TLT Options History — June 2017

In June 2017, TLT traded between $124.12 and $128.22. ATM implied volatility averaged 9.7%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 0.7% (HV 20d: 9.0%). Max pain ranged from $123.00 to $126.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.24.

Notable Days

2017-06-14: Highest Volume — 193,575 contracts
2017-06-09: Largest IV drop — 4.9% change
2017-06-30: Highest IV Rank — 19.0%
2017-06-30: Largest Expected Move — 3.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$125.91	$124.12	$128.22	$124.12	$124.93
Max Pain	$123.95	$123.00	$126.00	$123.00	$126.00
ATM IV	9.7%	9.0%	10.7%	10.0%	10.7%
Expected Move	2.8%	2.6%	3.0%	3.0%	3.0%
HV 20d	9.0%	8.0%	10.1%	8.0%	9.0%
HV 60d	8.8%	8.5%	9.0%	8.7%	9.0%
IV Rank	5.5%	0.0%	19.0%	6.0%	19.0%
IV Percentile	3.9%	0.0%	15.9%	4.0%	15.9%
Term Structure	0.1%	-0.2%	0.4%	0.1%	0.2%
VWIV	9.9%	9.2%	11.2%	10.7%	11.2%
Skew 25d	-0.2%	-0.5%	0.3%	-0.3%	0.3%
Skew 10d	-0.5%	-0.9%	1.3%	-0.5%	1.3%
Call IV 25d	10.0%	9.3%	10.7%	10.3%	10.7%
Put IV 25d	9.8%	9.0%	11.0%	10.0%	11.0%
Bid-Ask Spread %	4.20	2.04	6.72	2.08	6.72
Gamma HHI	0.12	0.07	0.18	0.13	0.15
Net GEX	255.5M	-213.3M	514.4M	354.4M	-213.3M
Net DEX	-1.23B	-2.77B	672.2M	-931.2M	672.2M
Net VEX	-13.1M	-14.3M	-12.3M	-13.4M	-13.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.24	0.46	2.40	2.02	1.67
Total Volume	99,022	55,772	193,575	105,275	133,205
Total OI	1,069,756.409	829,468	1,356,820	1,041,310	1,001,670

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
2017-06-01	$124.12	$123.00	10.0%	3.0%	8.0%	6.0%	10.7%	-0.3%	0.1%	354.4M	-931.2M	-13.4M	2.02	2.08	N/A	N/A	34,849	70,426	533,771	507,539
2017-06-02	$125.73	$123.00	10.1%	3.0%	8.7%	8.2%	11.0%	-0.1%	0.1%	463.1M	-2.05B	-13.5M	1.53	2.04	N/A	N/A	52,827	80,608	548,006	541,623
2017-06-05	$124.92	$123.00	10.1%	2.9%	9.2%	8.3%	10.2%	-0.1%	-0.1%	351.6M	-1.30B	-13.3M	0.55	4.09	N/A	N/A	60,514	33,356	539,611	548,833
2017-06-06	$125.51	$123.00	10.3%	2.9%	8.9%	9.7%	10.2%	-0.2%	-0.1%	425.6M	-1.82B	-13.5M	1.27	4.36	N/A	N/A	24,544	31,228	580,405	563,540
2017-06-07	$124.90	$123.00	10.2%	2.9%	9.2%	8.4%	10.2%	-0.3%	-0.2%	416.5M	-1.34B	-13.5M	0.60	4.73	N/A	N/A	104,745	63,300	582,152	572,545
2017-06-08	$124.58	$123.00	9.9%	2.9%	9.2%	5.8%	10.0%	-0.3%	-0.1%	339.5M	-1.04B	-14.3M	1.05	3.89	N/A	N/A	40,312	42,489	623,568	615,721
2017-06-09	$124.44	$123.00	9.4%	2.7%	9.3%	0.0%	9.6%	-0.3%	-0.1%	370.8M	-778.4M	-13.9M	1.19	3.99	N/A	N/A	47,045	56,053	626,430	632,785
2017-06-12	$124.38	$123.00	9.6%	2.7%	9.1%	1.3%	10.0%	-0.2%	0.1%	264.8M	-573.5M	-13.5M	0.99	4.27	N/A	N/A	38,785	38,283	614,298	634,797
2017-06-13	$124.39	$123.00	9.4%	2.7%	8.9%	0.0%	9.5%	-0.3%	-0.0%	328.3M	-842.9M	-13.4M	1.18	4.77	N/A	N/A	29,817	35,302	631,372	630,366
2017-06-14	$126.24	$123.00	9.5%	2.7%	10.1%	1.1%	9.7%	-0.4%	0.1%	514.4M	-2.77B	-12.8M	1.05	4.51	N/A	N/A	94,199	99,376	641,571	633,398
2017-06-15	$126.07	$123.00	9.5%	2.7%	8.6%	0.8%	9.8%	-0.3%	-0.1%	446.4M	-2.72B	-12.8M	0.76	3.78	N/A	N/A	55,654	42,429	675,568	681,252
2017-06-16	$126.35	$123.00	9.1%	2.6%	8.6%	0.0%	9.5%	-0.2%	-0.0%	189.2M	-2.59B	-12.5M	0.89	3.51	N/A	N/A	72,380	64,523	634,623	687,814
2017-06-19	$126.19	$124.00	9.0%	2.6%	8.7%	0.0%	9.4%	-0.5%	0.2%	100.3M	-839.1M	-12.4M	1.83	5.06	N/A	N/A	25,464	46,696	400,282	429,186
2017-06-20	$127.23	$124.00	9.3%	2.7%	9.0%	3.9%	9.2%	-0.3%	0.1%	182.4M	-1.39B	-12.3M	1.70	4.44	N/A	N/A	24,137	41,051	409,222	441,768
2017-06-21	$127.51	$124.00	9.5%	2.7%	8.4%	6.2%	9.5%	-0.5%	0.1%	215.9M	-1.51B	-12.3M	0.97	4.30	N/A	N/A	30,286	29,484	415,768	439,499
2017-06-22	$127.73	$125.00	9.3%	2.6%	8.4%	3.2%	9.4%	-0.3%	0.3%	273.9M	-1.53B	-12.3M	0.89	4.38	N/A	N/A	46,856	41,509	428,136	451,904
2017-06-23	$127.76	$125.00	9.2%	2.6%	8.4%	2.8%	9.3%	-0.2%	0.3%	245.4M	-1.46B	-12.5M	0.46	4.23	N/A	N/A	53,498	24,779	437,438	478,368
2017-06-26	$128.22	$125.00	9.3%	2.6%	8.4%	3.6%	9.6%	-0.3%	0.4%	250.2M	-1.52B	-12.6M	0.74	3.70	N/A	N/A	50,815	37,722	436,463	438,780
2017-06-27	$126.94	$126.00	9.6%	2.7%	9.3%	6.5%	10.0%	-0.1%	0.3%	156.3M	-689.1M	-13.2M	2.40	4.65	N/A	N/A	34,872	83,676	447,964	459,443
2017-06-28	$126.48	$126.00	9.9%	2.8%	9.5%	10.7%	10.4%	-0.2%	0.3%	46.7M	-290.1M	-13.6M	2.16	4.44	N/A	N/A	20,519	44,326	450,882	507,100
2017-06-29	$125.47	$126.00	10.3%	2.9%	10.0%	15.4%	10.4%	0.1%	0.3%	-101.8M	338.3M	-13.6M	1.27	4.49	N/A	N/A	42,588	53,957	456,300	522,880
2017-06-30	$124.93	$126.00	10.7%	3.0%	9.0%	19.0%	11.2%	0.3%	0.2%	-213.3M	672.2M	-13.8M	1.67	6.72	N/A	N/A	49,830	83,375	461,561	540,109