TLT Options History — June 2019 In June 2019, TLT traded between $130.32 and $133.03. ATM implied volatility averaged 10.7%, placing in the 58.8% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 0.7% (HV 20d: 10.0%). Max pain ranged from $129.00 to $131.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.62.
Notable Days 2019-06-19 : Highest Volume — 383,216 contracts2019-06-10 : Largest IV drop — 12.4% change2019-06-03 : Highest IV Rank — 93.1%2019-06-03 : Largest Expected Move — 3.6%Monthly Statistics Metric Avg Min Max Open Close Price $131.71 $130.32 $133.03 $132.43 $133.03 Max Pain $130.00 $129.00 $131.00 $129.00 $131.00 ATM IV 10.7% 9.7% 12.5% 12.5% 10.1% Expected Move 3.0% 2.8% 3.6% 3.6% 2.8% HV 20d 10.0% 8.5% 10.6% 8.5% 9.3% HV 60d 9.3% 8.7% 9.7% 9.2% 8.7% IV Rank 58.8% 41.0% 93.1% 93.1% 48.8% IV Percentile 84.3% 71.8% 99.6% 99.6% 74.6% Term Structure 0.1% -0.4% 0.8% -0.4% 0.8% VWIV 10.6% 9.7% 12.3% 12.3% 9.9% Skew 25d -1.2% -1.8% -0.8% -1.6% -0.8% Skew 10d -2.1% -3.5% -1.2% -3.3% -1.2% Call IV 25d 11.5% 10.4% 13.5% 13.5% 10.6% Put IV 25d 10.3% 9.5% 11.9% 11.9% 9.8% Bid-Ask Spread % 3.64 2.37 8.06 8.06 2.43 Gamma HHI 0.12 0.09 0.15 0.10 0.13 Net GEX -148.3M -416.0M 58.1M -9.4M -2.3M Net DEX -1.31B -2.24B -456.3M -2.19B -1.00B Net VEX -13.9M -15.7M -12.3M -12.7M -14.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.62 1.06 14.66 3.56 2.66 Total Volume 113,006.75 38,460 383,216 182,048 100,919 Total OI 1,389,286.8 1,146,898 1,778,089 1,146,898 1,429,140
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 2019-06-03 $132.43 $129.00 12.5% 3.6% 8.5% 93.1% 12.3% -1.6% -0.4% -9.4M -2.19B -12.7M 3.56 8.06 N/A N/A 39,899 142,149 363,564 783,334 2019-06-04 $131.03 $129.00 11.4% 3.3% 9.8% 72.3% 11.5% -0.8% -0.3% -182.4M -1.18B -14.8M 1.66 3.30 N/A N/A 46,552 77,206 383,301 872,435 2019-06-05 $130.32 $129.00 11.2% 3.2% 10.0% 68.3% 11.3% -0.9% -0.0% -274.0M -583.0M -15.4M 1.62 4.13 N/A N/A 46,661 75,499 402,042 897,773 2019-06-06 $130.47 $129.00 11.6% 3.2% 9.6% 76.2% 11.2% -1.3% -0.2% -232.9M -783.8M -15.7M 2.48 4.27 N/A N/A 30,431 75,454 428,334 910,053 2019-06-07 $131.67 $129.00 11.1% 3.0% 9.9% 66.4% 10.4% -1.4% -0.2% -49.0M -1.86B -13.9M 1.50 4.32 N/A N/A 53,121 79,523 441,839 944,446 2019-06-10 $130.53 $130.00 9.7% 2.8% 10.6% 41.0% 9.7% -0.9% -0.1% -227.9M -862.0M -14.5M 1.74 3.11 N/A N/A 22,732 39,577 433,421 924,360 2019-06-11 $130.61 $130.00 9.7% 2.8% 10.4% 41.2% 10.0% -0.8% -0.0% -190.4M -1.02B -14.0M 1.18 2.85 N/A N/A 17,664 20,796 441,153 918,246 2019-06-12 $130.69 $130.00 10.3% 2.9% 10.3% 51.8% 10.4% -1.1% -0.1% -143.8M -1.13B -13.8M 1.89 3.73 N/A N/A 22,914 43,293 449,505 917,663 2019-06-13 $131.11 $130.00 11.1% 3.2% 10.2% 66.5% 11.3% -1.5% 0.0% -115.4M -1.32B -14.3M 1.87 3.29 N/A N/A 36,158 67,527 462,934 947,340 2019-06-14 $131.25 $130.00 11.1% 3.2% 10.0% 67.7% 11.3% -1.8% 0.0% -140.1M -1.48B -14.3M 2.39 3.20 N/A N/A 23,300 55,724 469,784 963,047 2019-06-17 $131.64 $130.00 11.2% 3.2% 10.0% 68.6% 11.4% -1.4% -0.2% -84.2M -1.64B -13.3M 1.65 3.36 N/A N/A 19,203 31,724 435,861 943,661 2019-06-18 $132.32 $130.00 11.0% 3.1% 9.9% 64.8% 11.1% -1.3% 0.0% 23.8M -2.12B -12.6M 3.89 3.21 N/A N/A 29,827 115,904 445,447 945,413 2019-06-19 $132.58 $130.00 10.4% 3.0% 9.8% 54.8% 10.4% -1.1% 0.3% 58.1M -2.24B -12.3M 14.66 4.48 N/A N/A 24,470 358,746 450,239 981,679 2019-06-20 $132.83 $130.00 10.1% 2.9% 9.7% 48.0% 9.9% -1.4% -0.1% -73.4M -2.11B -13.4M 1.31 3.53 N/A N/A 40,176 52,474 453,422 1,281,379 2019-06-21 $131.44 $130.00 9.8% 2.8% 10.1% 42.7% 9.9% -0.8% -0.0% -416.0M -874.5M -14.8M 1.57 2.37 N/A N/A 41,252 64,937 474,507 1,303,582 2019-06-24 $132.42 $131.00 10.3% 3.0% 10.3% 51.9% 10.5% -1.0% 0.4% -253.2M -840.7M -13.8M 1.34 3.22 N/A N/A 20,621 27,713 382,166 904,182 2019-06-25 $132.93 $131.00 10.8% 3.1% 10.0% 61.0% 10.6% -1.2% 0.5% -188.4M -1.10B -13.7M 2.43 3.54 N/A N/A 23,631 57,365 393,711 919,777 2019-06-26 $131.96 $131.00 9.9% 2.8% 10.5% 43.9% 10.0% -1.3% 0.2% -355.3M -456.3M -14.5M 2.04 3.47 N/A N/A 12,892 26,305 407,666 941,658 2019-06-27 $132.85 $131.00 10.0% 2.8% 10.5% 46.3% 9.9% -0.9% 0.5% -110.0M -1.42B -12.9M 1.06 2.95 N/A N/A 94,873 100,923 405,103 932,569 2019-06-28 $133.03 $131.00 10.1% 2.8% 9.3% 48.8% 9.9% -0.8% 0.8% -2.3M -1.00B -14.1M 2.66 2.43 N/A N/A 27,589 73,330 426,198 1,002,942
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