TLT Options History — May 2017

In May 2017, TLT traded between $120.37 and $124.34. ATM implied volatility averaged 10.2%, placing in the 3.6% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 1.2% (HV 20d: 9.0%). Max pain ranged from $120.00 to $122.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.31.

Notable Days

2017-05-02: Highest Volume — 192,977 contracts
2017-05-17: Largest IV spike — 13.9% change
2017-05-17: Highest IV Rank — 17.1%
2017-05-02: Largest Expected Move — 3.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$122.16	$120.37	$124.34	$121.07	$124.34
Max Pain	$120.64	$120.00	$122.00	$122.00	$121.00
ATM IV	10.2%	9.4%	11.2%	11.1%	10.1%
Expected Move	3.0%	2.7%	3.3%	3.3%	3.0%
HV 20d	9.0%	7.9%	10.0%	9.5%	7.9%
HV 60d	9.4%	8.7%	10.0%	10.0%	8.7%
IV Rank	3.6%	0.0%	17.1%	7.6%	7.7%
IV Percentile	2.2%	0.0%	11.1%	6.0%	4.8%
Term Structure	0.0%	-0.2%	0.3%	-0.1%	0.0%
VWIV	10.6%	9.6%	12.3%	11.7%	10.5%
Skew 25d	-0.2%	-0.5%	-0.1%	-0.3%	-0.5%
Skew 10d	-0.6%	-0.9%	-0.1%	-0.8%	-0.1%
Call IV 25d	10.5%	9.7%	11.6%	11.5%	10.5%
Put IV 25d	10.3%	9.4%	11.3%	11.2%	10.0%
Bid-Ask Spread %	2.46	1.66	4.53	4.53	2.39
Gamma HHI	0.10	0.07	0.15	0.08	0.14
Net GEX	198.0M	-57.9M	510.5M	-22.3M	379.9M
Net DEX	-376.6M	-1.66B	768.0M	492.1M	-1.60B
Net VEX	-13.7M	-14.6M	-13.1M	-13.4M	-13.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.29	2.45	1.34	0.75
Total Volume	83,842.545	46,805	192,977	77,568	77,948
Total OI	1,220,887.682	1,036,119	1,388,139	1,097,105	1,066,849

Daily Data (22 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
2017-05-01	$121.07	$122.00	11.1%	3.3%	9.5%	7.6%	11.7%	-0.3%	-0.1%	-22.3M	492.1M	-13.4M	1.34	4.53	N/A	N/A	33,122	44,446	569,839	527,266
2017-05-02	$121.66	$122.00	11.2%	3.3%	9.2%	9.7%	12.3%	-0.4%	-0.2%	44.3M	82.7M	-13.4M	0.29	4.19	N/A	N/A	149,590	43,387	580,576	537,049
2017-05-03	$121.76	$122.00	11.0%	3.3%	9.1%	6.7%	11.6%	-0.3%	-0.1%	126.1M	-181.1M	-14.4M	1.70	3.25	N/A	N/A	30,584	51,846	678,144	557,316
2017-05-04	$121.16	$120.00	10.7%	3.1%	9.2%	3.2%	11.1%	-0.3%	-0.1%	20.2M	316.0M	-14.4M	0.63	2.24	N/A	N/A	80,284	50,751	690,302	578,018
2017-05-05	$121.37	$120.00	10.7%	3.1%	9.3%	3.2%	11.1%	-0.3%	-0.0%	267.2M	-85.9M	-14.6M	0.71	1.77	N/A	N/A	36,745	26,053	735,547	586,881
2017-05-08	$120.72	$120.00	10.4%	3.0%	9.4%	0.0%	10.9%	-0.2%	0.2%	40.3M	425.2M	-13.5M	1.99	1.70	N/A	N/A	32,320	64,422	706,910	565,771
2017-05-09	$120.55	$120.00	10.2%	3.0%	9.3%	0.0%	10.7%	-0.1%	0.3%	-18.3M	588.4M	-13.7M	1.10	2.04	N/A	N/A	23,310	25,563	714,755	603,322
2017-05-10	$120.37	$120.00	9.8%	2.9%	8.6%	0.0%	10.2%	-0.1%	0.2%	-57.9M	768.0M	-13.1M	1.50	2.32	N/A	N/A	29,637	44,571	714,505	606,246
2017-05-11	$120.55	$120.00	10.0%	2.9%	8.4%	2.5%	10.9%	-0.2%	0.3%	-31.5M	655.6M	-13.4M	0.62	2.02	N/A	N/A	63,981	39,926	720,931	620,981
2017-05-12	$121.42	$120.00	9.9%	2.9%	8.7%	1.9%	10.3%	-0.1%	0.2%	175.7M	-204.7M	-13.6M	0.82	1.66	N/A	N/A	49,012	40,027	751,017	633,501
2017-05-15	$121.03	$120.00	9.9%	2.9%	8.7%	1.7%	10.3%	-0.3%	0.0%	32.5M	240.7M	-13.3M	1.90	1.75	N/A	N/A	25,435	48,311	694,712	612,378
2017-05-16	$121.39	$120.00	9.8%	2.8%	7.9%	0.1%	10.1%	-0.3%	0.0%	186.9M	-113.4M	-13.2M	1.77	1.97	N/A	N/A	28,005	49,618	704,552	613,149
2017-05-17	$123.38	$120.00	11.2%	3.2%	10.0%	17.1%	11.4%	-0.4%	-0.1%	472.2M	-1.59B	-14.4M	1.07	1.97	N/A	N/A	54,415	58,324	707,939	631,095
2017-05-18	$123.48	$120.00	10.6%	3.0%	9.9%	10.3%	10.8%	-0.1%	-0.1%	510.5M	-1.61B	-14.1M	1.01	1.68	N/A	N/A	42,516	42,991	723,495	641,702
2017-05-19	$123.64	$121.00	10.1%	2.9%	9.9%	3.5%	10.3%	-0.1%	-0.1%	403.4M	-1.66B	-13.8M	1.26	1.88	N/A	N/A	43,462	54,764	726,875	661,264
2017-05-22	$123.39	$121.00	9.8%	2.8%	9.7%	0.0%	10.0%	-0.3%	0.1%	292.9M	-876.7M	-14.0M	1.62	2.93	N/A	N/A	20,189	32,791	554,699	481,420
2017-05-23	$122.56	$121.00	9.6%	2.8%	9.0%	0.0%	10.0%	-0.3%	0.1%	194.2M	-339.9M	-13.8M	2.36	2.70	N/A	N/A	24,264	57,159	561,792	488,865
2017-05-24	$123.00	$121.00	9.6%	2.8%	8.9%	0.2%	9.8%	-0.4%	0.0%	222.2M	-612.1M	-13.8M	1.75	2.91	N/A	N/A	17,008	29,797	571,273	500,512
2017-05-25	$123.23	$121.00	9.6%	2.8%	8.9%	0.0%	9.8%	-0.3%	0.1%	279.6M	-831.6M	-13.7M	2.45	2.78	N/A	N/A	15,231	37,320	575,780	508,634
2017-05-26	$123.46	$121.00	9.4%	2.7%	8.9%	0.0%	9.6%	-0.3%	0.0%	486.7M	-924.9M	-13.5M	1.40	2.91	N/A	N/A	32,026	44,735	577,759	519,367
2017-05-30	$124.05	$121.00	9.8%	3.0%	8.0%	4.3%	10.5%	-0.1%	0.1%	351.7M	-1.22B	-13.4M	0.84	2.46	N/A	N/A	26,428	22,222	563,820	492,721
2017-05-31	$124.34	$121.00	10.1%	3.0%	7.9%	7.7%	10.5%	-0.5%	0.0%	379.9M	-1.60B	-13.2M	0.75	2.39	N/A	N/A	44,665	33,283	572,481	494,368