TLT Options History — December 2016

In December 2016, TLT traded between $117.07 and $120.43. ATM implied volatility averaged 14.0%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.2% (HV 20d: 13.8%). Max pain ranged from $125.00 to $128.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.93.

Notable Days

2016-12-01: Highest Volume — 292,115 contracts
2016-12-15: Largest IV drop — 10.2% change
2016-12-01: Highest IV Rank — 75.2%
2016-12-01: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$118.43	$117.07	$120.43	$118.72	$119.27
Max Pain	$127.00	$125.00	$128.00	$128.00	$125.00
ATM IV	14.0%	12.8%	16.7%	16.7%	13.5%
Expected Move	4.0%	3.7%	5.3%	5.3%	3.8%
HV 20d	13.8%	10.3%	18.9%	18.2%	10.3%
HV 60d	13.4%	13.2%	13.7%	13.6%	13.4%
IV Rank	39.0%	21.8%	75.2%	75.2%	31.0%
IV Percentile	64.2%	36.5%	96.4%	96.4%	57.1%
Term Structure	0.1%	-0.3%	0.8%	-0.2%	0.6%
VWIV	14.1%	12.8%	18.4%	18.4%	13.4%
Skew 25d	0.8%	0.4%	1.4%	1.4%	0.4%
Skew 10d	1.5%	0.6%	2.3%	2.3%	0.7%
Call IV 25d	13.8%	12.7%	16.2%	16.2%	13.4%
Put IV 25d	14.6%	13.2%	17.7%	17.7%	13.8%
Bid-Ask Spread %	3.82	2.36	18.04	2.69	4.24
Gamma HHI	0.08	0.06	0.23	0.08	0.06
Net GEX	-196.1M	-425.5M	1.8M	-300.6M	-18.7M
Net DEX	4.99B	1.96B	7.35B	6.59B	1.96B
Net VEX	-13.6M	-15.2M	-11.6M	-14.5M	-15.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.17	1.59	1.59	0.68
Total Volume	127,688.333	69,823	292,115	292,115	117,908
Total OI	1,743,054.571	1,411,738	2,052,057	1,824,709	1,641,380

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
2016-12-01	$118.72	$128.00	16.7%	5.3%	18.2%	75.2%	18.4%	1.4%	-0.2%	-300.6M	6.59B	-14.5M	1.59	2.69	N/A	N/A	112,714	179,401	871,129	953,580
2016-12-02	$119.39	$128.00	15.8%	5.0%	18.6%	64.0%	17.5%	1.1%	-0.3%	-231.4M	6.03B	-15.1M	0.92	3.00	N/A	N/A	80,538	74,198	914,720	970,685
2016-12-05	$119.71	$127.00	15.4%	4.3%	18.3%	58.6%	15.1%	1.1%	-0.2%	-244.5M	5.71B	-14.9M	1.03	3.85	N/A	N/A	48,763	50,153	871,724	943,169
2016-12-06	$119.42	$127.00	14.7%	4.2%	18.3%	48.7%	12.9%	1.1%	-0.1%	-264.1M	5.82B	-14.0M	1.14	2.67	N/A	N/A	57,809	66,147	869,048	932,348
2016-12-07	$120.43	$128.00	14.4%	4.1%	18.9%	44.2%	14.3%	0.9%	-0.1%	-232.3M	5.19B	-14.7M	1.52	2.58	N/A	N/A	34,089	51,746	890,747	950,691
2016-12-08	$118.94	$128.00	14.2%	3.9%	13.2%	41.3%	13.8%	0.8%	-0.1%	-324.3M	6.36B	-13.1M	0.67	2.77	N/A	N/A	58,573	39,079	898,748	956,434
2016-12-09	$117.65	$128.00	14.5%	4.1%	13.1%	46.0%	14.4%	1.1%	-0.0%	-259.8M	7.14B	-12.0M	1.29	2.91	N/A	N/A	57,248	73,762	911,232	958,149
2016-12-12	$117.61	$128.00	14.8%	4.1%	12.9%	49.6%	14.7%	1.1%	-0.3%	-254.3M	6.80B	-11.6M	1.33	2.71	N/A	N/A	46,330	61,511	879,048	918,830
2016-12-13	$118.22	$128.00	14.9%	4.3%	13.0%	51.7%	15.1%	0.9%	-0.1%	-261.1M	6.48B	-12.4M	0.73	2.64	N/A	N/A	91,167	66,577	904,513	940,979
2016-12-14	$117.65	$127.00	15.0%	4.2%	12.8%	52.3%	15.2%	0.8%	-0.2%	-248.7M	6.67B	-12.8M	1.51	3.59	N/A	N/A	59,451	89,553	969,136	967,414
2016-12-15	$117.25	$127.00	13.5%	3.8%	12.2%	31.4%	13.5%	1.1%	-0.1%	-304.1M	7.20B	-12.0M	1.06	2.36	N/A	N/A	67,866	71,835	989,806	1,011,714
2016-12-16	$117.07	$127.00	13.4%	3.8%	11.2%	29.9%	13.3%	0.8%	-0.1%	-425.5M	7.35B	-12.5M	1.46	2.62	N/A	N/A	59,932	87,699	1,010,564	1,041,493
2016-12-19	$118.55	$127.00	13.0%	3.7%	12.3%	25.7%	13.0%	0.7%	0.1%	-129.8M	3.30B	-13.2M	0.52	3.33	N/A	N/A	99,568	51,876	677,723	734,015
2016-12-20	$117.90	$127.00	13.0%	3.7%	12.4%	24.8%	13.1%	0.7%	0.1%	-174.7M	3.75B	-13.2M	1.20	2.69	N/A	N/A	31,786	38,037	704,728	758,830
2016-12-21	$118.35	$127.00	12.8%	3.7%	12.5%	21.8%	12.9%	0.5%	0.2%	-130.8M	3.38B	-13.4M	0.17	3.47	N/A	N/A	157,748	27,384	713,156	771,882
2016-12-22	$117.81	$127.00	12.9%	3.7%	12.5%	23.6%	12.9%	0.5%	0.1%	-131.7M	3.51B	-14.2M	0.29	18.04	N/A	N/A	109,238	31,653	828,322	776,927
2016-12-23	$118.10	$127.00	12.9%	3.7%	12.5%	23.3%	13.0%	0.5%	0.3%	-39.5M	3.08B	-15.2M	0.65	4.19	N/A	N/A	48,357	31,274	891,024	772,790
2016-12-27	$117.58	$126.00	13.0%	3.7%	12.2%	25.4%	12.8%	0.6%	0.8%	-108.1M	3.44B	-13.6M	0.67	3.27	N/A	N/A	47,022	31,620	847,731	739,811
2016-12-28	$118.68	$125.00	12.9%	3.7%	12.5%	22.8%	12.8%	0.5%	0.8%	-36.7M	2.61B	-14.1M	0.59	3.25	N/A	N/A	53,543	31,452	858,358	741,492
2016-12-29	$118.83	$125.00	13.3%	3.7%	11.8%	28.0%	13.1%	0.5%	0.6%	1.8M	2.43B	-14.3M	0.49	3.40	N/A	N/A	58,467	28,381	879,350	740,726
2016-12-30	$119.27	$125.00	13.5%	3.8%	10.3%	31.0%	13.4%	0.4%	0.6%	-18.7M	1.96B	-15.0M	0.68	4.24	N/A	N/A	70,286	47,622	898,651	742,729