TLT Options History — February 2017

In February 2017, TLT traded between $118.80 and $122.01. ATM implied volatility averaged 12.3%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 0.8% (HV 20d: 11.4%). Max pain ranged from $122.00 to $122.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.86.

Notable Days

  • 2017-02-08: Highest Volume — 221,672 contracts
  • 2017-02-15: Largest IV drop — 3.7% change
  • 2017-02-01: Highest IV Rank — 19.4%
  • 2017-02-28: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.32$118.80$122.01$119.14$121.69
Max Pain$122.00$122.00$122.00$122.00$122.00
ATM IV12.3%11.6%12.7%12.7%12.4%
Expected Move3.6%3.3%3.8%3.7%3.8%
HV 20d11.4%9.1%13.0%13.0%9.9%
HV 60d12.3%11.4%14.5%14.5%11.4%
IV Rank14.4%5.7%19.4%19.4%16.7%
IV Percentile19.0%2.4%32.1%31.0%25.8%
Term Structure0.0%-0.2%0.3%0.0%0.3%
VWIV12.8%12.1%13.5%12.9%13.4%
Skew 25d0.1%-0.1%0.3%0.2%-0.0%
Skew 10d0.1%-0.5%0.5%0.1%-0.2%
Call IV 25d12.4%11.9%12.9%12.8%12.6%
Put IV 25d12.6%11.9%13.0%13.0%12.5%
Bid-Ask Spread %3.072.493.922.662.75
Gamma HHI0.080.050.390.060.06
Net GEX159.5M-71.7M782.7M3.7M150.3M
Net DEX185.0M-1.40B1.33B1.06B-643.6M
Net VEX-13.4M-14.6M-11.7M-12.2M-13.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.251.761.760.81
Total Volume123,088.52655,400221,67292,50668,570
Total OI1,414,748.2111,227,8811,737,3181,282,9661,259,017

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$119.14$122.0012.7%3.7%13.0%19.4%12.9%0.2%0.0%3.7M1.06B-12.2M1.762.66N/AN/A33,46059,046753,496529,470
2017-02-02$119.08$122.0012.4%3.6%12.9%16.0%12.8%0.2%0.1%-4.1M1.08B-12.0M1.092.74N/AN/A41,68145,313762,586532,511
2017-02-03$118.80$122.0012.1%3.6%11.4%11.0%12.7%0.3%0.0%-71.7M1.33B-11.7M0.762.81N/AN/A64,74649,383778,305547,040
2017-02-06$120.00$122.0012.5%3.6%11.7%17.1%13.2%0.3%0.2%141.2M414.3M-12.5M0.253.25N/AN/A114,70329,027786,637535,788
2017-02-07$120.60$122.0012.5%3.6%11.6%17.6%13.2%0.2%0.2%214.9M-14.2M-12.6M0.922.69N/AN/A55,92851,316806,315543,768
2017-02-08$121.99$122.0012.7%3.7%12.3%19.2%13.1%0.1%0.2%386.0M-1.04B-13.7M0.493.17N/AN/A148,74272,930836,625569,795
2017-02-09$120.81$122.0012.3%3.6%12.7%14.7%12.6%0.3%0.2%270.3M-110.3M-14.1M1.123.63N/AN/A63,81271,455901,068600,618
2017-02-10$120.73$122.0012.2%3.5%12.7%13.4%12.5%0.1%0.2%274.2M-38.8M-14.6M0.943.36N/AN/A48,79245,919929,318634,587
2017-02-13$120.29$122.0012.3%3.5%12.7%14.1%12.9%0.3%-0.0%100.0M421.1M-13.8M0.602.74N/AN/A87,69252,283903,891626,133
2017-02-14$119.56$122.0012.2%3.5%12.1%14.1%12.6%0.1%-0.1%-4.0M918.3M-13.6M0.583.24N/AN/A127,72873,785931,330649,004
2017-02-15$119.01$122.0011.7%3.4%11.3%7.2%12.1%0.2%-0.1%-23.5M1.22B-13.8M0.732.92N/AN/A87,27364,099981,732676,855
2017-02-16$119.77$122.0011.6%3.3%11.4%5.7%12.2%-0.1%-0.2%89.2M528.5M-14.2M0.562.88N/AN/A106,87159,7101,005,042698,652
2017-02-17$120.30$122.0012.0%3.5%11.5%11.7%12.3%0.2%-0.2%204.7M60.4M-14.5M0.932.49N/AN/A82,30676,8621,030,962706,356
2017-02-21$120.12$122.0012.0%3.5%10.6%11.1%12.3%0.0%-0.1%129.1M140.2M-13.9M1.053.14N/AN/A44,51946,926684,812571,691
2017-02-22$120.25$122.0012.3%3.6%10.0%15.7%12.8%0.1%-0.0%102.3M139.2M-14.1M1.133.44N/AN/A34,93039,421695,056591,918
2017-02-23$120.60$122.0012.2%3.6%9.1%14.6%12.8%0.1%-0.1%155.8M-195.0M-13.9M0.842.88N/AN/A30,03725,363699,978595,108
2017-02-24$122.01$122.0012.4%3.7%9.9%18.0%13.5%0.0%-0.1%782.7M-1.40B-13.7M0.863.92N/AN/A76,16465,794701,640595,231
2017-02-27$121.39$122.0012.3%3.7%10.1%15.7%13.4%-0.0%0.2%128.6M-350.0M-13.0M0.983.64N/AN/A46,50545,591647,052580,829
2017-02-28$121.69$122.0012.4%3.8%9.9%16.7%13.4%-0.0%0.3%150.3M-643.6M-13.5M0.812.75N/AN/A37,87430,696666,550592,467