TLT Options History — June 2018

In June 2018, TLT traded between $118.68 and $122.04. ATM implied volatility averaged 9.1%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded below realized volatility by 2.2% (HV 20d: 11.3%). Max pain ranged from $119.00 to $121.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.46.

Notable Days

  • 2018-06-21: Highest Volume — 155,451 contracts
  • 2018-06-25: Largest IV spike — 5.4% change
  • 2018-06-11: Highest IV Rank — 20.4%
  • 2018-06-11: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.27$118.68$122.04$120.32$121.75
Max Pain$119.29$119.00$121.00$121.00$120.00
ATM IV9.1%8.6%9.9%9.4%8.6%
Expected Move2.6%2.4%2.8%2.7%2.4%
HV 20d11.3%8.1%12.9%12.1%8.1%
HV 60d9.9%9.7%10.0%9.9%9.7%
IV Rank8.8%2.0%20.4%13.6%2.0%
IV Percentile16.3%0.8%61.1%23.8%0.8%
Term Structure0.1%-0.1%0.5%0.1%0.4%
VWIV9.3%8.6%10.2%9.5%8.6%
Skew 25d0.1%-0.4%0.5%-0.0%-0.2%
Skew 10d0.3%-0.6%1.0%-0.2%-0.6%
Call IV 25d9.2%8.6%10.0%9.6%8.6%
Put IV 25d9.3%8.4%10.3%9.6%8.4%
Bid-Ask Spread %6.413.6615.125.717.45
Gamma HHI0.080.060.100.070.10
Net GEX75.0M-141.3M319.8M47.1M251.7M
Net DEX-242.6M-1.55B1.50B-109.0M-1.23B
Net VEX-23.5M-25.7M-22.0M-25.7M-22.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.193.452.200.96
Total Volume90,840.8148,588155,451102,132136,818
Total OI1,378,678.191,144,5351,628,5021,497,7811,252,606

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$120.32$121.009.4%2.7%12.1%13.6%9.5%-0.0%0.1%47.1M-109.0M-25.7M2.205.71N/AN/A31,88770,245744,036753,745
2018-06-04$119.50$119.009.2%2.6%12.4%10.2%9.4%0.1%-0.0%10.1M590.1M-24.6M1.445.76N/AN/A27,45239,447735,050724,652
2018-06-05$119.78$119.009.1%2.6%12.4%8.1%9.4%0.0%-0.1%39.0M306.0M-24.8M1.245.15N/AN/A22,91128,332744,646732,985
2018-06-06$118.68$119.009.3%2.6%12.8%10.9%9.3%0.5%-0.0%-124.3M1.50B-23.8M3.454.85N/AN/A33,850116,940754,861745,130
2018-06-07$119.66$119.009.4%2.7%12.9%13.6%9.6%0.2%-0.1%-57.6M501.0M-24.5M1.7410.01N/AN/A42,63374,199765,531785,294
2018-06-08$119.63$119.009.7%2.8%12.7%17.3%9.8%0.2%-0.1%-141.3M529.9M-24.8M2.057.26N/AN/A31,88265,489778,736828,170
2018-06-11$119.25$119.009.9%2.8%12.7%20.4%10.2%0.4%0.0%-107.9M703.1M-24.2M1.687.17N/AN/A27,06645,424764,474794,831
2018-06-12$119.37$119.009.7%2.8%12.6%17.6%9.8%0.3%0.2%-73.3M534.3M-23.9M2.136.13N/AN/A18,03938,380776,016803,622
2018-06-13$119.17$119.009.3%2.7%11.6%12.0%9.4%0.3%0.0%-114.1M819.3M-23.7M1.9415.12N/AN/A21,04040,748780,483812,066
2018-06-14$120.19$119.008.9%2.5%11.8%5.7%9.2%0.1%-0.1%154.4M-555.1M-23.3M1.065.01N/AN/A42,69645,092787,786818,098
2018-06-15$120.41$119.008.8%2.5%11.5%3.7%9.0%0.3%0.1%264.2M-1.01B-23.6M0.653.66N/AN/A64,25842,064801,972826,530
2018-06-18$120.26$119.008.8%2.5%11.3%4.9%9.1%0.2%-0.0%144.2M-605.4M-23.2M2.255.13N/AN/A19,39843,657608,236550,070
2018-06-19$120.90$119.009.1%2.6%11.4%8.6%9.3%0.1%0.1%191.0M-1.02B-23.5M2.014.95N/AN/A25,11750,552615,632565,386
2018-06-20$119.98$119.008.8%2.5%11.8%3.8%8.9%-0.0%0.1%50.4M-325.7M-23.1M1.465.80N/AN/A19,72928,859619,981586,734
2018-06-21$120.57$119.008.8%2.5%11.7%4.8%9.0%0.1%0.1%110.8M-719.0M-23.2M0.196.99N/AN/A131,04524,406621,824591,464
2018-06-22$120.54$119.008.6%2.5%11.4%2.1%8.7%-0.1%0.0%83.4M-560.7M-22.6M0.284.71N/AN/A79,04821,881605,603597,530
2018-06-25$120.77$119.009.1%2.6%11.1%8.8%9.3%-0.1%0.5%124.1M-673.0M-22.3M0.497.26N/AN/A55,01426,854588,385556,150
2018-06-26$120.91$120.008.8%2.5%8.5%4.6%8.8%-0.3%0.2%120.0M-708.6M-22.2M0.294.77N/AN/A47,03313,691599,244569,399
2018-06-27$121.99$120.008.9%2.6%8.8%5.4%9.0%-0.2%0.4%284.0M-1.51B-22.0M0.655.86N/AN/A64,77142,231598,566569,988
2018-06-28$122.04$120.008.9%2.5%8.8%6.7%9.1%-0.4%0.2%319.8M-1.55B-22.3M2.455.85N/AN/A31,13376,346617,237579,493
2018-06-29$121.75$120.008.6%2.4%8.1%2.0%8.6%-0.2%0.4%251.7M-1.23B-22.3M0.967.45N/AN/A69,88066,938627,698624,908