TLT Options History — July 2019 In July 2019, TLT traded between $130.22 and $134.12. ATM implied volatility averaged 9.8%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded below realized volatility by 0.4% (HV 20d: 10.2%). Max pain ranged from $131.00 to $133.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.90.
Notable Days 2019-07-09 : Highest Volume — 132,399 contracts2019-07-26 : Largest IV drop — 6.7% change2019-07-03 : Highest IV Rank — 52.1%2019-07-24 : Largest Expected Move — 2.9%Monthly Statistics Metric Avg Min Max Open Close Price $131.85 $130.22 $134.12 $132.17 $132.99 Max Pain $132.27 $131.00 $133.00 $131.00 $132.00 ATM IV 9.8% 9.2% 10.3% 10.0% 9.3% Expected Move 2.8% 2.6% 2.9% 2.6% 2.7% HV 20d 10.2% 9.0% 11.3% 9.5% 9.9% HV 60d 9.5% 8.8% 9.7% 8.8% 9.6% IV Rank 43.2% 30.8% 52.1% 46.1% 33.6% IV Percentile 66.9% 48.8% 80.2% 71.8% 52.8% Term Structure -0.1% -0.4% 0.1% -0.1% 0.1% VWIV 10.0% 9.3% 10.4% 9.7% 10.2% Skew 25d -0.1% -0.8% 0.3% -0.4% 0.0% Skew 10d -0.2% -1.5% 0.5% -0.7% -0.0% Call IV 25d 10.1% 9.5% 11.0% 10.1% 9.5% Put IV 25d 10.0% 9.5% 10.3% 9.7% 9.6% Bid-Ask Spread % 5.06 2.60 11.39 4.61 11.39 Gamma HHI 0.09 0.07 0.15 0.09 0.08 Net GEX -174.0M -702.6M 113.7M -234.8M 3.8M Net DEX -480.3M -2.18B 1.53B -734.4M -1.31B Net VEX -13.5M -15.4M -11.8M -14.1M -11.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.90 0.54 12.77 0.86 1.11 Total Volume 65,242 26,761 132,399 115,920 85,862 Total OI 1,230,240.591 916,647 1,456,519 1,336,332 961,492
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 2019-07-01 $132.17 $131.00 10.0% 2.6% 9.5% 46.1% 9.7% -0.4% -0.1% -234.8M -734.4M -14.1M 0.86 4.61 N/A N/A 62,254 53,666 380,789 955,543 2019-07-02 $133.25 $133.00 9.8% 2.7% 9.1% 43.3% 9.7% -0.7% -0.0% 33.9M -1.48B -13.5M 1.08 3.35 N/A N/A 31,189 33,768 422,911 987,733 2019-07-03 $134.12 $133.00 10.3% 2.8% 9.0% 52.1% 9.8% -0.8% -0.3% 113.7M -2.18B -13.2M 0.86 3.67 N/A N/A 30,109 25,915 444,159 1,003,579 2019-07-05 $132.39 $132.00 9.7% 2.6% 10.3% 40.1% 9.3% -0.6% -0.3% -169.5M -608.1M -13.8M 2.52 5.71 N/A N/A 27,223 68,692 438,983 1,017,536 2019-07-08 $132.78 $132.00 9.5% 2.7% 9.9% 36.9% 9.6% -0.1% -0.1% -94.0M -922.3M -13.7M 1.60 3.67 N/A N/A 10,277 16,484 430,218 998,749 2019-07-09 $132.57 $132.00 9.9% 2.8% 9.3% 44.7% 9.8% -0.3% -0.2% -134.7M -695.7M -14.1M 12.77 3.31 N/A N/A 9,614 122,785 435,684 1,004,901 2019-07-10 $131.76 $132.00 9.9% 2.8% 9.6% 45.4% 10.0% -0.4% -0.2% -307.2M -4.3M -14.1M 1.07 6.63 N/A N/A 37,114 39,868 437,501 952,802 2019-07-11 $130.22 $132.00 10.1% 2.8% 10.6% 48.3% 10.0% 0.2% -0.4% -702.6M 1.53B -15.4M 2.12 9.39 N/A N/A 33,070 70,103 440,491 958,787 2019-07-12 $130.29 $132.00 9.8% 2.7% 10.5% 42.9% 9.8% 0.0% -0.3% -684.0M 1.22B -14.8M 1.68 2.60 N/A N/A 30,445 51,070 447,830 947,440 2019-07-15 $131.03 $132.00 10.1% 2.9% 10.7% 48.6% 10.4% 0.0% -0.3% -278.9M -166.3M -13.5M 0.57 3.49 N/A N/A 19,137 10,989 434,097 882,430 2019-07-16 $130.56 $132.00 10.1% 2.9% 10.7% 48.0% 10.3% -0.0% -0.0% -367.8M 152.3M -13.9M 0.54 5.03 N/A N/A 36,553 19,750 443,330 882,867 2019-07-17 $131.89 $132.00 10.2% 2.9% 11.2% 49.3% 10.2% -0.1% -0.0% -28.0M -930.0M -12.9M 1.07 4.59 N/A N/A 54,164 58,007 462,014 890,805 2019-07-18 $132.28 $133.00 10.2% 2.9% 11.2% 50.2% 10.3% -0.2% -0.1% 33.4M -848.2M -13.0M 1.22 4.01 N/A N/A 18,802 23,024 469,901 922,381 2019-07-19 $131.79 $133.00 10.0% 2.9% 11.3% 47.1% 10.3% -0.1% -0.2% -81.9M -491.8M -13.2M 1.19 4.95 N/A N/A 20,625 24,593 473,027 926,169 2019-07-22 $131.89 $133.00 9.8% 2.9% 10.6% 43.2% 10.3% -0.1% 0.0% -84.6M -674.6M -12.7M 1.94 4.01 N/A N/A 17,682 34,352 367,925 548,722 2019-07-23 $131.11 $133.00 9.9% 2.9% 10.4% 45.0% 10.2% 0.0% -0.1% -172.2M -190.4M -13.4M 2.60 3.94 N/A N/A 11,945 31,052 375,383 561,312 2019-07-24 $131.72 $133.00 9.9% 2.9% 10.5% 45.4% 10.3% -0.0% -0.0% -113.7M -520.2M -13.3M 1.21 4.51 N/A N/A 17,128 20,652 381,215 565,377 2019-07-25 $131.14 $132.00 9.8% 2.9% 10.3% 42.9% 10.1% -0.0% -0.1% -209.0M -180.5M -13.2M 1.99 4.95 N/A N/A 13,818 27,478 387,579 574,451 2019-07-26 $131.47 $132.00 9.2% 2.7% 10.0% 30.8% 9.5% 0.1% 0.1% -135.7M -425.1M -12.9M 0.99 5.32 N/A N/A 31,531 31,154 389,197 578,237 2019-07-29 $131.46 $132.00 9.2% 2.8% 10.0% 32.2% 9.9% 0.0% -0.1% -117.8M -467.1M -12.8M 1.31 5.72 N/A N/A 12,540 16,474 368,303 566,598 2019-07-30 $131.83 $132.00 9.3% 2.8% 9.8% 34.2% 10.3% 0.3% 0.1% -96.8M -634.1M -12.8M 1.53 6.51 N/A N/A 17,539 26,827 370,827 576,018 2019-07-31 $132.99 $132.00 9.3% 2.7% 9.9% 33.6% 10.2% 0.0% 0.1% 3.8M -1.31B -11.8M 1.11 11.39 N/A N/A 40,739 45,123 376,690 584,802
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