TLT Options History — March 2018

In March 2018, TLT traded between $117.89 and $121.93. ATM implied volatility averaged 10.1%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 0.8% (HV 20d: 9.2%). Max pain ranged from $118.00 to $123.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2018-03-29: Highest Volume — 156,326 contracts
  • 2018-03-19: Largest IV spike — 15.2% change
  • 2018-03-01: Highest IV Rank — 37.2%
  • 2018-03-01: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.44$117.89$121.93$119.34$121.93
Max Pain$119.83$118.00$123.00$123.00$120.00
ATM IV10.1%9.1%11.2%11.2%9.6%
Expected Move2.9%2.6%3.2%3.2%2.7%
HV 20d9.2%7.7%12.1%12.1%8.4%
HV 60d10.4%9.8%10.7%10.6%9.9%
IV Rank19.9%5.8%37.2%37.2%13.0%
IV Percentile45.9%6.7%83.7%83.7%30.6%
Term Structure0.1%-0.3%0.7%0.2%0.5%
VWIV10.1%9.1%11.4%11.4%9.7%
Skew 25d0.2%-0.3%0.7%-0.3%-0.2%
Skew 10d0.3%-0.3%0.8%0.3%-0.2%
Call IV 25d10.1%9.1%11.5%11.5%9.7%
Put IV 25d10.3%9.1%11.3%11.2%9.5%
Bid-Ask Spread %16.559.0726.7926.7923.29
Gamma HHI0.100.070.440.070.44
Net GEX-6.5M-207.3M518.6M-97.7M518.6M
Net DEX867.4M-1.35B2.47B1.55B-1.35B
Net VEX-22.9M-24.2M-21.4M-23.1M-23.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.521.360.720.61
Total Volume92,572.14351,416156,32688,473156,326
Total OI1,288,948.7621,105,3841,492,3801,326,8341,218,056

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$119.34$123.0011.2%3.2%12.1%37.2%11.4%-0.3%0.2%-97.7M1.55B-23.1M0.7226.79N/AN/A51,53336,940586,907739,927
2018-03-02$118.34$123.0011.2%3.2%10.9%35.9%11.0%0.3%0.0%-191.1M2.22B-22.5M0.6316.74N/AN/A56,97536,142590,664740,915
2018-03-05$117.99$119.0011.1%3.1%10.5%34.6%11.0%0.2%0.1%-181.9M2.37B-22.4M0.7413.29N/AN/A36,82427,292596,125721,598
2018-03-06$118.17$119.0010.9%3.1%9.8%31.8%10.8%0.5%0.1%-163.9M2.13B-22.6M1.1415.25N/AN/A26,24729,810612,779725,727
2018-03-07$117.99$120.0011.2%3.1%9.7%36.0%10.7%0.4%-0.3%-171.2M2.31B-22.2M0.8523.22N/AN/A27,74823,668622,595731,940
2018-03-08$118.63$120.0010.7%3.0%9.3%28.5%10.6%0.4%0.4%-109.6M1.84B-22.3M1.3316.82N/AN/A37,52149,994632,377733,945
2018-03-09$117.89$120.009.9%2.8%9.6%17.1%9.9%0.7%-0.1%-207.3M2.47B-21.7M1.009.07N/AN/A49,18849,374644,117756,067
2018-03-12$118.60$120.009.9%2.7%9.5%17.5%9.7%0.3%-0.3%-144.5M1.85B-21.4M0.5313.03N/AN/A63,41633,415620,801735,202
2018-03-13$119.24$118.009.3%2.7%9.6%7.5%9.4%0.5%0.0%-34.6M1.27B-21.5M0.5214.15N/AN/A51,73526,995645,101744,063
2018-03-14$120.16$119.009.1%2.6%9.8%5.8%9.1%-0.1%-0.1%52.6M411.7M-21.9M1.3020.22N/AN/A55,36872,245653,679750,156
2018-03-15$120.24$119.009.3%2.6%9.0%7.8%9.5%0.1%-0.1%81.3M395.2M-22.5M0.9916.84N/AN/A63,21162,553667,252768,885
2018-03-16$119.77$119.009.3%2.7%9.1%8.9%9.5%0.2%0.1%38.1M949.9M-23.2M0.5214.04N/AN/A75,09338,738701,761790,619
2018-03-19$119.43$119.0010.8%3.1%9.1%30.0%10.7%0.5%-0.1%20.9M267.7M-23.3M1.0010.70N/AN/A36,93537,067513,485591,899
2018-03-20$118.98$119.0010.2%2.9%9.0%21.5%10.0%0.4%0.0%-29.2M649.8M-23.0M0.8613.71N/AN/A45,56539,099521,048609,059
2018-03-21$119.10$120.0010.0%2.9%7.7%18.0%10.1%0.4%0.3%-21.2M606.8M-22.9M1.3622.48N/AN/A51,70570,207537,276622,165
2018-03-22$120.25$119.509.5%2.7%8.3%11.6%9.8%-0.0%0.6%102.7M-326.7M-24.0M0.7113.29N/AN/A72,15851,057550,470641,990
2018-03-23$120.17$120.009.5%2.7%7.8%10.9%9.6%-0.2%-0.1%94.7M-183.7M-24.0M0.5822.65N/AN/A67,85439,477544,170658,797
2018-03-26$119.77$120.009.5%2.7%8.0%11.2%9.5%0.2%0.7%17.8M173.3M-24.2M0.829.32N/AN/A29,16323,935537,080632,607
2018-03-27$120.95$120.0010.1%2.8%8.6%19.5%9.9%0.1%0.3%109.0M-538.1M-24.1M0.7618.19N/AN/A37,30028,384535,965641,804
2018-03-28$121.28$120.009.7%2.8%8.3%14.4%9.7%-0.1%0.4%179.5M-832.7M-23.7M1.0114.57N/AN/A37,70038,058550,257648,594
2018-03-29$121.93$120.009.6%2.7%8.4%13.0%9.7%-0.2%0.5%518.6M-1.35B-23.9M0.6123.29N/AN/A97,11759,209559,352658,704