TLT Options History — July 2023 In July 2023, TLT traded between $99.10 and $102.82. ATM implied volatility averaged 13.9%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 0.2% (HV 20d: 14.1%). Max pain ranged from $102.00 to $104.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.82.
Notable Days 2023-07-06 : Highest Volume — 327,990 contracts2023-07-27 : Largest IV spike — 15.0% change2023-07-10 : Highest IV Rank — 15.6%2023-07-07 : Largest Expected Move — 4.6%Monthly Statistics Metric Avg Min Max Open Close Price $100.83 $99.10 $102.82 $102.13 $99.82 Max Pain $102.80 $102.00 $104.00 $104.00 $102.00 ATM IV 13.9% 12.3% 15.8% 13.9% 13.3% Expected Move 3.9% 3.5% 4.6% 3.6% 3.7% HV 20d 14.1% 13.0% 15.0% 14.0% 13.0% HV 60d 15.3% 12.7% 15.9% 15.6% 12.7% IV Rank 6.0% 0.0% 15.6% 3.9% 5.7% IV Percentile 3.7% 0.0% 9.9% 3.2% 3.6% Term Structure 0.1% -0.3% 0.5% 0.5% -0.2% VWIV 13.9% 12.6% 16.0% 12.7% 13.2% Skew 25d 0.8% 0.3% 1.7% 0.4% 1.5% Skew 10d 2.0% 0.7% 4.1% 0.9% 3.2% Call IV 25d 13.7% 12.1% 15.6% 14.0% 13.1% Put IV 25d 14.6% 13.1% 16.7% 14.3% 14.6% Bid-Ask Spread % 11.29 1.72 29.58 1.96 29.58 Gamma HHI 0.06 0.05 0.09 0.05 0.05 Net GEX 36.5M -156.1M 266.7M 79.6M -68.1M Net DEX 22.0M -1.63B 1.48B -562.0M 851.1M Net VEX -23.3M -27.4M -19.9M -27.4M -20.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.33 1.30 0.93 0.94 Total Volume 167,593.85 66,829 327,990 66,829 185,555 Total OI 3,438,004.4 3,168,843 3,613,924 3,350,642 3,302,506
Daily Data (20 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 2023-07-03 $102.13 $104.00 13.9% 3.6% 14.0% 3.9% 12.7% 0.4% 0.5% 79.6M -562.0M -27.4M 0.93 1.96 N/A N/A 34,691 32,138 2,612,618 738,024 2023-07-05 $100.85 $103.00 15.0% 4.2% 14.7% 11.0% 14.3% 0.5% 0.2% -26.7M 343.1M -24.7M 1.21 1.72 N/A N/A 134,255 162,990 2,625,037 730,414 2023-07-06 $99.77 $104.00 15.8% 4.5% 15.0% 15.3% 15.9% 0.9% -0.0% -83.8M 910.1M -25.7M 1.00 17.62 N/A N/A 164,061 163,929 2,667,619 761,472 2023-07-07 $99.10 $103.00 15.8% 4.6% 14.3% 15.6% 16.0% 1.0% 0.4% -156.1M 1.27B -24.4M 0.58 1.82 N/A N/A 133,010 77,072 2,711,115 766,160 2023-07-10 $99.28 $103.00 15.8% 4.5% 13.7% 15.6% 15.8% 1.1% -0.0% -35.1M 889.3M -24.5M 0.71 14.00 N/A N/A 90,230 63,898 2,715,281 761,061 2023-07-11 $99.62 $103.00 15.6% 4.4% 13.8% 14.4% 15.5% 1.0% -0.2% 2.2M 574.4M -25.1M 0.33 4.03 N/A N/A 80,985 27,068 2,743,687 770,793 2023-07-12 $100.84 $102.00 14.3% 4.1% 14.6% 6.8% 14.4% 0.5% -0.2% 207.2M -444.6M -24.3M 0.77 12.58 N/A N/A 148,482 114,561 2,791,939 775,613 2023-07-13 $101.70 $102.00 13.7% 3.8% 14.5% 2.7% 13.8% 0.3% -0.3% 229.4M -991.4M -23.2M 0.60 12.62 N/A N/A 127,977 77,097 2,776,951 791,052 2023-07-14 $101.31 $102.00 13.6% 3.9% 14.3% 2.3% 13.9% 0.7% -0.1% 114.1M -614.0M -25.1M 0.74 12.43 N/A N/A 60,012 44,550 2,762,760 809,756 2023-07-17 $101.28 $102.00 13.5% 3.8% 13.9% 1.5% 13.7% 0.7% -0.0% -1.5M -236.0M -22.4M 0.67 12.62 N/A N/A 87,775 58,592 2,706,467 784,822 2023-07-18 $101.77 $103.00 13.3% 3.8% 14.0% 0.4% 13.7% 0.5% -0.1% 83.2M -697.8M -22.6M 1.20 12.63 N/A N/A 50,300 60,282 2,729,321 789,625 2023-07-19 $102.82 $103.00 13.2% 3.8% 14.3% 0.0% 13.6% 0.7% -0.1% 266.7M -1.63B -23.6M 1.30 12.70 N/A N/A 74,583 97,100 2,745,060 799,699 2023-07-20 $101.72 $103.00 12.9% 3.7% 14.7% 0.0% 12.8% 0.9% 0.0% 66.2M -637.4M -22.7M 0.69 17.04 N/A N/A 68,710 47,652 2,766,198 812,403 2023-07-21 $101.77 $103.00 12.3% 3.5% 14.1% 0.0% 12.6% 1.1% 0.1% 138.9M -716.4M -22.8M 0.37 13.00 N/A N/A 85,238 31,384 2,790,985 822,939 2023-07-24 $101.31 $103.00 12.7% 3.6% 13.6% 1.8% 13.2% 0.7% 0.4% 66.6M -283.6M -22.8M 1.00 7.51 N/A N/A 55,599 55,391 2,510,865 657,978 2023-07-25 $101.13 $103.00 13.2% 3.8% 13.6% 5.0% 13.4% 0.8% 0.5% 38.4M -80.2M -22.8M 0.62 6.01 N/A N/A 71,226 44,037 2,533,487 691,329 2023-07-26 $101.25 $103.00 12.6% 3.6% 13.6% 1.7% 12.9% 0.7% 0.5% 61.2M -204.0M -22.5M 1.13 12.85 N/A N/A 36,874 41,701 2,570,022 713,233 2023-07-27 $99.28 $103.00 14.5% 4.2% 15.0% 12.6% 14.7% 1.7% 0.4% -134.2M 1.48B -19.9M 0.79 10.07 N/A N/A 173,859 137,534 2,577,270 736,398 2023-07-28 $99.75 $102.00 13.0% 3.6% 13.9% 3.9% 12.7% 1.5% 0.5% -118.4M 1.23B -20.0M 0.80 13.02 N/A N/A 84,116 67,363 2,631,620 776,509 2023-07-31 $99.82 $102.00 13.3% 3.7% 13.0% 5.7% 13.2% 1.5% -0.2% -68.1M 851.1M -20.3M 0.94 29.58 N/A N/A 95,705 89,850 2,562,590 739,916
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