TLT Options History — June 2021 In June 2021, TLT traded between $138.14 and $145.71. ATM implied volatility averaged 12.4%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.0% (HV 20d: 10.3%). Max pain ranged from $138.00 to $143.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.47.
Notable Days 2021-06-17 : Highest Volume — 259,706 contracts2021-06-18 : Largest IV spike — 16.2% change2021-06-18 : Highest IV Rank — 29.6%2021-06-18 : Largest Expected Move — 4.3%Monthly Statistics Metric Avg Min Max Open Close Price $141.78 $138.14 $145.71 $138.19 $144.72 Max Pain $140.64 $138.00 $143.00 $143.00 $142.00 ATM IV 12.4% 11.4% 14.6% 12.5% 12.8% Expected Move 3.6% 3.4% 4.3% 3.6% 3.7% HV 20d 10.3% 7.3% 14.0% 8.7% 14.0% HV 60d 10.4% 9.4% 10.9% 10.8% 10.8% IV Rank 8.7% 0.0% 29.6% 8.6% 12.7% IV Percentile 14.3% 0.0% 64.3% 11.9% 24.6% Term Structure 0.2% -0.6% 0.6% -0.1% 0.3% VWIV 13.1% 12.4% 15.2% 12.6% 13.0% Skew 25d -0.1% -1.8% 0.9% 0.8% -0.6% Skew 10d -1.2% -4.3% 1.2% 0.6% -2.0% Call IV 25d 12.9% 11.6% 16.2% 12.5% 13.4% Put IV 25d 12.7% 11.9% 14.4% 13.3% 12.8% Bid-Ask Spread % 5.68 2.82 24.14 20.42 3.59 Gamma HHI 0.07 0.05 0.10 0.10 0.06 Net GEX -158.2M -430.9M 42.6M -408.2M 42.6M Net DEX 249.9M -2.40B 2.33B 2.18B -1.27B Net VEX -16.8M -17.5M -15.8M -16.7M -15.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.47 0.55 2.90 1.08 0.55 Total Volume 112,781 47,410 259,706 61,888 144,514 Total OI 1,434,688.409 1,189,307 1,727,358 1,404,645 1,245,678
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 2021-06-01 $138.19 $143.00 12.5% 3.6% 8.7% 8.6% 12.6% 0.8% -0.1% -408.2M 2.18B -16.7M 1.08 20.42 N/A N/A 29,759 32,129 495,377 909,268 2021-06-02 $138.43 $143.00 12.5% 3.6% 8.5% 8.8% 12.9% 0.9% -0.2% -380.0M 2.10B -17.4M 1.61 24.14 N/A N/A 18,189 29,221 504,372 924,581 2021-06-03 $138.14 $138.00 12.2% 3.6% 8.4% 5.7% 13.8% 0.9% -0.1% -430.9M 2.33B -17.3M 2.25 4.27 N/A N/A 15,581 35,094 506,479 933,744 2021-06-04 $139.67 $138.00 11.4% 3.4% 9.3% 0.0% 12.5% 0.7% -0.2% -223.5M 1.11B -15.8M 1.17 4.06 N/A N/A 62,401 73,279 510,878 943,303 2021-06-07 $139.42 $138.00 11.6% 3.5% 9.0% 1.6% 12.7% 0.7% 0.6% -344.9M 1.48B -16.2M 2.88 4.19 N/A N/A 18,360 52,921 509,902 948,532 2021-06-08 $140.46 $139.00 11.8% 3.5% 8.7% 3.3% 12.7% 0.4% 0.5% -238.9M 884.9M -16.3M 1.34 4.00 N/A N/A 53,704 72,030 518,965 968,894 2021-06-09 $141.62 $139.00 12.3% 3.6% 8.8% 7.8% 13.2% 0.3% 0.3% -153.9M 246.2M -17.0M 2.90 4.11 N/A N/A 56,673 164,185 552,078 1,000,092 2021-06-10 $142.24 $139.00 11.7% 3.4% 7.3% 2.9% 12.5% -0.1% 0.3% -72.0M -123.1M -16.1M 1.59 4.08 N/A N/A 65,141 103,827 558,883 1,008,996 2021-06-11 $142.25 $140.00 11.8% 3.5% 7.3% 3.3% 12.7% -0.1% 0.4% -37.6M -219.0M -17.5M 1.21 3.49 N/A N/A 42,434 51,138 599,381 1,051,812 2021-06-14 $141.08 $140.00 12.3% 3.5% 8.1% 7.8% 12.8% 0.5% -0.1% -120.9M 612.1M -17.4M 0.99 3.29 N/A N/A 32,975 32,725 590,983 1,006,982 2021-06-15 $140.92 $140.00 12.2% 3.5% 8.1% 7.6% 13.0% 0.1% -0.1% -160.6M 728.3M -17.3M 2.27 3.57 N/A N/A 15,850 35,906 603,958 1,023,985 2021-06-16 $140.81 $140.00 12.2% 3.5% 8.0% 7.6% 13.1% 0.5% -0.0% -144.1M 829.3M -17.4M 1.60 3.58 N/A N/A 37,979 60,919 608,772 1,032,637 2021-06-17 $143.01 $140.00 12.6% 3.6% 9.3% 10.9% 12.9% -0.7% 0.0% 15.8M -495.9M -16.8M 0.67 4.47 N/A N/A 155,883 103,823 617,494 1,047,302 2021-06-18 $145.71 $141.00 14.6% 4.3% 10.9% 29.6% 15.2% -1.8% -0.6% 41.7M -2.40B -16.6M 0.78 4.55 N/A N/A 128,716 100,741 655,388 1,071,970 2021-06-21 $143.24 $142.00 13.9% 4.1% 13.0% 23.1% 14.9% -1.4% 0.2% -133.1M -327.4M -17.4M 0.74 4.20 N/A N/A 74,894 55,551 480,606 708,701 2021-06-22 $143.51 $142.00 13.1% 3.9% 13.0% 15.1% 13.9% -1.0% 0.3% -114.4M -482.6M -17.4M 1.55 3.18 N/A N/A 35,721 55,233 498,324 730,052 2021-06-23 $143.18 $142.00 12.3% 3.6% 12.8% 8.0% 12.9% -0.9% 0.4% -218.6M -325.8M -17.0M 1.72 3.23 N/A N/A 39,153 67,239 506,920 753,160 2021-06-24 $143.64 $142.00 12.4% 3.6% 12.7% 8.9% 13.1% -0.8% 0.4% -92.0M -684.5M -16.5M 1.49 5.60 N/A N/A 23,929 35,579 508,507 736,583 2021-06-25 $141.86 $142.00 12.0% 3.4% 13.6% 5.5% 12.4% -0.4% 0.6% -220.1M 604.3M -17.1M 1.33 3.90 N/A N/A 51,695 68,890 523,137 747,795 2021-06-28 $143.44 $142.00 12.1% 3.6% 14.0% 6.7% 12.5% -0.6% 0.6% -32.6M -637.5M -16.1M 1.52 2.82 N/A N/A 30,796 46,842 497,630 701,825 2021-06-29 $143.61 $142.00 12.1% 3.5% 13.9% 6.5% 12.7% -0.5% 0.6% -54.5M -645.9M -16.3M 1.18 6.20 N/A N/A 31,938 37,625 502,211 717,008 2021-06-30 $144.72 $142.00 12.8% 3.7% 14.0% 12.7% 13.0% -0.6% 0.3% 42.6M -1.27B -15.9M 0.55 3.59 N/A N/A 93,256 51,258 517,414 728,264
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