8M	2.64	4.24	N/A	N/A	31,902	84,342	546,509	838,499
2016-10-14	$131.56	$137.00	13.2%	3.8%	10.1%	28.1%	13.2%	0.6%	-0.2%	-447.7M	3.98B	-14.8M	1.81	3.96	N/A	N/A	33,707	61,091	552,801	816,361
2016-10-17	$132.54	$137.00	13.4%	3.8%	10.5%	30.2%	13.5%	0.5%	-0.4%	-359.0M	3.05B	-14.7M	0.51	3.76	N/A	N/A	93,765	48,164	544,041	810,899
2016-10-18	$132.79	$137.00	13.3%	3.8%	10.5%	29.5%	13.4%	0.6%	-0.5%	-339.8M	2.91B	-14.7M	0.72	3.58	N/A	N/A	53,600	38,399	557,636	841,965
2016-10-19	$132.77	$137.00	13.0%	3.7%	10.1%	25.2%	13.1%	0.6%	-0.4%	-324.4M	2.93B	-14.2M	2.48	3.67	N/A	N/A	21,895	54,261	564,599	851,188
2016-10-20	$133.03	$137.00	12.5%	3.6%	9.5%	18.8%	12.8%	0.6%	-0.4%	-274.5M	2.81B	-14.0M	1.56	3.74	N/A	N/A	37,725	59,004	572,551	879,952
2016-10-21	$133.45	$137.00	11.7%	3.4%	9.6%	6.9%	11.9%	0.5%	-0.3%	-174.4M	2.54B	-14.1M	1.70	4.34	N/A	N/A	32,446	55,293	584,636	911,864
2016-10-24	$132.63	$137.00	11.7%	3.5%	9.6%	8.0%	12.2%	0.5%	0.4%	-224.8M	1.63B	-13.9M	0.86	4.34	N/A	N/A	22,016	18,942	455,586	720,371
2016-10-25	$133.10	$137.00	11.6%	3.4%	9.1%	5.6%	12.0%	0.4%	0.4%	-187.7M	1.35B	-13.8M	1.14	3.72	N/A	N/A	35,592	40,611	462,371	727,051
2016-10-26	$132.29	$136.00	11.8%	3.5%	9.2%	9.0%	12.5%	0.6%	0.4%	-252.5M	1.86B	-14.6M	0.81	3.60	N/A	N/A	23,409	18,972	477,511	754,521
2016-10-27	$130.82	$136.00	12.3%	3.7%	9.5%	15.9%	13.0%	0.6%	0.4%	-359.9M	2.70B	-14.8M	1.40	3.80	N/A	N/A	63,883	89,609	482,344	758,000
2016-10-28	$130.47	$135.00	12.7%	3.8%	9.3%	21.2%	13.6%	0.6%	0.3%	-388.6M	2.89B	-15.7M	1.54	4.84	N/A	N/A	27,372	42,173	507,521	785,107
2016-10-31	$131.22	$135.00	13.7%	4.1%	9.7%	34.7%	14.5%	0.7%	-0.2%	-312.3M	2.32B	-15.7M	0.91	4.37	N/A	N/A	39,610	36,055	494,358	774,690