TLT Options History — November 2019 In November 2019, TLT traded between $134.96 and $141.12. ATM implied volatility averaged 11.8%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 2.1% (HV 20d: 13.9%). Max pain ranged from $138.00 to $141.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.20.
Notable Days 2019-11-07 : Highest Volume — 236,805 contracts2019-11-07 : Largest IV spike — 14.3% change2019-11-07 : Highest IV Rank — 57.0%2019-11-07 : Largest Expected Move — 3.9%Monthly Statistics Metric Avg Min Max Open Close Price $138.37 $134.96 $141.12 $140.47 $140.38 Max Pain $138.35 $138.00 $141.00 $141.00 $138.00 ATM IV 11.8% 10.7% 13.1% 11.0% 11.0% Expected Move 3.5% 3.3% 3.9% 3.4% 3.4% HV 20d 13.9% 12.2% 14.8% 13.3% 12.2% HV 60d 14.5% 13.8% 15.5% 15.3% 13.8% IV Rank 43.8% 32.9% 57.0% 35.8% 35.5% IV Percentile 70.8% 57.9% 79.0% 66.7% 59.9% Term Structure -0.0% -0.6% 0.5% 0.4% 0.0% VWIV 12.4% 11.6% 13.7% 12.2% 12.2% Skew 25d 0.4% -0.2% 1.3% -0.2% 0.2% Skew 10d 0.4% -0.7% 2.7% 0.2% 0.0% Call IV 25d 11.8% 10.9% 12.8% 11.1% 11.1% Put IV 25d 12.2% 10.9% 13.9% 10.9% 11.3% Bid-Ask Spread % 4.73 1.61 8.80 2.72 3.06 Gamma HHI 0.09 0.05 0.23 0.06 0.06 Net GEX -97.8M -404.7M 292.4M -1.3M -13.1M Net DEX 147.5M -1.77B 2.61B -251.5M -1.13B Net VEX -11.2M -12.4M -9.6M -11.5M -9.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.20 0.48 2.22 1.96 1.76 Total Volume 100,873.4 40,561 236,805 145,337 53,638 Total OI 1,105,510.45 978,387 1,271,993 1,107,967 1,029,557
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 2019-11-01 $140.47 $141.00 11.0% 3.4% 13.3% 35.8% 12.2% -0.2% 0.4% -1.3M -251.5M -11.5M 1.96 2.72 N/A N/A 49,072 96,265 422,564 685,403 2019-11-04 $138.71 $140.00 11.3% 3.3% 13.7% 39.1% 11.9% 0.2% 0.0% -221.2M 851.7M -11.5M 2.13 8.80 N/A N/A 24,913 52,984 423,587 668,175 2019-11-05 $137.17 $140.00 11.6% 3.4% 13.9% 41.6% 12.0% 0.2% 0.0% -367.1M 1.80B -11.6M 0.87 8.55 N/A N/A 102,239 89,273 434,709 676,567 2019-11-06 $138.11 $138.00 11.5% 3.4% 14.3% 40.3% 12.1% 0.2% 0.2% -247.2M 842.9M -12.0M 0.88 4.65 N/A N/A 41,664 36,616 460,614 682,393 2019-11-07 $135.69 $138.00 13.1% 3.9% 14.8% 57.0% 13.5% 1.3% 0.1% -390.7M 2.51B -12.4M 0.86 6.56 N/A N/A 127,170 109,635 478,652 677,844 2019-11-08 $134.96 $138.00 12.8% 3.8% 14.2% 54.3% 13.3% 1.3% 0.2% -370.0M 2.61B -12.2M 1.75 3.29 N/A N/A 47,857 83,700 531,736 671,941 2019-11-11 $135.08 $138.00 13.1% 3.8% 13.7% 56.6% 13.7% 1.1% 0.1% -404.7M 2.44B -12.1M 1.04 1.61 N/A N/A 24,406 25,395 523,911 673,654 2019-11-12 $135.72 $138.00 12.8% 3.7% 13.3% 53.9% 13.4% 1.0% -0.0% -367.7M 1.79B -11.8M 1.29 3.82 N/A N/A 44,368 57,165 533,653 664,810 2019-11-13 $136.36 $138.00 12.4% 3.6% 13.5% 49.7% 12.7% 0.8% 0.1% -379.1M 1.31B -12.0M 1.06 3.54 N/A N/A 48,717 51,826 546,242 683,802 2019-11-14 $137.72 $138.00 12.3% 3.6% 14.0% 49.1% 13.0% 0.4% 0.5% -146.6M 102.5M -11.7M 0.99 7.63 N/A N/A 73,105 72,500 556,150 686,534 2019-11-15 $137.69 $138.00 11.7% 3.4% 14.0% 42.7% 12.2% 0.3% 0.5% -74.3M 156.1M -11.2M 1.16 8.26 N/A N/A 49,777 57,665 563,089 708,904 2019-11-18 $137.99 $138.00 11.8% 3.4% 13.8% 44.1% 12.0% 0.4% -0.6% -73.6M -294.5M -11.2M 1.24 3.83 N/A N/A 31,832 39,402 408,129 586,580 2019-11-19 $139.04 $138.00 11.6% 3.3% 13.9% 41.6% 11.9% 0.3% -0.5% 64.2M -929.0M -10.9M 0.58 3.38 N/A N/A 45,774 26,753 421,314 595,809 2019-11-20 $140.51 $138.00 12.0% 3.5% 14.4% 46.3% 12.4% 0.0% -0.4% 188.8M -1.74B -10.6M 0.77 3.32 N/A N/A 79,470 61,366 425,368 602,703 2019-11-21 $139.64 $138.00 11.6% 3.3% 14.6% 41.7% 12.0% 0.1% -0.5% 142.5M -1.23B -10.6M 0.94 7.20 N/A N/A 47,071 44,131 437,272 611,330 2019-11-22 $139.94 $138.00 11.3% 3.3% 14.5% 39.2% 11.7% -0.0% -0.5% 292.4M -1.34B -10.5M 0.48 4.02 N/A N/A 38,511 18,523 427,663 632,082 2019-11-25 $140.29 $138.00 11.3% 3.4% 14.1% 38.6% 11.9% 0.1% -0.2% 120.7M -1.33B -10.1M 0.70 3.76 N/A N/A 23,817 16,744 401,646 576,741 2019-11-26 $141.12 $138.00 11.1% 3.3% 14.2% 36.4% 11.8% -0.1% -0.0% 183.8M -1.77B -9.6M 1.25 3.84 N/A N/A 35,213 44,123 404,372 582,964 2019-11-27 $140.74 $138.00 10.7% 3.3% 13.6% 32.9% 11.6% 0.1% 0.1% 108.6M -1.45B -9.8M 2.22 2.76 N/A N/A 13,914 30,874 407,055 604,690 2019-11-29 $140.38 $138.00 11.0% 3.4% 12.2% 35.5% 12.2% 0.2% 0.0% -13.1M -1.13B -9.7M 1.76 3.06 N/A N/A 19,461 34,177 408,317 621,240
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