TLT Options History — June 2020 In June 2020, TLT traded between $156.00 and $165.18. ATM implied volatility averaged 16.2%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 0.1% (HV 20d: 16.1%). Max pain ranged from $160.00 to $164.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.97.
Notable Days 2020-06-11 : Highest Volume — 183,737 contracts2020-06-30 : Largest IV drop — 6.0% change2020-06-16 : Highest IV Rank — 20.9%2020-06-03 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $161.40 $156.00 $165.18 $162.21 $163.99 Max Pain $161.66 $160.00 $164.00 $162.50 $162.00 ATM IV 16.2% 15.0% 17.3% 16.3% 15.0% Expected Move 4.6% 4.3% 5.4% 4.7% 4.3% HV 20d 16.1% 14.9% 17.5% 16.3% 15.6% HV 60d 23.3% 16.0% 35.2% 35.2% 16.0% IV Rank 18.0% 14.9% 20.9% 18.3% 14.9% IV Percentile 71.9% 57.5% 79.8% 75.8% 57.5% Term Structure 0.0% -0.7% 0.4% -0.3% 0.2% VWIV 16.8% 15.5% 19.9% 17.0% 15.5% Skew 25d 0.3% -0.8% 1.3% 0.0% -0.8% Skew 10d -0.1% -1.7% 2.3% -0.3% -1.7% Call IV 25d 16.6% 15.9% 17.6% 17.1% 15.9% Put IV 25d 16.9% 15.1% 18.3% 17.1% 15.1% Bid-Ask Spread % 6.91 3.55 13.77 4.78 3.55 Gamma HHI 0.09 0.05 0.15 0.05 0.05 Net GEX -25.0M -231.1M 268.2M -22.9M 122.0M Net DEX -257.3M -2.03B 2.17B -127.3M -1.31B Net VEX -11.6M -12.7M -10.0M -12.6M -10.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.97 0.26 2.17 1.10 0.74 Total Volume 87,377.091 30,271 183,737 30,271 118,687 Total OI 979,107.182 770,439 1,151,849 930,151 791,906
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 2020-06-01 $162.21 $162.50 16.3% 4.7% 16.3% 18.3% 17.0% 0.0% -0.3% -22.9M -127.3M -12.6M 1.10 4.78 N/A N/A 14,399 15,872 416,174 513,977 2020-06-02 $161.74 $162.50 16.3% 4.7% 16.2% 18.1% 16.6% 0.1% -0.5% -36.5M 25.8M -11.8M 0.74 4.27 N/A N/A 32,671 24,294 419,321 519,278 2020-06-03 $159.54 $162.50 17.2% 5.4% 16.8% 20.5% 19.9% 1.0% -0.5% -101.3M 862.7M -12.4M 1.97 5.20 N/A N/A 49,145 96,633 435,031 532,539 2020-06-04 $157.39 $164.00 16.8% 4.8% 16.6% 19.5% 17.2% 1.3% -0.3% -179.7M 1.73B -12.4M 1.14 6.58 N/A N/A 61,363 70,205 448,678 578,401 2020-06-05 $156.00 $163.00 16.4% 4.7% 15.3% 18.4% 17.2% 1.3% -0.4% -231.1M 2.17B -12.4M 1.37 8.24 N/A N/A 60,133 82,105 473,781 595,690 2020-06-08 $156.54 $160.00 16.2% 4.6% 14.9% 17.9% 17.1% 0.5% 0.0% -156.8M 1.42B -12.1M 0.96 8.96 N/A N/A 39,739 38,170 451,666 571,593 2020-06-09 $158.51 $160.00 16.4% 4.7% 15.7% 18.5% 17.3% 0.8% 0.1% -74.9M 635.6M -12.3M 2.09 9.76 N/A N/A 27,023 56,369 470,889 577,043 2020-06-10 $160.67 $161.00 16.3% 4.5% 16.1% 18.2% 16.4% 0.4% -0.7% -13.0M -177.5M -12.2M 1.03 9.49 N/A N/A 53,201 54,719 468,241 573,206 2020-06-11 $163.83 $161.00 15.9% 4.6% 17.5% 17.2% 16.6% 0.6% -0.0% 100.1M -1.61B -12.2M 1.26 13.51 N/A N/A 81,467 102,270 485,899 603,869 2020-06-12 $162.42 $162.00 16.1% 4.6% 17.2% 17.7% 16.9% 0.3% -0.1% -4.2M -759.2M -12.7M 0.78 12.69 N/A N/A 41,165 32,029 496,959 654,056 2020-06-15 $162.57 $162.00 16.6% 4.8% 17.2% 19.0% 17.2% 0.8% -0.2% -49.0M -650.3M -12.1M 0.76 6.29 N/A N/A 32,683 24,700 472,109 629,721 2020-06-16 $160.25 $162.00 17.3% 5.0% 15.8% 20.9% 18.0% 0.3% 0.1% -170.4M 487.3M -12.0M 0.77 13.77 N/A N/A 63,280 48,910 472,560 633,198 2020-06-17 $160.60 $161.00 16.9% 4.8% 15.7% 19.7% 17.4% 0.6% 0.3% -146.1M 226.0M -12.0M 0.44 5.10 N/A N/A 31,753 14,070 498,170 642,244 2020-06-18 $162.24 $161.00 16.3% 4.7% 16.1% 18.2% 16.8% 0.3% 0.3% -37.9M -728.7M -11.5M 0.65 4.13 N/A N/A 32,338 20,867 510,125 641,724 2020-06-19 $162.17 $161.00 15.8% 4.5% 16.1% 17.1% 16.3% 0.2% 0.4% -88.1M -652.2M -11.1M 0.63 5.21 N/A N/A 40,904 25,658 506,649 642,742 2020-06-22 $162.42 $161.00 15.9% 4.5% 15.9% 17.3% 16.3% 0.3% 0.3% -53.4M -725.6M -10.5M 0.67 3.67 N/A N/A 60,377 40,153 343,955 433,274 2020-06-23 $161.39 $161.00 15.8% 4.5% 15.6% 17.0% 16.9% 0.2% 0.4% -63.8M -522.7M -10.9M 2.17 4.72 N/A N/A 21,035 45,575 366,938 423,860 2020-06-24 $162.97 $161.00 16.1% 4.6% 16.0% 17.7% 16.4% -0.0% 0.1% 82.3M -1.10B -10.3M 0.58 5.13 N/A N/A 42,341 24,546 368,718 422,596 2020-06-25 $163.47 $162.00 15.4% 4.4% 15.9% 16.0% 15.5% -0.4% 0.3% 173.0M -1.35B -10.2M 0.85 4.61 N/A N/A 38,772 33,119 391,536 438,541 2020-06-26 $165.18 $162.00 15.8% 4.4% 16.0% 16.9% 15.9% -0.3% 0.4% 268.2M -2.03B -10.5M 0.26 4.58 N/A N/A 66,163 17,437 402,477 450,585 2020-06-29 $164.68 $162.00 15.9% 4.5% 15.6% 17.3% 16.3% -0.5% 0.1% 132.9M -1.48B -10.0M 0.47 7.78 N/A N/A 31,328 14,628 373,124 397,315 2020-06-30 $163.99 $162.00 15.0% 4.3% 15.6% 14.9% 15.5% -0.8% 0.2% 122.0M -1.31B -10.2M 0.74 3.55 N/A N/A 68,034 50,653 386,702 405,204
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