TLT Options History — March 2017

In March 2017, TLT traded between $116.57 and $121.39. ATM implied volatility averaged 11.2%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 0.4% (HV 20d: 10.8%). Max pain ranged from $119.00 to $123.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.03.

Notable Days

2017-03-22: Highest Volume — 153,904 contracts
2017-03-15: Largest IV drop — 6.5% change
2017-03-08: Highest IV Rank — 13.5%
2017-03-02: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$119.17	$116.57	$121.39	$119.37	$120.62
Max Pain	$120.00	$119.00	$123.00	$123.00	$120.00
ATM IV	11.2%	10.5%	12.2%	11.8%	10.7%
Expected Move	3.2%	2.9%	3.6%	3.6%	2.9%
HV 20d	10.8%	8.6%	12.1%	12.1%	9.0%
HV 60d	11.2%	11.0%	11.6%	11.6%	11.2%
IV Rank	5.2%	0.0%	13.5%	8.9%	2.6%
IV Percentile	3.4%	0.0%	15.9%	5.2%	1.2%
Term Structure	0.1%	-0.3%	0.5%	0.2%	0.5%
VWIV	11.3%	10.1%	12.8%	12.8%	10.1%
Skew 25d	0.0%	-0.2%	0.4%	-0.1%	-0.2%
Skew 10d	0.0%	-0.5%	0.4%	0.0%	0.4%
Call IV 25d	11.4%	10.6%	12.3%	12.1%	10.8%
Put IV 25d	11.5%	10.6%	12.4%	12.0%	10.6%
Bid-Ask Spread %	4.16	2.32	7.29	2.97	7.29
Gamma HHI	0.08	0.05	0.13	0.06	0.07
Net GEX	3.5M	-277.5M	247.7M	-138.1M	170.8M
Net DEX	533.3M	-1.14B	2.29B	1.34B	-712.5M
Net VEX	-12.3M	-13.2M	-11.6M	-12.6M	-12.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.58	1.52	1.03	0.88
Total Volume	97,079.304	47,129	153,904	134,711	98,240
Total OI	1,183,870.13	991,930	1,400,034	1,237,473	1,089,263

Daily Data (23 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
2017-03-01	$119.37	$123.00	11.8%	3.6%	12.1%	8.9%	12.8%	-0.1%	0.2%	-138.1M	1.34B	-12.6M	1.03	2.97	N/A	N/A	66,494	68,217	637,608	599,865
2017-03-02	$118.94	$123.00	11.9%	3.6%	11.8%	9.3%	12.7%	0.1%	0.2%	-185.5M	1.55B	-12.8M	1.05	2.32	N/A	N/A	44,540	46,832	662,527	617,754
2017-03-03	$119.15	$123.00	11.5%	3.5%	11.8%	3.3%	12.1%	-0.1%	0.3%	-187.6M	1.41B	-12.5M	1.43	2.58	N/A	N/A	37,691	53,803	666,459	627,199
2017-03-06	$118.76	$120.00	11.8%	3.3%	11.9%	8.2%	11.7%	0.1%	-0.2%	-113.5M	1.29B	-12.1M	1.41	4.85	N/A	N/A	33,349	47,067	637,664	583,512
2017-03-07	$118.48	$120.00	11.8%	3.2%	11.3%	7.6%	11.6%	0.1%	-0.2%	-144.5M	1.45B	-12.0M	1.49	4.46	N/A	N/A	33,920	50,574	644,129	592,891
2017-03-08	$117.69	$120.00	12.2%	3.4%	11.3%	13.5%	11.9%	0.2%	-0.2%	-207.1M	1.85B	-11.7M	0.89	3.66	N/A	N/A	58,679	52,246	648,286	593,075
2017-03-09	$116.96	$120.00	12.0%	3.3%	10.3%	12.0%	11.9%	0.1%	-0.2%	-264.2M	2.24B	-11.9M	0.91	3.81	N/A	N/A	54,932	49,875	665,460	613,669
2017-03-10	$117.12	$120.00	11.5%	3.2%	10.0%	4.0%	11.5%	0.2%	-0.2%	-236.0M	2.09B	-11.8M	1.52	4.33	N/A	N/A	40,704	62,006	681,621	613,849
2017-03-13	$116.57	$120.00	11.8%	3.3%	10.0%	8.8%	11.8%	0.2%	-0.2%	-277.5M	2.29B	-11.6M	0.91	4.03	N/A	N/A	45,653	41,485	660,657	610,311
2017-03-14	$117.14	$120.00	11.9%	3.3%	10.3%	9.3%	11.9%	0.2%	-0.2%	-210.1M	1.94B	-11.8M	0.69	3.48	N/A	N/A	55,918	38,753	672,287	615,995
2017-03-15	$118.52	$119.00	11.1%	3.1%	11.1%	0.0%	11.2%	0.2%	-0.3%	-27.1M	1.05B	-11.9M	0.69	4.11	N/A	N/A	67,112	46,565	691,557	624,296
2017-03-16	$117.93	$119.00	11.0%	3.1%	11.1%	0.0%	11.2%	0.4%	-0.1%	-43.6M	1.37B	-12.0M	0.58	3.50	N/A	N/A	94,055	54,329	718,060	631,725
2017-03-17	$118.58	$119.00	10.7%	3.0%	11.0%	0.0%	11.0%	0.1%	-0.1%	173.8M	796.1M	-12.4M	0.65	3.61	N/A	N/A	58,391	37,756	748,553	651,481
2017-03-20	$119.11	$119.00	10.5%	3.0%	11.0%	0.0%	10.6%	0.2%	0.4%	118.6M	-222.9M	-12.1M	0.62	4.85	N/A	N/A	49,686	30,670	534,023	457,907
2017-03-21	$120.11	$119.00	10.5%	3.0%	11.5%	0.3%	10.8%	-0.0%	0.3%	189.3M	-789.8M	-12.2M	0.94	4.27	N/A	N/A	75,727	70,895	546,284	466,982
2017-03-22	$120.64	$119.00	10.8%	3.1%	11.6%	4.5%	11.2%	-0.1%	0.2%	218.3M	-1.08B	-13.2M	0.74	4.01	N/A	N/A	88,579	65,325	569,954	494,735
2017-03-23	$120.63	$119.00	10.8%	3.1%	11.5%	4.6%	11.0%	-0.1%	0.3%	247.7M	-1.05B	-13.0M	1.02	4.49	N/A	N/A	33,370	34,171	576,096	491,459
2017-03-24	$120.77	$119.00	10.9%	3.1%	10.7%	5.8%	11.2%	-0.1%	0.2%	204.9M	-1.14B	-12.9M	0.90	4.94	N/A	N/A	48,733	43,891	579,210	501,225
2017-03-27	$121.39	$119.00	11.0%	3.1%	10.7%	6.4%	10.9%	-0.2%	0.5%	232.4M	-1.13B	-12.6M	0.85	3.26	N/A	N/A	39,727	33,646	538,593	494,500
2017-03-28	$120.59	$120.00	10.8%	3.0%	10.9%	3.7%	10.6%	-0.2%	0.4%	179.4M	-672.2M	-12.5M	1.38	5.37	N/A	N/A	28,132	38,803	550,625	493,114
2017-03-29	$121.34	$120.00	10.8%	3.0%	8.6%	4.7%	10.6%	-0.1%	0.4%	235.8M	-1.07B	-12.6M	1.51	4.15	N/A	N/A	18,767	28,362	557,907	504,100
2017-03-30	$120.45	$120.00	10.7%	2.9%	9.0%	2.0%	10.3%	-0.1%	0.5%	145.1M	-512.8M	-12.2M	1.52	5.27	N/A	N/A	25,841	39,313	561,867	510,679
2017-03-31	$120.62	$120.00	10.7%	2.9%	9.0%	2.6%	10.1%	-0.2%	0.5%	170.8M	-712.5M	-12.3M	0.88	7.29	N/A	N/A	52,309	45,931	568,847	520,416