TLT Options History — February 2021

In February 2021, TLT traded between $137.92 and $152.11. ATM implied volatility averaged 15.3%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 4.4% (HV 20d: 10.9%). Max pain ranged from $148.00 to $154.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.25.

Notable Days

2021-02-25: Highest Volume — 383,150 contracts
2021-02-25: Largest IV spike — 28.1% change
2021-02-25: Highest IV Rank — 29.4%
2021-02-25: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$146.13	$137.92	$152.11	$152.11	$142.25
Max Pain	$151.37	$148.00	$154.00	$154.00	$148.00
ATM IV	15.3%	12.9%	22.3%	13.8%	17.3%
Expected Move	4.5%	3.9%	6.9%	3.9%	5.3%
HV 20d	10.9%	9.4%	17.0%	11.7%	17.0%
HV 60d	11.6%	10.7%	13.6%	13.0%	13.6%
IV Rank	10.4%	3.8%	29.4%	6.3%	15.7%
IV Percentile	49.4%	17.9%	90.5%	32.5%	75.4%
Term Structure	0.2%	-1.1%	1.0%	0.4%	-1.1%
VWIV	16.5%	14.1%	24.1%	14.4%	19.5%
Skew 25d	1.0%	-0.8%	4.9%	-0.8%	4.3%
Skew 10d	1.8%	-2.9%	16.0%	-1.1%	-0.2%
Call IV 25d	15.6%	13.6%	21.3%	14.9%	17.0%
Put IV 25d	16.6%	13.3%	26.1%	14.2%	21.4%
Bid-Ask Spread %	9.46	2.30	27.00	4.02	10.19
Gamma HHI	0.10	0.07	0.14	0.09	0.10
Net GEX	-300.1M	-430.1M	-140.3M	-140.3M	-165.1M
Net DEX	2.76B	839.2M	4.39B	839.2M	2.78B
Net VEX	-15.2M	-18.9M	-12.9M	-12.9M	-18.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.22	2.56	0.22	0.67
Total Volume	131,092.895	46,435	383,150	92,494	211,097
Total OI	1,118,416.789	810,223	1,428,970	810,223	1,428,970

Daily Data (19 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
2021-02-01	$152.11	$154.00	13.8%	3.9%	11.7%	6.3%	14.4%	-0.8%	0.4%	-140.3M	839.2M	-12.9M	0.22	4.02	N/A	N/A	75,884	16,610	390,404	419,819
2021-02-02	$150.97	$153.00	13.7%	3.9%	11.9%	6.0%	14.3%	-0.1%	0.2%	-179.0M	1.21B	-13.1M	1.96	3.80	N/A	N/A	30,964	60,810	454,071	425,985
2021-02-03	$149.71	$153.00	13.9%	4.0%	12.0%	6.5%	14.5%	0.0%	0.2%	-212.6M	1.58B	-13.7M	2.20	3.42	N/A	N/A	25,756	56,564	476,342	442,703
2021-02-04	$149.32	$153.00	14.0%	4.1%	9.8%	6.8%	16.8%	0.1%	0.1%	-265.0M	1.83B	-14.0M	1.20	23.79	N/A	N/A	39,044	46,713	484,570	475,135
2021-02-05	$148.11	$154.00	14.1%	4.1%	9.8%	7.1%	14.7%	0.4%	-0.0%	-363.9M	2.48B	-13.2M	1.63	26.39	N/A	N/A	43,936	71,499	502,132	504,154
2021-02-08	$148.57	$154.00	13.7%	4.0%	9.9%	6.0%	14.5%	0.2%	0.3%	-335.4M	2.29B	-14.2M	1.00	22.54	N/A	N/A	30,268	30,180	503,896	530,559
2021-02-09	$148.78	$153.00	13.0%	4.0%	9.9%	3.9%	14.3%	0.0%	0.9%	-332.8M	2.13B	-14.0M	0.70	27.00	N/A	N/A	27,292	19,143	517,895	537,241
2021-02-10	$149.67	$151.00	12.9%	3.9%	10.2%	3.8%	14.1%	-0.1%	0.8%	-294.2M	1.67B	-14.7M	1.86	22.54	N/A	N/A	30,884	57,339	533,001	548,444
2021-02-11	$149.04	$151.00	12.9%	3.9%	9.4%	3.8%	14.4%	-0.3%	1.0%	-341.7M	1.93B	-15.1M	1.68	3.85	N/A	N/A	27,343	45,941	552,276	569,326
2021-02-12	$147.06	$151.00	14.0%	4.2%	9.7%	6.9%	15.3%	-0.0%	0.7%	-416.2M	3.02B	-15.7M	1.42	3.77	N/A	N/A	37,615	53,555	565,079	597,597
2021-02-16	$144.72	$151.00	15.7%	4.5%	10.6%	11.5%	16.6%	1.6%	0.1%	-388.3M	3.84B	-15.3M	2.56	3.12	N/A	N/A	73,569	188,196	565,426	604,705
2021-02-17	$145.49	$150.00	15.7%	4.5%	10.9%	11.4%	16.8%	0.8%	-0.0%	-414.2M	3.65B	-16.7M	0.88	3.25	N/A	N/A	43,869	38,425	605,816	671,810
2021-02-18	$145.18	$150.00	15.8%	4.5%	10.8%	11.6%	16.5%	0.4%	-0.2%	-398.5M	3.68B	-16.3M	1.09	3.18	N/A	N/A	38,316	41,954	624,200	660,042
2021-02-19	$143.15	$150.00	16.5%	4.7%	11.5%	13.4%	17.0%	1.1%	-0.3%	-430.1M	4.39B	-15.7M	1.42	2.63	N/A	N/A	72,722	103,484	647,127	659,094
2021-02-22	$142.03	$150.00	18.1%	5.3%	11.3%	17.7%	19.2%	1.6%	-0.2%	-276.8M	3.41B	-16.4M	0.83	2.50	N/A	N/A	75,293	62,278	529,188	583,507
2021-02-23	$141.64	$150.00	16.7%	4.9%	10.2%	14.1%	17.8%	2.2%	0.2%	-264.7M	3.56B	-16.7M	0.47	2.75	N/A	N/A	70,882	33,035	569,267	601,915
2021-02-24	$140.69	$150.00	17.4%	5.1%	10.1%	16.0%	18.5%	2.0%	-0.2%	-271.2M	3.82B	-16.2M	0.73	2.30	N/A	N/A	131,409	95,746	588,366	605,962
2021-02-25	$137.92	$150.00	22.3%	6.9%	11.1%	29.4%	24.1%	4.9%	0.2%	-212.0M	4.38B	-16.7M	1.19	8.61	N/A	N/A	174,607	208,543	649,602	624,293
2021-02-26	$142.25	$148.00	17.3%	5.3%	17.0%	15.7%	19.5%	4.3%	-1.1%	-165.1M	2.78B	-18.9M	0.67	10.19	N/A	N/A	126,731	84,366	733,980	694,990