TLT Options History — April 2020 In April 2020, TLT traded between $163.64 and $171.01. ATM implied volatility averaged 21.3%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 13.7% (HV 20d: 35.0%). Max pain ranged from $153.00 to $165.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.93.
Notable Days 2020-04-03 : Highest Volume — 161,677 contracts2020-04-03 : Largest IV drop — 15.5% change2020-04-02 : Highest IV Rank — 42.6%2020-04-01 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $167.87 $163.64 $171.01 $167.81 $167.39 Max Pain $160.67 $153.00 $165.00 $153.00 $165.00 ATM IV 21.3% 17.5% 24.8% 24.8% 17.6% Expected Move 6.1% 5.2% 7.4% 7.4% 5.2% HV 20d 35.0% 16.8% 57.6% 57.6% 16.8% HV 60d 34.9% 34.4% 35.3% 34.5% 35.2% IV Rank 34.0% 24.5% 42.6% 42.4% 24.9% IV Percentile 90.1% 83.7% 94.0% 94.0% 83.7% Term Structure -0.0% -0.8% 1.7% 0.1% 0.1% VWIV 22.9% 19.1% 28.6% 28.6% 20.2% Skew 25d -1.9% -4.3% 0.9% -2.1% -1.1% Skew 10d -4.6% -10.1% -0.4% -3.5% -1.5% Call IV 25d 23.6% 18.7% 27.7% 27.7% 18.7% Put IV 25d 21.6% 17.6% 26.2% 25.6% 17.6% Bid-Ask Spread % 19.12 6.01 31.18 15.78 8.08 Gamma HHI 0.10 0.06 0.18 0.14 0.07 Net GEX 124.3M 51.5M 247.0M 191.4M 51.5M Net DEX -2.91B -4.74B -1.44B -3.94B -1.44B Net VEX -11.5M -14.3M -9.7M -14.3M -9.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.93 0.23 2.09 0.76 0.23 Total Volume 73,759.619 30,632 161,677 113,814 91,454 Total OI 1,028,549 794,209 1,209,893 1,087,045 938,047
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 2020-04-01 $167.81 $153.00 24.8% 7.4% 57.6% 42.4% 28.6% -2.1% 0.1% 191.4M -3.94B -14.3M 0.76 15.78 N/A N/A 64,542 49,272 581,780 505,265 2020-04-02 $168.18 $155.00 24.8% 6.9% 57.2% 42.6% 25.7% -1.3% 0.0% 178.5M -3.97B -14.0M 1.43 27.58 N/A N/A 22,525 32,122 584,316 531,927 2020-04-03 $169.03 $157.00 21.0% 5.8% 54.6% 33.1% 21.3% -1.3% 0.1% 247.0M -4.33B -12.2M 0.55 27.52 N/A N/A 104,198 57,479 586,618 545,722 2020-04-06 $167.97 $158.00 20.5% 5.8% 52.9% 31.9% 21.9% -0.7% -0.0% 168.4M -3.97B -12.5M 1.78 31.18 N/A N/A 21,042 37,487 589,175 547,674 2020-04-07 $166.17 $158.00 21.4% 6.0% 49.5% 34.2% 22.1% -0.2% -0.8% 121.3M -3.34B -13.2M 2.09 26.26 N/A N/A 29,284 61,283 593,302 562,107 2020-04-08 $164.68 $158.00 21.6% 6.1% 48.5% 34.7% 22.9% 0.1% -0.1% 89.6M -2.86B -13.4M 0.34 25.73 N/A N/A 62,665 21,535 598,092 565,606 2020-04-09 $164.58 $159.00 20.8% 5.8% 48.0% 32.8% 22.3% 0.9% -0.7% 66.8M -2.83B -12.8M 0.76 27.08 N/A N/A 26,812 20,458 595,994 572,181 2020-04-13 $164.12 $159.00 20.3% 5.8% 47.8% 31.3% 21.7% -0.4% 0.4% 79.2M -2.71B -11.9M 1.74 23.48 N/A N/A 11,160 19,472 574,644 568,316 2020-04-14 $163.64 $159.00 19.0% 5.4% 43.8% 28.2% 20.2% -0.6% 1.7% 63.1M -2.55B -11.3M 0.80 18.73 N/A N/A 20,736 16,580 576,896 576,958 2020-04-15 $168.21 $159.00 21.7% 6.2% 40.0% 34.8% 22.3% -3.1% 0.4% 193.3M -4.15B -10.5M 0.57 13.52 N/A N/A 75,790 43,171 574,843 578,746 2020-04-16 $170.00 $159.00 22.2% 6.4% 32.2% 36.0% 22.4% -3.8% -0.4% 239.3M -4.74B -10.6M 1.02 16.31 N/A N/A 39,442 40,272 590,477 599,635 2020-04-17 $167.72 $160.00 23.8% 6.9% 32.9% 39.9% 24.9% -3.7% -0.8% 173.9M -3.77B -11.4M 1.14 27.31 N/A N/A 43,204 49,406 593,161 616,732 2020-04-20 $169.17 $163.00 23.1% 6.7% 28.0% 38.2% 24.5% -3.1% -0.6% 68.1M -2.01B -10.7M 1.06 11.10 N/A N/A 17,324 18,319 357,853 436,356 2020-04-21 $171.01 $164.00 23.8% 6.9% 18.8% 39.9% 25.0% -4.3% -0.4% 85.3M -2.35B -10.7M 0.68 24.49 N/A N/A 35,018 23,723 363,386 444,541 2020-04-22 $169.43 $164.00 23.1% 6.6% 18.5% 38.4% 25.9% -4.1% -0.2% 69.5M -2.05B -11.2M 0.78 22.05 N/A N/A 34,043 26,599 373,566 454,020 2020-04-23 $170.18 $164.00 22.3% 6.4% 18.1% 36.3% 22.8% -3.5% -0.4% 98.4M -2.24B -11.0M 0.75 10.90 N/A N/A 31,189 23,439 393,073 461,639 2020-04-24 $170.51 $165.00 21.3% 6.1% 18.1% 33.9% 24.8% -3.5% -0.1% 109.8M -2.33B -10.9M 0.28 8.60 N/A N/A 74,725 21,041 401,636 471,266 2020-04-27 $167.64 $165.00 19.6% 5.8% 17.1% 29.8% 21.7% -1.5% 0.1% 88.1M -1.61B -10.4M 0.52 15.65 N/A N/A 40,407 21,092 430,426 453,783 2020-04-28 $169.49 $165.00 17.8% 5.4% 17.3% 25.2% 19.7% -1.6% 0.3% 131.7M -2.11B -9.8M 0.93 6.01 N/A N/A 26,204 24,397 434,896 458,485 2020-04-29 $168.36 $165.00 17.5% 5.2% 17.4% 24.5% 19.1% -1.4% 0.3% 96.8M -1.78B -9.7M 1.32 14.08 N/A N/A 30,140 39,901 444,468 471,921 2020-04-30 $167.39 $165.00 17.6% 5.2% 16.8% 24.9% 20.2% -1.1% 0.1% 51.5M -1.44B -9.8M 0.23 8.08 N/A N/A 74,517 16,937 447,304 490,743
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