TLT Options History — July 2018

In July 2018, TLT traded between $119.10 and $122.78. ATM implied volatility averaged 8.8%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 1.5% (HV 20d: 7.3%). Max pain ranged from $120.00 to $121.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2018-07-23: Highest Volume — 138,196 contracts
  • 2018-07-23: Largest IV spike — 8.5% change
  • 2018-07-23: Highest IV Rank — 19.9%
  • 2018-07-23: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.17$119.10$122.78$121.42$119.70
Max Pain$120.76$120.00$121.00$121.00$120.00
ATM IV8.8%8.2%9.6%8.8%8.8%
Expected Move2.5%2.3%2.8%2.4%2.4%
HV 20d7.3%6.1%8.7%7.7%8.4%
HV 60d9.5%9.1%9.7%9.5%9.6%
IV Rank7.4%0.0%19.9%5.1%8.6%
IV Percentile11.9%0.0%46.4%7.5%7.1%
Term Structure0.0%-0.1%0.3%-0.1%0.1%
VWIV8.9%8.2%9.8%8.7%8.8%
Skew 25d0.2%-0.1%0.5%0.1%0.3%
Skew 10d0.4%-0.3%1.3%-0.0%1.1%
Call IV 25d8.9%8.2%9.7%8.9%8.8%
Put IV 25d9.1%8.4%10.0%9.0%9.1%
Bid-Ask Spread %5.042.7311.495.737.94
Gamma HHI0.110.070.570.070.08
Net GEX151.4M-217.3M1.24B200.9M-109.5M
Net DEX-209.8M-1.80B1.42B-603.0M893.3M
Net VEX-20.6M-22.4M-19.0M-22.4M-19.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.602.801.270.89
Total Volume70,59141,370138,19671,34363,751
Total OI1,224,588.9521,087,5311,343,9761,182,9831,185,011

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$121.42$121.008.8%2.4%7.7%5.1%8.7%0.1%-0.1%200.9M-603.0M-22.4M1.275.73N/AN/A31,36739,976593,392589,591
2018-07-03$122.00$121.009.1%2.5%7.8%8.6%8.7%-0.1%-0.1%286.3M-1.10B-22.4M0.8711.49N/AN/A22,09019,280603,083608,168
2018-07-05$122.34$120.009.2%2.6%6.8%10.8%9.3%0.0%-0.1%362.8M-1.45B-21.9M0.975.48N/AN/A33,10532,252605,584614,067
2018-07-06$122.71$120.008.9%2.5%6.4%6.0%9.0%-0.1%-0.0%453.2M-1.80B-22.1M1.065.08N/AN/A33,86835,847618,615642,402
2018-07-09$122.06$120.008.9%2.5%6.8%5.5%9.0%0.1%-0.1%193.9M-843.1M-21.6M2.805.77N/AN/A18,93552,928586,934616,369
2018-07-10$121.97$120.008.8%2.5%6.6%4.2%8.9%0.1%-0.0%128.1M-691.3M-21.7M0.965.87N/AN/A28,52627,520588,305650,237
2018-07-11$122.41$121.008.9%2.6%6.7%5.8%9.1%0.1%0.1%206.6M-1.09B-21.5M1.224.21N/AN/A24,32729,786596,021660,507
2018-07-12$122.38$121.008.3%2.4%6.6%0.0%8.5%0.0%0.3%201.1M-1.04B-21.3M0.703.54N/AN/A35,75925,183609,926670,669
2018-07-13$122.78$121.008.3%2.4%6.1%0.7%8.5%0.1%0.1%255.6M-1.49B-20.9M0.753.34N/AN/A36,12927,178616,391673,455
2018-07-16$122.13$121.008.4%2.4%6.5%1.7%8.5%0.0%0.0%117.3M-829.9M-20.4M1.645.20N/AN/A21,41535,151598,486661,758
2018-07-17$121.95$121.008.2%2.4%6.5%0.0%8.2%0.1%0.3%23.1M-547.4M-20.3M1.293.38N/AN/A19,07724,677605,504674,165
2018-07-18$121.43$121.008.2%2.3%6.5%0.0%8.3%0.2%-0.0%-98.5M-11.7M-20.2M1.262.73N/AN/A20,52025,849621,980680,375
2018-07-19$122.13$121.008.3%2.4%6.1%2.5%8.6%-0.0%0.1%80.1M-819.2M-20.2M1.053.25N/AN/A32,95434,660630,752680,657
2018-07-20$120.80$121.008.9%2.5%7.2%9.6%9.0%0.3%0.2%-217.3M703.3M-20.1M1.413.61N/AN/A50,69771,592646,249697,727
2018-07-23$119.23$121.009.6%2.8%8.6%19.9%9.8%0.4%-0.1%-119.4M1.24B-19.4M0.754.28N/AN/A78,85459,342548,076539,455
2018-07-24$119.75$121.009.3%2.6%8.7%15.2%9.2%0.3%-0.0%36.6M653.4M-19.6M1.253.89N/AN/A30,35138,032585,195537,256
2018-07-25$119.62$121.009.1%2.5%8.7%12.4%9.0%0.2%-0.0%54.0M741.9M-19.3M0.917.15N/AN/A26,58924,254596,098548,136
2018-07-26$119.21$121.009.4%2.7%8.0%17.0%9.4%0.5%-0.1%50.0M1.29B-19.5M0.835.99N/AN/A39,29032,640597,736583,998
2018-07-27$119.47$121.008.8%2.5%8.1%8.8%8.8%0.5%0.0%1.24B978.7M-19.5M0.603.52N/AN/A69,85542,137611,375586,330
2018-07-30$119.10$121.009.2%2.7%8.1%13.9%9.5%0.4%0.2%-169.2M1.42B-19.0M0.814.39N/AN/A47,93338,735577,445578,888
2018-07-31$119.70$120.008.8%2.4%8.4%8.6%8.8%0.3%0.1%-109.5M893.3M-19.4M0.897.94N/AN/A33,74230,009595,968589,043