TLT Options History — November 2016

In November 2016, TLT traded between $120.54 and $131.57. ATM implied volatility averaged 15.4%, placing in the 57.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.4% (HV 20d: 15.0%). Max pain ranged from $129.00 to $135.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.30.

Notable Days

2016-11-14: Highest Volume — 359,344 contracts
2016-11-09: Largest IV spike — 20.9% change
2016-11-14: Highest IV Rank — 90.4%
2016-11-14: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$124.35	$120.54	$131.57	$131.10	$120.72
Max Pain	$132.00	$129.00	$135.00	$135.00	$129.00
ATM IV	15.4%	13.1%	17.8%	14.2%	15.1%
Expected Move	4.5%	3.8%	5.1%	4.4%	4.6%
HV 20d	15.0%	9.0%	17.9%	9.0%	17.9%
HV 60d	12.3%	10.0%	13.4%	10.4%	13.4%
IV Rank	57.5%	27.1%	90.4%	41.8%	53.7%
IV Percentile	88.1%	56.3%	99.6%	82.1%	88.1%
Term Structure	-0.2%	-0.6%	0.2%	-0.3%	-0.2%
VWIV	15.6%	13.4%	17.6%	15.4%	16.0%
Skew 25d	1.0%	0.0%	1.6%	0.7%	1.1%
Skew 10d	1.8%	0.0%	3.0%	1.0%	2.0%
Call IV 25d	15.1%	13.4%	17.2%	14.1%	14.6%
Put IV 25d	16.1%	13.4%	18.8%	14.8%	15.6%
Bid-Ask Spread %	6.35	2.39	59.31	4.83	3.71
Gamma HHI	0.08	0.06	0.11	0.07	0.08
Net GEX	-310.5M	-491.4M	-185.0M	-291.0M	-231.2M
Net DEX	5.00B	2.08B	7.40B	2.30B	5.49B
Net VEX	-15.3M	-16.7M	-13.7M	-16.2M	-14.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.30	0.60	2.13	1.83	1.31
Total Volume	156,214.333	74,904	359,344	106,475	196,957
Total OI	1,597,415.333	1,294,750	1,879,123	1,294,750	1,742,749

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
2016-11-01	$131.10	$135.00	14.2%	4.4%	9.0%	41.8%	15.4%	0.7%	-0.3%	-291.0M	2.30B	-16.2M	1.83	4.83	N/A	N/A	37,590	68,885	504,416	790,334
2016-11-02	$131.50	$135.00	14.2%	4.4%	9.0%	41.9%	15.8%	0.7%	-0.2%	-267.9M	2.10B	-16.7M	1.99	4.70	N/A	N/A	25,342	50,383	522,328	807,928
2016-11-03	$130.66	$135.00	14.2%	4.0%	9.1%	42.2%	13.9%	0.8%	-0.3%	-338.3M	2.64B	-16.3M	2.13	3.13	N/A	N/A	25,712	54,784	528,653	818,291
2016-11-04	$131.57	$135.00	14.3%	4.0%	9.6%	42.7%	13.4%	0.7%	-0.4%	-241.3M	2.08B	-16.4M	1.85	3.86	N/A	N/A	26,257	48,647	538,990	832,815
2016-11-07	$130.63	$135.00	13.9%	4.0%	9.7%	37.3%	13.6%	0.4%	0.0%	-352.3M	2.52B	-15.4M	1.81	3.07	N/A	N/A	28,768	52,086	523,842	817,442
2016-11-08	$129.88	$135.00	13.1%	3.8%	9.8%	27.1%	13.4%	0.0%	0.1%	-432.1M	2.99B	-15.0M	1.30	6.19	N/A	N/A	34,863	45,475	532,337	830,236
2016-11-09	$124.63	$135.00	15.9%	4.5%	17.3%	64.6%	15.8%	1.1%	-0.2%	-471.7M	6.08B	-13.7M	1.85	4.74	N/A	N/A	105,382	195,366	545,184	841,949
2016-11-10	$123.08	$133.00	16.3%	4.7%	17.3%	70.6%	16.5%	1.4%	0.2%	-491.4M	7.01B	-14.2M	0.67	3.05	N/A	N/A	163,643	108,954	606,416	920,413
2016-11-11	$122.09	$132.00	16.9%	4.9%	16.9%	78.6%	17.1%	1.3%	0.1%	-351.2M	7.40B	-14.8M	0.83	2.39	N/A	N/A	105,153	87,161	707,784	959,969
2016-11-14	$121.29	$132.00	17.8%	5.1%	16.4%	90.4%	17.6%	1.6%	-0.2%	-328.2M	7.09B	-13.9M	1.59	3.65	N/A	N/A	138,714	220,630	703,821	918,404
2016-11-15	$121.91	$131.00	16.0%	4.6%	16.6%	65.4%	15.9%	1.3%	0.1%	-320.3M	6.64B	-15.3M	1.12	3.95	N/A	N/A	91,827	102,843	766,648	945,803
2016-11-16	$123.01	$131.00	15.6%	4.5%	17.2%	59.9%	15.6%	1.2%	0.0%	-227.0M	5.70B	-15.6M	0.60	2.97	N/A	N/A	111,122	67,089	794,306	932,699
2016-11-17	$121.18	$130.00	16.8%	4.8%	17.5%	77.4%	17.0%	1.1%	-0.0%	-309.1M	6.62B	-15.2M	0.81	4.44	N/A	N/A	81,354	65,636	855,592	956,282
2016-11-18	$120.79	$130.00	17.0%	4.9%	17.3%	79.8%	17.2%	1.2%	-0.2%	-302.2M	6.82B	-15.5M	1.16	2.83	N/A	N/A	104,618	121,024	887,722	991,401
2016-11-21	$121.03	$130.00	16.2%	4.6%	17.4%	69.1%	16.2%	1.1%	-0.6%	-288.6M	5.45B	-16.1M	1.13	3.88	N/A	N/A	46,695	52,704	812,267	890,363
2016-11-22	$121.15	$130.00	15.0%	4.3%	17.3%	53.2%	15.0%	1.1%	-0.5%	-296.7M	5.44B	-15.3M	0.87	3.37	N/A	N/A	59,923	51,957	824,652	885,511
2016-11-23	$120.54	$130.00	15.4%	4.5%	17.3%	57.4%	15.5%	1.2%	-0.5%	-302.3M	5.70B	-14.8M	1.73	3.73	N/A	N/A	79,487	137,476	847,501	891,310
2016-11-25	$120.82	$130.00	15.8%	4.7%	17.3%	62.9%	16.5%	1.4%	-0.5%	-253.7M	5.50B	-15.5M	1.10	59.31	N/A	N/A	37,693	41,325	881,558	976,927
2016-11-28	$121.58	$130.00	14.8%	4.4%	17.7%	49.6%	15.3%	1.2%	0.1%	-239.2M	4.99B	-15.2M	0.71	3.06	N/A	N/A	70,850	50,232	786,503	897,883
2016-11-29	$122.27	$129.00	14.2%	4.3%	17.7%	41.4%	15.2%	1.2%	0.1%	-185.0M	4.42B	-15.7M	0.96	2.48	N/A	N/A	43,854	42,040	819,481	907,012
2016-11-30	$120.72	$129.00	15.1%	4.6%	17.9%	53.7%	16.0%	1.1%	-0.2%	-231.2M	5.49B	-14.7M	1.31	3.71	N/A	N/A	85,368	111,589	827,884	914,865