TLT Options History — May 2018

In May 2018, TLT traded between $116.18 and $122.16. ATM implied volatility averaged 9.4%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 0.3% (HV 20d: 9.1%). Max pain ranged from $120.00 to $120.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.89.

Notable Days

2018-05-29: Highest Volume — 293,693 contracts
2018-05-29: Largest IV spike — 28.5% change
2018-05-29: Highest IV Rank — 38.3%
2018-05-29: Largest Expected Move — 3.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$118.67	$116.18	$122.16	$118.53	$121.51
Max Pain	$120.00	$120.00	$120.00	$120.00	$120.00
ATM IV	9.4%	8.5%	11.2%	9.6%	10.0%
Expected Move	2.7%	2.4%	3.4%	2.7%	2.9%
HV 20d	9.1%	8.0%	11.6%	9.0%	11.5%
HV 60d	8.9%	8.6%	9.7%	9.2%	9.7%
IV Rank	12.9%	0.1%	38.3%	16.4%	21.3%
IV Percentile	27.9%	0.4%	91.3%	37.3%	63.1%
Term Structure	-0.1%	-0.3%	0.1%	-0.3%	-0.2%
VWIV	9.6%	8.6%	12.1%	9.9%	10.7%
Skew 25d	0.4%	-0.5%	0.8%	0.7%	-0.3%
Skew 10d	1.1%	-0.5%	2.2%	2.2%	-0.5%
Call IV 25d	9.4%	8.4%	11.5%	9.3%	10.3%
Put IV 25d	9.8%	8.7%	11.1%	10.1%	10.0%
Bid-Ask Spread %	10.42	4.27	19.92	5.58	5.09
Gamma HHI	0.07	0.07	0.11	0.07	0.07
Net GEX	32.2M	-280.0M	319.3M	-65.0M	254.0M
Net DEX	722.5M	-2.39B	2.93B	1.29B	-1.58B
Net VEX	-24.4M	-25.9M	-22.8M	-24.2M	-25.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.30	1.54	1.28	0.68
Total Volume	115,471.364	39,467	293,693	57,463	130,384
Total OI	1,449,178.727	1,323,116	1,626,246	1,323,116	1,479,060

Daily Data (22 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
2018-05-01	$118.53	$120.00	9.6%	2.7%	9.0%	16.4%	9.9%	0.7%	-0.3%	-65.0M	1.29B	-24.2M	1.28	5.58	N/A	N/A	25,229	32,234	650,453	672,663
2018-05-02	$118.31	$120.00	9.6%	2.7%	9.0%	15.4%	9.6%	0.8%	-0.3%	-68.5M	1.27B	-24.1M	1.23	19.92	N/A	N/A	31,919	39,259	662,927	666,353
2018-05-03	$118.88	$120.00	9.3%	2.6%	8.9%	12.0%	9.3%	0.4%	-0.3%	-14.2M	721.8M	-24.2M	1.54	5.30	N/A	N/A	26,536	40,920	671,323	673,865
2018-05-04	$119.02	$120.00	8.8%	2.5%	8.1%	4.3%	9.1%	0.4%	-0.3%	64.4M	440.9M	-25.7M	0.30	4.27	N/A	N/A	153,498	46,479	759,134	683,437
2018-05-07	$118.84	$120.00	8.7%	2.5%	8.1%	3.6%	9.3%	0.7%	0.1%	59.7M	599.8M	-24.7M	0.46	8.90	N/A	N/A	72,499	33,342	755,004	665,474
2018-05-08	$118.72	$120.00	9.2%	2.6%	8.1%	10.0%	9.3%	0.8%	-0.1%	37.6M	750.7M	-24.7M	0.51	10.29	N/A	N/A	86,398	43,972	761,512	675,002
2018-05-09	$118.03	$120.00	9.3%	2.7%	8.0%	11.6%	9.7%	0.7%	0.1%	-69.0M	1.46B	-24.5M	0.68	12.48	N/A	N/A	86,205	58,650	782,266	689,946
2018-05-10	$118.89	$120.00	8.7%	2.5%	8.3%	3.6%	9.1%	0.5%	0.1%	95.3M	635.0M	-24.6M	0.59	11.13	N/A	N/A	86,536	50,689	786,562	698,978
2018-05-11	$119.27	$120.00	8.5%	2.4%	8.4%	0.1%	8.7%	0.5%	0.0%	141.5M	236.8M	-24.9M	0.40	17.46	N/A	N/A	102,111	40,745	793,812	716,583
2018-05-14	$118.74	$120.00	8.7%	2.5%	8.5%	2.8%	8.9%	0.7%	-0.0%	25.8M	853.1M	-24.2M	1.36	9.91	N/A	N/A	28,866	39,387	770,144	696,829
2018-05-15	$117.18	$120.00	9.6%	2.8%	9.3%	16.3%	9.7%	0.6%	-0.1%	-173.7M	2.29B	-22.8M	0.91	16.12	N/A	N/A	119,349	108,541	782,919	707,818
2018-05-16	$116.85	$120.00	9.9%	2.8%	9.1%	20.8%	9.9%	0.7%	-0.2%	-182.3M	2.42B	-23.5M	1.21	9.18	N/A	N/A	37,182	44,978	842,408	731,174
2018-05-17	$116.18	$120.00	10.0%	2.9%	8.7%	21.9%	10.1%	0.8%	0.1%	-280.0M	2.93B	-23.5M	1.27	13.26	N/A	N/A	35,943	45,569	871,293	732,847
2018-05-18	$117.19	$120.00	9.5%	2.7%	9.2%	14.6%	9.5%	0.7%	0.1%	-96.0M	2.10B	-24.5M	1.18	9.80	N/A	N/A	50,954	60,338	883,731	742,515
2018-05-21	$117.32	$120.00	9.6%	2.8%	9.2%	15.9%	9.8%	0.3%	0.1%	-210.2K	1.27B	-23.9M	0.88	7.28	N/A	N/A	20,981	18,486	755,581	638,580
2018-05-22	$117.11	$120.00	9.4%	2.7%	9.0%	12.7%	9.5%	0.6%	-0.1%	-14.3M	1.43B	-23.2M	1.23	10.23	N/A	N/A	20,468	25,148	762,067	640,604
2018-05-23	$117.91	$120.00	9.2%	2.6%	9.1%	10.2%	9.1%	0.3%	-0.0%	89.6M	790.7M	-24.0M	0.50	9.70	N/A	N/A	77,097	38,778	769,754	645,765
2018-05-24	$118.81	$120.00	8.8%	2.5%	9.2%	3.8%	8.6%	0.0%	0.1%	143.2M	238.9M	-23.7M	0.71	7.67	N/A	N/A	49,013	34,796	736,893	659,592
2018-05-25	$119.78	$120.00	8.7%	2.4%	9.3%	2.8%	8.7%	0.0%	0.0%	227.2M	-439.2M	-24.4M	0.61	12.45	N/A	N/A	66,641	40,746	742,986	669,280
2018-05-29	$122.16	$120.00	11.2%	3.4%	11.5%	38.3%	12.1%	-0.4%	-0.2%	319.3M	-2.39B	-25.6M	1.23	16.59	N/A	N/A	131,789	161,904	739,596	653,750
2018-05-30	$121.44	$120.00	10.3%	3.1%	11.6%	25.4%	11.0%	-0.5%	-0.1%	215.1M	-1.43B	-25.9M	0.84	6.76	N/A	N/A	51,932	43,879	737,062	724,390
2018-05-31	$121.51	$120.00	10.0%	2.9%	11.5%	21.3%	10.7%	-0.3%	-0.2%	254.0M	-1.58B	-25.9M	0.68	5.09	N/A	N/A	77,579	52,805	754,100	724,960