TLT Options History — August 2020 In August 2020, TLT traded between $160.97 and $171.46. ATM implied volatility averaged 14.8%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 4.3% (HV 20d: 10.5%). Max pain ranged from $165.00 to $168.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.23.
Notable Days 2020-08-27 : Highest Volume — 167,394 contracts2020-08-19 : Largest IV spike — 8.0% change2020-08-28 : Highest IV Rank — 16.2%2020-08-27 : Largest Expected Move — 4.7%Monthly Statistics Metric Avg Min Max Open Close Price $165.92 $160.97 $171.46 $169.89 $162.28 Max Pain $166.24 $165.00 $168.00 $168.00 $165.00 ATM IV 14.8% 13.5% 16.2% 14.6% 16.0% Expected Move 4.2% 3.9% 4.7% 4.1% 4.6% HV 20d 10.5% 8.6% 12.0% 10.0% 12.0% HV 60d 12.7% 12.1% 13.5% 13.5% 12.1% IV Rank 12.6% 9.2% 16.2% 12.1% 15.7% IV Percentile 54.4% 35.3% 71.8% 53.2% 70.2% Term Structure 0.1% -0.3% 0.7% -0.3% -0.0% VWIV 15.6% 14.0% 17.1% 14.7% 16.2% Skew 25d 1.0% -0.2% 1.8% 0.5% 1.8% Skew 10d 2.2% -0.1% 3.8% 1.2% 3.8% Call IV 25d 14.8% 13.4% 15.8% 15.2% 15.8% Put IV 25d 15.8% 14.7% 17.6% 15.6% 17.6% Bid-Ask Spread % 4.52 2.58 10.78 7.34 3.19 Gamma HHI 0.09 0.07 0.17 0.08 0.13 Net GEX -111.1M -377.0M 190.8M 94.0M -227.0M Net DEX 344.5M -2.09B 1.97B -1.26B 1.15B Net VEX -14.5M -15.2M -14.0M -14.0M -14.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.23 0.33 3.04 0.51 0.91 Total Volume 87,250.429 36,118 167,394 103,931 74,342 Total OI 1,080,719.429 922,902 1,232,466 922,902 1,090,136
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 2020-08-03 $169.89 $168.00 14.6% 4.1% 10.0% 12.1% 14.7% 0.5% -0.3% 94.0M -1.26B -14.0M 0.51 7.34 N/A N/A 68,934 34,997 400,984 521,918 2020-08-04 $171.46 $168.00 14.4% 4.1% 9.4% 11.6% 14.9% -0.2% -0.1% 190.8M -2.09B -14.4M 0.33 8.72 N/A N/A 65,903 21,947 437,101 538,324 2020-08-05 $170.18 $168.00 14.8% 4.0% 9.9% 12.5% 15.1% 0.3% -0.2% 119.1M -1.38B -14.4M 0.83 10.78 N/A N/A 20,289 16,839 425,041 555,069 2020-08-06 $170.97 $166.00 14.6% 4.2% 8.6% 12.2% 16.5% 0.2% -0.2% 149.2M -1.71B -14.2M 1.26 9.27 N/A N/A 47,145 59,522 428,385 563,477 2020-08-07 $169.76 $168.00 14.9% 4.3% 8.8% 13.0% 16.0% 0.3% -0.2% 33.3M -1.03B -14.8M 1.61 6.41 N/A N/A 29,581 47,773 438,006 606,009 2020-08-10 $169.11 $168.00 14.1% 4.0% 8.9% 10.9% 15.9% 0.9% -0.1% 33.0M -756.9M -14.3M 2.52 4.03 N/A N/A 23,831 60,071 421,992 596,358 2020-08-11 $167.12 $168.00 14.1% 4.1% 10.0% 10.7% 14.8% 1.5% 0.1% -99.3M 213.7M -14.4M 1.35 3.44 N/A N/A 63,328 85,552 427,303 618,647 2020-08-12 $165.56 $168.00 13.5% 3.9% 10.4% 9.2% 14.0% 1.2% 0.1% -177.7M 986.8M -14.2M 1.98 3.40 N/A N/A 42,046 83,304 447,936 641,220 2020-08-13 $163.85 $167.00 14.5% 4.1% 10.8% 11.8% 15.0% 1.8% -0.1% -218.6M 1.69B -14.5M 1.04 3.41 N/A N/A 58,915 61,474 462,168 656,100 2020-08-14 $163.28 $166.00 14.4% 4.2% 10.8% 11.6% 14.9% 1.0% 0.2% -273.0M 1.80B -14.6M 1.02 2.82 N/A N/A 44,882 45,957 474,107 659,347 2020-08-17 $163.68 $166.00 14.5% 4.2% 10.8% 11.9% 15.8% 0.4% 0.2% -215.5M 1.45B -14.3M 1.59 3.22 N/A N/A 28,286 45,054 466,203 650,582 2020-08-18 $164.78 $165.00 14.1% 4.1% 11.1% 10.9% 14.8% 1.0% -0.1% -175.6M 967.1M -14.5M 0.50 3.08 N/A N/A 46,758 23,325 476,153 672,263 2020-08-19 $163.85 $165.00 15.3% 4.4% 11.2% 13.9% 16.9% 1.2% -0.2% -202.0M 1.34B -14.5M 1.06 5.31 N/A N/A 48,445 51,421 504,823 679,871 2020-08-20 $165.29 $165.00 14.4% 4.1% 10.9% 11.7% 15.8% 1.3% 0.1% -132.6M 662.2M -15.2M 1.17 3.44 N/A N/A 23,486 27,565 521,755 703,359 2020-08-21 $166.18 $165.00 14.1% 4.0% 11.1% 10.8% 15.1% 0.8% 0.3% -168.1M 77.4M -14.5M 1.01 2.65 N/A N/A 30,247 30,510 524,658 707,808 2020-08-24 $166.00 $165.00 14.5% 4.2% 11.0% 11.9% 15.1% 1.0% 0.4% -78.1M -82.6M -14.5M 0.89 2.77 N/A N/A 19,131 16,987 416,860 614,584 2020-08-25 $164.79 $165.00 15.5% 4.5% 10.8% 14.4% 16.3% 1.3% 0.3% -141.8M 510.7M -14.7M 1.17 3.41 N/A N/A 19,704 23,055 422,097 620,934 2020-08-26 $164.01 $165.00 15.9% 4.6% 10.9% 15.5% 17.1% 1.5% 0.3% -171.2M 772.5M -14.6M 3.04 2.93 N/A N/A 24,295 73,845 426,457 628,674 2020-08-27 $161.31 $165.00 16.1% 4.7% 11.5% 16.0% 16.4% 1.5% 0.5% -377.0M 1.96B -14.3M 0.76 2.70 N/A N/A 95,064 72,330 434,006 664,329 2020-08-28 $160.97 $165.00 16.2% 4.6% 11.4% 16.2% 16.2% 1.7% 0.7% -294.9M 1.97B -14.6M 1.26 2.58 N/A N/A 33,669 42,450 463,300 686,764 2020-08-31 $162.28 $165.00 16.0% 4.6% 12.0% 15.7% 16.2% 1.8% -0.0% -227.0M 1.15B -14.3M 0.91 3.19 N/A N/A 38,979 35,363 441,562 648,574
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