TLT Options History — September 2019 In September 2019, TLT traded between $136.83 and $147.42. ATM implied volatility averaged 14.5%, placing in the 71.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 1.9% (HV 20d: 16.4%). Max pain ranged from $142.00 to $145.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.30.
Notable Days 2019-09-13 : Highest Volume — 333,181 contracts2019-09-13 : Largest IV spike — 8.9% change2019-09-03 : Highest IV Rank — 84.2%2019-09-03 : Largest Expected Move — 4.6%Monthly Statistics Metric Avg Min Max Open Close Price $142.05 $136.83 $147.42 $147.42 $142.94 Max Pain $143.30 $142.00 $145.00 $144.00 $142.00 ATM IV 14.5% 13.6% 15.8% 15.8% 14.4% Expected Move 4.1% 3.8% 4.6% 4.6% 4.2% HV 20d 16.4% 14.8% 17.7% 14.9% 16.6% HV 60d 14.0% 12.1% 15.0% 12.3% 14.7% IV Rank 71.3% 62.2% 84.2% 84.2% 70.5% IV Percentile 92.7% 88.9% 97.2% 97.2% 90.5% Term Structure -0.1% -0.5% 0.5% -0.4% -0.5% VWIV 14.7% 13.5% 16.1% 16.1% 14.8% Skew 25d -0.1% -1.2% 0.8% -1.2% -0.5% Skew 10d -0.3% -2.1% 1.3% -2.1% -1.7% Call IV 25d 14.8% 13.7% 16.5% 16.5% 15.0% Put IV 25d 14.7% 13.7% 16.0% 15.3% 14.5% Bid-Ask Spread % 4.88 2.93 8.09 3.88 2.93 Gamma HHI 0.08 0.05 0.23 0.08 0.07 Net GEX -157.6M -575.9M 70.8M 70.8M -91.0M Net DEX 39.1M -2.58B 3.70B -2.58B -962.0M Net VEX -14.0M -15.5M -12.2M -12.2M -12.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.30 0.50 2.65 1.11 0.50 Total Volume 114,834.7 47,350 333,181 85,806 47,350 Total OI 1,291,872.15 1,039,444 1,538,768 1,234,168 1,039,444
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 2019-09-03 $147.42 $144.00 15.8% 4.6% 14.9% 84.2% 16.1% -1.2% -0.4% 70.8M -2.58B -12.2M 1.11 3.88 N/A N/A 40,668 45,138 422,569 811,599 2019-09-04 $147.19 $144.00 14.8% 4.2% 14.8% 74.4% 14.7% -1.0% -0.3% 63.5M -2.49B -12.4M 2.17 4.55 N/A N/A 19,631 42,551 433,899 831,886 2019-09-05 $144.79 $145.00 14.0% 3.9% 16.3% 66.7% 13.9% 0.0% -0.3% -93.5M -885.1M -13.9M 1.97 6.05 N/A N/A 65,269 128,545 444,422 856,903 2019-09-06 $145.83 $145.00 13.6% 3.8% 16.4% 62.2% 13.5% -0.1% -0.0% -54.7M -1.66B -13.8M 1.87 3.60 N/A N/A 25,061 46,862 472,182 903,045 2019-09-09 $143.36 $145.00 13.8% 3.8% 17.7% 64.2% 13.7% -0.1% -0.3% -165.8M 57.2M -13.8M 1.41 3.18 N/A N/A 45,413 64,063 444,684 885,826 2019-09-10 $141.03 $145.00 14.2% 4.0% 17.3% 68.0% 14.0% -0.0% -0.4% -255.8M 1.51B -14.4M 1.68 6.33 N/A N/A 54,387 91,464 459,343 894,854 2019-09-11 $140.60 $145.00 14.0% 3.9% 17.3% 65.8% 14.1% 0.8% -0.3% -282.4M 1.87B -15.0M 1.24 3.70 N/A N/A 57,160 71,014 473,221 917,791 2019-09-12 $139.40 $145.00 14.1% 3.9% 15.8% 67.3% 13.9% 0.8% -0.5% -360.7M 2.43B -14.6M 2.65 4.99 N/A N/A 52,055 138,186 479,013 911,293 2019-09-13 $136.83 $144.00 15.3% 4.3% 16.1% 80.1% 15.4% 0.7% -0.5% -575.9M 3.70B -14.7M 1.34 6.01 N/A N/A 142,577 190,604 499,487 917,470 2019-09-16 $138.39 $143.00 15.4% 4.4% 16.9% 80.9% 15.6% 0.1% -0.1% -256.8M 1.74B -15.5M 0.92 5.97 N/A N/A 67,935 62,741 549,096 886,724 2019-09-17 $139.11 $143.00 15.4% 4.4% 16.5% 80.7% 15.5% 0.4% -0.5% -208.3M 1.22B -15.1M 0.93 5.05 N/A N/A 54,361 50,651 556,204 891,020 2019-09-18 $139.78 $142.00 14.5% 4.2% 16.2% 71.6% 15.1% 0.5% -0.2% -162.5M 836.9M -14.6M 0.68 8.09 N/A N/A 66,481 44,928 575,554 905,316 2019-09-19 $140.32 $142.00 14.1% 4.1% 16.3% 67.8% 14.4% 0.1% -0.3% -115.3M 450.0M -14.5M 0.93 4.32 N/A N/A 48,515 45,214 585,590 911,771 2019-09-20 $141.97 $142.00 14.7% 4.2% 16.7% 73.9% 14.9% -0.4% -0.0% -156.6M -761.3M -14.1M 0.56 6.19 N/A N/A 55,812 31,474 605,867 932,901 2019-09-23 $141.78 $142.00 14.4% 4.2% 15.6% 70.9% 15.0% -0.3% 0.4% -83.3M -601.0M -14.2M 0.64 3.86 N/A N/A 72,159 46,199 405,798 636,436 2019-09-24 $143.75 $142.00 14.5% 4.3% 16.5% 71.7% 15.1% -0.6% 0.5% -25.2M -1.39B -13.0M 0.63 4.74 N/A N/A 47,859 30,269 390,339 652,927 2019-09-25 $141.51 $142.00 14.1% 4.2% 16.3% 67.0% 14.8% -0.3% 0.4% -150.1M -206.1M -13.9M 1.22 4.64 N/A N/A 37,748 46,080 398,384 664,958 2019-09-26 $142.33 $142.00 14.3% 4.2% 16.5% 69.3% 15.1% -0.3% 0.3% -122.4M -635.9M -13.9M 2.57 5.64 N/A N/A 18,464 47,447 407,116 683,996 2019-09-27 $142.61 $142.00 14.2% 4.1% 16.6% 68.8% 14.7% -0.5% 0.4% -126.5M -850.5M -13.3M 1.05 3.79 N/A N/A 26,486 27,873 407,201 691,314 2019-09-30 $142.94 $142.00 14.4% 4.2% 16.6% 70.5% 14.8% -0.5% -0.5% -91.0M -962.0M -12.4M 0.50 2.93 N/A N/A 31,544 15,806 374,314 665,130
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