TLT Options History — January 2020 In January 2020, TLT traded between $136.44 and $145.82. ATM implied volatility averaged 11.4%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 0.4% (HV 20d: 11.8%). Max pain ranged from $137.00 to $140.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.11.
Notable Days 2020-01-14 : Highest Volume — 287,857 contracts2020-01-27 : Largest IV spike — 12.4% change2020-01-31 : Highest IV Rank — 67.8%2020-01-31 : Largest Expected Move — 4.2%Monthly Statistics Metric Avg Min Max Open Close Price $140.09 $136.44 $145.82 $137.01 $145.82 Max Pain $138.10 $137.00 $140.00 $138.00 $140.00 ATM IV 11.4% 10.0% 14.1% 11.2% 14.1% Expected Move 3.3% 2.8% 4.2% 3.4% 4.2% HV 20d 11.8% 10.6% 13.1% 11.2% 12.1% HV 60d 12.9% 12.6% 13.3% 13.0% 12.6% IV Rank 39.9% 25.0% 67.8% 37.4% 67.8% IV Percentile 62.1% 41.7% 87.3% 61.9% 87.3% Term Structure -0.0% -0.3% 0.4% 0.3% 0.4% VWIV 11.6% 9.9% 14.3% 12.0% 14.3% Skew 25d -0.5% -1.6% 0.2% 0.2% -1.6% Skew 10d -1.0% -2.7% 0.4% 0.4% -2.7% Call IV 25d 11.9% 10.2% 15.0% 11.2% 15.0% Put IV 25d 11.4% 10.2% 13.5% 11.4% 13.5% Bid-Ask Spread % 3.28 2.45 4.85 2.48 3.35 Gamma HHI 0.09 0.05 0.39 0.08 0.06 Net GEX 1.3M -530.5M 162.9M -23.5M 129.4M Net DEX -1.05B -3.11B 1.19B 280.1M -3.11B Net VEX -9.4M -10.9M -8.4M -9.3M -9.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.11 0.41 2.61 0.89 0.89 Total Volume 119,065.952 58,063 287,857 87,719 131,617 Total OI 956,055.571 753,638 1,173,789 939,847 1,024,547
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 2020-01-02 $137.01 $138.00 11.2% 3.4% 11.2% 37.4% 12.0% 0.2% 0.3% -23.5M 280.1M -9.3M 0.89 2.48 N/A N/A 46,521 41,198 395,472 544,375 2020-01-03 $138.99 $138.00 11.9% 3.6% 12.1% 45.0% 12.8% -0.3% 0.2% 123.8M -1.03B -9.5M 0.91 4.71 N/A N/A 64,923 58,991 389,857 558,544 2020-01-06 $138.36 $137.00 11.8% 3.3% 12.1% 44.3% 12.0% -0.3% -0.1% -25.4M -315.1M -9.3M 1.12 4.24 N/A N/A 54,825 61,555 372,025 564,275 2020-01-07 $137.68 $137.00 11.7% 3.3% 12.1% 42.5% 11.7% -0.2% -0.1% -116.5M 293.1M -9.2M 0.71 4.85 N/A N/A 45,703 32,507 375,694 578,577 2020-01-08 $136.44 $137.00 11.7% 3.2% 12.4% 43.2% 11.6% -0.2% -0.1% -171.5M 1.19B -9.1M 0.96 4.82 N/A N/A 52,178 50,228 395,659 583,111 2020-01-09 $137.18 $137.00 11.1% 3.1% 12.6% 37.2% 11.2% -0.4% -0.1% -124.6M 666.6M -9.1M 1.39 3.22 N/A N/A 65,136 90,842 401,597 587,627 2020-01-10 $138.39 $137.00 10.5% 3.0% 12.7% 30.9% 10.6% -0.1% -0.0% -62.2M -370.5M -9.3M 1.58 2.81 N/A N/A 50,329 79,484 431,161 642,723 2020-01-13 $137.96 $137.00 10.3% 2.9% 11.3% 28.4% 10.4% -0.0% -0.2% -69.5M 19.7M -9.1M 1.09 2.84 N/A N/A 35,363 38,599 417,268 646,622 2020-01-14 $138.64 $137.00 10.0% 2.8% 10.7% 25.9% 9.9% -0.0% -0.1% -4.9M -666.7M -8.8M 0.95 2.71 N/A N/A 147,976 139,881 415,229 664,500 2020-01-15 $139.72 $138.00 10.3% 3.0% 10.6% 28.7% 10.4% -0.3% 0.0% 162.9M -1.64B -9.7M 0.88 3.25 N/A N/A 43,975 38,497 425,693 673,551 2020-01-16 $139.06 $138.00 10.1% 2.9% 10.7% 27.0% 10.7% -0.2% -0.1% 63.2M -988.7M -10.0M 0.41 3.12 N/A N/A 76,558 31,573 430,553 689,777 2020-01-17 $138.03 $138.00 10.0% 2.8% 10.7% 25.0% 10.0% -0.0% -0.3% -530.5M -82.7M -10.9M 1.19 2.77 N/A N/A 54,265 64,304 470,218 703,571 2020-01-21 $139.40 $138.00 10.7% 3.1% 11.2% 32.8% 10.8% -0.4% 0.0% 24.3M -864.8M -10.3M 0.79 3.16 N/A N/A 32,397 25,666 341,304 412,334 2020-01-22 $139.96 $138.00 10.6% 3.0% 11.2% 31.8% 10.6% -0.7% -0.0% 73.6M -1.22B -9.9M 1.25 2.87 N/A N/A 31,093 38,719 345,014 422,807 2020-01-23 $140.97 $138.00 11.0% 3.2% 11.4% 35.7% 11.1% -0.9% -0.2% 119.3M -1.69B -9.7M 0.96 3.25 N/A N/A 58,405 55,793 349,276 444,635 2020-01-24 $141.97 $138.00 11.3% 3.3% 11.5% 39.1% 11.5% -0.9% -0.2% 125.7M -2.08B -9.4M 0.94 3.24 N/A N/A 84,266 79,064 355,142 468,615 2020-01-27 $144.18 $139.00 12.7% 3.7% 12.5% 53.4% 13.0% -1.0% 0.1% 125.7M -2.83B -8.4M 0.77 2.45 N/A N/A 68,219 52,520 363,476 465,175 2020-01-28 $142.99 $140.00 12.3% 3.6% 13.1% 49.3% 12.5% -0.9% 0.0% 67.4M -2.18B -9.0M 2.61 2.75 N/A N/A 29,577 77,235 366,568 484,363 2020-01-29 $144.40 $140.00 12.9% 3.8% 13.1% 54.6% 13.5% -1.1% 0.1% 78.0M -2.72B -8.5M 2.14 3.05 N/A N/A 47,128 100,783 370,786 525,344 2020-01-30 $144.69 $140.00 13.2% 3.9% 12.3% 58.6% 13.4% -1.1% 0.0% 62.9M -2.71B -9.4M 0.86 3.00 N/A N/A 65,764 56,728 383,920 596,182 2020-01-31 $145.82 $140.00 14.1% 4.2% 12.1% 67.8% 14.3% -1.6% 0.4% 129.4M -3.11B -9.2M 0.89 3.35 N/A N/A 69,776 61,841 395,612 628,935
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