TLT Options History — January 2017

In January 2017, TLT traded between $118.84 and $122.62. ATM implied volatility averaged 13.3%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.0% (HV 20d: 11.3%). Max pain ranged from $119.00 to $125.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.91.

Notable Days

2017-01-05: Highest Volume — 216,652 contracts
2017-01-17: Largest IV spike — 5.5% change
2017-01-05: Highest IV Rank — 39.1%
2017-01-05: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$120.68	$118.84	$122.62	$119.70	$120.05
Max Pain	$121.10	$119.00	$125.00	$125.00	$121.50
ATM IV	13.3%	12.4%	14.1%	14.1%	13.0%
Expected Move	3.8%	3.6%	4.0%	3.9%	3.8%
HV 20d	11.3%	10.0%	12.9%	10.2%	12.7%
HV 60d	14.1%	13.5%	14.5%	13.5%	14.5%
IV Rank	28.5%	16.2%	39.1%	38.9%	23.6%
IV Percentile	50.7%	22.2%	69.0%	69.0%	42.9%
Term Structure	0.1%	-0.3%	0.4%	0.0%	-0.0%
VWIV	13.7%	12.9%	14.5%	13.8%	13.5%
Skew 25d	0.3%	0.1%	0.7%	0.7%	0.1%
Skew 10d	0.5%	-0.4%	0.9%	0.5%	0.8%
Call IV 25d	13.4%	12.5%	14.2%	14.1%	13.2%
Put IV 25d	13.7%	12.6%	14.7%	14.7%	13.3%
Bid-Ask Spread %	2.97	2.54	3.93	2.54	2.84
Gamma HHI	0.10	0.06	0.40	0.06	0.07
Net GEX	83.3M	-403.1M	207.6M	46.5M	97.7M
Net DEX	816.8M	-311.6M	2.09B	1.76B	473.1M
Net VEX	-12.7M	-15.0M	-10.7M	-14.5M	-12.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.44	1.62	1.62	1.43
Total Volume	119,210.6	67,270	216,652	121,541	131,973
Total OI	1,489,243.85	1,058,207	1,719,672	1,589,162	1,239,377

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
2017-01-03	$119.70	$125.00	14.1%	3.9%	10.2%	38.9%	13.8%	0.7%	0.0%	46.5M	1.76B	-14.5M	1.62	2.54	N/A	N/A	46,380	75,161	876,213	712,949
2017-01-04	$119.96	$125.00	13.9%	3.8%	10.2%	36.4%	13.7%	0.4%	-0.0%	59.2M	1.61B	-14.4M	1.03	2.60	N/A	N/A	33,109	34,161	886,542	733,874
2017-01-05	$121.89	$119.00	14.1%	4.0%	11.6%	39.1%	14.5%	0.3%	-0.1%	154.2M	158.3M	-15.0M	0.44	2.62	N/A	N/A	150,955	65,697	890,484	743,712
2017-01-06	$120.83	$119.00	13.4%	3.9%	11.7%	29.0%	13.9%	0.3%	0.0%	108.7M	1.09B	-14.3M	0.86	3.93	N/A	N/A	72,662	62,769	932,248	770,210
2017-01-09	$121.70	$120.00	13.7%	3.9%	11.0%	34.3%	14.0%	0.4%	0.1%	172.1M	364.6M	-14.1M	1.07	3.82	N/A	N/A	38,371	41,101	928,560	724,051
2017-01-10	$121.66	$120.00	13.2%	3.8%	10.0%	26.8%	13.3%	0.4%	0.0%	180.1M	429.8M	-13.6M	0.63	2.68	N/A	N/A	74,711	47,283	925,292	731,324
2017-01-11	$122.04	$120.00	13.0%	3.8%	10.0%	24.4%	13.6%	0.4%	0.1%	161.2M	201.7M	-13.4M	0.89	3.26	N/A	N/A	47,510	42,388	916,447	750,503
2017-01-12	$121.97	$120.00	12.9%	3.7%	10.0%	23.0%	13.2%	0.3%	0.1%	198.6M	268.7M	-12.9M	0.86	3.14	N/A	N/A	55,179	47,602	924,976	734,832
2017-01-13	$121.32	$121.00	12.7%	3.7%	10.0%	19.8%	13.0%	0.3%	0.1%	112.4M	867.0M	-12.8M	1.01	2.72	N/A	N/A	63,478	63,868	928,807	748,100
2017-01-17	$122.62	$121.00	13.4%	3.8%	10.3%	29.4%	13.8%	0.2%	-0.3%	199.5M	-101.5M	-12.5M	1.52	3.13	N/A	N/A	55,607	84,558	913,395	734,987
2017-01-18	$121.00	$121.00	13.7%	3.9%	11.7%	33.3%	13.9%	0.3%	-0.3%	112.6M	1.27B	-12.1M	0.72	2.94	N/A	N/A	64,421	46,706	928,226	754,674
2017-01-19	$120.18	$121.00	13.7%	3.9%	11.3%	33.4%	14.0%	0.5%	-0.2%	57.5M	1.87B	-11.6M	0.50	2.57	N/A	N/A	92,318	46,026	947,006	751,897
2017-01-20	$120.01	$121.00	13.2%	3.8%	11.1%	26.5%	13.4%	0.4%	-0.2%	-403.1M	2.09B	-11.1M	0.92	2.81	N/A	N/A	87,124	80,578	959,442	760,230
2017-01-23	$121.41	$121.00	13.3%	3.9%	11.7%	28.7%	13.5%	0.2%	0.4%	207.6M	-311.6M	-11.5M	0.69	2.95	N/A	N/A	71,831	49,324	648,521	409,686
2017-01-24	$120.19	$121.00	13.6%	4.0%	12.2%	31.7%	14.1%	0.2%	0.3%	103.6M	405.7M	-11.6M	0.59	2.92	N/A	N/A	46,426	27,432	676,344	435,090
2017-01-25	$118.84	$121.00	13.6%	4.0%	12.9%	31.6%	14.2%	0.1%	0.4%	-25.3M	1.12B	-10.7M	1.34	3.14	N/A	N/A	52,919	71,092	689,953	442,002
2017-01-26	$119.24	$121.50	12.8%	3.8%	12.9%	21.9%	13.5%	0.2%	0.3%	5.4M	1.07B	-11.6M	0.80	3.06	N/A	N/A	40,215	32,055	716,632	487,574
2017-01-27	$119.76	$121.50	12.4%	3.6%	12.5%	16.2%	12.9%	0.1%	0.4%	77.0M	792.0M	-11.4M	0.50	2.67	N/A	N/A	101,911	50,558	731,526	494,783
2017-01-30	$119.32	$121.50	12.9%	3.8%	12.6%	22.0%	13.7%	0.1%	0.1%	39.5M	902.5M	-11.9M	0.77	3.13	N/A	N/A	50,098	38,655	724,673	479,735
2017-01-31	$120.05	$121.50	13.0%	3.8%	12.7%	23.6%	13.5%	0.1%	-0.0%	97.7M	473.1M	-12.4M	1.43	2.84	N/A	N/A	54,265	77,708	750,497	488,880