TLT Options History — December 2019 In December 2019, TLT traded between $135.50 and $141.04. ATM implied volatility averaged 11.3%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 1.9% (HV 20d: 13.2%). Max pain ranged from $138.00 to $140.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.40.
Notable Days 2019-12-03 : Highest Volume — 216,689 contracts2019-12-13 : Largest IV drop — 8.6% change2019-12-09 : Highest IV Rank — 51.9%2019-12-03 : Largest Expected Move — 4.0%Monthly Statistics Metric Avg Min Max Open Close Price $137.86 $135.50 $141.04 $138.39 $135.50 Max Pain $138.76 $138.00 $140.00 $138.00 $138.00 ATM IV 11.3% 10.3% 12.6% 11.4% 11.3% Expected Move 3.4% 3.0% 4.0% 3.7% 3.4% HV 20d 13.2% 12.0% 14.1% 13.0% 12.6% HV 60d 13.4% 12.8% 14.2% 14.0% 12.8% IV Rank 39.1% 28.7% 51.9% 40.1% 38.4% IV Percentile 62.8% 50.8% 76.2% 67.1% 63.1% Term Structure 0.1% -0.3% 0.3% 0.1% 0.2% VWIV 11.9% 10.3% 14.4% 13.2% 12.1% Skew 25d 0.1% -0.3% 0.5% 0.4% 0.4% Skew 10d 0.2% -0.7% 1.3% 0.9% 0.5% Call IV 25d 11.5% 10.4% 13.0% 11.5% 11.3% Put IV 25d 11.6% 10.8% 12.8% 11.9% 11.6% Bid-Ask Spread % 3.27 2.00 7.23 3.28 2.82 Gamma HHI 0.09 0.06 0.15 0.06 0.08 Net GEX -184.9M -464.9M 77.9M -102.3M -119.5M Net DEX 600.2M -1.23B 1.89B 234.3M 1.33B Net VEX -10.1M -11.0M -9.2M -10.0M -9.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.40 0.37 4.18 0.74 0.37 Total Volume 94,206.524 22,645 216,689 78,639 71,263 Total OI 1,040,192.048 902,137 1,205,900 914,177 921,795
Daily Data (21 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 2019-12-02 $138.39 $138.00 11.4% 3.7% 13.0% 40.1% 13.2% 0.4% 0.1% -102.3M 234.3M -10.0M 0.74 3.28 N/A N/A 45,124 33,515 351,930 562,247 2019-12-03 $141.04 $138.00 12.3% 4.0% 14.0% 48.7% 14.4% -0.0% 0.0% 77.9M -1.23B -9.8M 1.06 5.42 N/A N/A 105,132 111,557 368,670 563,318 2019-12-04 $139.74 $138.00 11.8% 3.8% 13.8% 43.5% 13.5% -0.0% 0.0% -159.6M -57.7M -10.9M 2.24 7.23 N/A N/A 35,870 80,325 381,508 638,661 2019-12-05 $139.15 $139.00 12.0% 3.4% 13.7% 45.9% 12.3% 0.1% 0.1% -118.6M 96.4M -10.9M 4.18 2.48 N/A N/A 28,536 119,393 390,668 622,354 2019-12-06 $138.28 $139.00 12.1% 3.5% 12.3% 47.3% 12.6% -0.1% 0.2% -244.4M 803.7M -11.0M 1.37 2.00 N/A N/A 26,680 36,474 400,724 682,065 2019-12-09 $138.62 $139.00 12.6% 3.7% 12.0% 51.9% 13.0% -0.2% 0.2% -169.3M 348.8M -10.5M 1.27 2.28 N/A N/A 19,085 24,181 389,410 650,763 2019-12-10 $138.74 $139.00 12.5% 3.6% 12.0% 51.3% 13.2% -0.1% 0.1% -169.9M 291.3M -10.3M 2.46 2.94 N/A N/A 26,828 66,132 394,545 660,074 2019-12-11 $139.75 $139.00 12.2% 3.5% 12.2% 47.8% 12.5% 0.1% 0.1% -125.5M -356.4M -10.4M 2.43 2.82 N/A N/A 27,264 66,244 408,354 703,868 2019-12-12 $137.43 $139.00 11.9% 3.4% 13.7% 45.0% 12.2% -0.1% 0.1% -397.5M 1.50B -10.5M 1.18 4.71 N/A N/A 78,622 92,718 411,407 729,613 2019-12-13 $138.94 $139.00 10.9% 3.2% 13.8% 34.5% 11.4% 0.3% 0.1% -245.8M -48.9M -10.0M 1.19 4.67 N/A N/A 60,334 71,956 441,069 714,919 2019-12-16 $137.78 $139.00 10.8% 3.1% 14.1% 34.0% 11.1% 0.0% -0.3% -239.9M 610.9M -9.2M 1.09 2.21 N/A N/A 69,833 76,108 420,630 661,920 2019-12-17 $137.61 $140.00 10.5% 3.0% 14.1% 31.2% 10.7% -0.3% -0.1% -240.1M 847.2M -10.0M 1.15 2.63 N/A N/A 23,802 27,256 463,433 698,475 2019-12-18 $136.54 $140.00 10.9% 3.1% 14.1% 34.6% 11.2% 0.1% -0.1% -464.9M 1.83B -9.7M 1.51 3.31 N/A N/A 38,306 57,691 471,829 700,922 2019-12-19 $136.47 $140.00 10.6% 3.0% 13.4% 31.3% 10.7% 0.3% -0.2% -435.3M 1.89B -9.9M 0.92 3.13 N/A N/A 33,010 30,381 482,436 723,464 2019-12-20 $136.64 $140.00 10.3% 3.0% 13.3% 28.7% 10.3% 0.5% -0.0% -243.5M 1.64B -10.1M 1.23 2.60 N/A N/A 68,164 83,589 493,120 711,847 2019-12-23 $136.42 $138.00 10.6% 3.1% 13.3% 31.3% 10.8% 0.5% 0.1% -163.8M 897.3M -10.1M 0.90 2.37 N/A N/A 25,606 23,103 360,513 548,770 2019-12-24 $136.68 $138.00 10.8% 3.2% 13.2% 33.5% 11.2% 0.3% 0.1% -129.8M 697.1M -10.3M 1.12 3.46 N/A N/A 10,686 11,959 375,274 555,803 2019-12-26 $137.08 $138.00 10.8% 3.2% 13.1% 34.1% 11.4% 0.3% 0.1% -92.1M 454.2M -10.0M 0.82 2.97 N/A N/A 21,046 17,348 378,242 558,010 2019-12-27 $137.39 $138.00 10.6% 3.1% 13.1% 31.5% 11.0% 0.3% 0.1% -13.6M 172.6M -9.8M 1.39 2.80 N/A N/A 25,307 35,257 384,327 564,919 2019-12-30 $136.81 $138.00 11.1% 3.3% 13.2% 36.5% 11.8% 0.2% 0.3% -85.8M 648.7M -9.6M 0.68 2.62 N/A N/A 43,275 29,377 363,886 538,251 2019-12-31 $135.50 $138.00 11.3% 3.4% 12.6% 38.4% 12.1% 0.4% 0.2% -119.5M 1.33B -9.2M 0.37 2.82 N/A N/A 51,929 19,334 381,029 540,766
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