TLT Options History — March 2020 In March 2020, TLT traded between $146.16 and $172.72. ATM implied volatility averaged 33.1%, placing in the 72.6% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 7.1% (HV 20d: 40.3%). Max pain ranged from $147.00 to $152.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.84.
Notable Days 2020-03-06 : Highest Volume — 420,270 contracts2020-03-06 : Largest IV spike — 112.7% change2020-03-06 : Highest IV Rank — 100.0%2020-03-19 : Largest Expected Move — 13.4%Monthly Statistics Metric Avg Min Max Open Close Price $160.13 $146.16 $172.72 $154.24 $165.49 Max Pain $149.77 $147.00 $152.00 $147.00 $152.00 ATM IV 33.1% 16.6% 48.3% 20.1% 24.5% Expected Move 9.2% 5.0% 13.4% 6.3% 6.9% HV 20d 40.3% 14.5% 57.8% 15.3% 57.6% HV 60d 25.5% 13.1% 34.5% 13.2% 34.5% IV Rank 72.6% 37.6% 100.0% 86.3% 41.7% IV Percentile 97.8% 94.0% 100.0% 99.6% 94.0% Term Structure -0.3% -4.6% 3.7% -0.9% 0.3% VWIV 33.8% 17.8% 49.2% 22.0% 25.2% Skew 25d -4.2% -17.2% 5.8% -2.9% 0.1% Skew 10d -9.7% -35.3% 3.3% -5.5% 2.3% Call IV 25d 37.3% 17.5% 56.6% 22.1% 24.5% Put IV 25d 33.1% 16.0% 49.0% 19.2% 24.5% Bid-Ask Spread % 20.06 3.23 37.80 5.46 22.55 Gamma HHI 0.05 0.03 0.12 0.06 0.12 Net GEX 96.3M -28.7M 323.8M 113.7M 159.2M Net DEX -3.08B -6.11B 666.8M -2.91B -3.43B Net VEX -16.7M -23.4M -12.0M -12.2M -14.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.84 0.29 1.77 0.91 0.68 Total Volume 175,811.182 67,205 420,270 173,623 78,660 Total OI 1,195,619.727 924,819 1,386,249 989,934 1,082,293
Daily Data (22 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 2020-03-02 $154.24 $147.00 20.1% 6.3% 15.3% 86.3% 22.0% -2.9% -0.9% 113.7M -2.91B -12.2M 0.91 5.46 N/A N/A 90,968 82,655 421,347 568,587 2020-03-03 $155.83 $148.00 19.1% 6.1% 15.4% 79.6% 21.6% -1.6% -0.8% 138.2M -3.50B -12.0M 0.78 3.76 N/A N/A 164,691 129,039 459,746 601,221 2020-03-04 $154.76 $149.00 16.6% 5.0% 14.5% 62.1% 17.8% -1.5% -0.4% 125.4M -3.13B -12.4M 1.28 3.23 N/A N/A 65,839 84,557 524,592 644,105 2020-03-05 $158.50 $149.00 19.6% 5.2% 15.1% 82.7% 19.2% -2.0% -0.7% 177.6M -4.47B -12.6M 0.94 14.11 N/A N/A 106,644 99,903 554,654 680,719 2020-03-06 $166.33 $150.00 41.7% 10.5% 21.4% 100.0% 36.1% -12.3% -3.6% 96.0M -5.93B -15.5M 1.08 35.74 N/A N/A 201,837 218,433 585,657 725,837 2020-03-09 $172.72 $150.00 48.3% 12.6% 23.9% 100.0% 45.3% -10.5% -2.2% 52.1M -6.11B -15.4M 0.70 25.26 N/A N/A 127,676 88,863 546,978 732,074 2020-03-10 $163.90 $150.00 37.8% 10.1% 32.4% 74.4% 38.9% -9.5% -3.2% 38.2M -4.26B -17.5M 0.94 22.09 N/A N/A 110,257 103,551 574,589 737,487 2020-03-11 $159.32 $150.00 40.0% 10.9% 34.5% 79.8% 41.4% -10.8% -2.0% -768.5K -2.62B -20.7M 1.15 37.80 N/A N/A 88,889 101,797 606,460 734,220 2020-03-12 $156.68 $150.00 45.1% 12.1% 35.1% 92.4% 43.6% -17.2% -4.4% -28.7M -1.49B -23.4M 1.18 31.06 N/A N/A 74,893 88,637 645,076 741,173 2020-03-13 $155.05 $150.00 31.6% 8.4% 35.5% 59.1% 31.3% -1.2% -4.6% -20.2M -1.49B -19.7M 1.77 21.24 N/A N/A 84,396 149,422 665,224 716,880 2020-03-16 $163.64 $150.00 42.4% 11.9% 39.7% 85.8% 42.8% -16.0% 2.4% 75.5M -4.15B -19.8M 0.60 21.56 N/A N/A 77,263 46,325 640,330 681,944 2020-03-17 $155.11 $150.00 33.0% 9.3% 45.0% 62.5% 38.1% -9.0% 2.0% 62.9M -1.98B -18.8M 0.29 26.87 N/A N/A 147,006 43,315 658,933 626,426 2020-03-18 $146.16 $150.00 46.5% 13.3% 50.2% 95.7% 49.2% -4.8% 3.7% -11.0M 666.8M -20.3M 1.64 14.25 N/A N/A 78,535 129,001 730,173 621,994 2020-03-19 $148.37 $150.00 47.4% 13.4% 50.4% 97.8% 48.7% -0.5% 3.5% 35.3M 1.7M -20.2M 0.95 15.27 N/A N/A 63,214 60,261 737,100 600,462 2020-03-20 $156.42 $150.00 40.6% 11.4% 53.7% 81.1% 40.6% 0.6% 2.0% 123.1M -2.69B -19.5M 0.56 16.42 N/A N/A 81,847 46,144 739,989 601,794 2020-03-23 $166.12 $150.00 41.3% 12.2% 57.3% 83.1% 43.4% 2.2% 2.0% 87.3M -3.13B -17.9M 0.46 16.10 N/A N/A 111,942 51,516 507,540 417,279 2020-03-24 $164.04 $150.00 34.6% 9.2% 57.7% 66.5% 34.4% 5.8% -2.7% 111.6M -2.94B -17.1M 0.54 18.70 N/A N/A 43,514 23,691 543,665 437,722 2020-03-25 $162.61 $150.00 26.6% 7.4% 57.8% 46.8% 26.8% 0.4% 3.0% 117.9M -2.75B -15.6M 0.48 29.11 N/A N/A 107,026 50,943 546,584 444,872 2020-03-26 $163.40 $150.00 22.9% 6.8% 57.7% 37.7% 25.1% 0.6% 1.3% 172.1M -3.13B -14.7M 0.37 21.05 N/A N/A 90,342 33,326 597,259 473,614 2020-03-27 $167.59 $150.00 22.8% 6.6% 57.7% 37.6% 24.7% -1.1% 0.3% 323.8M -4.52B -14.0M 0.48 25.27 N/A N/A 69,646 33,226 616,055 483,429 2020-03-30 $166.49 $150.00 25.9% 7.6% 57.6% 45.2% 27.7% -0.6% -0.8% 169.4M -3.84B -13.9M 0.72 14.48 N/A N/A 80,166 57,990 577,974 469,577 2020-03-31 $165.49 $152.00 24.5% 6.9% 57.6% 41.7% 25.2% 0.1% 0.3% 159.2M -3.43B -14.0M 0.68 22.55 N/A N/A 46,717 31,943 589,928 492,365
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