TLT Options History — December 2020 In December 2020, TLT traded between $155.14 and $158.69. ATM implied volatility averaged 12.8%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 0.4% (HV 20d: 13.1%). Max pain ranged from $158.00 to $161.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.18.
Notable Days 2020-12-09 : Highest Volume — 205,121 contracts2020-12-04 : Largest IV spike — 7.4% change2020-12-31 : Highest IV Rank — 11.7%2020-12-31 : Largest Expected Move — 4.3%Monthly Statistics Metric Avg Min Max Open Close Price $157.19 $155.14 $158.69 $157.42 $157.69 Max Pain $158.41 $158.00 $161.00 $161.00 $158.00 ATM IV 12.8% 11.6% 14.4% 11.6% 14.4% Expected Move 3.8% 3.3% 4.3% 3.8% 4.3% HV 20d 13.1% 9.7% 16.9% 16.8% 9.7% HV 60d 13.0% 12.5% 13.3% 12.6% 12.6% IV Rank 7.3% 4.3% 11.7% 4.3% 11.7% IV Percentile 23.5% 8.3% 43.3% 10.7% 43.3% Term Structure 0.6% -0.4% 2.3% 1.9% 0.4% VWIV 14.0% 12.0% 15.9% 13.8% 15.9% Skew 25d 0.9% 0.2% 1.4% 0.2% 1.3% Skew 10d 2.1% 0.0% 4.6% 1.3% 2.5% Call IV 25d 12.8% 11.7% 14.4% 12.0% 14.4% Put IV 25d 13.7% 12.2% 15.8% 12.2% 15.8% Bid-Ask Spread % 5.24 2.80 11.10 4.38 3.65 Gamma HHI 0.09 0.06 0.20 0.12 0.07 Net GEX -244.1M -635.7M -57.0M -297.3M -135.6M Net DEX 808.7M 129.4M 2.17B 1.09B 330.0M Net VEX -11.4M -13.2M -10.0M -10.0M -13.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.18 0.43 5.85 2.30 0.90 Total Volume 93,679.136 22,666 205,121 105,522 92,384 Total OI 1,091,113.455 921,630 1,276,387 982,347 1,098,777
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 2020-12-01 $157.42 $161.00 11.6% 3.8% 16.8% 4.3% 13.8% 0.2% 1.9% -297.3M 1.09B -10.0M 2.30 4.38 N/A N/A 31,993 73,529 419,259 563,088 2020-12-02 $156.14 $160.00 12.3% 4.0% 16.9% 6.2% 14.7% 0.6% 1.8% -382.7M 1.67B -10.4M 2.42 5.01 N/A N/A 26,331 63,755 425,104 580,059 2020-12-03 $157.54 $160.00 12.2% 3.9% 15.2% 5.7% 14.4% 0.6% 2.3% -294.1M 1.02B -10.4M 2.65 11.10 N/A N/A 28,298 75,075 434,747 596,341 2020-12-04 $155.14 $160.00 13.1% 4.0% 15.9% 8.1% 14.4% 0.9% 1.7% -635.7M 2.17B -10.6M 2.58 7.02 N/A N/A 56,275 145,352 447,314 634,210 2020-12-07 $156.61 $158.00 13.2% 3.9% 16.0% 8.4% 14.5% 1.1% 0.2% -364.5M 1.20B -10.3M 4.38 5.76 N/A N/A 26,414 115,628 461,197 673,194 2020-12-08 $157.31 $158.00 13.3% 3.9% 13.5% 8.7% 14.9% 1.3% 0.3% -313.0M 868.0M -10.5M 5.28 7.99 N/A N/A 18,424 97,210 462,403 690,919 2020-12-09 $156.73 $158.00 13.9% 4.0% 13.5% 10.2% 14.5% 1.2% 0.0% -435.0M 1.16B -10.5M 5.85 5.37 N/A N/A 29,929 175,192 467,122 700,308 2020-12-10 $158.07 $158.00 13.0% 3.7% 13.8% 8.0% 15.3% 1.0% -0.0% -175.3M 528.8M -11.1M 1.74 5.29 N/A N/A 23,648 41,053 472,529 735,311 2020-12-11 $158.69 $158.00 13.3% 3.8% 12.6% 8.7% 14.7% 1.0% 0.2% -72.5M 129.4M -11.0M 0.83 7.88 N/A N/A 74,642 61,803 482,565 752,802 2020-12-14 $158.33 $158.00 13.5% 3.9% 12.7% 9.2% 14.2% 1.4% -0.4% -118.4M 378.7M -11.7M 1.40 4.92 N/A N/A 21,470 30,070 507,771 691,728 2020-12-15 $157.67 $158.00 12.8% 3.7% 12.7% 7.5% 14.1% 1.2% 0.1% -199.9M 775.0M -11.7M 1.26 6.89 N/A N/A 20,297 25,612 515,275 710,389 2020-12-16 $157.38 $158.00 12.6% 3.6% 12.5% 7.0% 13.6% 1.1% -0.0% -236.6M 872.7M -11.8M 0.89 3.81 N/A N/A 32,620 29,052 523,450 720,500 2020-12-17 $156.71 $158.00 12.3% 3.5% 12.6% 6.0% 12.5% 1.1% 0.1% -318.9M 1.25B -11.6M 1.18 4.30 N/A N/A 34,087 40,364 533,391 724,348 2020-12-18 $156.26 $158.00 12.4% 3.6% 12.4% 6.5% 13.0% 0.7% -0.1% -352.0M 1.48B -11.6M 1.93 4.51 N/A N/A 39,073 75,454 537,827 738,560 2020-12-21 $156.92 $158.00 12.7% 3.7% 12.1% 7.1% 13.6% 0.6% 0.5% -199.2M 613.7M -12.4M 0.63 4.18 N/A N/A 21,517 13,455 365,526 556,390 2020-12-22 $157.78 $158.00 11.8% 3.5% 12.2% 4.9% 12.6% 0.5% 0.7% -127.2M 228.4M -12.1M 0.43 5.25 N/A N/A 28,299 12,249 373,408 560,988 2020-12-23 $156.61 $158.00 11.9% 3.5% 12.1% 5.2% 13.0% 0.4% 0.7% -255.4M 627.6M -12.2M 3.17 4.35 N/A N/A 26,646 84,464 393,810 565,663 2020-12-24 $157.36 $158.00 11.7% 3.3% 12.2% 4.4% 12.0% 0.6% 0.7% -57.0M 229.1M -12.1M 0.63 3.46 N/A N/A 13,938 8,728 400,501 549,898 2020-12-28 $157.32 $158.00 12.5% 3.6% 11.7% 6.7% 13.5% 0.9% 0.3% -98.9M 291.0M -11.6M 1.07 3.72 N/A N/A 25,546 27,306 386,987 534,643 2020-12-29 $157.17 $158.00 13.0% 3.8% 11.7% 7.8% 14.6% 0.9% 0.3% -104.2M 323.2M -11.8M 5.43 2.80 N/A N/A 21,693 117,896 396,973 551,019 2020-12-30 $157.36 $158.00 13.5% 3.9% 10.1% 9.2% 14.4% 1.1% 0.2% -196.7M 556.8M -13.0M 0.93 3.53 N/A N/A 28,094 26,076 408,610 659,592 2020-12-31 $157.69 $158.00 14.4% 4.3% 9.7% 11.7% 15.9% 1.3% 0.4% -135.6M 330.0M -13.2M 0.90 3.65 N/A N/A 48,689 43,695 421,875 676,902
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