TLT Options History — August 2017

In August 2017, TLT traded between $124.58 and $127.98. ATM implied volatility averaged 9.9%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 1.2% (HV 20d: 8.7%). Max pain ranged from $124.00 to $125.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.02.

Notable Days

2017-08-31: Highest Volume — 135,501 contracts
2017-08-14: Largest IV drop — 6.1% change
2017-08-01: Highest IV Rank — 21.2%
2017-08-01: Largest Expected Move — 3.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$126.21	$124.58	$127.98	$124.62	$127.98
Max Pain	$124.17	$124.00	$125.00	$125.00	$125.00
ATM IV	9.9%	9.5%	10.7%	10.7%	9.8%
Expected Move	2.8%	2.6%	3.0%	3.0%	2.6%
HV 20d	8.7%	7.4%	9.6%	8.7%	7.4%
HV 60d	8.8%	8.3%	9.2%	8.8%	8.3%
IV Rank	13.3%	7.9%	21.2%	21.2%	11.5%
IV Percentile	14.8%	5.6%	23.4%	22.6%	13.9%
Term Structure	0.1%	-0.4%	0.4%	-0.4%	0.3%
VWIV	10.0%	9.2%	10.8%	10.8%	10.5%
Skew 25d	-0.2%	-0.5%	0.4%	0.2%	-0.5%
Skew 10d	-0.4%	-1.1%	0.9%	0.7%	-1.1%
Call IV 25d	10.3%	9.8%	11.0%	10.8%	10.2%
Put IV 25d	10.1%	9.6%	11.0%	11.0%	9.7%
Bid-Ask Spread %	3.10	2.34	5.00	5.00	3.00
Gamma HHI	0.09	0.07	0.14	0.08	0.10
Net GEX	226.2M	-8.8M	418.7M	104.0M	327.8M
Net DEX	-837.2M	-1.62B	170.7M	-195.9M	-1.62B
Net VEX	-13.4M	-14.6M	-12.7M	-13.3M	-12.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.53	2.56	0.90	0.53
Total Volume	77,403.609	46,057	135,501	67,741	135,501
Total OI	1,022,881.826	880,646	1,117,594	880,646	1,089,103

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
2017-08-01	$124.62	$125.00	10.7%	3.0%	8.7%	21.2%	10.8%	0.2%	-0.4%	104.0M	-195.9M	-13.3M	0.90	5.00	N/A	N/A	35,564	32,177	442,575	438,071
2017-08-02	$124.75	$125.00	10.4%	2.9%	8.7%	18.6%	10.4%	0.3%	-0.4%	137.9M	-311.6M	-13.2M	0.90	4.92	N/A	N/A	29,226	26,410	457,367	448,727
2017-08-03	$125.95	$124.00	10.3%	2.8%	8.8%	16.7%	10.0%	0.2%	-0.3%	224.2M	-1.02B	-13.1M	2.56	3.42	N/A	N/A	37,809	96,716	462,877	450,778
2017-08-04	$124.96	$124.00	9.9%	2.7%	9.0%	12.4%	9.6%	0.2%	-0.4%	125.6M	-210.8M	-13.9M	1.30	2.44	N/A	N/A	48,208	62,534	477,720	526,776
2017-08-07	$125.01	$124.00	9.8%	2.7%	9.0%	12.0%	10.1%	0.2%	-0.2%	59.8M	-139.9M	-13.9M	0.98	2.68	N/A	N/A	23,601	23,087	464,123	540,856
2017-08-08	$124.58	$124.00	9.8%	2.7%	9.2%	11.9%	10.1%	0.4%	-0.2%	-8.8M	170.7M	-13.8M	0.69	2.64	N/A	N/A	55,788	38,564	467,790	543,672
2017-08-09	$125.44	$124.00	10.1%	2.8%	9.2%	14.4%	10.1%	0.1%	-0.1%	155.3M	-505.4M	-13.9M	0.71	3.12	N/A	N/A	46,898	33,117	484,717	551,888
2017-08-10	$126.33	$124.00	10.5%	3.0%	9.2%	19.3%	10.6%	-0.3%	-0.2%	226.3M	-1.05B	-13.8M	0.86	3.47	N/A	N/A	59,365	50,862	480,752	568,160
2017-08-11	$126.39	$124.00	10.5%	3.0%	9.2%	19.7%	10.6%	-0.4%	-0.0%	314.6M	-1.16B	-14.6M	0.88	2.55	N/A	N/A	43,964	38,610	515,864	601,730
2017-08-14	$125.83	$124.00	9.9%	2.8%	9.4%	12.6%	10.2%	-0.3%	0.2%	205.6M	-556.7M	-14.1M	0.83	2.36	N/A	N/A	30,973	25,768	503,654	561,824
2017-08-15	$125.17	$124.00	9.5%	2.7%	9.2%	8.0%	9.7%	-0.3%	0.3%	95.7M	-32.2M	-13.8M	1.46	2.34	N/A	N/A	33,012	48,342	503,895	570,909
2017-08-16	$125.63	$124.00	9.5%	2.7%	9.3%	7.9%	9.7%	-0.2%	0.4%	237.3M	-449.0M	-13.7M	1.08	2.82	N/A	N/A	25,382	27,440	516,096	579,711
2017-08-17	$126.59	$124.00	9.8%	2.8%	9.6%	11.2%	9.8%	-0.2%	0.2%	370.9M	-1.22B	-13.4M	0.75	2.81	N/A	N/A	26,258	19,799	519,493	582,966
2017-08-18	$126.65	$124.00	9.7%	2.8%	9.5%	10.9%	9.8%	-0.2%	0.3%	418.7M	-1.30B	-13.1M	0.73	2.60	N/A	N/A	37,089	27,249	521,971	585,750
2017-08-21	$126.89	$124.00	10.0%	2.8%	9.4%	13.5%	9.8%	-0.4%	0.1%	242.7M	-1.10B	-13.0M	0.70	3.23	N/A	N/A	32,003	22,387	452,858	492,339
2017-08-22	$126.32	$124.00	9.9%	2.8%	7.9%	12.6%	9.9%	-0.3%	0.2%	213.1M	-747.9M	-12.9M	1.88	3.20	N/A	N/A	17,313	32,519	458,935	500,640
2017-08-23	$127.22	$124.00	10.0%	2.8%	8.2%	13.8%	9.7%	-0.4%	0.1%	267.3M	-1.26B	-12.8M	0.57	3.10	N/A	N/A	53,937	30,831	461,331	514,226
2017-08-24	$126.75	$124.00	9.9%	2.7%	8.0%	13.2%	9.6%	-0.4%	0.3%	251.0M	-978.3M	-13.5M	0.92	3.29	N/A	N/A	25,446	23,298	486,870	532,300
2017-08-25	$127.31	$124.00	9.8%	2.7%	8.0%	11.7%	9.4%	-0.4%	0.1%	325.1M	-1.46B	-12.9M	0.74	3.12	N/A	N/A	55,868	41,113	499,181	538,361
2017-08-28	$127.22	$124.00	9.6%	2.6%	8.0%	9.8%	9.2%	-0.3%	0.4%	278.0M	-1.17B	-12.7M	1.58	3.31	N/A	N/A	30,496	48,276	486,245	536,444
2017-08-29	$127.68	$124.00	9.7%	2.6%	7.9%	10.9%	9.9%	-0.4%	0.3%	315.5M	-1.53B	-12.8M	0.85	3.35	N/A	N/A	45,371	38,530	494,214	546,115
2017-08-30	$127.53	$125.00	9.8%	2.6%	8.0%	11.0%	9.9%	-0.5%	0.3%	316.0M	-1.40B	-12.8M	1.16	2.50	N/A	N/A	29,485	34,097	506,606	559,802
2017-08-31	$127.98	$125.00	9.8%	2.6%	7.4%	11.5%	10.5%	-0.5%	0.3%	327.8M	-1.62B	-12.8M	0.53	3.00	N/A	N/A	88,315	47,186	514,914	574,189