TLT Options History — May 2020

In May 2020, TLT traded between $162.36 and $167.72. ATM implied volatility averaged 16.8%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.1% (HV 20d: 16.9%). Max pain ranged from $160.00 to $167.50. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2020-05-06: Highest Volume — 130,341 contracts
  • 2020-05-06: Largest IV spike — 9.1% change
  • 2020-05-11: Highest IV Rank — 26.5%
  • 2020-05-11: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$164.69$162.36$167.72$167.72$163.86
Max Pain$161.07$160.00$167.50$167.50$162.00
ATM IV16.8%15.1%18.7%16.6%15.5%
Expected Move4.8%4.3%5.3%4.9%4.4%
HV 20d16.9%15.6%19.0%16.8%16.0%
HV 60d35.5%35.1%36.0%35.1%35.4%
IV Rank21.4%15.3%26.5%22.4%16.2%
IV Percentile78.2%67.5%84.1%82.1%71.4%
Term Structure0.1%-0.4%0.5%0.5%0.4%
VWIV17.6%15.7%19.2%18.5%15.8%
Skew 25d-0.4%-2.8%0.8%-0.7%0.3%
Skew 10d-1.1%-5.5%1.0%-2.0%0.0%
Call IV 25d17.9%15.4%20.1%17.9%16.0%
Put IV 25d17.5%15.6%19.9%17.2%16.3%
Bid-Ask Spread %5.993.689.717.423.81
Gamma HHI0.080.060.150.080.07
Net GEX15.9M-52.2M180.7M55.5M-52.2M
Net DEX-647.8M-1.56B147.2M-1.23B-789.3M
Net VEX-11.5M-13.0M-10.0M-10.0M-12.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.461.300.940.99
Total Volume78,427.5540,352130,34169,03346,998
Total OI970,919.9803,2901,116,073938,217976,067

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$167.72$167.5016.6%4.9%16.8%22.4%18.5%-0.7%0.5%55.5M-1.23B-10.0M0.947.42N/AN/A35,57733,456445,301492,916
2020-05-04$166.81$160.0017.4%5.0%16.8%24.4%18.8%-1.3%0.1%70.2M-957.8M-10.0M0.758.55N/AN/A36,90727,685428,772488,453
2020-05-05$166.08$160.0016.8%4.8%16.7%21.7%17.6%-0.0%0.1%55.6M-748.2M-10.1M0.967.64N/AN/A33,33732,146446,647502,085
2020-05-06$163.51$160.0018.3%5.2%17.2%25.5%19.1%0.7%-0.1%-18.2M36.3M-11.4M1.128.21N/AN/A61,43568,906460,677515,023
2020-05-07$166.17$160.0017.9%5.2%17.9%24.6%18.8%0.0%0.1%94.4M-993.8M-11.1M1.047.30N/AN/A46,69848,678482,606520,262
2020-05-08$163.88$160.0017.8%5.1%18.6%24.3%18.4%0.8%0.4%-20.9M-113.6M-11.6M0.947.14N/AN/A30,43728,607499,327540,303
2020-05-11$162.67$160.0018.7%5.3%18.7%26.5%19.2%0.8%-0.2%-14.3M147.2M-11.4M1.085.33N/AN/A43,49747,032486,019526,311
2020-05-12$164.18$160.0017.6%4.9%19.0%23.7%18.5%-0.3%-0.3%28.4M-375.7M-11.2M0.936.96N/AN/A31,44629,261500,369545,714
2020-05-13$165.47$160.0017.6%4.9%16.4%23.8%17.9%-2.1%-0.4%72.1M-909.1M-10.7M0.469.71N/AN/A62,56728,732507,590549,652
2020-05-14$167.11$160.0017.3%4.9%16.3%22.9%17.8%-2.8%-0.2%180.7M-1.56B-10.6M0.515.39N/AN/A83,99242,998531,486553,926
2020-05-15$166.68$160.0016.7%4.7%15.6%21.4%17.5%-2.1%-0.1%46.5M-1.25B-10.7M1.254.67N/AN/A39,04648,861546,085569,988
2020-05-18$162.72$160.0017.4%5.0%17.4%23.3%18.1%0.2%0.1%-51.9M-2.5M-11.3M0.835.35N/AN/A43,77536,222346,158457,132
2020-05-19$163.50$160.0016.9%4.8%16.9%22.0%17.2%-0.1%-0.1%-42.7M-245.1M-11.1M0.565.12N/AN/A66,58537,509356,045466,252
2020-05-20$164.38$162.0016.6%4.8%16.9%21.4%17.9%-0.5%-0.0%-45.0M-633.9M-12.4M0.785.75N/AN/A64,93650,874394,796519,228
2020-05-21$164.61$162.0015.6%4.5%16.8%18.0%15.9%-0.7%-0.1%-20.2M-876.1M-13.0M0.625.25N/AN/A42,77826,336425,011533,417
2020-05-22$165.41$162.0015.3%4.4%16.9%16.7%15.9%-0.8%0.2%74.9M-1.32B-13.0M0.783.68N/AN/A29,88023,339445,743544,279
2020-05-26$163.48$162.0015.6%4.4%16.3%17.3%15.8%0.2%0.4%-13.8M-563.8M-12.7M0.684.74N/AN/A23,98116,371411,965516,742
2020-05-27$163.14$162.0015.4%4.4%15.7%16.0%16.7%0.1%0.3%-32.8M-428.8M-12.3M1.303.87N/AN/A23,33230,229418,219523,035
2020-05-28$162.36$162.0015.1%4.3%15.6%15.3%15.7%0.6%0.2%-48.6M-142.8M-12.3M1.243.94N/AN/A28,61735,488433,499511,298
2020-05-29$163.86$162.0015.5%4.4%16.0%16.2%15.8%0.3%0.4%-52.2M-789.3M-12.3M0.993.81N/AN/A23,61323,385443,825532,242