TLT Options History — December 2017

In December 2017, TLT traded between $124.14 and $128.39. ATM implied volatility averaged 9.6%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded below realized volatility by 0.5% (HV 20d: 10.1%). Max pain ranged from $126.00 to $126.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.20.

Notable Days

  • 2017-12-07: Highest Volume — 155,681 contracts
  • 2017-12-13: Largest IV drop — 6.1% change
  • 2017-12-22: Highest IV Rank — 23.8%
  • 2017-12-01: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$126.48$124.14$128.39$126.58$126.91
Max Pain$126.00$126.00$126.00$126.00$126.00
ATM IV9.6%8.9%10.3%10.3%9.5%
Expected Move2.7%2.5%3.3%3.3%2.6%
HV 20d10.1%8.1%11.6%10.3%11.0%
HV 60d9.1%8.7%9.7%9.0%9.6%
IV Rank14.7%2.0%23.8%20.2%14.1%
IV Percentile25.1%0.8%49.6%49.6%17.5%
Term Structure0.2%-0.2%0.6%-0.2%0.6%
VWIV9.7%9.0%11.5%11.5%9.3%
Skew 25d-0.2%-0.6%0.4%-0.1%-0.1%
Skew 10d-0.6%-1.6%0.1%-1.2%-0.2%
Call IV 25d9.9%9.1%10.5%10.5%9.6%
Put IV 25d9.7%8.9%10.5%10.5%9.5%
Bid-Ask Spread %10.986.1816.8814.386.18
Gamma HHI0.100.070.130.100.09
Net GEX-3.7M-303.2M270.5M211.1M-59.8M
Net DEX107.8M-1.15B2.12B-580.1M-290.4M
Net VEX-14.7M-15.8M-13.7M-14.0M-15.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.662.171.060.85
Total Volume90,948.1543,818155,681149,06282,149
Total OI1,084,317.65959,6151,195,3581,026,6741,123,574

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$126.58$126.0010.3%3.3%10.3%20.2%11.5%-0.1%-0.2%211.1M-580.1M-14.0M1.0614.38N/AN/A72,39176,671510,037516,637
2017-12-04$126.66$126.0010.3%2.8%10.3%21.2%10.2%-0.6%-0.0%178.5M-422.1M-14.1M1.018.21N/AN/A28,91329,199506,495538,769
2017-12-05$127.25$126.009.9%2.7%10.3%16.6%9.7%-0.5%0.1%249.6M-852.6M-13.7M1.319.75N/AN/A44,96458,869510,633544,978
2017-12-06$127.77$126.009.6%2.7%10.4%13.6%9.5%-0.4%0.0%270.5M-1.14B-14.1M0.6614.43N/AN/A60,83540,426530,740581,692
2017-12-07$126.72$126.009.8%2.8%10.8%16.7%9.7%-0.5%0.2%82.4M-90.8M-14.4M1.3713.41N/AN/A65,78089,901518,214596,787
2017-12-08$126.63$126.009.5%2.7%10.7%12.2%9.7%-0.3%0.2%32.5M102.2M-15.3M1.0111.95N/AN/A38,85439,383547,149648,209
2017-12-11$126.43$126.009.5%2.7%9.2%12.7%9.6%-0.1%-0.1%6.1M262.5M-15.0M1.2311.45N/AN/A19,67024,148513,076627,097
2017-12-12$126.27$126.009.5%2.6%9.2%11.5%9.3%-0.2%-0.2%-25.6M400.1M-14.6M1.2012.63N/AN/A39,21647,147513,752628,726
2017-12-13$127.26$126.008.9%2.5%9.4%2.0%9.0%-0.2%-0.1%88.7M-334.6M-14.2M1.1815.03N/AN/A33,04938,987508,950633,976
2017-12-14$127.92$126.009.1%2.6%8.7%5.2%9.2%-0.4%0.2%170.9M-782.0M-14.4M1.3411.70N/AN/A24,79333,163519,955650,395
2017-12-15$128.39$126.009.0%2.6%8.1%5.3%9.3%-0.2%0.2%101.6M-1.15B-14.1M0.7910.40N/AN/A64,27350,740525,113660,918
2017-12-18$127.20$126.009.2%2.7%8.6%8.9%9.5%-0.1%0.1%-72.5M212.8M-14.5M1.277.42N/AN/A27,21834,548400,546559,069
2017-12-19$125.56$126.009.7%2.8%9.8%16.9%9.7%0.1%0.2%-213.5M1.26B-14.7M1.857.28N/AN/A54,004100,022407,815568,719
2017-12-20$124.14$126.009.6%2.8%10.5%16.2%9.8%0.1%0.3%-303.2M2.12B-14.9M1.2011.37N/AN/A51,57161,725417,074604,744
2017-12-21$124.63$126.009.6%2.7%10.6%15.3%9.9%0.1%0.3%-237.4M1.54B-15.6M0.838.89N/AN/A41,89634,647440,589613,597
2017-12-22$124.73$126.0010.0%2.9%10.6%23.8%10.3%0.0%-0.0%-229.7M1.35B-15.5M1.2516.88N/AN/A30,26337,721450,788614,228
2017-12-26$125.17$126.0010.0%2.8%10.7%22.8%10.3%0.4%0.4%-186.5M926.6M-15.0M0.878.88N/AN/A26,62723,109431,974606,820
2017-12-27$126.72$126.009.8%2.7%11.6%20.0%9.8%-0.2%0.6%-61.5M-218.5M-14.5M1.578.74N/AN/A39,68862,117439,810609,119
2017-12-28$126.73$126.009.8%2.6%11.0%18.8%9.4%0.0%0.3%-76.9M-164.5M-14.4M2.1710.66N/AN/A28,45061,836443,720621,869
2017-12-29$126.91$126.009.5%2.6%11.0%14.1%9.3%-0.1%0.6%-59.8M-290.4M-15.8M0.856.18N/AN/A44,31937,830457,429666,145