TLT Options History — November 2018

In November 2018, TLT traded between $112.06 and $115.26. ATM implied volatility averaged 9.7%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 2.1% (HV 20d: 7.7%). Max pain ranged from $115.00 to $116.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.02.

Notable Days

2018-11-19: Highest Volume — 260,484 contracts
2018-11-07: Largest IV drop — 14.6% change
2018-11-06: Highest IV Rank — 44.5%
2018-11-02: Largest Expected Move — 3.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$114.02	$112.06	$115.26	$113.44	$115.26
Max Pain	$115.38	$115.00	$116.00	$115.00	$115.00
ATM IV	9.7%	8.5%	11.3%	10.7%	9.1%
Expected Move	2.8%	2.5%	3.4%	3.2%	2.7%
HV 20d	7.7%	6.5%	9.3%	8.9%	6.5%
HV 60d	8.9%	8.7%	9.1%	9.0%	8.7%
IV Rank	24.4%	8.5%	44.5%	37.5%	15.4%
IV Percentile	55.1%	9.1%	91.3%	83.7%	34.1%
Term Structure	0.1%	-0.3%	0.4%	-0.0%	0.1%
VWIV	9.9%	8.8%	11.6%	11.3%	9.4%
Skew 25d	0.4%	-0.2%	1.2%	0.6%	0.1%
Skew 10d	0.8%	-0.5%	1.6%	1.3%	-0.2%
Call IV 25d	9.7%	8.6%	11.0%	10.4%	9.1%
Put IV 25d	10.1%	8.5%	12.1%	11.0%	9.1%
Bid-Ask Spread %	10.71	5.49	22.88	11.95	13.33
Gamma HHI	0.08	0.06	0.13	0.06	0.13
Net GEX	-30.8M	-131.1M	117.1M	-52.9M	1.3M
Net DEX	1.88B	729.7M	3.27B	2.36B	1.03B
Net VEX	-14.7M	-16.9M	-12.9M	-14.7M	-14.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.14	2.13	0.61	1.01
Total Volume	103,638.286	43,556	260,484	63,448	131,511
Total OI	1,521,492.952	1,340,057	1,680,605	1,364,740	1,680,605

Daily Data (21 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
2018-11-01	$113.44	$115.00	10.7%	3.2%	8.9%	37.5%	11.3%	0.6%	-0.0%	-52.9M	2.36B	-14.7M	0.61	11.95	N/A	N/A	39,529	23,919	768,496	596,244
2018-11-02	$112.06	$115.00	10.9%	3.4%	9.3%	40.4%	11.6%	0.7%	0.2%	-116.0M	3.27B	-12.9M	1.62	12.75	N/A	N/A	64,026	103,979	778,525	597,542
2018-11-05	$112.46	$116.00	11.2%	3.1%	9.3%	43.3%	10.9%	1.0%	-0.2%	-95.1M	2.94B	-13.9M	0.95	5.49	N/A	N/A	38,818	36,782	755,725	624,325
2018-11-06	$112.47	$116.00	11.3%	3.1%	8.6%	44.5%	11.0%	1.2%	-0.2%	-92.3M	3.02B	-13.8M	0.72	9.27	N/A	N/A	35,693	25,714	775,776	643,774
2018-11-07	$112.49	$116.00	9.6%	2.8%	8.5%	22.7%	9.6%	0.6%	-0.1%	-119.2M	3.19B	-13.0M	1.60	8.91	N/A	N/A	37,811	60,506	790,247	653,781
2018-11-08	$112.55	$116.00	9.5%	2.7%	6.8%	20.6%	9.5%	0.9%	0.1%	-131.1M	3.20B	-13.1M	1.53	15.19	N/A	N/A	52,858	80,965	807,019	671,856
2018-11-09	$113.22	$116.00	9.3%	2.7%	7.2%	18.4%	9.4%	0.9%	0.1%	-100.9M	2.57B	-14.4M	0.76	8.00	N/A	N/A	70,446	53,296	828,753	693,560
2018-11-12	$114.08	$116.00	9.4%	2.8%	7.7%	20.4%	9.6%	0.5%	0.1%	-16.3M	1.82B	-14.7M	1.64	7.38	N/A	N/A	32,141	52,859	797,951	677,163
2018-11-13	$113.97	$116.00	9.8%	2.8%	7.7%	24.9%	10.0%	0.6%	0.1%	-12.6M	1.92B	-14.8M	1.37	9.25	N/A	N/A	21,902	30,096	809,477	681,849
2018-11-14	$114.17	$116.00	9.9%	2.9%	7.5%	25.9%	10.2%	0.5%	0.2%	-10.3M	1.76B	-15.2M	1.08	9.41	N/A	N/A	61,883	66,860	816,462	696,248
2018-11-15	$114.07	$115.00	9.8%	2.9%	7.5%	25.1%	9.9%	0.4%	0.3%	-48.4M	1.84B	-15.3M	0.56	14.53	N/A	N/A	42,265	23,487	853,757	720,925
2018-11-16	$114.64	$115.00	9.7%	2.8%	7.6%	23.2%	9.8%	0.6%	0.1%	39.2M	1.11B	-15.6M	0.59	10.89	N/A	N/A	75,375	44,359	888,742	734,130
2018-11-19	$114.97	$115.00	10.2%	2.9%	7.7%	30.5%	10.3%	0.2%	-0.0%	23.4M	1.04B	-15.8M	0.14	8.63	N/A	N/A	229,418	31,066	699,259	640,798
2018-11-20	$114.99	$115.00	10.2%	2.9%	7.6%	30.8%	10.4%	-0.2%	0.0%	94.2M	729.7M	-16.8M	1.24	10.00	N/A	N/A	62,436	77,208	897,250	657,012
2018-11-21	$115.05	$115.00	9.8%	2.8%	7.5%	25.5%	10.1%	0.2%	-0.3%	46.3M	902.0M	-16.9M	0.74	10.66	N/A	N/A	24,962	18,594	921,742	676,794
2018-11-23	$115.14	$115.00	9.3%	2.6%	7.4%	18.1%	9.6%	-0.1%	0.3%	117.1M	781.2M	-16.4M	0.81	22.88	N/A	N/A	49,786	40,190	930,723	681,088
2018-11-26	$114.93	$115.00	8.8%	2.6%	7.2%	11.8%	9.1%	0.2%	0.4%	6.3M	1.37B	-14.8M	0.87	9.28	N/A	N/A	31,106	27,160	914,339	675,553
2018-11-27	$115.00	$115.00	8.8%	2.5%	7.2%	11.4%	9.0%	-0.1%	0.0%	-25.5M	1.38B	-14.8M	0.57	7.59	N/A	N/A	66,396	37,654	920,706	686,660
2018-11-28	$114.53	$115.00	8.5%	2.5%	6.8%	8.5%	8.8%	-0.1%	0.1%	-61.3M	1.82B	-13.9M	2.13	10.30	N/A	N/A	34,595	73,717	949,806	689,070
2018-11-29	$114.89	$115.00	8.9%	2.6%	6.5%	12.7%	9.3%	-0.0%	0.1%	-91.9M	1.54B	-14.2M	0.98	9.24	N/A	N/A	32,831	32,205	959,006	708,614
2018-11-30	$115.26	$115.00	9.1%	2.7%	6.5%	15.4%	9.4%	0.1%	0.1%	1.3M	1.03B	-14.4M	1.01	13.33	N/A	N/A	65,335	66,176	961,522	719,083