TLT Options History — May 2019 In May 2019, TLT traded between $123.30 and $131.82. ATM implied volatility averaged 8.8%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 0.9% (HV 20d: 7.9%). Max pain ranged from $122.00 to $125.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.24.
Notable Days 2019-05-31 : Highest Volume — 239,370 contracts2019-05-31 : Largest IV spike — 18.6% change2019-05-31 : Highest IV Rank — 82.3%2019-05-31 : Largest Expected Move — 3.5%Monthly Statistics Metric Avg Min Max Open Close Price $126.15 $123.30 $131.82 $123.92 $131.82 Max Pain $123.59 $122.00 $125.00 $125.00 $125.00 ATM IV 8.8% 7.5% 11.9% 7.9% 11.9% Expected Move 2.5% 2.2% 3.5% 2.4% 3.5% HV 20d 7.9% 7.4% 8.5% 7.9% 8.5% HV 60d 9.2% 8.8% 9.5% 9.2% 9.2% IV Rank 24.3% 0.0% 82.3% 4.7% 82.3% IV Percentile 35.1% 0.0% 98.8% 0.4% 98.8% Term Structure 0.1% -0.2% 0.3% 0.0% -0.0% VWIV 9.0% 7.8% 11.8% 8.5% 11.8% Skew 25d -0.7% -1.5% -0.2% -0.2% -1.5% Skew 10d -1.4% -2.3% -0.3% -0.5% -2.3% Call IV 25d 9.4% 7.8% 12.9% 8.2% 12.9% Put IV 25d 8.7% 7.5% 11.5% 7.9% 11.5% Bid-Ask Spread % 8.32 4.49 18.16 15.97 7.17 Gamma HHI 0.10 0.06 0.28 0.10 0.06 Net GEX 76.2M -144.2M 325.6M -20.5M 98.8M Net DEX -1.54B -3.23B 186.5M -392.6M -3.23B Net VEX -14.2M -16.2M -12.3M -16.2M -12.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.24 0.63 2.47 1.17 2.47 Total Volume 82,559.318 19,508 239,370 66,914 239,370 Total OI 1,047,991.364 911,720 1,231,678 1,045,692 1,135,663
Daily Data (22 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 2019-05-01 $123.92 $125.00 7.9% 2.4% 7.9% 4.7% 8.5% -0.2% 0.0% -20.5M -392.6M -16.2M 1.17 15.97 N/A N/A 30,855 36,059 479,091 566,601 2019-05-02 $123.30 $125.00 7.6% 2.3% 7.5% 0.3% 7.9% -0.2% 0.2% -108.6M 186.5M -15.5M 0.97 9.50 N/A N/A 18,235 17,724 479,731 566,632 2019-05-03 $123.53 $125.00 7.5% 2.2% 7.5% 0.0% 7.8% -0.2% 0.3% -144.2M -110.1M -15.5M 0.98 9.58 N/A N/A 18,986 18,527 484,766 569,008 2019-05-06 $124.01 $122.00 8.1% 2.4% 7.6% 11.8% 8.4% -0.5% -0.1% 10.5M -540.9M -15.2M 0.92 8.46 N/A N/A 10,155 9,353 468,524 549,067 2019-05-07 $125.08 $122.00 9.1% 2.6% 8.1% 30.0% 9.2% -0.8% -0.1% 73.5M -1.40B -15.0M 0.68 11.95 N/A N/A 45,271 30,657 469,071 555,245 2019-05-08 $124.38 $122.00 8.8% 2.4% 8.3% 23.8% 8.7% -0.7% -0.0% 57.5M -791.6M -15.1M 1.64 18.16 N/A N/A 29,953 49,006 479,448 575,181 2019-05-09 $124.91 $122.00 9.0% 2.5% 8.4% 28.3% 8.9% -0.8% -0.1% 69.1M -1.17B -15.4M 0.63 8.30 N/A N/A 27,137 17,046 491,048 607,429 2019-05-10 $124.81 $122.00 8.5% 2.4% 8.0% 17.9% 8.5% -0.5% 0.0% 120.6M -1.21B -14.6M 1.03 10.57 N/A N/A 38,327 39,400 493,121 615,300 2019-05-13 $125.74 $122.00 9.2% 2.6% 7.8% 31.7% 9.1% -0.6% 0.0% 100.3M -1.84B -14.5M 1.56 7.41 N/A N/A 17,715 27,554 469,767 585,058 2019-05-14 $125.32 $123.00 8.5% 2.4% 8.0% 19.2% 8.6% -0.8% -0.1% 64.9M -1.56B -14.7M 1.02 7.32 N/A N/A 25,769 26,344 485,964 616,507 2019-05-15 $126.06 $123.00 8.6% 2.4% 7.8% 19.9% 8.9% -0.8% -0.2% 128.6M -2.38B -13.7M 1.05 5.98 N/A N/A 23,178 24,371 496,736 624,037 2019-05-16 $125.62 $123.00 8.2% 2.4% 7.9% 12.2% 8.4% -0.5% 0.1% 85.4M -2.02B -14.0M 0.95 5.73 N/A N/A 71,787 68,302 507,408 628,315 2019-05-17 $126.01 $124.00 8.2% 2.4% 7.8% 12.4% 8.3% -0.7% 0.1% 325.6M -2.48B -14.3M 2.39 5.32 N/A N/A 17,985 42,919 561,476 670,202 2019-05-20 $125.81 $124.00 8.3% 2.4% 7.6% 15.8% 8.5% -0.7% 0.3% 51.0M -986.1M -14.0M 0.94 5.94 N/A N/A 12,667 11,857 397,897 513,823 2019-05-21 $125.51 $124.00 8.0% 2.3% 7.7% 10.1% 8.1% -0.5% 0.2% 38.5M -816.2M -14.0M 1.29 5.45 N/A N/A 15,186 19,518 401,955 517,634 2019-05-22 $126.22 $124.00 8.4% 2.4% 7.4% 16.1% 8.5% -0.6% 0.2% 90.7M -1.21B -14.0M 1.31 7.24 N/A N/A 18,415 24,203 410,899 528,275 2019-05-23 $127.74 $124.00 9.3% 2.7% 8.3% 33.7% 9.6% -1.2% -0.1% 141.7M -2.19B -13.4M 1.30 8.80 N/A N/A 78,914 102,318 418,803 533,548 2019-05-24 $127.69 $124.00 8.7% 2.5% 8.3% 22.8% 8.9% -1.0% 0.2% 85.3M -1.98B -13.7M 1.65 4.49 N/A N/A 23,412 38,664 428,162 598,838 2019-05-28 $128.74 $124.00 9.7% 2.8% 7.9% 41.2% 9.7% -0.9% 0.0% 139.7M -2.35B -12.4M 1.15 6.46 N/A N/A 40,043 46,170 403,377 571,240 2019-05-29 $129.10 $125.00 10.3% 3.0% 7.8% 51.7% 10.5% -1.3% 0.2% 163.4M -2.52B -13.4M 1.02 6.83 N/A N/A 78,496 80,111 437,625 601,193 2019-05-30 $130.00 $125.00 10.1% 2.9% 8.0% 47.7% 10.2% -1.3% 0.2% 105.6M -2.91B -12.3M 1.23 6.32 N/A N/A 91,777 112,569 426,279 635,866 2019-05-31 $131.82 $125.00 11.9% 3.5% 8.5% 82.3% 11.8% -1.5% -0.0% 98.8M -3.23B -12.6M 2.47 7.17 N/A N/A 68,962 170,408 447,726 687,937
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