TLT Options History — December 2018

In December 2018, TLT traded between $115.80 and $121.37. ATM implied volatility averaged 10.7%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 2.7% (HV 20d: 8.0%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.70.

Notable Days

2018-12-05: Highest Volume — 336,788 contracts
2018-12-04: Largest IV spike — 21.3% change
2018-12-24: Highest IV Rank — 65.9%
2018-12-24: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$119.29	$115.80	$121.37	$115.80	$121.37
Max Pain	$118.05	$115.00	$120.00	$115.00	$120.00
ATM IV	10.7%	8.8%	12.9%	8.8%	11.1%
Expected Move	3.1%	2.6%	3.8%	2.6%	3.2%
HV 20d	8.0%	4.5%	9.9%	4.5%	9.8%
HV 60d	9.2%	8.6%	9.5%	8.6%	8.6%
IV Rank	36.8%	11.5%	65.9%	11.5%	42.9%
IV Percentile	77.0%	19.4%	98.0%	19.4%	86.1%
Term Structure	-0.1%	-0.8%	0.6%	0.0%	-0.1%
VWIV	11.2%	9.0%	13.4%	9.0%	11.1%
Skew 25d	-1.0%	-1.8%	-0.3%	-0.3%	-0.3%
Skew 10d	-1.9%	-3.7%	0.1%	0.0%	0.1%
Call IV 25d	11.4%	8.8%	14.0%	8.8%	11.7%
Put IV 25d	10.4%	8.5%	12.3%	8.5%	11.4%
Bid-Ask Spread %	12.15	7.08	21.24	9.29	7.89
Gamma HHI	0.13	0.10	0.16	0.11	0.12
Net GEX	313.6M	166.0M	471.0M	251.1M	246.2M
Net DEX	-2.00B	-3.50B	537.1M	537.1M	-2.54B
Net VEX	-15.7M	-18.6M	-12.9M	-15.3M	-12.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.17	1.86	0.28	0.94
Total Volume	129,053.75	31,837	336,788	92,703	31,837
Total OI	1,542,094.2	1,223,288	1,774,027	1,613,165	1,235,503

Daily Data (20 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
2018-12-03	$115.80	$115.00	8.8%	2.6%	4.5%	11.5%	9.0%	-0.3%	0.0%	251.1M	537.1M	-15.3M	0.28	9.29	N/A	N/A	72,259	20,444	937,729	675,436
2018-12-04	$117.86	$115.00	10.6%	3.5%	7.2%	36.2%	12.0%	-1.1%	-0.6%	464.1M	-2.06B	-17.8M	0.80	15.02	N/A	N/A	181,772	144,873	955,579	681,753
2018-12-05	$117.83	$115.00	10.8%	3.5%	7.3%	38.9%	12.3%	-1.0%	-0.6%	471.0M	-2.01B	-17.7M	0.76	15.37	N/A	N/A	191,504	145,284	955,579	681,753
2018-12-06	$118.23	$118.00	10.7%	3.0%	7.2%	36.6%	10.7%	-1.0%	-0.3%	446.1M	-2.24B	-18.6M	0.99	11.88	N/A	N/A	84,902	84,156	998,833	704,214
2018-12-07	$118.17	$118.00	10.9%	2.9%	7.3%	39.3%	10.5%	-1.1%	-0.7%	273.9M	-1.74B	-18.4M	1.86	18.24	N/A	N/A	21,617	40,123	997,333	776,694
2018-12-10	$118.84	$118.00	10.6%	3.0%	7.2%	35.2%	10.9%	-0.8%	0.0%	280.2M	-2.22B	-17.7M	0.23	8.22	N/A	N/A	101,948	23,059	963,679	764,996
2018-12-11	$118.83	$118.00	10.4%	3.0%	7.0%	33.6%	10.9%	-0.7%	-0.3%	262.2M	-2.14B	-17.0M	0.30	8.88	N/A	N/A	201,173	60,154	931,139	773,007
2018-12-12	$118.31	$118.00	10.1%	2.9%	7.3%	29.5%	10.9%	-0.9%	-0.2%	245.6M	-1.51B	-16.3M	0.17	8.34	N/A	N/A	95,358	16,369	943,720	774,696
2018-12-13	$118.08	$118.00	9.3%	2.7%	7.4%	18.9%	9.9%	-0.9%	0.4%	193.6M	-1.06B	-15.4M	1.50	8.10	N/A	N/A	20,201	30,384	948,270	769,058
2018-12-14	$118.55	$118.00	9.7%	2.8%	7.4%	23.7%	9.9%	-0.5%	0.2%	353.5M	-1.84B	-14.8M	0.57	7.74	N/A	N/A	65,480	37,055	908,878	775,398
2018-12-17	$119.28	$118.00	10.2%	2.9%	7.5%	30.9%	10.4%	-0.6%	-0.0%	390.2M	-2.16B	-15.2M	0.21	7.08	N/A	N/A	70,242	14,730	882,155	685,381
2018-12-18	$119.65	$118.00	10.3%	2.9%	7.5%	31.3%	10.5%	-0.8%	-0.2%	395.1M	-2.00B	-15.0M	0.35	8.63	N/A	N/A	44,299	15,374	807,816	695,419
2018-12-19	$121.31	$118.00	10.4%	3.0%	8.5%	32.9%	10.6%	-1.4%	-0.0%	449.4M	-3.50B	-14.2M	0.67	19.39	N/A	N/A	114,560	76,498	796,709	697,572
2018-12-20	$120.80	$119.00	10.8%	3.1%	8.9%	38.9%	11.3%	-1.5%	-0.1%	417.6M	-2.89B	-14.7M	0.72	15.91	N/A	N/A	77,123	55,748	802,251	748,282
2018-12-21	$120.66	$119.00	11.6%	3.4%	8.9%	48.8%	12.1%	-1.7%	-0.8%	362.2M	-2.72B	-15.0M	0.81	12.91	N/A	N/A	67,588	54,890	808,139	762,940
2018-12-24	$121.26	$119.00	12.9%	3.8%	8.8%	65.9%	13.3%	-1.8%	0.4%	247.9M	-2.57B	-15.0M	0.61	16.99	N/A	N/A	46,705	28,654	696,661	526,627
2018-12-26	$120.06	$119.00	11.8%	3.5%	9.9%	52.2%	12.5%	-1.2%	0.3%	171.7M	-1.53B	-14.8M	0.90	21.24	N/A	N/A	38,036	34,124	703,001	540,395
2018-12-27	$120.10	$120.00	11.5%	3.3%	9.7%	47.1%	13.4%	-1.7%	0.5%	166.0M	-1.62B	-14.3M	0.72	11.25	N/A	N/A	48,327	34,609	717,799	552,975
2018-12-28	$120.91	$120.00	11.0%	3.2%	9.8%	41.2%	11.8%	-0.8%	0.6%	185.0M	-2.17B	-13.9M	0.61	10.62	N/A	N/A	55,588	34,028	703,157	561,358
2018-12-31	$121.37	$120.00	11.1%	3.2%	9.8%	42.9%	11.1%	-0.3%	-0.1%	246.2M	-2.54B	-12.9M	0.94	7.89	N/A	N/A	16,402	15,435	687,909	547,594