TLT Options History — September 2020 In September 2020, TLT traded between $162.74 and $166.26. ATM implied volatility averaged 14.2%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.1% (HV 20d: 13.1%). Max pain ranged from $164.00 to $165.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.86.
Notable Days 2020-09-29 : Highest Volume — 311,196 contracts2020-09-17 : Largest IV drop — 9.0% change2020-09-03 : Highest IV Rank — 17.3%2020-09-03 : Largest Expected Move — 4.7%Monthly Statistics Metric Avg Min Max Open Close Price $164.23 $162.74 $166.26 $163.85 $163.29 Max Pain $164.10 $164.00 $165.00 $165.00 $164.00 ATM IV 14.2% 12.6% 16.6% 14.5% 13.6% Expected Move 4.0% 3.6% 4.7% 4.1% 3.9% HV 20d 13.1% 11.1% 14.7% 12.0% 11.1% HV 60d 11.7% 11.1% 12.3% 12.3% 11.1% IV Rank 11.1% 7.0% 17.3% 12.0% 9.4% IV Percentile 46.4% 28.2% 74.6% 54.4% 39.3% Term Structure 0.5% -0.5% 3.3% 0.1% 2.5% VWIV 14.6% 12.7% 16.9% 15.5% 14.4% Skew 25d 1.0% 0.4% 1.7% 1.1% 1.3% Skew 10d 1.9% 0.7% 3.5% 2.2% 2.9% Call IV 25d 14.1% 12.5% 16.7% 14.4% 13.5% Put IV 25d 15.1% 13.3% 17.9% 15.5% 14.8% Bid-Ask Spread % 5.19 2.27 15.62 2.27 6.56 Gamma HHI 0.10 0.08 0.12 0.11 0.10 Net GEX -171.9M -366.3M 26.8M -152.9M -305.3M Net DEX 253.9M -580.5M 1.40B 486.3M 760.9M Net VEX -12.9M -16.0M -10.6M -14.2M -12.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.86 0.55 8.90 4.29 2.10 Total Volume 95,070.429 33,775 311,196 215,421 167,345 Total OI 1,220,330.429 973,566 1,390,125 1,115,337 1,246,957
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 2020-09-01 $163.85 $165.00 14.5% 4.1% 12.0% 12.0% 15.5% 1.1% 0.1% -152.9M 486.3M -14.2M 4.29 2.27 N/A N/A 40,719 174,702 452,399 662,938 2020-09-02 $165.35 $165.00 15.2% 4.3% 12.5% 13.8% 16.0% 1.1% 0.0% -84.8M -74.8M -15.8M 1.10 2.81 N/A N/A 37,122 40,667 467,472 799,146 2020-09-03 $166.26 $164.00 16.6% 4.7% 12.6% 17.3% 16.4% 0.4% -0.1% -42.7M -580.5M -16.0M 0.88 12.92 N/A N/A 67,293 59,250 476,393 813,609 2020-09-04 $162.74 $164.00 16.2% 4.5% 14.3% 16.4% 16.9% 0.9% -0.5% -304.3M 1.40B -15.7M 2.35 15.62 N/A N/A 62,574 147,264 482,785 829,736 2020-09-08 $164.03 $164.00 16.5% 4.6% 14.7% 17.1% 16.8% 1.7% -0.4% -218.4M 604.7M -15.1M 1.54 5.63 N/A N/A 29,293 44,973 481,564 866,839 2020-09-09 $163.08 $164.00 16.1% 4.5% 14.3% 16.0% 15.8% 1.3% -0.4% -366.3M 1.26B -15.1M 0.91 5.47 N/A N/A 31,511 28,786 479,034 889,419 2020-09-10 $164.11 $164.00 15.3% 4.3% 14.2% 14.1% 15.4% 1.1% -0.5% -259.2M 500.3M -14.2M 1.21 4.49 N/A N/A 27,636 33,480 488,166 899,485 2020-09-11 $164.50 $164.00 14.3% 4.1% 13.8% 11.3% 14.7% 0.9% 0.0% -154.7M 116.5M -13.4M 1.35 6.16 N/A N/A 26,243 35,380 496,364 893,761 2020-09-14 $164.35 $164.00 14.5% 4.1% 13.7% 11.9% 14.4% 1.4% 0.1% -214.6M 254.6M -13.0M 1.00 3.48 N/A N/A 28,771 28,644 468,679 865,654 2020-09-15 $164.33 $164.00 14.4% 4.1% 13.7% 11.6% 14.8% 0.5% 0.1% -235.6M 288.9M -12.8M 1.65 3.51 N/A N/A 13,626 22,544 472,034 877,871 2020-09-16 $163.33 $164.00 13.9% 4.0% 13.6% 10.3% 14.2% 1.4% 0.1% -366.3M 889.4M -12.8M 1.64 4.56 N/A N/A 22,775 37,304 475,156 882,685 2020-09-17 $164.22 $164.00 12.6% 3.6% 13.6% 7.0% 12.9% 0.7% 0.4% -223.5M 255.7M -11.7M 1.82 3.48 N/A N/A 18,870 34,331 479,542 890,956 2020-09-18 $163.42 $164.00 13.2% 3.8% 13.3% 8.4% 13.5% 0.6% 0.2% -210.5M 734.5M -11.4M 0.68 3.66 N/A N/A 42,120 28,491 481,349 903,061 2020-09-21 $164.32 $164.00 13.4% 3.8% 13.3% 9.0% 13.7% 0.8% 0.4% -93.7M -154.5M -11.1M 1.91 4.00 N/A N/A 19,250 36,825 338,467 635,099 2020-09-22 $164.14 $164.00 12.9% 3.6% 13.3% 7.7% 13.2% 0.6% 0.5% -109.4M -54.0M -10.9M 1.56 4.37 N/A N/A 23,967 37,421 344,113 649,502 2020-09-23 $164.43 $164.00 12.8% 3.6% 13.1% 7.4% 13.3% 1.0% 0.5% -85.0M -164.2M -11.3M 0.62 4.05 N/A N/A 32,692 20,125 354,080 668,264 2020-09-24 $164.97 $164.00 13.1% 3.7% 13.1% 8.1% 13.4% 1.2% 0.5% -686.4K -381.6M -11.0M 0.55 4.82 N/A N/A 21,762 12,013 357,509 675,052 2020-09-25 $165.03 $164.00 13.2% 3.8% 11.4% 8.4% 13.6% 0.7% 0.4% 26.8M -417.9M -11.1M 0.90 3.66 N/A N/A 24,128 21,741 366,017 680,764 2020-09-28 $164.46 $164.00 13.0% 3.6% 11.5% 8.0% 12.7% 1.5% 2.7% -107.3M -163.6M -10.6M 2.18 3.79 N/A N/A 32,594 71,051 346,223 638,839 2020-09-29 $164.68 $164.00 12.7% 3.6% 11.2% 7.1% 14.0% 1.2% 3.3% -101.5M -233.7M -10.6M 8.90 3.69 N/A N/A 31,445 279,751 350,698 699,258 2020-09-30 $163.29 $164.00 13.6% 3.9% 11.1% 9.4% 14.4% 1.3% 2.5% -305.3M 760.9M -12.9M 2.10 6.56 N/A N/A 54,013 113,332 359,577 887,380
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