TLT Options History — November 2021 In November 2021, TLT traded between $144.78 and $151.50. ATM implied volatility averaged 15.2%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.2% (HV 20d: 14.9%). Max pain ranged from $147.00 to $149.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.70.
Notable Days 2021-11-26 : Highest Volume — 277,302 contracts2021-11-22 : Largest IV spike — 7.7% change2021-11-30 : Highest IV Rank — 44.9%2021-11-30 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $147.60 $144.78 $151.50 $146.46 $151.50 Max Pain $147.33 $147.00 $149.00 $149.00 $148.00 ATM IV 15.2% 13.7% 16.3% 15.5% 16.3% Expected Move 4.5% 3.9% 5.1% 4.9% 5.1% HV 20d 14.9% 13.5% 17.1% 14.4% 17.1% HV 60d 13.4% 12.5% 14.9% 12.5% 14.9% IV Rank 34.5% 20.9% 44.9% 37.2% 44.9% IV Percentile 79.6% 47.6% 91.7% 85.3% 91.7% Term Structure -0.1% -0.6% 0.6% -0.3% 0.2% VWIV 16.3% 14.5% 18.3% 17.3% 18.3% Skew 25d 0.8% -0.4% 1.8% 1.7% -0.4% Skew 10d 0.3% -3.5% 2.8% 2.8% -1.4% Call IV 25d 15.3% 13.4% 17.4% 15.2% 17.1% Put IV 25d 16.1% 14.7% 17.1% 16.9% 16.7% Bid-Ask Spread % 16.41 2.32 44.89 2.35 4.91 Gamma HHI 0.07 0.05 0.11 0.06 0.08 Net GEX -215.1M -502.9M 107.8M -181.1M 107.8M Net DEX 1.32B -1.31B 3.60B 1.75B -1.31B Net VEX -22.1M -24.0M -19.4M -23.8M -20.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.70 0.54 2.98 1.73 0.85 Total Volume 159,921.714 76,412 277,302 95,105 209,759 Total OI 1,671,393.905 1,339,531 1,861,666 1,621,314 1,507,082
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 2021-11-01 $146.46 $149.00 15.5% 4.9% 14.4% 37.2% 17.3% 1.7% -0.3% -181.1M 1.75B -23.8M 1.73 2.35 N/A N/A 34,843 60,262 603,767 1,017,547 2021-11-02 $147.07 $149.00 14.8% 4.6% 13.9% 30.8% 16.6% 1.1% -0.2% -152.6M 1.40B -23.3M 1.78 2.80 N/A N/A 37,011 66,018 619,890 1,039,228 2021-11-03 $146.14 $149.00 14.5% 4.4% 14.1% 28.8% 16.3% 1.8% -0.1% -311.9M 2.26B -23.0M 1.89 2.32 N/A N/A 72,817 137,625 628,146 1,077,315 2021-11-04 $147.10 $147.00 13.8% 4.0% 13.5% 22.2% 15.1% 1.7% -0.1% -162.6M 1.36B -22.7M 2.98 44.89 N/A N/A 50,318 149,711 653,584 1,070,491 2021-11-05 $149.40 $147.00 14.8% 4.3% 14.2% 30.8% 15.6% 1.0% -0.1% 1.0M -305.5M -23.5M 1.76 28.81 N/A N/A 88,377 155,262 662,867 1,139,014 2021-11-08 $149.11 $147.00 14.9% 4.4% 14.2% 31.9% 15.8% 0.6% 0.4% -58.9M 248.4M -23.4M 1.61 33.82 N/A N/A 29,253 47,159 649,840 1,135,657 2021-11-09 $150.70 $147.00 15.4% 4.5% 13.8% 37.0% 16.6% 0.0% 0.4% 59.9M -948.6M -22.9M 1.40 36.15 N/A N/A 113,130 158,891 656,478 1,148,488 2021-11-10 $148.19 $147.00 15.2% 4.5% 15.0% 34.8% 16.1% 0.4% 0.5% -310.3M 1.61B -24.0M 2.41 35.38 N/A N/A 51,766 124,836 654,580 1,207,086 2021-11-11 $147.96 $147.00 15.3% 4.5% 14.9% 36.1% 16.7% 0.4% 0.5% -320.8M 1.68B -23.9M 2.16 5.31 N/A N/A 28,575 61,685 643,096 1,198,275 2021-11-12 $147.29 $147.00 15.8% 4.6% 14.9% 40.0% 16.6% 0.9% 0.6% -305.5M 2.22B -23.6M 1.29 18.99 N/A N/A 71,038 91,359 648,769 1,191,271 2021-11-15 $145.32 $147.00 16.3% 4.7% 15.6% 44.4% 16.6% 0.7% -0.5% -465.3M 3.56B -22.9M 1.97 10.17 N/A N/A 62,311 122,640 627,671 1,150,026 2021-11-16 $145.12 $147.00 15.9% 4.6% 14.7% 41.0% 17.3% 0.4% -0.4% -502.9M 3.60B -22.6M 2.22 27.15 N/A N/A 41,711 92,720 640,702 1,156,452 2021-11-17 $146.07 $147.00 15.0% 4.3% 14.5% 33.2% 15.3% 0.9% -0.4% -427.8M 2.77B -21.4M 1.93 31.82 N/A N/A 60,546 116,742 644,729 1,161,423 2021-11-18 $146.64 $147.00 14.2% 4.1% 14.5% 26.0% 14.8% 0.8% -0.1% -365.5M 2.15B -21.2M 1.17 35.38 N/A N/A 45,954 53,720 650,546 1,133,786 2021-11-19 $148.19 $147.00 13.7% 3.9% 14.6% 20.9% 14.5% 0.9% -0.1% -152.8M 640.4M -20.2M 1.19 6.34 N/A N/A 63,191 75,464 652,380 1,140,117 2021-11-22 $146.40 $147.00 14.7% 4.3% 15.4% 30.6% 15.6% 0.9% -0.2% -311.7M 1.60B -20.8M 1.70 2.80 N/A N/A 44,303 75,226 441,906 897,625 2021-11-23 $144.78 $147.00 15.3% 4.5% 15.7% 35.3% 16.1% 0.9% -0.3% -422.0M 2.66B -21.3M 2.09 3.60 N/A N/A 52,724 110,100 454,117 921,936 2021-11-24 $146.72 $147.00 15.3% 4.6% 15.0% 35.5% 16.5% 0.9% -0.4% -337.0M 1.47B -20.7M 1.36 2.56 N/A N/A 39,456 53,521 463,959 945,839 2021-11-26 $150.00 $147.00 16.3% 5.0% 16.9% 44.8% 18.0% -0.4% -0.6% 69.2M -471.3M -19.4M 0.54 5.42 N/A N/A 180,424 96,878 471,565 951,518 2021-11-29 $149.42 $147.00 15.6% 4.9% 16.9% 38.0% 17.6% 0.6% -0.0% 34.6M -289.0M -20.1M 1.65 3.68 N/A N/A 49,379 81,651 537,226 903,278 2021-11-30 $151.50 $148.00 16.3% 5.1% 17.1% 44.9% 18.3% -0.4% 0.2% 107.8M -1.31B -20.4M 0.85 4.91 N/A N/A 113,624 96,135 554,700 952,382
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