TLT Options History — October 2020 In October 2020, TLT traded between $157.28 and $163.47. ATM implied volatility averaged 16.2%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 5.3% (HV 20d: 10.9%). Max pain ranged from $161.00 to $165.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.54.
Notable Days 2020-10-06 : Highest Volume — 239,835 contracts2020-10-05 : Largest IV spike — 18.9% change2020-10-30 : Highest IV Rank — 22.2%2020-10-30 : Largest Expected Move — 5.9%Monthly Statistics Metric Avg Min Max Open Close Price $160.24 $157.28 $163.47 $163.47 $158.14 Max Pain $162.73 $161.00 $165.00 $164.00 $161.00 ATM IV 16.2% 13.7% 18.5% 13.7% 18.5% Expected Move 4.7% 3.7% 5.9% 3.8% 5.9% HV 20d 10.9% 9.7% 12.4% 10.6% 12.4% HV 60d 11.5% 10.6% 11.8% 11.1% 11.6% IV Rank 16.2% 9.7% 22.2% 9.7% 22.2% IV Percentile 67.6% 40.9% 83.7% 40.9% 83.7% Term Structure 0.2% -0.9% 3.4% 3.3% -0.3% VWIV 16.8% 13.0% 20.6% 13.7% 20.6% Skew 25d 2.0% 1.1% 2.9% 1.1% 2.5% Skew 10d 3.5% 0.8% 9.1% 1.8% 0.8% Call IV 25d 15.4% 13.0% 17.4% 13.0% 17.0% Put IV 25d 17.4% 14.1% 20.1% 14.1% 19.5% Bid-Ask Spread % 3.31 2.29 4.98 4.76 3.22 Gamma HHI 0.09 0.04 0.34 0.08 0.08 Net GEX -340.6M -885.4M -59.7M -235.0M -329.2M Net DEX 1.23B 95.5M 2.37B 477.7M 1.76B Net VEX -12.0M -14.9M -10.0M -12.5M -14.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.54 0.52 3.80 1.33 1.17 Total Volume 94,139.136 52,966 239,835 64,274 64,571 Total OI 1,129,310.409 883,922 1,276,148 1,196,117 1,210,569
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 2020-10-01 $163.47 $164.00 13.7% 3.8% 10.6% 9.7% 13.7% 1.1% 3.3% -235.0M 477.7M -12.5M 1.33 4.76 N/A N/A 27,573 36,701 376,511 819,606 2020-10-02 $162.78 $164.00 14.7% 3.7% 10.4% 12.3% 13.0% 1.2% 3.4% -350.2M 852.0M -12.9M 1.23 2.36 N/A N/A 39,474 48,385 385,930 822,239 2020-10-05 $159.72 $165.00 17.4% 5.1% 9.8% 19.6% 17.7% 2.8% -0.4% -495.7M 2.37B -12.7M 1.13 3.19 N/A N/A 46,791 52,963 374,542 809,343 2020-10-06 $160.79 $165.00 16.4% 4.8% 9.7% 16.7% 17.3% 2.5% 0.0% -443.2M 1.61B -12.3M 3.80 3.98 N/A N/A 49,990 189,845 391,855 801,679 2020-10-07 $158.94 $165.00 17.4% 4.9% 10.3% 19.6% 17.4% 2.3% -0.3% -435.2M 2.08B -12.1M 1.22 3.62 N/A N/A 51,883 63,469 408,647 787,529 2020-10-08 $160.07 $165.00 15.7% 4.5% 10.3% 15.0% 16.7% 2.1% 0.0% -328.0M 1.53B -11.6M 1.68 3.25 N/A N/A 28,914 48,689 436,394 758,184 2020-10-09 $159.83 $163.00 15.6% 4.5% 10.2% 14.8% 15.8% 2.6% 0.1% -528.8M 1.76B -11.5M 1.69 3.55 N/A N/A 33,755 56,967 446,985 787,180 2020-10-12 $160.58 $163.00 16.0% 4.5% 10.5% 15.7% 16.5% 2.3% -0.2% -308.1M 1.21B -11.2M 1.51 3.25 N/A N/A 21,904 33,111 415,620 764,187 2020-10-13 $161.71 $163.00 14.8% 4.2% 10.9% 12.7% 15.2% 1.8% -0.2% -192.2M 627.3M -10.9M 0.92 3.26 N/A N/A 31,819 29,240 421,889 786,352 2020-10-14 $162.12 $163.00 14.6% 4.1% 10.7% 12.1% 15.0% 1.8% -0.2% -158.5M 411.3M -10.4M 1.37 2.99 N/A N/A 26,399 36,221 425,590 801,529 2020-10-15 $161.82 $163.00 15.2% 4.3% 10.5% 13.6% 15.2% 2.1% -0.2% -223.5M 654.9M -10.2M 1.93 3.34 N/A N/A 23,390 45,098 427,309 816,271 2020-10-16 $161.53 $163.00 14.5% 4.2% 10.4% 11.9% 14.9% 1.7% 0.0% -401.4M 862.0M -10.0M 1.59 3.23 N/A N/A 35,498 56,571 431,663 844,485 2020-10-19 $160.88 $163.00 15.5% 4.4% 10.2% 14.4% 15.8% 2.9% -0.5% -303.3M 874.1M -10.1M 1.83 2.29 N/A N/A 26,471 48,542 285,815 598,107 2020-10-20 $159.00 $162.00 16.1% 4.6% 10.9% 16.0% 16.1% 2.7% 0.9% -432.0M 1.65B -10.7M 1.93 2.86 N/A N/A 26,698 51,440 296,911 621,713 2020-10-21 $158.61 $162.00 16.8% 4.8% 10.8% 17.7% 17.0% 1.6% -0.6% -436.7M 1.70B -10.9M 0.90 2.80 N/A N/A 64,646 58,025 306,318 628,206 2020-10-22 $157.28 $161.00 17.2% 5.0% 10.9% 18.9% 17.9% 1.7% -0.6% -472.8M 2.37B -12.4M 1.73 3.30 N/A N/A 52,347 90,516 346,399 661,864 2020-10-23 $158.07 $161.00 16.7% 4.9% 11.2% 17.7% 17.3% 1.7% -0.9% -885.4M 2.27B -12.9M 0.74 2.76 N/A N/A 65,714 48,942 379,006 693,713 2020-10-26 $159.67 $161.00 16.5% 5.0% 12.0% 17.2% 17.7% 1.4% 0.2% -137.4M 568.1M -13.0M 0.52 3.30 N/A N/A 39,635 20,499 404,144 606,447 2020-10-27 $160.58 $161.00 16.1% 4.9% 12.2% 16.0% 17.0% 1.7% 0.4% -64.9M 104.4M -12.5M 0.92 2.52 N/A N/A 27,659 25,307 418,876 609,535 2020-10-28 $160.67 $161.00 17.7% 5.6% 11.9% 20.3% 20.4% 2.0% 0.2% -59.7M 95.5M -13.2M 3.16 4.98 N/A N/A 44,836 141,474 431,147 617,731 2020-10-29 $158.97 $161.00 18.4% 5.8% 12.4% 22.2% 20.6% 1.9% -0.1% -271.8M 1.29B -14.9M 1.50 4.04 N/A N/A 23,650 35,439 445,798 741,011 2020-10-30 $158.14 $161.00 18.5% 5.9% 12.4% 22.2% 20.6% 2.5% -0.3% -329.2M 1.76B -14.7M 1.17 3.22 N/A N/A 29,733 34,838 454,304 756,265
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