TLT Options History — October 2019 In October 2019, TLT traded between $137.25 and $145.97. ATM implied volatility averaged 13.1%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 0.6% (HV 20d: 13.7%). Max pain ranged from $141.00 to $143.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.54.
Notable Days 2019-10-31 : Highest Volume — 229,958 contracts2019-10-03 : Largest IV drop — 6.6% change2019-10-01 : Highest IV Rank — 76.5%2019-10-02 : Largest Expected Move — 4.3%Monthly Statistics Metric Avg Min Max Open Close Price $141.06 $137.25 $145.97 $143.11 $141.44 Max Pain $142.00 $141.00 $143.00 $142.00 $141.00 ATM IV 13.1% 11.1% 15.0% 15.0% 11.5% Expected Move 3.8% 3.4% 4.3% 4.3% 3.5% HV 20d 13.7% 11.3% 16.7% 16.6% 13.6% HV 60d 15.0% 14.5% 15.5% 14.7% 15.2% IV Rank 56.9% 36.7% 76.5% 76.5% 40.7% IV Percentile 81.0% 69.0% 93.7% 93.7% 73.4% Term Structure -0.2% -0.5% 0.3% -0.5% 0.3% VWIV 13.4% 12.1% 15.2% 15.2% 12.3% Skew 25d 0.0% -0.5% 0.5% -0.4% -0.4% Skew 10d -0.2% -1.9% 1.1% -1.5% -0.4% Call IV 25d 13.3% 11.2% 15.5% 15.5% 11.6% Put IV 25d 13.3% 11.2% 15.1% 15.1% 11.2% Bid-Ask Spread % 4.76 2.15 10.21 5.30 4.18 Gamma HHI 0.09 0.05 0.17 0.07 0.06 Net GEX -220.3M -488.2M 111.8M -73.8M 111.8M Net DEX 160.0M -2.18B 1.89B -867.5M -1.55B Net VEX -12.0M -13.0M -11.0M -12.7M -11.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.54 0.63 3.27 1.26 0.63 Total Volume 106,401.826 39,484 229,958 100,430 229,958 Total OI 1,111,614.217 962,524 1,254,624 1,036,757 1,132,369
Daily Data (23 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 2019-10-01 $143.11 $142.00 15.0% 4.3% 16.6% 76.5% 15.2% -0.4% -0.5% -73.8M -867.5M -12.7M 1.26 5.30 N/A N/A 44,408 56,022 366,032 670,725 2019-10-02 $143.57 $143.00 15.0% 4.3% 16.7% 76.3% 15.2% -0.4% -0.5% -38.1M -1.08B -12.6M 1.02 4.07 N/A N/A 31,071 31,663 378,123 672,918 2019-10-03 $144.89 $143.00 14.0% 3.9% 16.1% 66.2% 13.5% -0.3% -0.4% 17.4M -1.71B -11.9M 1.61 4.25 N/A N/A 41,239 66,265 381,891 683,245 2019-10-04 $145.97 $143.00 13.8% 3.8% 16.1% 63.7% 13.6% -0.2% -0.2% 39.4M -2.18B -11.2M 1.66 4.01 N/A N/A 46,939 77,873 383,416 705,761 2019-10-07 $144.83 $143.00 13.8% 3.9% 15.1% 64.4% 13.7% -0.3% -0.2% -88.6M -1.44B -11.7M 2.03 3.05 N/A N/A 21,537 43,751 375,944 724,596 2019-10-08 $145.14 $143.00 13.8% 3.9% 13.7% 63.9% 13.7% -0.2% -0.3% -88.0M -1.51B -11.7M 3.20 9.73 N/A N/A 20,399 65,211 386,251 750,789 2019-10-09 $144.15 $143.00 13.5% 3.8% 13.9% 60.7% 13.5% 0.0% -0.2% -254.4M -843.2M -11.9M 3.27 10.21 N/A N/A 17,738 57,974 391,327 785,815 2019-10-10 $142.24 $143.00 13.7% 3.9% 14.5% 62.8% 13.7% -0.2% -0.1% -414.9M 530.8M -12.7M 2.23 6.56 N/A N/A 49,486 110,342 396,372 805,202 2019-10-11 $140.30 $143.00 13.9% 3.9% 13.7% 64.9% 13.8% -0.5% -0.5% -410.4M 1.89B -13.0M 1.24 6.25 N/A N/A 86,845 107,714 410,032 819,751 2019-10-14 $141.49 $143.00 13.4% 3.8% 13.4% 60.1% 13.5% 0.3% -0.2% -296.6M 464.1M -11.8M 1.56 2.77 N/A N/A 26,110 40,669 404,615 782,294 2019-10-15 $139.65 $143.00 13.3% 3.8% 14.2% 59.1% 13.4% 0.4% -0.1% -418.6M 1.53B -12.0M 1.12 3.84 N/A N/A 41,254 46,030 412,547 770,653 2019-10-16 $139.86 $143.00 13.4% 3.8% 14.1% 60.2% 13.4% 0.5% -0.1% -425.3M 1.28B -12.0M 1.40 8.81 N/A N/A 46,959 65,647 431,063 776,709 2019-10-17 $139.65 $141.00 13.2% 3.8% 14.1% 58.2% 13.5% 0.2% -0.4% -488.2M 1.20B -12.3M 1.83 3.07 N/A N/A 39,488 72,193 439,093 777,498 2019-10-18 $139.57 $141.00 13.2% 3.8% 13.4% 57.9% 13.5% 0.1% -0.2% -277.4M 1.18B -12.7M 1.48 2.15 N/A N/A 29,171 43,315 463,714 790,910 2019-10-21 $138.54 $141.00 13.4% 3.9% 13.6% 60.0% 13.7% 0.1% -0.5% -255.0M 1.02B -12.2M 1.68 3.12 N/A N/A 49,626 83,327 350,521 612,003 2019-10-22 $139.38 $141.00 13.0% 3.8% 12.7% 56.2% 13.4% 0.0% -0.4% -226.9M 475.1M -12.5M 1.10 3.17 N/A N/A 18,789 20,695 372,965 632,120 2019-10-23 $139.42 $141.00 12.4% 3.6% 11.5% 49.7% 12.6% -0.1% -0.3% -230.6M 374.7M -11.9M 1.63 4.91 N/A N/A 35,989 58,717 375,665 628,162 2019-10-24 $139.07 $141.00 11.8% 3.4% 11.3% 44.3% 12.4% 0.3% 0.3% -241.8M 605.6M -11.6M 0.92 5.77 N/A N/A 44,563 40,868 390,437 634,395 2019-10-25 $138.46 $141.00 11.7% 3.4% 11.3% 42.8% 12.1% 0.5% -0.4% -238.9M 1.04B -11.9M 1.17 3.45 N/A N/A 33,909 39,644 411,000 658,257 2019-10-28 $137.25 $141.00 11.8% 3.5% 11.5% 43.9% 12.5% 0.5% 0.2% -315.9M 1.61B -11.5M 1.51 3.34 N/A N/A 63,167 95,439 392,525 635,852 2019-10-29 $137.36 $141.00 11.5% 3.5% 11.4% 40.4% 12.6% 0.4% 0.2% -327.2M 1.54B -12.2M 0.90 3.09 N/A N/A 41,858 37,541 425,824 671,668 2019-10-30 $139.10 $141.00 11.1% 3.4% 12.5% 36.7% 12.2% 0.3% 0.3% -125.1M 125.5M -11.5M 0.93 4.29 N/A N/A 65,092 60,747 447,587 658,491 2019-10-31 $141.44 $141.00 11.5% 3.5% 13.6% 40.7% 12.3% -0.4% 0.3% 111.8M -1.55B -11.0M 0.63 4.18 N/A N/A 140,785 89,173 456,467 675,902
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