TLT Options History — September 2021 In September 2021, TLT traded between $143.90 and $151.36. ATM implied volatility averaged 13.0%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.7% (HV 20d: 11.2%). Max pain ranged from $147.00 to $153.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.09.
Notable Days 2021-09-28 : Highest Volume — 270,446 contracts2021-09-09 : Largest IV drop — 6.7% change2021-09-28 : Highest IV Rank — 23.7%2021-09-29 : Largest Expected Move — 4.3%Monthly Statistics Metric Avg Min Max Open Close Price $148.42 $143.90 $151.36 $148.92 $144.28 Max Pain $149.76 $147.00 $153.00 $149.00 $150.00 ATM IV 13.0% 11.8% 14.0% 13.1% 13.6% Expected Move 3.8% 3.4% 4.3% 3.6% 4.2% HV 20d 11.2% 9.5% 13.6% 10.8% 13.5% HV 60d 13.1% 12.3% 13.7% 13.3% 13.0% IV Rank 14.5% 3.3% 23.7% 15.4% 20.5% IV Percentile 33.7% 2.8% 59.1% 34.9% 50.0% Term Structure 0.1% -0.2% 0.6% 0.2% 0.6% VWIV 13.8% 12.1% 15.6% 13.0% 15.2% Skew 25d 0.3% -0.7% 1.1% 0.3% 0.8% Skew 10d -0.1% -2.1% 1.7% 0.3% 1.1% Call IV 25d 13.3% 12.0% 14.4% 13.3% 13.7% Put IV 25d 13.6% 12.3% 14.9% 13.7% 14.5% Bid-Ask Spread % 32.24 11.62 52.31 52.31 31.89 Gamma HHI 0.08 0.05 0.13 0.07 0.06 Net GEX -99.3M -537.2M 345.2M -52.6M -530.7M Net DEX 901.7M -1.37B 4.86B -252.9M 4.32B Net VEX -19.4M -23.6M -15.6M -17.5M -23.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.09 0.50 7.70 1.13 1.42 Total Volume 130,193.619 41,424 270,446 41,424 99,668 Total OI 1,557,563.952 1,231,396 1,750,039 1,549,886 1,661,006
Daily Data (21 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 2021-09-01 $148.92 $149.00 13.1% 3.6% 10.8% 15.4% 13.0% 0.3% 0.2% -52.6M -252.9M -17.5M 1.13 52.31 N/A N/A 19,475 21,949 598,764 951,122 2021-09-02 $149.43 $147.00 12.6% 3.7% 10.8% 11.4% 13.3% 0.4% 0.2% 35.3M -451.5M -16.7M 1.65 42.98 N/A N/A 23,517 38,834 592,886 974,221 2021-09-03 $148.19 $147.00 12.4% 3.6% 9.5% 9.0% 13.2% 0.3% 0.3% -179.4M 485.8M -17.2M 1.88 38.38 N/A N/A 41,061 77,381 596,264 985,859 2021-09-07 $147.00 $148.00 13.1% 3.8% 9.8% 15.1% 13.9% 0.7% 0.1% -230.7M 1.18B -16.8M 1.34 37.90 N/A N/A 39,317 52,593 566,591 915,405 2021-09-08 $147.97 $147.00 12.8% 3.7% 9.9% 12.3% 13.5% 0.6% 0.1% -113.4M 543.2M -16.7M 3.80 39.51 N/A N/A 15,674 59,504 587,047 943,766 2021-09-09 $149.58 $147.00 11.9% 3.4% 10.6% 4.5% 12.4% 0.5% -0.1% 181.0M -681.2M -15.6M 0.89 39.43 N/A N/A 85,364 75,618 591,017 962,210 2021-09-10 $148.40 $147.00 11.8% 3.4% 11.0% 3.3% 12.1% 0.3% 0.0% -46.1M 419.7M -17.6M 1.14 35.12 N/A N/A 42,282 48,340 608,476 1,004,463 2021-09-13 $149.35 $150.00 12.3% 3.5% 9.8% 7.9% 13.0% 0.2% -0.0% 154.9M -167.1M -18.0M 1.55 41.79 N/A N/A 51,384 79,751 628,654 988,782 2021-09-14 $150.88 $150.00 12.8% 3.7% 10.4% 12.5% 13.2% -0.3% -0.2% 335.7M -1.37B -18.2M 0.65 31.48 N/A N/A 128,775 83,536 635,970 1,002,771 2021-09-15 $150.44 $153.00 12.9% 3.7% 10.5% 13.9% 13.8% 0.0% -0.1% 345.2M -871.9M -18.4M 2.66 39.07 N/A N/A 25,260 67,266 641,973 1,039,876 2021-09-16 $150.03 $151.00 12.8% 3.7% 10.5% 13.2% 13.7% 0.1% -0.1% 207.3M -381.5M -19.2M 0.95 38.24 N/A N/A 39,763 37,832 667,388 1,065,348 2021-09-17 $149.17 $151.00 12.8% 3.7% 10.3% 13.2% 13.4% 0.0% -0.1% -63.4M 400.3M -19.5M 1.11 31.29 N/A N/A 81,247 90,246 669,926 1,080,113 2021-09-20 $150.92 $151.00 13.6% 4.0% 11.2% 20.1% 14.0% -0.7% -0.1% -32.4M -305.2M -19.1M 2.00 19.24 N/A N/A 39,596 78,995 458,080 773,316 2021-09-21 $150.71 $151.00 13.2% 3.9% 11.2% 16.4% 15.1% -0.6% -0.0% 2.8M -444.3M -19.7M 0.50 34.30 N/A N/A 52,902 26,431 520,879 812,277 2021-09-22 $151.36 $151.00 13.0% 3.8% 10.9% 15.0% 13.5% -0.4% -0.0% 35.7M -645.1M -20.0M 7.70 34.77 N/A N/A 22,205 171,086 541,159 855,782 2021-09-23 $148.51 $151.00 13.3% 3.9% 12.5% 17.2% 14.3% 0.4% 0.0% -249.8M 1.09B -21.5M 3.55 21.80 N/A N/A 48,191 171,037 569,910 861,348 2021-09-24 $146.94 $151.00 13.5% 4.0% 13.0% 19.0% 14.3% 0.9% 0.0% -416.4M 3.70B -22.8M 1.77 20.18 N/A N/A 62,781 110,955 588,585 1,011,427 2021-09-27 $146.47 $151.00 13.3% 4.0% 12.8% 17.5% 14.0% 0.7% 0.5% -433.0M 3.13B -23.0M 3.25 22.15 N/A N/A 22,521 73,097 553,141 980,778 2021-09-28 $144.36 $151.00 14.0% 4.3% 13.6% 23.7% 15.4% 0.9% 0.5% -497.2M 4.37B -23.6M 2.35 13.55 N/A N/A 80,611 189,835 580,726 1,016,411 2021-09-29 $143.90 $151.00 13.9% 4.3% 13.5% 23.0% 15.6% 1.1% 0.5% -537.2M 4.86B -23.4M 2.60 11.62 N/A N/A 43,984 114,202 590,324 1,034,802 2021-09-30 $144.28 $150.00 13.6% 4.2% 13.5% 20.5% 15.2% 0.8% 0.6% -530.7M 4.32B -23.1M 1.42 31.89 N/A N/A 41,241 58,427 615,062 1,045,944
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