TLT Options History — November 2017

In November 2017, TLT traded between $124.13 and $127.10. ATM implied volatility averaged 9.4%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 0.1% (HV 20d: 9.3%). Max pain ranged from $125.00 to $126.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2017-11-10: Highest Volume — 108,544 contracts
  • 2017-11-03: Largest IV drop — 6.6% change
  • 2017-11-20: Highest IV Rank — 14.8%
  • 2017-11-30: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$125.89$124.13$127.10$124.75$125.11
Max Pain$125.05$125.00$126.00$126.00$125.00
ATM IV9.4%8.9%10.0%9.8%9.5%
Expected Move2.7%2.6%3.0%2.8%3.0%
HV 20d9.3%8.5%10.8%8.5%9.6%
HV 60d9.3%8.9%9.7%9.1%8.9%
IV Rank8.1%2.3%14.8%12.2%9.5%
IV Percentile14.1%1.2%36.1%26.2%15.9%
Term Structure0.0%-0.5%0.3%-0.2%0.2%
VWIV9.8%9.3%11.3%10.2%11.3%
Skew 25d-0.1%-0.4%0.1%0.0%0.1%
Skew 10d-0.4%-1.1%0.7%-0.2%-0.3%
Call IV 25d9.6%9.0%10.1%9.9%9.7%
Put IV 25d9.5%9.0%10.0%9.9%9.8%
Bid-Ask Spread %11.306.3822.4922.498.03
Gamma HHI0.100.070.160.080.09
Net GEX127.8M-80.2M251.2M15.8M36.6M
Net DEX-225.7M-946.5M989.4M247.6M609.9M
Net VEX-13.0M-13.8M-12.5M-13.4M-13.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.491.500.550.64
Total Volume74,371.14346,941108,544106,57477,879
Total OI1,031,659.286938,4931,125,7451,014,0001,027,892

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$124.75$126.009.8%2.8%8.5%12.2%10.2%0.0%-0.2%15.8M247.6M-13.4M0.5522.49N/AN/A68,86137,713487,071526,929
2017-11-02$125.29$125.009.6%2.8%8.5%9.4%9.8%-0.1%-0.0%97.6M-112.4M-13.3M0.7110.26N/AN/A56,10439,775508,225539,122
2017-11-03$125.65$125.009.0%2.6%8.5%2.5%9.4%0.1%0.1%173.6M-362.7M-12.8M0.828.47N/AN/A40,32833,081513,294553,205
2017-11-06$126.15$125.009.1%2.7%8.5%3.6%9.4%-0.1%0.2%169.6M-573.3M-12.6M1.0415.13N/AN/A32,38533,746496,863499,993
2017-11-07$126.59$125.009.1%2.6%8.6%3.7%9.6%-0.0%0.0%211.8M-888.5M-12.5M1.0510.77N/AN/A40,31742,197508,305510,351
2017-11-08$126.29$125.009.0%2.6%8.6%2.3%9.5%-0.0%0.3%175.1M-643.9M-12.6M1.449.28N/AN/A23,05833,213517,267527,088
2017-11-09$125.96$125.009.2%2.7%8.6%5.1%9.5%-0.2%0.2%118.7M-327.8M-13.0M1.0615.79N/AN/A22,77524,166520,949539,557
2017-11-10$124.13$125.009.5%2.8%9.7%8.3%9.9%0.1%0.2%-80.2M989.4M-12.5M0.9010.66N/AN/A57,19851,346525,869543,563
2017-11-13$124.43$125.009.5%2.8%9.7%8.6%9.7%0.1%-0.0%-40.4M741.9M-12.5M0.836.70N/AN/A39,47332,707519,703536,325
2017-11-14$125.15$125.009.4%2.7%10.0%7.8%9.7%0.1%0.2%19.1M314.4M-12.5M0.917.83N/AN/A43,50939,786527,557546,115
2017-11-15$126.57$125.009.7%2.8%10.5%10.9%9.7%-0.4%0.2%181.9M-806.8M-12.8M1.338.63N/AN/A30,53840,506542,364562,317
2017-11-16$125.53$125.009.6%2.7%10.8%9.9%9.7%-0.2%0.1%50.5M21.7M-12.6M0.9913.66N/AN/A28,05027,901546,621568,331
2017-11-17$126.40$125.009.9%2.8%10.0%13.6%9.9%-0.2%0.1%174.8M-692.5M-13.0M0.6814.67N/AN/A61,05541,734552,505573,240
2017-11-20$126.34$125.0010.0%2.8%10.0%14.8%9.8%-0.1%-0.5%157.4M-406.6M-13.6M0.908.19N/AN/A46,86542,134478,848459,645
2017-11-21$126.70$125.009.6%2.7%9.6%11.3%10.1%-0.1%-0.2%214.5M-625.3M-13.5M0.607.78N/AN/A42,11125,349494,397472,745
2017-11-22$127.10$125.009.7%2.7%9.3%12.2%10.0%-0.2%-0.3%251.2M-946.5M-13.4M0.496.38N/AN/A44,60622,012507,481477,980
2017-11-24$126.80$125.009.5%2.6%9.3%9.5%9.4%-0.1%-0.4%247.1M-723.8M-13.1M0.569.37N/AN/A41,91423,511501,848481,534
2017-11-27$126.61$125.008.9%2.6%9.2%2.5%9.3%-0.1%0.1%210.8M-451.0M-12.8M1.4217.66N/AN/A19,45627,709491,876479,633
2017-11-28$126.72$125.009.1%2.7%8.8%4.3%9.7%-0.1%-0.0%235.9M-479.8M-13.1M1.5017.43N/AN/A21,14231,649498,719488,278
2017-11-29$125.51$125.009.4%2.9%9.5%8.6%10.0%-0.0%-0.1%61.6M376.4M-13.7M0.718.04N/AN/A43,12930,806504,849506,391
2017-11-30$125.11$125.009.5%3.0%9.6%9.5%11.3%0.1%0.2%36.6M609.9M-13.8M0.648.03N/AN/A47,38230,497518,339509,553