TLT Options History — February 2018

In February 2018, TLT traded between $116.75 and $120.71. ATM implied volatility averaged 12.2%, placing in the 56.0% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.8% (HV 20d: 11.4%). Max pain ranged from $124.00 to $125.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.31.

Notable Days

2018-02-02: Highest Volume — 314,242 contracts
2018-02-09: Largest IV spike — 13.6% change
2018-02-09: Highest IV Rank — 100.0%
2018-02-09: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$118.60	$116.75	$120.71	$120.66	$118.79
Max Pain	$124.68	$124.00	$125.00	$125.00	$124.00
ATM IV	12.2%	10.6%	15.4%	12.2%	10.8%
Expected Move	3.5%	3.0%	4.2%	3.5%	3.1%
HV 20d	11.4%	10.4%	12.2%	10.4%	12.2%
HV 60d	10.6%	10.4%	11.0%	10.5%	10.8%
IV Rank	56.0%	27.7%	100.0%	63.9%	29.9%
IV Percentile	87.0%	67.5%	100.0%	89.7%	72.2%
Term Structure	-0.1%	-1.5%	1.2%	-0.3%	0.1%
VWIV	12.2%	10.6%	14.9%	12.2%	11.1%
Skew 25d	0.6%	0.1%	1.5%	1.5%	0.1%
Skew 10d	0.8%	-0.4%	2.3%	2.3%	0.1%
Call IV 25d	12.1%	10.5%	15.5%	11.5%	10.9%
Put IV 25d	12.7%	11.0%	16.1%	13.0%	11.0%
Bid-Ask Spread %	18.53	9.24	51.32	23.71	15.04
Gamma HHI	0.10	0.08	0.13	0.11	0.08
Net GEX	-322.5M	-561.8M	-128.9M	-497.1M	-148.5M
Net DEX	3.56B	2.15B	4.60B	3.44B	2.15B
Net VEX	-19.6M	-22.5M	-18.0M	-19.4M	-22.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.57	3.90	2.23	0.67
Total Volume	121,698.368	64,869	314,242	136,970	101,724
Total OI	1,235,799.579	1,067,715	1,342,131	1,188,762	1,309,289

Daily Data (19 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
2018-02-01	$120.66	$125.00	12.2%	3.5%	10.4%	63.9%	12.2%	1.5%	-0.3%	-497.1M	3.44B	-19.4M	2.23	23.71	N/A	N/A	42,411	94,559	426,567	762,195
2018-02-02	$119.59	$125.00	12.5%	3.5%	10.6%	71.0%	12.1%	1.2%	-0.0%	-561.8M	4.33B	-19.1M	3.90	19.24	N/A	N/A	64,072	250,170	445,716	791,526
2018-02-05	$120.71	$125.00	13.3%	3.7%	11.4%	84.5%	13.1%	1.3%	-0.1%	-382.7M	3.06B	-19.7M	1.26	51.32	N/A	N/A	72,875	91,594	432,728	731,034
2018-02-06	$120.03	$125.00	12.5%	3.5%	11.5%	70.7%	12.3%	0.2%	-0.7%	-378.8M	3.30B	-19.7M	1.36	23.68	N/A	N/A	27,536	37,333	460,074	742,385
2018-02-07	$118.85	$125.00	13.3%	3.6%	11.0%	85.4%	12.8%	0.4%	-0.9%	-388.9M	4.13B	-18.8M	1.03	17.91	N/A	N/A	40,895	42,227	461,768	740,371
2018-02-08	$118.70	$125.00	13.6%	4.2%	11.0%	91.1%	14.9%	0.1%	0.3%	-372.5M	4.10B	-19.2M	1.35	23.55	N/A	N/A	49,268	66,709	474,992	748,826
2018-02-09	$117.92	$125.00	15.4%	4.2%	10.8%	100.0%	14.5%	0.6%	-1.5%	-374.0M	4.49B	-18.8M	0.79	25.17	N/A	N/A	74,190	58,447	493,041	757,529
2018-02-12	$118.49	$125.00	13.7%	3.9%	11.0%	73.9%	13.4%	0.7%	1.2%	-345.4M	4.06B	-19.3M	0.81	19.77	N/A	N/A	37,438	30,438	496,664	762,375
2018-02-13	$118.92	$125.00	12.2%	3.5%	11.0%	51.2%	12.3%	0.5%	0.1%	-352.9M	3.73B	-19.5M	0.83	13.77	N/A	N/A	48,584	40,497	514,446	764,632
2018-02-14	$117.72	$125.00	12.1%	3.5%	11.3%	50.3%	12.2%	0.7%	0.6%	-382.9M	4.60B	-18.3M	1.43	14.75	N/A	N/A	52,395	74,683	540,507	776,223
2018-02-15	$118.11	$125.00	11.6%	3.3%	11.3%	42.8%	11.8%	0.9%	0.2%	-375.0M	4.11B	-18.6M	1.76	9.24	N/A	N/A	25,772	45,364	548,075	771,276
2018-02-16	$118.72	$125.00	10.6%	3.0%	11.5%	27.7%	10.6%	0.8%	0.4%	-217.3M	3.70B	-18.8M	0.81	16.22	N/A	N/A	50,230	40,848	554,445	787,686
2018-02-20	$118.16	$125.00	11.3%	3.3%	11.5%	38.1%	11.2%	0.1%	-0.2%	-245.4M	3.00B	-18.4M	0.92	16.02	N/A	N/A	49,991	46,232	434,977	632,738
2018-02-21	$116.75	$124.00	12.0%	3.4%	11.8%	48.2%	11.8%	0.1%	-0.2%	-266.3M	3.75B	-18.0M	1.71	19.60	N/A	N/A	50,482	86,258	466,576	658,499
2018-02-22	$117.03	$124.00	11.2%	3.4%	11.9%	36.8%	11.6%	0.6%	-0.2%	-284.7M	3.64B	-18.9M	1.84	9.28	N/A	N/A	79,326	146,129	492,206	692,955
2018-02-23	$118.08	$124.00	10.7%	3.1%	11.9%	29.7%	10.9%	0.2%	-0.2%	-128.9M	2.65B	-22.2M	0.82	11.81	N/A	N/A	57,781	47,189	548,995	725,925
2018-02-26	$118.15	$124.00	10.8%	3.2%	12.0%	30.9%	11.4%	0.5%	0.1%	-214.2M	2.69B	-21.6M	0.86	11.16	N/A	N/A	48,903	42,285	537,935	713,859
2018-02-27	$118.00	$124.00	11.3%	3.2%	11.9%	38.0%	11.6%	0.2%	-0.1%	-210.5M	2.76B	-22.2M	0.57	10.87	N/A	N/A	62,007	35,427	560,123	721,034
2018-02-28	$118.79	$124.00	10.8%	3.1%	12.2%	29.9%	11.1%	0.1%	0.1%	-148.5M	2.15B	-22.5M	0.67	15.04	N/A	N/A	60,815	40,909	577,186	732,103