TLT Options History — July 2020 In July 2020, TLT traded between $162.85 and $171.14. ATM implied volatility averaged 14.3%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.9% (HV 20d: 11.4%). Max pain ranged from $160.00 to $167.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.88.
Notable Days 2020-07-30 : Highest Volume — 193,836 contracts2020-07-23 : Largest IV spike — 8.3% change2020-07-24 : Highest IV Rank — 15.7%2020-07-24 : Largest Expected Move — 4.4%Monthly Statistics Metric Avg Min Max Open Close Price $167.26 $162.85 $171.14 $163.25 $171.14 Max Pain $164.18 $160.00 $167.00 $163.00 $167.00 ATM IV 14.3% 13.1% 15.3% 14.9% 14.3% Expected Move 4.0% 3.7% 4.4% 4.2% 4.0% HV 20d 11.4% 9.7% 14.8% 14.8% 9.7% HV 60d 14.9% 13.8% 16.3% 16.0% 13.8% IV Rank 13.0% 10.0% 15.7% 14.8% 11.3% IV Percentile 49.4% 35.7% 59.1% 56.7% 49.2% Term Structure 0.1% -0.3% 0.5% 0.1% 0.5% VWIV 14.7% 13.7% 15.9% 15.0% 14.4% Skew 25d -0.5% -1.2% 0.2% -0.4% -0.1% Skew 10d -1.2% -2.5% 0.1% -1.3% 0.1% Call IV 25d 15.1% 14.0% 16.4% 15.5% 14.9% Put IV 25d 14.6% 13.7% 15.6% 15.2% 14.9% Bid-Ask Spread % 5.48 3.46 9.23 3.62 9.23 Gamma HHI 0.08 0.05 0.23 0.05 0.08 Net GEX 168.5M 36.6M 284.3M 86.0M 169.8M Net DEX -1.62B -2.33B -677.3M -760.8M -2.12B Net VEX -11.6M -13.4M -10.5M -10.5M -13.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.35 3.44 0.69 0.90 Total Volume 81,174.409 36,494 193,836 57,784 79,167 Total OI 884,035.545 733,881 999,891 814,471 999,891
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 2020-07-01 $163.25 $163.00 14.9% 4.2% 14.8% 14.8% 15.0% -0.4% 0.1% 86.0M -760.8M -10.5M 0.69 3.62 N/A N/A 34,171 23,613 385,833 428,638 2020-07-02 $163.62 $163.00 14.4% 3.9% 13.8% 13.4% 14.1% -0.2% 0.2% 185.3M -908.8M -10.5M 0.41 3.46 N/A N/A 59,249 24,258 393,802 432,745 2020-07-06 $162.85 $160.00 14.5% 4.2% 13.4% 13.8% 15.1% 0.0% 0.0% 83.6M -677.3M -10.7M 0.85 4.91 N/A N/A 38,341 32,421 392,179 420,199 2020-07-07 $165.08 $160.00 14.4% 4.1% 14.0% 13.5% 15.3% 0.1% -0.0% 157.0M -1.32B -11.0M 0.91 5.47 N/A N/A 32,714 29,797 396,062 437,394 2020-07-08 $164.61 $161.00 14.2% 4.1% 13.6% 13.0% 14.8% 0.2% -0.1% 164.2M -1.19B -11.2M 0.48 4.41 N/A N/A 32,528 15,725 409,154 450,677 2020-07-09 $167.12 $161.00 15.2% 4.3% 13.8% 15.5% 15.7% -0.9% -0.3% 226.1M -2.16B -11.8M 0.38 6.57 N/A N/A 93,979 35,864 424,290 453,324 2020-07-10 $166.29 $163.00 14.8% 4.2% 12.4% 14.5% 15.2% -1.1% -0.2% 182.1M -1.78B -11.8M 0.52 4.61 N/A N/A 68,734 35,618 444,608 471,377 2020-07-13 $166.79 $163.00 14.8% 4.2% 11.9% 14.4% 15.0% -0.8% -0.2% 185.9M -1.73B -11.5M 1.12 5.39 N/A N/A 30,222 33,817 432,975 468,391 2020-07-14 $167.10 $163.00 14.2% 4.0% 11.9% 12.9% 14.5% -1.0% -0.2% 213.6M -1.91B -11.5M 0.47 5.69 N/A N/A 43,452 20,488 444,062 490,426 2020-07-15 $166.34 $165.00 13.7% 3.9% 10.6% 11.6% 14.0% -0.3% -0.1% 189.9M -1.53B -11.5M 0.41 5.21 N/A N/A 51,844 21,052 446,029 498,691 2020-07-16 $167.17 $165.00 14.2% 4.0% 10.7% 13.0% 14.4% -0.4% -0.3% 284.3M -2.05B -11.4M 0.72 8.56 N/A N/A 21,961 15,902 468,658 499,555 2020-07-17 $166.65 $165.00 13.6% 3.9% 10.4% 11.4% 14.4% -0.3% -0.1% 270.9M -1.82B -11.4M 0.41 6.12 N/A N/A 43,640 17,817 468,089 501,605 2020-07-20 $167.07 $165.00 13.9% 4.0% 10.3% 12.0% 14.2% -0.3% 0.4% 123.0M -1.31B -11.3M 0.68 4.58 N/A N/A 22,521 15,418 361,594 372,287 2020-07-21 $167.32 $165.00 13.9% 4.0% 10.3% 12.2% 14.2% -0.3% 0.2% 71.5M -1.19B -11.9M 0.58 4.22 N/A N/A 23,051 13,443 365,805 440,817 2020-07-22 $167.78 $165.00 13.1% 3.7% 9.9% 10.0% 13.7% -0.4% 0.4% 98.3M -1.38B -11.8M 0.35 6.72 N/A N/A 52,188 18,419 375,891 449,333 2020-07-23 $169.65 $165.00 14.2% 4.1% 10.1% 12.8% 14.6% -1.2% 0.2% 199.3M -2.05B -11.4M 0.57 4.38 N/A N/A 46,515 26,693 385,129 454,619 2020-07-24 $169.78 $166.00 15.3% 4.4% 10.1% 15.7% 15.9% -0.8% 0.1% 272.5M -2.07B -12.0M 0.68 4.98 N/A N/A 53,426 36,187 397,748 462,651 2020-07-27 $169.08 $166.00 14.8% 4.2% 9.8% 14.6% 15.3% -0.4% 0.4% 116.6M -1.59B -12.0M 1.08 5.45 N/A N/A 52,102 56,459 381,776 461,307 2020-07-28 $170.25 $167.00 13.9% 3.9% 9.8% 12.1% 13.9% -0.5% 0.4% 156.2M -1.97B -12.4M 1.98 4.25 N/A N/A 50,242 99,255 409,375 500,633 2020-07-29 $169.76 $167.00 14.0% 3.9% 9.7% 12.0% 14.0% -0.5% 0.5% 36.6M -1.72B -12.3M 1.76 6.05 N/A N/A 32,459 57,249 415,738 579,327 2020-07-30 $171.08 $167.00 13.6% 3.9% 9.7% 11.1% 15.2% -0.9% 0.5% 234.8M -2.33B -11.8M 3.44 6.80 N/A N/A 43,627 150,209 424,156 551,942 2020-07-31 $171.14 $167.00 14.3% 4.0% 9.7% 11.3% 14.4% -0.1% 0.5% 169.8M -2.12B -13.4M 0.90 9.23 N/A N/A 41,603 37,564 430,976 568,915
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