TLT Options History — January 2018

In January 2018, TLT traded between $122.07 and $126.07. ATM implied volatility averaged 10.4%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded below realized volatility by 0.0% (HV 20d: 10.4%). Max pain ranged from $125.00 to $126.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.65.

Notable Days

2018-01-10: Highest Volume — 254,953 contracts
2018-01-18: Largest IV spike — 11.7% change
2018-01-30: Highest IV Rank — 54.0%
2018-01-30: Largest Expected Move — 3.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$124.16	$122.07	$126.07	$125.51	$122.78
Max Pain	$125.71	$125.00	$126.00	$126.00	$125.00
ATM IV	10.4%	9.7%	11.6%	10.3%	11.3%
Expected Move	3.0%	2.8%	3.4%	2.8%	3.2%
HV 20d	10.4%	8.9%	11.6%	10.9%	8.9%
HV 60d	9.9%	9.8%	10.2%	9.8%	10.0%
IV Rank	30.9%	18.2%	54.0%	29.0%	47.9%
IV Percentile	57.1%	30.6%	82.9%	56.3%	81.7%
Term Structure	0.0%	-0.2%	0.4%	-0.0%	0.4%
VWIV	10.6%	9.4%	12.1%	10.0%	11.3%
Skew 25d	0.6%	-0.2%	2.5%	0.2%	2.5%
Skew 10d	1.1%	-0.4%	3.5%	-0.0%	3.5%
Call IV 25d	10.3%	9.7%	11.2%	10.5%	10.5%
Put IV 25d	10.9%	9.8%	13.0%	10.7%	13.0%
Bid-Ask Spread %	11.94	4.80	31.00	8.86	31.00
Gamma HHI	0.12	0.08	0.37	0.11	0.09
Net GEX	-373.1M	-1.15B	-130.9M	-202.0M	-405.9M
Net DEX	1.86B	476.4M	3.93B	810.3M	2.33B
Net VEX	-17.6M	-20.4M	-15.6M	-15.7M	-20.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.65	0.65	3.18	1.71	1.49
Total Volume	120,422.048	70,558	254,953	131,928	70,558
Total OI	1,258,359.81	1,083,584	1,550,167	1,105,033	1,172,297

Daily Data (21 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
2018-01-02	$125.51	$126.00	10.3%	2.8%	10.9%	29.0%	10.0%	0.2%	-0.0%	-202.0M	810.3M	-15.7M	1.71	8.86	N/A	N/A	48,769	83,159	450,293	654,740
2018-01-03	$126.07	$126.00	10.5%	2.8%	11.0%	32.2%	10.2%	-0.2%	-0.2%	-175.8M	476.4M	-16.1M	1.00	12.31	N/A	N/A	41,744	41,725	461,141	699,192
2018-01-04	$126.02	$126.00	10.0%	2.8%	10.9%	23.2%	10.1%	-0.0%	-0.0%	-200.4M	483.6M	-15.6M	1.20	12.24	N/A	N/A	32,170	38,538	467,464	712,839
2018-01-05	$125.69	$126.00	9.8%	2.8%	10.8%	19.0%	9.7%	-0.0%	-0.1%	-192.5M	805.0M	-16.0M	1.06	9.89	N/A	N/A	44,825	47,505	478,887	720,836
2018-01-08	$125.64	$126.00	9.7%	2.8%	10.4%	18.3%	9.8%	0.2%	-0.1%	-235.5M	810.6M	-16.0M	0.65	10.48	N/A	N/A	58,917	38,376	483,075	719,240
2018-01-09	$123.91	$126.00	10.3%	2.9%	11.5%	28.4%	10.4%	0.4%	0.1%	-353.7M	2.26B	-16.0M	1.45	10.53	N/A	N/A	57,086	82,618	515,308	728,519
2018-01-10	$123.74	$126.00	10.1%	2.9%	11.5%	26.2%	10.7%	0.6%	-0.1%	-406.8M	2.58B	-16.5M	2.15	8.90	N/A	N/A	80,892	174,061	529,811	761,520
2018-01-11	$124.30	$125.00	10.0%	2.8%	11.6%	24.3%	10.1%	0.5%	-0.1%	-427.2M	2.26B	-17.5M	1.22	10.10	N/A	N/A	42,219	51,489	547,299	900,824
2018-01-12	$124.58	$125.00	9.8%	2.8%	11.2%	20.7%	9.4%	0.5%	-0.1%	-218.0M	1.80B	-17.2M	1.25	9.98	N/A	N/A	53,133	66,542	552,567	879,719
2018-01-16	$125.08	$126.00	9.8%	2.8%	11.2%	19.8%	9.9%	0.3%	-0.2%	-316.5M	1.33B	-16.5M	1.18	8.94	N/A	N/A	35,431	41,879	546,542	884,569
2018-01-17	$124.85	$126.00	9.7%	2.8%	11.0%	18.2%	10.6%	0.3%	-0.1%	-376.6M	1.76B	-16.4M	2.12	4.80	N/A	N/A	42,468	90,060	559,054	896,130
2018-01-18	$123.71	$126.00	10.9%	3.1%	11.0%	39.7%	11.0%	0.6%	-0.1%	-581.0M	3.14B	-16.4M	3.18	11.92	N/A	N/A	41,294	131,213	562,229	913,485
2018-01-19	$123.06	$126.00	11.2%	3.2%	10.3%	45.6%	11.7%	0.6%	-0.1%	-1.15B	3.93B	-18.2M	1.67	23.43	N/A	N/A	79,277	132,685	573,123	977,044
2018-01-22	$123.18	$125.00	10.9%	3.2%	9.5%	39.9%	11.6%	0.7%	0.3%	-468.7M	2.13B	-18.8M	2.29	7.12	N/A	N/A	48,029	109,902	348,791	734,793
2018-01-23	$123.72	$125.00	10.4%	3.1%	9.5%	31.4%	10.6%	0.4%	0.2%	-376.1M	1.57B	-18.8M	2.44	10.90	N/A	N/A	28,205	68,711	374,712	751,614
2018-01-24	$123.04	$126.00	10.5%	3.1%	9.7%	32.8%	10.9%	0.7%	0.2%	-482.5M	2.30B	-19.2M	2.61	13.22	N/A	N/A	33,585	87,724	386,776	776,653
2018-01-25	$124.08	$126.00	10.1%	2.9%	10.1%	24.9%	10.4%	0.7%	0.3%	-305.4M	1.34B	-19.1M	1.49	13.82	N/A	N/A	43,102	64,293	400,015	785,382
2018-01-26	$123.53	$126.00	10.2%	3.1%	9.0%	27.0%	10.7%	1.0%	0.2%	-130.9M	1.78B	-20.2M	1.24	10.41	N/A	N/A	58,861	72,787	416,595	809,484
2018-01-29	$122.77	$126.00	11.2%	3.3%	9.2%	46.5%	11.3%	1.7%	0.1%	-388.1M	2.37B	-20.4M	1.66	10.92	N/A	N/A	27,770	46,179	405,871	744,338
2018-01-30	$122.07	$125.00	11.6%	3.4%	9.2%	54.0%	12.1%	1.7%	0.1%	-440.2M	2.82B	-19.5M	1.65	10.99	N/A	N/A	34,352	56,730	403,706	739,079
2018-01-31	$122.78	$125.00	11.3%	3.2%	8.9%	47.9%	11.3%	2.5%	0.4%	-405.9M	2.33B	-20.0M	1.49	31.00	N/A	N/A	28,300	42,258	419,275	753,022