TLT Options History — February 2020

In February 2020, TLT traded between $141.94 and $155.86. ATM implied volatility averaged 13.7%, placing in the 60.5% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.0% (HV 20d: 12.6%). Max pain ranged from $140.00 to $145.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.80.

Notable Days

  • 2020-02-24: Highest Volume — 343,829 contracts
  • 2020-02-28: Largest IV spike — 29.2% change
  • 2020-02-28: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$146.56$141.94$155.86$145.42$155.86
Max Pain$141.84$140.00$145.00$140.00$145.00
ATM IV13.7%11.5%22.1%13.6%22.1%
Expected Move4.0%3.3%7.0%4.0%7.0%
HV 20d12.6%11.5%14.6%11.5%14.6%
HV 60d12.6%12.3%13.4%12.4%13.4%
IV Rank60.5%40.8%100.0%62.4%100.0%
IV Percentile78.2%59.9%100.0%82.5%100.0%
Term Structure-0.2%-0.7%0.2%-0.3%-0.7%
VWIV14.2%11.8%24.3%13.9%24.3%
Skew 25d-0.9%-2.7%-0.2%-0.9%-2.7%
Skew 10d-1.8%-4.9%-0.8%-2.2%-4.9%
Call IV 25d14.5%12.1%24.4%14.4%24.4%
Put IV 25d13.6%11.4%21.7%13.5%21.7%
Bid-Ask Spread %3.272.444.422.684.42
Gamma HHI0.100.050.370.050.07
Net GEX149.1M-209.4M579.9M35.5M151.5M
Net DEX-2.56B-4.48B-321.8M-2.16B-4.33B
Net VEX-10.2M-12.2M-9.0M-9.5M-11.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.291.811.220.51
Total Volume130,017.31662,978343,82963,844308,255
Total OI1,033,047.579823,3701,175,126946,6951,056,182

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$145.42$140.0013.6%4.0%11.5%62.4%13.9%-0.9%-0.3%35.5M-2.16B-9.5M1.222.68N/AN/A28,80835,036342,714603,981
2020-02-04$143.43$140.0012.5%3.5%12.6%51.3%12.4%-0.6%-0.2%-84.9M-1.22B-10.0M1.812.82N/AN/A30,38955,096347,715621,698
2020-02-05$141.94$140.0012.1%3.5%13.1%46.7%12.3%-0.6%-0.1%-209.4M-321.8M-10.9M0.372.79N/AN/A98,35736,816357,011633,907
2020-02-06$142.78$141.0011.6%3.3%12.6%42.2%11.8%-0.2%-0.2%-24.0M-1.24B-10.6M0.473.61N/AN/A43,97320,720417,528612,012
2020-02-07$144.32$141.0012.4%3.5%12.9%50.3%12.5%-0.9%-0.4%95.4M-2.35B-10.1M0.464.24N/AN/A80,79536,916435,538623,905
2020-02-10$144.88$141.0012.9%3.6%12.7%54.9%12.8%-0.9%-0.1%119.7M-2.43B-10.0M0.893.21N/AN/A33,24129,737421,487602,246
2020-02-11$144.25$141.0012.3%3.5%12.8%48.7%12.4%-0.8%-0.1%84.6M-2.11B-10.5M1.232.74N/AN/A29,23435,839435,877614,896
2020-02-12$143.36$141.0011.6%3.3%13.1%42.0%12.0%-0.7%-0.1%19.8M-1.66B-10.1M0.883.17N/AN/A34,19430,250442,134624,719
2020-02-13$143.92$141.0011.7%3.4%12.9%42.7%12.6%-0.6%0.0%111.5M-2.08B-9.8M0.293.14N/AN/A50,09014,542457,461620,255
2020-02-14$144.53$141.0011.5%3.3%12.8%40.8%11.9%-0.8%0.2%247.8M-2.64B-9.5M0.473.38N/AN/A59,20627,992490,386624,766
2020-02-18$145.56$141.0012.5%3.6%12.4%51.0%12.6%-0.7%-0.3%297.7M-3.07B-9.0M0.703.40N/AN/A53,63337,800481,863591,972
2020-02-19$145.47$141.0012.3%3.5%12.1%48.5%12.6%-0.5%-0.3%278.2M-2.97B-9.3M0.862.44N/AN/A39,21033,723496,619614,635
2020-02-20$146.64$141.0012.8%3.7%12.3%53.5%13.0%-0.8%-0.5%387.3M-3.66B-9.3M0.443.14N/AN/A81,91436,265511,467633,626
2020-02-21$148.15$141.0014.0%4.0%12.5%65.9%14.5%-1.0%-0.5%579.9M-4.48B-9.3M0.473.13N/AN/A165,84377,593519,478655,648
2020-02-24$150.28$144.0015.5%4.6%13.1%81.4%16.3%-1.0%-0.2%214.5M-2.97B-9.4M1.283.51N/AN/A150,670193,159378,968444,402
2020-02-25$151.42$145.0015.8%4.7%12.4%85.1%16.6%-1.3%-0.1%194.8M-3.22B-10.7M0.874.04N/AN/A102,18389,361417,590486,186
2020-02-26$150.67$145.0015.8%4.8%12.0%84.8%17.3%-0.6%-0.1%144.1M-2.65B-11.9M1.013.49N/AN/A71,54671,955437,687541,929
2020-02-27$151.83$145.0017.1%5.2%11.9%98.2%18.2%-0.8%-0.2%188.6M-3.12B-12.2M1.032.87N/AN/A71,83274,156464,820564,596
2020-02-28$155.86$145.0022.1%7.0%14.6%100.0%24.3%-2.7%-0.7%151.5M-4.33B-11.6M0.514.42N/AN/A203,507104,748471,028585,154