TLT Options History — November 2020 In November 2020, TLT traded between $155.31 and $161.39. ATM implied volatility averaged 13.1%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 1.6% (HV 20d: 14.8%). Max pain ranged from $160.00 to $161.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.59.
Notable Days 2020-11-04 : Highest Volume — 433,693 contracts2020-11-04 : Largest IV drop — 31.7% change2020-11-02 : Highest IV Rank — 27.2%2020-11-02 : Largest Expected Move — 6.8%Monthly Statistics Metric Avg Min Max Open Close Price $158.85 $155.31 $161.39 $158.39 $160.03 Max Pain $160.70 $160.00 $161.00 $161.00 $161.00 ATM IV 13.1% 11.6% 20.4% 20.4% 11.8% Expected Move 4.0% 3.5% 6.8% 6.8% 3.8% HV 20d 14.8% 10.4% 16.4% 10.6% 15.6% HV 60d 12.9% 11.6% 13.5% 11.6% 12.9% IV Rank 8.3% 4.3% 27.2% 27.2% 4.8% IV Percentile 28.2% 11.5% 86.5% 86.5% 13.5% Term Structure 0.2% -1.3% 1.8% -0.1% 1.8% VWIV 14.7% 12.6% 23.4% 23.4% 13.4% Skew 25d 0.4% -0.5% 1.8% 1.8% -0.2% Skew 10d -0.0% -5.7% 3.7% 1.9% -0.8% Call IV 25d 13.3% 10.4% 19.2% 19.2% 12.4% Put IV 25d 13.7% 11.5% 21.0% 21.0% 12.2% Bid-Ask Spread % 6.78 3.56 17.20 3.56 5.28 Gamma HHI 0.08 0.06 0.19 0.07 0.08 Net GEX -206.3M -695.6M 325.8M -244.1M -106.4M Net DEX 737.3M -1.10B 3.64B 1.39B -86.3M Net VEX -11.4M -14.6M -10.0M -14.6M -10.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.59 0.65 4.08 1.24 1.41 Total Volume 109,194.9 35,557 433,693 60,929 37,632 Total OI 1,185,739.75 898,331 1,425,903 1,165,909 974,003
Daily Data (20 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 2020-11-02 $158.39 $161.00 20.4% 6.8% 10.6% 27.2% 23.4% 1.8% -0.1% -244.1M 1.39B -14.6M 1.24 3.56 N/A N/A 27,187 33,742 438,234 727,675 2020-11-03 $157.61 $161.00 18.9% 6.4% 10.4% 23.3% 22.2% 0.9% 0.0% -294.1M 1.71B -14.0M 1.32 3.56 N/A N/A 70,729 93,453 438,234 727,675 2020-11-04 $161.11 $160.00 12.9% 4.2% 12.4% 7.7% 16.6% 0.8% 0.2% -81.2M -251.0M -12.6M 3.04 8.82 N/A N/A 107,233 326,460 490,545 776,397 2020-11-05 $161.39 $161.00 12.9% 4.0% 12.2% 7.8% 15.8% 1.2% 0.3% -24.7M -479.8M -12.2M 4.08 14.01 N/A N/A 44,091 179,886 501,880 761,244 2020-11-06 $159.47 $161.00 12.3% 3.9% 13.0% 6.1% 14.3% 1.2% -0.0% -417.3M 1.13B -13.3M 0.76 17.20 N/A N/A 52,187 39,884 524,320 901,583 2020-11-09 $155.65 $161.00 13.3% 4.0% 15.4% 8.7% 14.7% 1.4% 0.5% -695.6M 3.64B -12.4M 1.98 8.54 N/A N/A 70,165 139,066 506,747 840,921 2020-11-10 $155.31 $161.00 12.7% 3.8% 15.1% 7.2% 14.0% 0.8% 0.6% -610.8M 3.22B -11.7M 2.12 5.30 N/A N/A 32,059 68,092 527,427 778,375 2020-11-11 $155.74 $161.00 12.2% 3.7% 15.1% 6.0% 13.5% 0.8% 0.8% -608.3M 2.83B -11.1M 1.40 5.84 N/A N/A 26,742 37,467 538,804 769,467 2020-11-12 $158.24 $160.00 12.4% 3.7% 16.4% 6.3% 13.7% 0.3% 0.6% -352.3M 941.0M -11.7M 1.59 5.51 N/A N/A 70,193 111,678 544,832 743,319 2020-11-13 $158.07 $160.00 11.9% 3.7% 16.4% 5.0% 13.6% 1.7% 1.5% -397.0M 718.3M -10.7M 2.21 7.71 N/A N/A 31,690 69,979 552,423 682,377 2020-11-16 $157.86 $160.00 12.2% 3.6% 16.3% 5.9% 13.2% 0.1% -0.2% -237.7M 941.8M -10.9M 1.64 6.02 N/A N/A 24,995 41,097 530,551 681,400 2020-11-17 $158.86 $160.00 12.1% 3.5% 16.0% 5.6% 12.6% -0.1% -0.1% -95.5M 363.4M -10.7M 0.65 5.23 N/A N/A 22,053 14,331 538,999 688,418 2020-11-18 $159.19 $160.00 12.7% 3.6% 16.0% 7.1% 13.2% -0.5% -0.3% -61.6M 185.3M -10.3M 0.70 6.31 N/A N/A 38,542 27,073 543,988 692,134 2020-11-19 $160.00 $161.00 12.3% 3.5% 15.7% 6.1% 12.7% -0.3% -0.3% 78.9M -215.1M -10.7M 0.87 4.55 N/A N/A 40,194 34,916 557,014 704,229 2020-11-20 $161.33 $161.00 13.1% 3.8% 15.9% 8.3% 13.7% -0.4% -0.3% 325.8M -1.10B -10.7M 0.82 5.65 N/A N/A 39,608 32,317 563,309 709,225 2020-11-23 $160.67 $161.00 13.0% 3.8% 15.6% 7.8% 13.7% -0.4% -0.3% 13.3M -454.5M -10.1M 1.05 5.43 N/A N/A 24,497 25,715 408,610 489,721 2020-11-24 $159.25 $161.00 12.2% 3.6% 15.8% 5.8% 13.5% -0.4% -1.3% -81.8M 94.6M -10.1M 3.18 6.82 N/A N/A 16,183 51,467 415,178 507,389 2020-11-25 $158.69 $161.00 11.6% 3.6% 15.8% 4.3% 13.0% -0.1% -0.0% -170.8M 408.7M -10.5M 0.87 5.16 N/A N/A 18,969 16,588 418,762 540,462 2020-11-27 $160.22 $161.00 12.0% 3.7% 15.8% 5.3% 13.6% -0.3% -0.1% -63.6M -246.2M -10.2M 0.94 5.02 N/A N/A 23,580 22,158 430,139 548,785 2020-11-30 $160.03 $161.00 11.8% 3.8% 15.6% 4.8% 13.4% -0.2% 1.8% -106.4M -86.3M -10.0M 1.41 5.28 N/A N/A 15,586 22,046 423,404 550,599
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