TLT Options History — April 2017

In April 2017, TLT traded between $120.86 and $124.70. ATM implied volatility averaged 12.5%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 3.9% (HV 20d: 8.5%). Max pain ranged from $120.00 to $122.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.17.

Notable Days

  • 2017-04-12: Highest Volume — 176,299 contracts
  • 2017-04-24: Largest IV drop — 18.3% change
  • 2017-04-21: Highest IV Rank — 49.0%
  • 2017-04-21: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.43$120.86$124.70$121.54$122.33
Max Pain$121.16$120.00$122.00$120.00$122.00
ATM IV12.5%10.9%14.1%11.9%10.9%
Expected Move3.5%3.1%4.1%3.1%3.2%
HV 20d8.5%7.5%9.5%9.2%8.6%
HV 60d10.2%9.6%10.8%10.8%9.8%
IV Rank26.8%5.3%49.0%18.8%5.7%
IV Percentile38.8%3.6%77.4%13.5%4.0%
Term Structure-0.1%-0.8%0.2%0.1%0.2%
VWIV12.7%11.1%14.7%11.1%11.4%
Skew 25d-0.4%-1.0%-0.0%-0.1%-0.6%
Skew 10d-0.9%-2.2%-0.2%-0.3%-0.3%
Call IV 25d12.9%11.3%15.2%12.3%11.5%
Put IV 25d12.5%10.8%14.1%12.1%10.8%
Bid-Ask Spread %4.863.1811.563.624.41
Gamma HHI0.080.060.110.070.08
Net GEX213.7M-74.8M426.9M240.9M107.8M
Net DEX-1.01B-2.65B643.2M-1.09B-46.0M
Net VEX-14.2M-15.5M-13.0M-13.0M-13.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.461.770.460.87
Total Volume100,797.47447,896176,299116,34184,665
Total OI1,236,071.2631,071,5801,463,5371,071,5801,181,289

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$121.54$120.0011.9%3.1%9.2%18.8%11.1%-0.1%0.1%240.9M-1.09B-13.0M0.463.62N/AN/A79,76436,577555,027516,553
2017-04-04$121.01$120.0012.1%3.2%9.3%22.0%11.3%-0.1%-0.0%201.5M-787.9M-13.1M1.143.77N/AN/A43,26249,393576,280530,794
2017-04-05$121.31$120.0012.5%3.3%8.9%27.3%11.6%-0.1%-0.2%236.8M-942.3M-13.8M1.773.18N/AN/A24,06442,510598,587548,420
2017-04-06$121.19$120.0012.4%3.5%8.4%25.9%12.5%-0.0%0.0%223.9M-821.7M-13.3M1.534.10N/AN/A32,70349,887600,881562,532
2017-04-07$120.86$120.0012.2%3.5%8.6%23.8%12.4%-0.1%0.1%165.7M-574.0M-13.7M1.114.32N/AN/A60,19766,608609,359583,760
2017-04-10$121.27$121.0012.6%3.6%8.3%28.4%12.9%-0.2%-0.0%204.2M-664.0M-13.7M0.804.97N/AN/A35,53928,313595,133578,411
2017-04-11$122.43$121.0013.4%3.8%8.6%39.6%13.5%-0.7%-0.2%337.1M-1.47B-13.9M1.044.51N/AN/A67,77870,489607,690586,787
2017-04-12$123.01$121.0013.8%3.9%8.0%44.6%13.8%-0.7%-0.3%372.4M-1.77B-14.2M0.965.16N/AN/A90,07886,221639,034617,852
2017-04-13$123.47$121.0013.3%3.7%7.5%38.0%13.3%-0.4%-0.3%391.4M-2.00B-15.4M1.063.53N/AN/A65,44469,495689,436679,488
2017-04-17$123.49$121.0013.3%3.8%7.5%38.1%14.0%-0.4%-0.2%339.2M-1.83B-14.9M1.654.73N/AN/A18,06729,829672,943671,363
2017-04-18$124.70$121.0013.7%3.9%7.9%44.0%13.8%-0.7%-0.5%426.9M-2.65B-15.1M1.263.44N/AN/A55,06969,278674,807686,669
2017-04-19$124.08$122.0013.0%3.7%8.0%34.3%13.3%-0.8%-0.3%373.0M-2.06B-15.2M1.094.16N/AN/A40,14843,883684,229719,710
2017-04-20$123.55$122.0013.1%3.8%8.2%35.3%13.5%-0.8%-0.6%289.0M-1.55B-15.1M1.523.61N/AN/A47,59772,174694,609734,806
2017-04-21$123.57$122.0014.1%4.1%8.2%49.0%14.7%-1.0%-0.8%203.7M-1.60B-15.5M1.0911.56N/AN/A68,36974,583703,825759,712
2017-04-24$122.84$122.0011.5%3.4%8.6%13.5%12.1%-0.4%0.2%69.7M-308.8M-14.6M1.195.73N/AN/A38,47745,642581,886555,196
2017-04-25$121.42$122.0010.9%3.2%9.5%5.3%11.5%-0.5%0.1%-74.8M643.2M-13.7M0.976.55N/AN/A61,74260,083585,631556,907
2017-04-26$122.07$122.0011.1%3.3%9.3%8.4%11.9%-0.5%0.1%-23.4M190.8M-14.3M1.175.73N/AN/A26,27530,693598,736568,601
2017-04-27$122.10$122.0011.0%3.2%9.1%6.3%11.7%-0.4%0.1%-24.9M180.2M-14.1M1.495.22N/AN/A20,18230,074605,109573,302
2017-04-28$122.33$122.0010.9%3.2%8.6%5.7%11.4%-0.6%0.2%107.8M-46.0M-13.8M0.874.41N/AN/A45,29539,370606,761574,528