TLT Options History — September 2022

In September 2022, TLT traded between $101.04 and $110.31. ATM implied volatility averaged 22.0%, placing in the 66.2% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.5% (HV 20d: 18.5%). Max pain ranged from $108.00 to $117.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.61.

Notable Days

2022-09-13: Highest Volume — 420,272 contracts
2022-09-26: Largest IV spike — 10.4% change
2022-09-27: Highest IV Rank — 100.0%
2022-09-27: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$106.60	$101.04	$110.31	$109.76	$102.58
Max Pain	$112.48	$108.00	$117.00	$115.00	$108.00
ATM IV	22.0%	19.8%	27.0%	20.9%	24.6%
Expected Move	6.3%	5.7%	7.9%	6.2%	7.2%
HV 20d	18.5%	16.6%	23.4%	17.4%	22.7%
HV 60d	18.8%	17.5%	20.5%	19.5%	19.5%
IV Rank	66.2%	49.9%	100.0%	60.9%	82.6%
IV Percentile	82.0%	66.7%	100.0%	76.2%	97.6%
Term Structure	-0.1%	-0.5%	0.3%	0.1%	0.2%
VWIV	22.4%	20.1%	27.4%	22.7%	25.3%
Skew 25d	1.7%	0.8%	3.4%	0.8%	2.3%
Skew 10d	2.9%	0.1%	5.5%	0.8%	4.0%
Call IV 25d	21.6%	19.4%	25.6%	20.9%	24.2%
Put IV 25d	23.3%	21.0%	29.0%	21.7%	26.4%
Bid-Ask Spread %	12.36	5.21	28.80	12.51	21.79
Gamma HHI	0.09	0.07	0.17	0.10	0.09
Net GEX	-40.9M	-251.1M	167.4M	-251.1M	125.0M
Net DEX	3.15B	1.56B	4.84B	4.22B	2.68B
Net VEX	-17.9M	-20.9M	-15.6M	-20.5M	-17.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.29	1.13	0.55	0.64
Total Volume	223,293.429	99,824	420,272	292,485	182,279
Total OI	2,287,859.619	1,917,336	2,535,624	2,219,004	2,535,624

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
2022-09-01	$109.76	$115.00	20.9%	6.2%	17.4%	60.9%	22.7%	0.8%	0.1%	-251.1M	4.22B	-20.5M	0.55	12.51	N/A	N/A	189,080	103,405	1,270,096	948,908
2022-09-02	$110.31	$114.00	20.4%	6.0%	16.8%	57.2%	21.0%	1.3%	0.1%	-158.7M	3.64B	-20.9M	0.84	9.52	N/A	N/A	86,397	72,378	1,389,539	952,589
2022-09-06	$107.49	$117.00	22.5%	6.4%	17.5%	71.1%	22.1%	2.7%	-0.5%	-247.4M	4.84B	-17.8M	0.77	16.05	N/A	N/A	141,962	109,413	1,346,455	924,972
2022-09-07	$109.17	$116.00	21.6%	6.1%	18.9%	65.0%	21.7%	1.6%	0.0%	-165.6M	3.67B	-19.9M	0.51	10.49	N/A	N/A	105,568	53,831	1,438,252	937,888
2022-09-08	$108.33	$116.00	21.0%	6.0%	18.9%	61.6%	21.3%	1.5%	0.2%	-204.3M	4.17B	-18.6M	0.59	11.34	N/A	N/A	118,225	70,157	1,453,763	927,185
2022-09-09	$108.31	$115.00	20.4%	5.8%	17.5%	57.4%	20.6%	1.5%	-0.0%	-234.2M	4.16B	-18.9M	0.65	10.41	N/A	N/A	77,311	50,574	1,511,853	937,946
2022-09-12	$107.37	$115.00	20.9%	5.9%	17.1%	60.8%	20.9%	1.7%	-0.2%	-202.3M	4.33B	-17.6M	0.76	12.30	N/A	N/A	115,367	87,776	1,482,295	885,613
2022-09-13	$107.48	$115.00	20.8%	5.9%	17.1%	58.7%	20.9%	1.7%	-0.5%	-208.3M	4.37B	-17.5M	1.13	7.92	N/A	N/A	197,105	223,167	1,524,267	900,372
2022-09-14	$108.05	$115.00	19.8%	5.7%	17.3%	49.9%	20.1%	1.6%	-0.1%	-74.6M	3.38B	-17.0M	0.46	9.98	N/A	N/A	99,945	46,413	1,557,700	782,154
2022-09-15	$108.02	$115.00	20.0%	5.7%	17.2%	51.1%	20.4%	1.2%	-0.2%	-78.8M	3.49B	-16.6M	0.90	10.44	N/A	N/A	52,483	47,341	1,594,755	785,720
2022-09-16	$107.19	$115.00	20.7%	5.9%	17.2%	56.2%	20.5%	1.7%	-0.2%	-58.2M	3.52B	-15.6M	0.58	5.98	N/A	N/A	235,735	137,850	1,615,219	755,459
2022-09-19	$107.40	$110.00	20.9%	6.0%	16.6%	57.5%	21.2%	1.6%	-0.5%	119.2M	1.74B	-17.4M	0.29	5.21	N/A	N/A	92,488	26,641	1,337,296	580,040
2022-09-20	$106.10	$110.00	21.3%	6.1%	16.9%	60.1%	21.5%	1.7%	-0.0%	73.4M	2.23B	-16.2M	0.45	7.84	N/A	N/A	129,117	58,337	1,349,555	590,635
2022-09-21	$107.51	$110.00	20.5%	5.9%	17.9%	54.4%	20.8%	1.2%	0.2%	146.6M	1.56B	-17.9M	0.34	28.80	N/A	N/A	153,043	52,078	1,403,098	611,901
2022-09-22	$105.17	$110.00	21.8%	6.3%	19.0%	63.8%	21.8%	1.5%	-0.4%	43.3M	2.47B	-16.5M	0.52	5.61	N/A	N/A	133,715	69,403	1,489,420	630,427
2022-09-23	$105.74	$110.00	22.5%	6.5%	18.1%	68.3%	23.3%	1.0%	-0.1%	100.2M	1.85B	-19.0M	0.39	10.70	N/A	N/A	187,173	73,700	1,549,406	638,925
2022-09-26	$103.67	$110.00	24.9%	7.3%	18.5%	85.5%	26.0%	1.8%	0.3%	79.0M	2.43B	-17.7M	0.67	20.63	N/A	N/A	136,841	91,359	1,564,397	632,152
2022-09-27	$101.04	$110.00	27.0%	7.9%	19.9%	100.0%	27.4%	3.4%	-0.2%	34.4M	3.20B	-15.7M	0.46	12.37	N/A	N/A	232,944	107,268	1,628,979	647,976
2022-09-28	$104.19	$108.00	25.0%	7.2%	23.4%	85.3%	25.6%	2.8%	0.2%	167.4M	1.97B	-19.2M	0.61	5.33	N/A	N/A	221,135	135,829	1,741,451	701,173
2022-09-29	$103.65	$108.00	24.6%	7.2%	23.3%	82.5%	25.2%	2.5%	0.3%	136.4M	2.16B	-18.3M	0.69	24.41	N/A	N/A	109,275	75,054	1,788,176	701,421
2022-09-30	$102.58	$108.00	24.6%	7.2%	22.7%	82.6%	25.3%	2.3%	0.2%	125.0M	2.68B	-17.3M	0.64	21.79	N/A	N/A	111,413	70,866	1,833,875	701,749