TLT Options History — September 2018

In September 2018, TLT traded between $116.58 and $120.14. ATM implied volatility averaged 8.8%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 1.2% (HV 20d: 7.6%). Max pain ranged from $119.00 to $121.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.93.

Notable Days

  • 2018-09-18: Highest Volume — 151,650 contracts
  • 2018-09-26: Largest IV drop — 7.7% change
  • 2018-09-25: Highest IV Rank — 19.9%
  • 2018-09-25: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.21$116.58$120.14$119.89$117.40
Max Pain$120.21$119.00$121.00$121.00$119.00
ATM IV8.8%8.2%9.4%8.9%8.6%
Expected Move2.5%2.3%2.7%2.5%2.4%
HV 20d7.6%7.2%7.9%7.7%7.7%
HV 60d7.9%7.6%8.1%7.7%7.9%
IV Rank11.4%3.3%19.9%13.7%8.7%
IV Percentile18.3%0.8%45.2%22.2%9.5%
Term Structure-0.0%-0.2%0.3%-0.2%0.2%
VWIV8.9%8.2%9.5%8.9%8.6%
Skew 25d0.3%-0.1%0.8%-0.1%0.4%
Skew 10d0.7%-0.3%2.0%-0.2%1.6%
Call IV 25d8.8%8.3%9.2%9.2%8.5%
Put IV 25d9.1%8.4%9.9%9.1%8.9%
Bid-Ask Spread %5.532.9411.204.238.31
Gamma HHI0.110.080.230.090.08
Net GEX-180.8M-293.7M-26.6M-112.0M-84.9M
Net DEX1.72B868.4M3.16B1.11B1.55B
Net VEX-17.4M-18.7M-15.7M-18.5M-18.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.471.501.260.77
Total Volume77,079.26340,103151,65053,70277,418
Total OI1,249,298.3681,098,1911,443,0171,209,5981,205,440

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$119.89$121.008.9%2.5%7.7%13.7%8.9%-0.1%-0.2%-112.0M1.11B-18.5M1.264.23N/AN/A23,72029,982617,806591,792
2018-09-05$119.68$121.009.0%2.5%7.4%14.0%8.7%0.1%-0.2%-147.6M1.27B-18.3M1.494.25N/AN/A22,55833,629622,952597,868
2018-09-06$120.14$121.008.9%2.5%7.5%13.5%9.0%-0.1%-0.1%-69.0M868.4M-18.7M0.858.27N/AN/A26,64622,668634,535604,186
2018-09-07$119.08$121.008.8%2.5%7.6%11.3%8.7%0.1%-0.1%-265.3M1.69B-17.8M1.014.66N/AN/A40,27540,586647,774612,010
2018-09-10$119.48$121.008.6%2.4%7.2%9.3%8.7%0.1%-0.0%-146.5M1.06B-17.6M1.503.02N/AN/A19,36029,061642,361586,689
2018-09-11$118.64$121.008.6%2.4%7.5%8.5%8.5%0.1%-0.1%-207.5M1.66B-17.1M0.822.94N/AN/A41,44433,818649,065588,738
2018-09-12$118.96$120.008.2%2.4%7.6%3.8%8.4%0.0%0.1%-198.3M1.41B-17.1M0.703.79N/AN/A33,36623,247656,421599,591
2018-09-13$119.06$120.008.2%2.3%7.3%3.3%8.2%0.0%-0.1%-224.2M1.28B-17.0M1.023.81N/AN/A19,83620,267661,893595,924
2018-09-14$118.63$120.008.3%2.4%7.4%5.6%8.6%0.3%-0.1%-288.6M1.63B-16.6M0.472.94N/AN/A57,85926,998673,449600,082
2018-09-17$118.62$120.008.5%2.4%7.3%7.7%8.7%0.1%-0.2%-228.2M1.57B-16.7M0.743.16N/AN/A35,54026,451669,025598,520
2018-09-18$117.19$120.008.8%2.5%7.7%12.3%9.1%0.1%-0.1%-271.0M2.63B-15.7M1.415.45N/AN/A63,05588,595676,607610,026
2018-09-19$116.58$120.009.2%2.6%7.8%17.5%9.5%0.7%-0.1%-293.7M3.16B-16.3M1.385.14N/AN/A62,89886,546713,775660,584
2018-09-20$117.09$120.009.0%2.6%7.9%14.8%9.3%0.8%0.1%-240.7M2.43B-17.2M0.909.45N/AN/A50,80345,714752,761653,464
2018-09-21$117.14$120.009.0%2.6%7.7%15.2%9.1%0.8%-0.1%-287.7M2.34B-17.7M0.784.57N/AN/A52,47240,702776,795666,222
2018-09-24$116.90$120.009.1%2.6%7.6%15.4%9.2%0.4%0.2%-126.2M1.92B-17.3M0.604.40N/AN/A50,61730,223539,586558,605
2018-09-25$116.69$120.009.4%2.7%7.5%19.9%9.5%0.7%0.1%-142.6M2.05B-17.2M0.5710.16N/AN/A42,44824,209557,228569,473
2018-09-26$117.31$120.008.7%2.5%7.8%10.4%8.6%0.6%0.2%-74.0M1.65B-17.6M0.6011.20N/AN/A41,99625,322586,177580,277
2018-09-27$117.56$119.008.7%2.5%7.9%10.7%8.9%0.4%0.3%-26.6M1.41B-17.8M0.745.38N/AN/A42,61231,565596,286582,682
2018-09-28$117.40$119.008.6%2.4%7.7%8.7%8.6%0.4%0.2%-84.9M1.55B-18.1M0.778.31N/AN/A43,78333,635614,519590,921