TLT Options History — July 2017

In July 2017, TLT traded between $122.78 and $125.74. ATM implied volatility averaged 9.9%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 1.4% (HV 20d: 8.5%). Max pain ranged from $124.00 to $126.50. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2017-07-14: Highest Volume — 108,464 contracts
  • 2017-07-25: Largest IV spike — 5.7% change
  • 2017-07-06: Highest IV Rank — 23.6%
  • 2017-07-03: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$123.99$122.78$125.74$124.46$123.98
Max Pain$124.83$124.00$126.50$126.50$125.00
ATM IV9.9%8.8%11.1%10.9%10.2%
Expected Move2.8%2.5%3.1%3.1%2.9%
HV 20d8.5%7.8%9.4%8.8%8.6%
HV 60d8.8%8.5%9.1%9.0%8.8%
IV Rank11.7%0.0%23.6%21.5%16.2%
IV Percentile10.6%0.0%23.4%19.4%17.5%
Term Structure0.0%-0.4%0.5%-0.4%-0.3%
VWIV10.1%8.9%11.3%11.3%10.4%
Skew 25d0.2%-0.0%1.0%1.0%0.1%
Skew 10d0.4%0.0%1.6%1.0%1.6%
Call IV 25d10.1%8.9%11.2%10.9%10.5%
Put IV 25d10.3%9.1%11.9%11.9%10.5%
Bid-Ask Spread %6.553.5346.3846.383.57
Gamma HHI0.080.060.150.060.08
Net GEX-58.2M-327.5M159.2M-113.2M40.8M
Net DEX555.5M-775.1M1.63B859.7M259.1M
Net VEX-12.5M-13.8M-11.7M-13.8M-12.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.451.381.171.13
Total Volume73,773.945,309108,46482,02848,710
Total OI949,244.35800,9571,059,101956,461866,676

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$124.46$126.5010.9%3.1%8.8%21.5%11.3%1.0%-0.4%-113.2M859.7M-13.8M1.1746.38N/AN/A37,74044,288429,371527,090
2017-07-05$124.50$126.0010.9%3.1%8.6%21.3%11.1%0.3%-0.2%-131.4M687.8M-13.5M1.194.28N/AN/A27,62332,977435,920530,123
2017-07-06$123.51$125.0011.1%3.1%8.9%23.6%11.0%0.4%-0.3%-211.8M1.16B-13.4M1.245.14N/AN/A45,58256,453439,335523,814
2017-07-07$122.78$125.0010.7%3.0%9.0%19.1%10.8%0.3%-0.1%-327.5M1.63B-13.0M0.805.51N/AN/A50,26640,456452,217539,312
2017-07-10$122.94$124.0010.5%3.0%9.1%16.9%10.5%0.2%-0.1%-220.1M1.24B-12.6M1.174.65N/AN/A25,18829,455436,172513,359
2017-07-11$123.09$124.0010.5%3.0%9.1%17.6%10.5%0.2%-0.1%-209.3M1.10B-12.7M1.194.81N/AN/A32,32338,334440,118512,981
2017-07-12$123.92$124.0010.2%2.9%9.4%14.3%10.3%0.2%-0.1%-118.8M569.9M-12.7M0.664.51N/AN/A31,47120,772450,500516,786
2017-07-13$123.28$124.0010.3%2.9%7.8%15.3%10.5%0.2%-0.1%-170.0M869.9M-12.3M1.384.55N/AN/A26,54036,739460,259516,895
2017-07-14$123.38$124.009.8%2.8%7.8%9.0%10.1%0.1%-0.0%-40.7M814.9M-12.0M0.453.78N/AN/A74,94533,519470,506531,921
2017-07-17$123.70$124.009.6%2.7%7.8%6.4%9.7%0.1%0.1%-62.2M557.9M-11.8M0.704.53N/AN/A26,64018,669461,605516,305
2017-07-18$124.73$125.009.4%2.7%8.5%4.2%9.7%0.1%-0.1%62.0M-91.4M-11.9M1.254.09N/AN/A28,89736,036481,265526,805
2017-07-19$124.78$125.008.9%2.6%7.8%0.0%9.6%0.1%0.1%78.1M-114.4M-11.7M1.163.59N/AN/A25,40529,561485,709528,461
2017-07-20$125.15$125.008.8%2.5%7.9%0.0%8.9%0.2%0.0%110.4M-374.5M-11.7M0.934.61N/AN/A41,06238,258497,296533,342
2017-07-21$125.74$125.008.8%2.5%8.1%1.1%9.0%0.2%0.0%159.2M-775.1M-11.8M0.763.53N/AN/A54,93241,956510,594548,507
2017-07-24$125.31$125.009.2%2.6%8.1%4.8%9.4%0.1%0.5%64.7M-138.9M-12.0M0.974.35N/AN/A42,34940,987387,375413,582
2017-07-25$123.59$125.009.7%2.8%9.1%10.5%10.2%0.2%0.4%-31.9M802.4M-12.4M0.784.94N/AN/A55,05643,118403,620431,919
2017-07-26$123.93$125.009.6%2.8%8.7%9.3%9.7%0.1%0.5%-21.3M608.2M-12.6M1.245.19N/AN/A43,76754,482420,809446,170
2017-07-27$123.22$125.009.8%2.8%8.8%11.5%10.0%0.2%0.4%-66.1M919.8M-13.0M0.944.27N/AN/A25,21923,763443,371453,548
2017-07-28$123.82$125.009.8%2.8%8.7%11.8%10.0%-0.0%0.5%44.5M518.0M-12.8M0.874.64N/AN/A38,44233,498448,122453,127
2017-07-31$123.98$125.0010.2%2.9%8.6%16.2%10.4%0.1%-0.3%40.8M259.1M-12.9M1.133.57N/AN/A22,85325,857435,099431,577