TLT Options History — October 2017

In October 2017, TLT traded between $122.48 and $125.95. ATM implied volatility averaged 9.9%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 1.8% (HV 20d: 8.1%). Max pain ranged from $125.00 to $127.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.26.

Notable Days

2017-10-20: Highest Volume — 177,589 contracts
2017-10-30: Largest IV spike — 5.2% change
2017-10-26: Highest IV Rank — 18.4%
2017-10-25: Largest Expected Move — 3.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$124.34	$122.48	$125.95	$124.27	$124.52
Max Pain	$125.82	$125.00	$127.00	$127.00	$125.00
ATM IV	9.9%	9.3%	10.4%	10.1%	10.0%
Expected Move	2.9%	2.7%	3.1%	2.9%	2.9%
HV 20d	8.1%	7.0%	11.0%	11.0%	8.5%
HV 60d	9.1%	8.8%	9.3%	9.3%	9.1%
IV Rank	13.2%	6.3%	18.4%	14.5%	14.1%
IV Percentile	25.7%	6.0%	41.3%	28.2%	32.1%
Term Structure	0.0%	-0.5%	0.9%	-0.0%	-0.1%
VWIV	10.1%	9.2%	11.1%	10.7%	10.4%
Skew 25d	-0.2%	-0.6%	0.3%	-0.1%	-0.0%
Skew 10d	-0.5%	-1.3%	0.4%	-0.5%	0.4%
Call IV 25d	10.2%	9.6%	10.6%	10.3%	10.2%
Put IV 25d	10.0%	9.2%	10.6%	10.2%	10.2%
Bid-Ask Spread %	8.73	4.08	25.04	7.67	6.51
Gamma HHI	0.12	0.06	0.64	0.08	0.10
Net GEX	-183.4M	-1.23B	150.6M	-149.8M	-32.3M
Net DEX	1.19B	240.3M	2.08B	1.62B	452.0M
Net VEX	-12.9M	-13.8M	-11.8M	-13.6M	-13.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.26	0.64	2.01	0.68	0.91
Total Volume	83,844	39,026	177,589	84,149	80,933
Total OI	1,117,397.5	895,705	1,252,617	1,135,344	1,006,681

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
2017-10-02	$124.27	$127.00	10.1%	2.9%	11.0%	14.5%	10.7%	-0.1%	-0.0%	-149.8M	1.62B	-13.6M	0.68	7.67	N/A	N/A	50,059	34,090	563,057	572,287
2017-10-03	$124.40	$127.00	10.2%	2.8%	9.1%	16.0%	9.9%	-0.4%	-0.1%	-161.6M	1.55B	-13.8M	1.41	5.14	N/A	N/A	20,392	28,735	572,985	584,363
2017-10-04	$124.43	$127.00	10.3%	2.7%	8.9%	17.2%	9.5%	-0.4%	-0.0%	-145.7M	1.48B	-13.5M	1.01	10.33	N/A	N/A	19,423	19,603	571,828	580,190
2017-10-05	$123.95	$126.00	10.2%	2.9%	7.8%	16.0%	10.4%	-0.1%	-0.0%	-203.9M	1.80B	-12.9M	1.67	5.19	N/A	N/A	24,332	40,547	577,383	573,599
2017-10-06	$123.67	$126.00	10.2%	2.9%	7.8%	16.0%	10.3%	-0.1%	0.1%	-268.8M	2.08B	-13.0M	1.36	7.07	N/A	N/A	42,188	57,365	584,265	589,133
2017-10-09	$123.95	$126.00	10.2%	2.9%	7.1%	16.1%	10.2%	-0.3%	-0.1%	-229.1M	1.69B	-13.0M	2.00	7.60	N/A	N/A	18,772	37,605	548,575	587,325
2017-10-10	$124.17	$125.00	10.1%	2.8%	7.0%	15.3%	10.1%	-0.2%	-0.3%	-257.5M	1.61B	-12.9M	1.93	7.38	N/A	N/A	25,875	49,838	552,784	605,944
2017-10-11	$124.39	$125.00	9.8%	2.8%	7.0%	12.0%	9.9%	-0.3%	-0.1%	-226.9M	1.44B	-13.0M	1.64	6.17	N/A	N/A	25,085	41,026	557,952	626,725
2017-10-12	$124.95	$125.00	9.8%	2.8%	7.2%	11.7%	9.8%	-0.3%	-0.1%	-188.1M	1.04B	-12.7M	1.98	9.72	N/A	N/A	22,271	44,129	565,135	631,126
2017-10-13	$125.90	$125.00	9.6%	2.8%	7.7%	9.3%	9.8%	-0.6%	0.0%	150.6M	240.3M	-12.3M	0.91	8.79	N/A	N/A	80,825	73,701	570,761	640,205
2017-10-16	$125.73	$126.00	9.4%	2.7%	7.5%	7.2%	9.6%	-0.4%	-0.1%	-23.7M	495.9M	-12.4M	1.02	6.49	N/A	N/A	30,633	31,152	575,129	636,489
2017-10-17	$125.95	$126.00	9.3%	2.7%	7.5%	6.3%	9.4%	-0.4%	-0.2%	14.2M	306.8M	-12.4M	0.83	5.55	N/A	N/A	42,038	34,996	575,462	641,196
2017-10-18	$125.09	$126.00	9.6%	2.8%	7.9%	9.4%	9.7%	-0.4%	-0.5%	-153.8M	881.2M	-12.2M	1.25	4.08	N/A	N/A	33,769	42,306	588,089	631,834
2017-10-19	$125.58	$126.00	9.4%	2.7%	8.0%	7.3%	9.2%	-0.3%	-0.2%	-2.2M	314.8M	-11.9M	0.98	25.04	N/A	N/A	31,584	30,911	601,461	639,456
2017-10-20	$123.99	$126.00	9.6%	2.8%	9.1%	9.4%	9.9%	0.0%	-0.3%	-1.23B	1.92B	-11.8M	2.01	5.10	N/A	N/A	59,081	118,508	608,575	644,042
2017-10-23	$124.24	$126.00	9.8%	2.9%	8.7%	12.2%	10.5%	-0.1%	0.4%	-130.1M	853.5M	-12.8M	0.68	5.39	N/A	N/A	71,669	48,557	403,963	491,742
2017-10-24	$123.43	$126.00	10.0%	3.0%	8.9%	13.7%	10.3%	-0.0%	0.4%	-171.1M	1.27B	-12.9M	1.58	10.76	N/A	N/A	39,924	63,255	436,978	497,107
2017-10-25	$122.81	$126.00	10.3%	3.1%	7.4%	17.1%	11.1%	0.1%	0.6%	-200.1M	1.58B	-13.0M	1.62	10.30	N/A	N/A	46,059	74,545	444,172	506,355
2017-10-26	$122.48	$126.00	10.4%	3.1%	7.5%	18.4%	11.1%	0.3%	0.9%	-216.2M	1.75B	-13.1M	0.71	15.69	N/A	N/A	38,959	27,808	470,192	524,092
2017-10-27	$123.24	$125.00	9.9%	2.9%	7.8%	12.5%	10.4%	0.1%	0.5%	-158.0M	1.26B	-13.3M	0.64	7.94	N/A	N/A	53,957	34,405	489,041	524,200
2017-10-30	$124.37	$125.00	10.4%	3.0%	8.5%	18.2%	11.0%	-0.1%	-0.0%	-52.6M	555.5M	-13.3M	0.86	14.05	N/A	N/A	28,887	24,771	477,154	513,713
2017-10-31	$124.52	$125.00	10.0%	2.9%	8.5%	14.1%	10.4%	-0.0%	-0.1%	-32.3M	452.0M	-13.0M	0.91	6.51	N/A	N/A	42,358	38,575	487,677	519,004