TLT Options History — August 2019 In August 2019, TLT traded between $135.14 and $147.75. ATM implied volatility averaged 14.7%, placing in the 84.6% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.4% (HV 20d: 13.3%). Max pain ranged from $129.00 to $141.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.45.
Notable Days 2019-08-07 : Highest Volume — 310,107 contracts2019-08-05 : Largest IV spike — 18.3% change2019-08-07 : Highest IV Rank — 100.0%2019-08-15 : Largest Expected Move — 5.0%Monthly Statistics Metric Avg Min Max Open Close Price $143.31 $135.14 $147.75 $135.14 $147.46 Max Pain $135.95 $129.00 $141.00 $133.00 $141.00 ATM IV 14.7% 10.7% 17.3% 10.7% 15.2% Expected Move 4.2% 3.1% 5.0% 3.1% 4.3% HV 20d 13.3% 10.1% 16.0% 11.2% 15.7% HV 60d 11.5% 10.0% 12.7% 10.0% 12.4% IV Rank 84.6% 58.9% 100.0% 58.9% 78.3% IV Percentile 97.4% 84.5% 100.0% 84.5% 95.6% Term Structure -0.0% -0.5% 0.3% 0.1% 0.1% VWIV 14.7% 11.2% 17.1% 11.2% 15.2% Skew 25d -1.5% -2.7% -0.4% -0.4% -1.0% Skew 10d -2.5% -4.5% 0.0% 0.0% -1.4% Call IV 25d 15.6% 11.1% 19.1% 11.1% 15.8% Put IV 25d 14.1% 10.6% 16.4% 10.7% 14.8% Bid-Ask Spread % 5.36 3.33 10.55 10.55 5.03 Gamma HHI 0.09 0.06 0.29 0.07 0.07 Net GEX 71.9M -184.5M 273.4M 82.9M 92.2M Net DEX -4.07B -6.47B -2.19B -2.19B -4.47B Net VEX -11.9M -13.6M -9.4M -10.9M -13.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.45 0.90 2.53 1.08 1.13 Total Volume 145,622.545 42,121 310,107 134,252 167,377 Total OI 1,289,846.636 975,621 1,533,542 975,621 1,420,568
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 2019-08-01 $135.14 $133.00 10.7% 3.1% 11.2% 58.9% 11.2% -0.4% 0.1% 82.9M -2.19B -10.9M 1.08 10.55 N/A N/A 64,665 69,587 369,887 605,734 2019-08-02 $136.21 $133.00 10.8% 3.2% 10.3% 60.9% 11.2% -1.0% 0.0% 99.3M -2.67B -9.8M 1.56 5.08 N/A N/A 52,351 81,787 384,400 638,686 2019-08-05 $138.62 $129.00 12.7% 3.6% 11.8% 97.5% 13.0% -0.5% -0.2% 77.3M -3.27B -9.4M 1.07 4.49 N/A N/A 88,096 94,446 399,056 633,600 2019-08-06 $139.83 $130.00 12.4% 3.6% 11.9% 92.0% 12.6% -1.4% -0.2% 104.4M -3.81B -9.7M 0.90 7.72 N/A N/A 69,355 62,201 444,637 660,256 2019-08-07 $140.04 $131.00 14.6% 4.0% 11.5% 100.0% 14.6% -1.4% -0.0% 126.1M -3.83B -11.0M 1.62 8.85 N/A N/A 118,354 191,753 473,850 693,488 2019-08-08 $140.08 $132.00 13.5% 3.8% 10.1% 84.1% 13.3% -1.6% -0.3% 42.6M -3.54B -12.2M 2.15 6.02 N/A N/A 51,361 110,469 519,975 787,266 2019-08-09 $140.00 $132.00 13.1% 3.7% 10.2% 78.5% 13.4% -1.6% -0.1% 273.4M -3.59B -12.2M 1.00 5.80 N/A N/A 63,634 63,869 543,568 801,299 2019-08-12 $142.85 $132.00 15.4% 4.4% 11.8% 100.0% 15.4% -2.2% 0.1% 93.3M -4.78B -11.3M 1.45 6.44 N/A N/A 58,556 84,821 525,503 775,651 2019-08-13 $142.61 $133.00 14.4% 4.1% 11.6% 87.0% 14.1% -1.7% 0.0% 103.7M -4.72B -11.8M 1.60 4.58 N/A N/A 69,901 111,530 553,544 808,603 2019-08-14 $145.39 $135.00 16.5% 4.7% 12.6% 100.0% 16.7% -2.3% -0.0% 149.8M -5.78B -11.0M 1.09 5.24 N/A N/A 71,869 78,089 577,744 852,123 2019-08-15 $146.97 $135.00 17.3% 5.0% 12.8% 100.0% 17.1% -2.7% 0.0% 161.3M -6.47B -10.8M 1.56 4.21 N/A N/A 88,603 138,331 599,042 864,342 2019-08-16 $146.00 $137.00 16.1% 4.5% 13.1% 87.1% 15.8% -2.0% -0.5% 59.7M -5.77B -11.9M 1.44 4.93 N/A N/A 82,599 119,335 613,467 920,075 2019-08-19 $144.00 $139.00 16.0% 4.6% 14.7% 86.4% 16.1% -1.3% -0.1% -38.6M -3.11B -13.2M 1.67 4.35 N/A N/A 48,289 80,441 494,110 732,871 2019-08-20 $145.38 $139.00 16.0% 4.6% 14.2% 86.2% 16.0% -1.7% 0.0% 6.7M -3.72B -12.6M 1.32 4.32 N/A N/A 41,338 54,405 509,392 741,131 2019-08-21 $144.74 $139.00 15.0% 4.3% 14.6% 76.0% 15.4% -1.4% 0.0% -38.8M -3.41B -13.3M 1.36 5.09 N/A N/A 48,859 66,334 529,441 775,933 2019-08-22 $143.56 $140.00 14.5% 4.1% 15.0% 71.1% 14.9% -1.2% 0.2% -184.5M -2.66B -13.6M 1.07 3.77 N/A N/A 53,914 57,828 539,350 798,422 2019-08-23 $145.88 $140.00 15.7% 4.5% 15.5% 83.2% 15.7% -2.1% -0.4% 55.5M -4.04B -13.5M 2.03 5.02 N/A N/A 59,260 120,161 545,792 813,719 2019-08-26 $145.50 $140.00 15.3% 4.3% 15.7% 79.6% 15.4% -1.9% -0.0% 13.5M -3.73B -13.3M 1.22 3.33 N/A N/A 18,947 23,174 532,090 789,043 2019-08-27 $147.58 $140.00 16.0% 4.6% 16.0% 86.2% 16.1% -1.7% -0.1% 100.0M -4.75B -11.6M 1.39 3.87 N/A N/A 39,633 54,964 538,677 795,857 2019-08-28 $147.75 $140.00 16.1% 4.6% 16.0% 87.7% 16.1% -1.3% 0.1% 109.0M -4.80B -11.8M 1.66 3.38 N/A N/A 31,474 52,356 548,409 824,482 2019-08-29 $147.29 $141.00 15.3% 4.2% 15.7% 79.9% 14.7% -1.1% 0.3% 94.0M -4.45B -12.9M 2.53 5.86 N/A N/A 28,122 71,258 554,030 847,513 2019-08-30 $147.46 $141.00 15.2% 4.3% 15.7% 78.3% 15.2% -1.0% 0.1% 92.2M -4.47B -13.2M 1.13 5.03 N/A N/A 78,449 88,928 557,995 862,573
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