TLT Options History — September 2017

In September 2017, TLT traded between $124.62 and $129.26. ATM implied volatility averaged 9.7%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded below realized volatility by 0.7% (HV 20d: 10.4%). Max pain ranged from $126.00 to $127.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.19.

Notable Days

  • 2017-09-11: Highest Volume — 159,772 contracts
  • 2017-09-05: Largest IV spike — 19.0% change
  • 2017-09-07: Highest IV Rank — 26.3%
  • 2017-09-08: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$126.70$124.62$129.26$126.71$124.74
Max Pain$126.80$126.00$127.00$127.00$127.00
ATM IV9.7%9.0%11.1%9.1%9.6%
Expected Move2.7%2.3%3.1%2.3%2.7%
HV 20d10.4%7.8%11.5%7.8%11.4%
HV 60d9.2%8.6%9.5%8.6%9.4%
IV Rank11.0%3.0%26.3%3.9%9.7%
IV Percentile14.5%1.6%41.7%2.0%15.1%
Term Structure0.1%-0.3%0.5%0.5%0.2%
VWIV9.8%8.3%11.5%8.3%9.8%
Skew 25d-0.7%-1.1%-0.3%-0.5%-0.4%
Skew 10d-1.5%-2.5%-0.8%-1.0%-1.1%
Call IV 25d10.2%9.4%11.8%9.4%9.9%
Put IV 25d9.6%8.9%10.8%8.9%9.4%
Bid-Ask Spread %8.512.2526.992.2511.43
Gamma HHI0.110.070.290.100.08
Net GEX161.7M-144.0M596.8M144.3M-143.8M
Net DEX43.8M-1.95B1.76B-50.8M1.64B
Net VEX-13.6M-14.3M-12.3M-12.4M-13.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.443.221.361.03
Total Volume102,467.860,312159,772124,26998,801
Total OI1,151,376.451,049,9461,337,0051,059,2821,158,821

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$126.71$127.009.1%2.3%7.8%3.9%8.3%-0.5%0.5%144.3M-50.8M-12.4M1.362.25N/AN/A52,71571,554468,782590,500
2017-09-05$128.75$126.0010.8%3.1%9.5%23.1%11.1%-0.7%-0.3%296.8M-1.49B-12.3M0.838.31N/AN/A69,50957,748465,873584,073
2017-09-06$127.95$126.0010.7%3.0%9.7%21.9%10.6%-0.8%-0.1%307.1M-894.7M-12.8M1.258.96N/AN/A35,23843,941497,904605,066
2017-09-07$129.26$126.0011.1%3.1%10.0%26.3%11.1%-1.1%-0.2%411.3M-1.95B-12.4M0.447.23N/AN/A110,18148,525504,319620,974
2017-09-08$128.94$126.0011.0%3.1%9.9%24.7%11.5%-1.0%-0.1%541.9M-1.87B-13.3M0.769.62N/AN/A70,53753,420563,050639,166
2017-09-11$127.44$127.0010.2%2.8%10.9%15.5%9.5%-0.7%-0.2%319.9M-381.3M-13.3M0.547.01N/AN/A103,78555,987557,885626,095
2017-09-12$126.76$127.009.7%2.7%10.9%10.0%9.7%-0.7%-0.1%306.1M-97.3M-13.8M1.047.63N/AN/A37,69139,087615,758630,318
2017-09-13$126.37$127.009.5%2.7%10.8%8.4%9.7%-0.5%0.1%176.5M370.7M-13.8M0.976.08N/AN/A41,34839,996616,360640,087
2017-09-14$126.78$127.009.8%2.8%10.8%11.1%10.0%-0.8%-0.0%324.7M-106.1M-13.9M0.816.32N/AN/A59,66248,233631,272641,593
2017-09-15$126.87$127.009.1%2.6%10.5%4.0%9.3%-0.7%0.0%596.8M-242.2M-14.3M0.765.71N/AN/A72,90655,758670,473666,532
2017-09-18$126.22$127.009.3%2.7%10.6%6.3%9.7%-0.8%-0.3%24.7M416.2M-14.2M1.018.34N/AN/A44,50944,760532,302521,908
2017-09-19$125.86$127.009.4%2.7%10.6%6.9%9.7%-0.7%-0.2%1.9M593.3M-14.3M1.517.51N/AN/A23,98336,329551,241529,321
2017-09-20$125.94$127.009.2%2.6%10.5%5.3%9.3%-0.3%-0.0%-17.9M713.9M-14.0M1.9826.99N/AN/A39,43277,959560,510541,293
2017-09-21$125.87$127.009.0%2.6%10.2%3.0%9.7%-0.6%0.2%-71.4M684.7M-14.0M0.739.60N/AN/A46,56833,783570,370571,013
2017-09-22$126.17$127.009.2%2.6%10.1%5.3%9.3%-0.6%-0.1%17.7M452.0M-14.3M1.346.15N/AN/A36,33548,786592,823555,056
2017-09-25$127.05$127.009.6%2.7%10.3%8.8%9.6%-0.8%0.5%170.2M-273.9M-14.3M2.256.13N/AN/A23,00451,689562,589544,447
2017-09-26$126.81$127.009.4%2.7%10.4%7.8%9.5%-0.7%0.5%103.1M34.4M-14.1M3.228.34N/AN/A16,21252,227566,083556,742
2017-09-27$124.90$127.009.6%2.8%11.5%9.2%10.0%-0.6%0.5%-131.9M1.57B-13.7M0.588.33N/AN/A78,58145,467567,259565,592
2017-09-28$124.62$127.009.6%2.7%11.5%9.2%9.6%-0.5%0.5%-144.0M1.76B-13.6M1.368.19N/AN/A35,21247,898568,184575,895
2017-09-29$124.74$127.009.6%2.7%11.4%9.7%9.8%-0.4%0.2%-143.8M1.64B-13.5M1.0311.43N/AN/A48,71550,086577,913580,908