TLT Options History — January 2021

In January 2021, TLT traded between $151.06 and $157.42. ATM implied volatility averaged 12.9%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.4% (HV 20d: 10.5%). Max pain ranged from $153.00 to $158.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.65.

Notable Days

  • 2021-01-04: Highest Volume — 284,524 contracts
  • 2021-01-07: Largest IV drop — 10.3% change
  • 2021-01-04: Highest IV Rank — 12.8%
  • 2021-01-04: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$152.70$151.06$157.42$157.42$151.83
Max Pain$154.87$153.00$158.00$157.00$154.00
ATM IV12.9%11.5%14.9%14.9%13.1%
Expected Move3.7%3.3%4.3%4.3%3.7%
HV 20d10.5%7.6%11.7%9.2%11.7%
HV 60d13.0%12.3%13.3%12.3%13.0%
IV Rank6.5%1.1%12.8%12.8%4.3%
IV Percentile21.2%2.0%50.4%50.4%23.8%
Term Structure0.3%-0.2%0.7%-0.1%0.7%
VWIV13.4%12.0%15.5%15.5%13.6%
Skew 25d0.5%-0.5%1.2%1.1%-0.5%
Skew 10d-0.4%-8.0%5.2%5.2%-1.4%
Call IV 25d13.2%11.5%15.0%15.0%13.5%
Put IV 25d13.7%12.4%16.1%16.1%13.0%
Bid-Ask Spread %13.233.9334.2221.6134.22
Gamma HHI0.120.080.460.080.09
Net GEX-441.4M-1.00B-3.4M-199.2M-165.9M
Net DEX2.79B270.2M5.83B375.9M1.22B
Net VEX-13.3M-15.2M-12.4M-13.2M-13.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.507.527.520.85
Total Volume105,013.89534,558284,524284,52471,053
Total OI1,129,484787,2311,500,8011,083,584886,521

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$157.42$157.0014.9%4.3%9.2%12.8%15.5%1.1%-0.1%-199.2M375.9M-13.2M7.5221.61N/AN/A33,402251,122428,390655,194
2021-01-05$156.36$158.0014.6%4.1%7.6%12.1%15.1%0.8%-0.2%-736.6M2.20B-15.2M1.4914.95N/AN/A71,798107,020443,839884,427
2021-01-06$153.14$158.0013.6%3.9%10.1%9.6%14.5%-0.1%0.0%-1.00B4.97B-14.9M0.919.01N/AN/A97,39088,870472,873907,353
2021-01-07$151.90$157.0012.2%3.6%10.1%5.9%12.7%0.6%-0.0%-868.1M5.28B-13.8M0.9213.25N/AN/A78,17971,556505,099857,361
2021-01-08$151.38$156.0013.2%3.8%10.1%8.4%13.6%0.2%0.3%-761.4M5.64B-13.9M1.356.04N/AN/A56,44676,193550,486884,958
2021-01-11$151.08$155.0013.9%3.9%9.4%10.2%14.2%0.3%-0.2%-673.5M5.39B-13.5M1.166.04N/AN/A43,13750,058519,874850,414
2021-01-12$151.11$155.0013.9%4.0%9.1%10.2%14.4%0.7%0.4%-701.3M5.56B-13.7M1.889.14N/AN/A38,94573,249547,126885,183
2021-01-13$152.74$154.0012.8%3.7%10.3%7.5%13.7%0.4%0.2%-935.3M4.29B-14.0M1.179.40N/AN/A51,71160,418562,402911,893
2021-01-14$151.06$155.0013.7%3.9%10.8%9.8%14.0%0.5%-0.0%-781.3M5.83B-13.4M1.363.93N/AN/A39,18553,485564,109926,358
2021-01-15$151.92$155.0013.0%3.7%11.1%7.8%14.1%0.8%-0.0%-812.2M5.19B-13.1M5.1028.61N/AN/A26,030132,864579,206921,595
2021-01-19$152.28$155.0012.3%3.5%11.2%6.3%12.7%1.2%0.5%-140.6M1.14B-12.4M0.5015.81N/AN/A32,70016,495371,393415,838
2021-01-20$152.40$154.0011.5%3.3%11.2%2.5%12.0%0.9%0.5%-120.8M1.05B-12.4M0.518.25N/AN/A26,01913,364388,459425,168
2021-01-21$151.32$153.5012.2%3.5%11.2%4.1%12.3%1.0%0.4%-191.2M1.44B-12.6M1.619.67N/AN/A40,53665,325405,996433,110
2021-01-22$151.86$153.0011.9%3.4%11.0%2.4%12.0%0.7%0.5%-131.2M1.24B-12.9M0.957.45N/AN/A24,79123,483430,886445,962
2021-01-25$153.40$153.0012.2%3.4%11.6%2.4%12.4%0.5%0.4%-30.2M495.0M-13.0M0.804.77N/AN/A23,34918,733410,854413,395
2021-01-26$153.42$153.0011.9%3.4%11.4%1.1%12.2%0.0%0.6%-36.7M500.4M-12.8M1.996.15N/AN/A11,57122,987421,351426,400
2021-01-27$153.85$153.0012.7%3.7%11.5%3.2%13.1%-0.1%0.4%-3.4M270.2M-13.0M0.6012.20N/AN/A34,53920,613425,434430,839
2021-01-28$152.75$154.0012.5%3.6%11.7%2.7%12.9%0.1%0.5%-93.4M840.0M-12.6M0.6830.79N/AN/A28,90519,743433,207437,243
2021-01-29$151.83$154.0013.1%3.7%11.7%4.3%13.6%-0.5%0.7%-165.9M1.22B-13.1M0.8534.22N/AN/A38,49332,560442,595443,926