TLT Options History — August 2018

In August 2018, TLT traded between $118.54 and $122.24. ATM implied volatility averaged 8.6%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 0.3% (HV 20d: 8.3%). Max pain ranged from $120.00 to $121.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.10.

Notable Days

2018-08-10: Highest Volume — 166,271 contracts
2018-08-24: Largest IV drop — 6.2% change
2018-08-15: Highest IV Rank — 13.0%
2018-08-15: Largest Expected Move — 2.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$120.51	$118.54	$122.24	$118.54	$120.93
Max Pain	$120.30	$120.00	$121.00	$120.00	$121.00
ATM IV	8.6%	7.9%	9.1%	9.1%	8.3%
Expected Move	2.4%	2.2%	2.6%	2.6%	2.3%
HV 20d	8.3%	6.8%	9.7%	8.7%	6.9%
HV 60d	8.9%	7.5%	9.8%	9.8%	7.5%
IV Rank	6.4%	0.0%	13.0%	12.3%	5.9%
IV Percentile	6.5%	0.0%	25.8%	17.5%	3.2%
Term Structure	0.1%	-0.1%	0.7%	0.1%	0.7%
VWIV	8.6%	7.8%	9.2%	9.0%	8.0%
Skew 25d	-0.1%	-0.8%	0.7%	0.7%	-0.6%
Skew 10d	-0.2%	-1.8%	1.2%	1.1%	-0.8%
Call IV 25d	8.8%	8.1%	9.7%	8.9%	8.7%
Put IV 25d	8.6%	7.8%	9.6%	9.6%	8.1%
Bid-Ask Spread %	6.71	3.29	16.67	16.67	6.24
Gamma HHI	0.11	0.07	0.20	0.09	0.09
Net GEX	84.9M	-227.6M	485.1M	-211.5M	-74.7M
Net DEX	-9.3M	-1.41B	1.60B	1.60B	347.7M
Net VEX	-19.5M	-20.5M	-18.6M	-19.2M	-19.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.10	0.54	2.40	1.75	1.23
Total Volume	74,483.043	41,391	166,271	90,343	81,123
Total OI	1,252,476.13	1,128,480	1,332,477	1,205,594	1,284,715

Daily Data (23 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
2018-08-01	$118.54	$120.00	9.1%	2.6%	8.7%	12.3%	9.0%	0.7%	0.1%	-211.5M	1.60B	-19.2M	1.75	16.67	N/A	N/A	32,807	57,536	607,001	598,593
2018-08-02	$118.67	$120.00	9.0%	2.5%	8.6%	11.9%	9.2%	0.4%	0.1%	-179.3M	1.40B	-19.1M	0.65	3.47	N/A	N/A	41,307	26,899	618,530	594,065
2018-08-03	$119.22	$120.00	8.6%	2.3%	8.7%	6.1%	8.2%	0.5%	0.2%	-68.6M	879.7M	-19.5M	1.56	3.29	N/A	N/A	30,807	47,907	632,760	599,765
2018-08-06	$119.31	$120.00	8.6%	2.5%	8.6%	6.2%	8.9%	0.5%	0.0%	-95.7M	815.9M	-19.1M	2.10	4.94	N/A	N/A	25,490	53,654	616,037	581,141
2018-08-07	$118.68	$120.00	8.5%	2.5%	8.7%	5.2%	8.9%	0.6%	0.1%	-224.5M	1.54B	-18.9M	1.46	4.93	N/A	N/A	23,728	34,725	623,129	607,078
2018-08-08	$118.76	$120.00	8.4%	2.4%	8.6%	3.8%	8.8%	0.6%	0.0%	-227.6M	1.50B	-18.6M	0.97	6.90	N/A	N/A	40,961	39,811	627,974	610,487
2018-08-09	$119.78	$120.00	8.3%	2.4%	9.3%	1.5%	8.7%	0.5%	-0.0%	-46.5M	433.2M	-19.2M	1.05	6.16	N/A	N/A	43,082	45,116	643,344	616,095
2018-08-10	$120.68	$120.00	8.6%	2.5%	9.7%	6.5%	8.7%	-0.5%	0.1%	117.8M	-743.0M	-20.2M	0.97	12.91	N/A	N/A	84,579	81,692	668,611	634,555
2018-08-13	$120.35	$120.00	8.6%	2.5%	9.6%	6.8%	8.8%	-0.5%	0.2%	99.0M	-133.0M	-20.5M	0.78	6.51	N/A	N/A	26,770	20,936	672,768	636,065
2018-08-14	$120.15	$120.00	8.7%	2.4%	9.6%	7.0%	8.9%	-0.4%	-0.1%	56.3M	-23.5M	-19.5M	0.86	10.98	N/A	N/A	27,048	23,279	677,701	619,773
2018-08-15	$120.81	$120.00	9.1%	2.6%	9.7%	13.0%	9.2%	-0.6%	0.1%	233.2M	-770.9M	-19.9M	0.71	4.02	N/A	N/A	33,846	23,999	685,747	624,006
2018-08-16	$120.78	$120.00	8.7%	2.5%	9.4%	7.3%	8.6%	-0.6%	0.0%	239.3M	-743.1M	-19.2M	1.41	5.85	N/A	N/A	23,844	33,549	688,174	625,914
2018-08-17	$120.92	$120.00	8.6%	2.5%	8.6%	6.2%	8.9%	-0.8%	0.0%	210.0M	-818.6M	-19.2M	0.74	5.17	N/A	N/A	49,647	36,607	695,438	637,039
2018-08-20	$121.78	$120.00	8.9%	2.5%	7.4%	10.2%	9.0%	-0.6%	0.0%	318.0M	-1.29B	-19.2M	0.66	8.86	N/A	N/A	58,670	38,495	611,743	516,737
2018-08-21	$121.37	$120.00	8.4%	2.4%	7.5%	3.8%	8.8%	-0.6%	0.2%	316.5M	-773.9M	-19.6M	0.61	5.33	N/A	N/A	54,199	32,850	642,606	546,513
2018-08-22	$121.79	$120.00	8.6%	2.5%	7.5%	5.6%	8.9%	-0.5%	0.1%	388.1M	-1.05B	-19.7M	0.82	11.80	N/A	N/A	46,138	37,696	655,291	563,821
2018-08-23	$122.11	$121.00	8.4%	2.4%	7.4%	3.5%	8.4%	-0.5%	0.1%	485.1M	-1.24B	-20.0M	0.54	5.93	N/A	N/A	48,142	26,106	670,335	585,796
2018-08-24	$122.24	$121.00	7.9%	2.2%	7.4%	0.0%	7.8%	-0.3%	0.3%	261.7M	-1.41B	-19.7M	0.85	4.06	N/A	N/A	32,749	27,748	683,516	596,351
2018-08-27	$121.59	$121.00	8.1%	2.3%	7.6%	3.1%	8.1%	-0.2%	0.3%	202.7M	-374.3M	-19.3M	2.40	3.76	N/A	N/A	22,277	53,426	647,673	570,133
2018-08-28	$120.88	$121.00	8.4%	2.3%	7.8%	6.4%	8.4%	-0.0%	0.4%	13.9M	373.4M	-19.4M	1.20	6.14	N/A	N/A	27,659	33,272	654,261	594,616
2018-08-29	$120.93	$121.00	8.4%	2.3%	6.8%	6.8%	8.4%	-0.1%	0.2%	6.3M	309.3M	-19.6M	1.15	5.39	N/A	N/A	19,227	22,164	666,346	598,230
2018-08-30	$121.36	$121.00	8.4%	2.3%	6.8%	6.9%	8.3%	-0.3%	0.3%	132.6M	-41.1M	-19.5M	0.80	4.92	N/A	N/A	23,134	18,409	669,885	606,593
2018-08-31	$120.93	$121.00	8.3%	2.3%	6.9%	5.9%	8.0%	-0.6%	0.7%	-74.7M	347.7M	-19.3M	1.23	6.24	N/A	N/A	36,359	44,764	673,861	610,854