TLT Options History — September 2023 In September 2023, TLT traded between $88.22 and $94.94. ATM implied volatility averaged 15.8%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.6% (HV 20d: 15.2%). Max pain ranged from $93.00 to $98.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.96.
Notable Days 2023-09-27 : Highest Volume — 403,931 contracts2023-09-25 : Largest IV spike — 26.9% change2023-09-27 : Highest IV Rank — 45.1%2023-09-27 : Largest Expected Move — 5.9%Monthly Statistics Metric Avg Min Max Open Close Price $92.24 $88.22 $94.94 $94.94 $88.59 Max Pain $95.85 $93.00 $98.00 $96.00 $93.00 ATM IV 15.8% 13.4% 20.2% 15.1% 18.9% Expected Move 4.5% 3.8% 5.9% 4.0% 5.4% HV 20d 15.2% 14.1% 16.7% 15.8% 15.8% HV 60d 15.6% 15.1% 16.3% 15.6% 15.9% IV Rank 20.1% 6.0% 45.1% 15.8% 38.0% IV Percentile 23.9% 4.0% 68.3% 14.3% 55.6% Term Structure 0.2% -0.3% 0.7% 0.5% 0.7% VWIV 16.0% 13.2% 20.4% 13.9% 18.6% Skew 25d 1.1% 0.5% 2.6% 0.6% 2.1% Skew 10d 2.3% 0.5% 4.6% 0.6% 4.2% Call IV 25d 15.5% 13.2% 18.9% 15.0% 18.0% Put IV 25d 16.6% 14.1% 21.5% 15.6% 20.0% Bid-Ask Spread % 11.68 2.28 19.10 2.32 9.37 Gamma HHI 0.10 0.04 0.45 0.16 0.04 Net GEX -60.9M -610.2M 81.9M -101.1M 81.9M Net DEX 1.75B 917.4M 2.92B 1.11B 2.26B Net VEX -20.0M -24.1M -17.3M -24.1M -22.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.96 0.41 2.16 1.11 0.42 Total Volume 239,891.25 117,923 403,931 281,193 354,644 Total OI 3,984,772.35 3,478,713 4,306,937 4,161,759 4,278,581
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 2023-09-01 $94.94 $96.00 15.1% 4.0% 15.8% 15.8% 13.9% 0.6% 0.5% -101.1M 1.11B -24.1M 1.11 2.32 N/A N/A 133,271 147,922 3,149,253 1,012,506 2023-09-05 $93.68 $98.00 15.8% 4.5% 16.1% 20.1% 16.4% 0.9% 0.1% -7.5M 1.68B -21.5M 1.63 18.28 N/A N/A 87,540 142,841 3,157,565 909,456 2023-09-06 $93.75 $98.00 15.7% 4.5% 15.4% 19.5% 15.9% 0.7% 0.0% -15.2M 1.57B -21.8M 1.98 13.82 N/A N/A 96,501 191,173 3,188,903 951,404 2023-09-07 $93.95 $98.00 15.5% 4.5% 15.3% 17.9% 14.4% 0.5% 0.1% -2.5M 1.42B -21.6M 1.19 2.28 N/A N/A 58,786 69,934 3,224,970 980,226 2023-09-08 $94.40 $98.00 15.0% 4.4% 14.7% 15.6% 15.8% 0.5% 0.0% 79.7M 917.4M -21.4M 0.87 10.73 N/A N/A 85,122 74,220 3,262,477 986,730 2023-09-11 $93.70 $97.00 15.3% 4.3% 14.8% 16.8% 15.2% 0.9% -0.2% -47.4M 1.66B -20.2M 1.07 18.72 N/A N/A 69,484 74,423 3,237,993 967,142 2023-09-12 $94.19 $97.00 14.7% 4.2% 15.0% 13.5% 15.0% 1.0% -0.1% 14.3M 1.10B -20.2M 0.97 18.87 N/A N/A 67,856 65,926 3,260,293 969,004 2023-09-13 $94.25 $97.00 14.3% 4.0% 14.8% 11.0% 14.5% 0.6% -0.1% 65.4M 1.02B -19.8M 2.16 19.10 N/A N/A 84,863 183,413 3,283,917 977,808 2023-09-14 $93.57 $97.00 13.5% 3.8% 14.8% 6.6% 13.2% 0.9% -0.3% -153.8M 1.83B -18.4M 1.17 11.32 N/A N/A 83,757 97,741 3,295,574 966,063 2023-09-15 $93.06 $96.00 13.4% 3.8% 14.8% 6.0% 13.5% 0.8% -0.1% -610.2M 2.11B -17.9M 0.95 16.98 N/A N/A 76,780 72,567 3,344,401 962,536 2023-09-18 $93.50 $96.00 13.4% 3.8% 14.8% 6.0% 13.9% 0.8% 0.1% -24.2M 955.0M -18.5M 0.49 6.95 N/A N/A 104,415 51,197 2,761,700 717,013 2023-09-19 $92.90 $95.00 14.0% 4.0% 14.2% 9.7% 14.7% 0.8% 0.1% -44.7M 1.23B -18.7M 0.67 13.86 N/A N/A 112,084 75,598 2,793,142 732,973 2023-09-20 $93.31 $95.00 13.4% 3.9% 14.1% 6.3% 14.0% 0.8% 0.3% -2.3M 921.7M -18.8M 0.54 14.29 N/A N/A 76,392 41,531 2,810,130 740,439 2023-09-21 $90.84 $95.00 16.3% 4.7% 14.4% 22.7% 16.5% 1.7% 0.1% -153.5M 2.52B -17.3M 0.83 11.38 N/A N/A 205,662 171,501 2,832,943 746,022 2023-09-22 $91.41 $95.00 15.2% 4.4% 14.7% 16.2% 15.5% 1.3% -0.1% -103.3M 1.84B -18.5M 0.68 7.07 N/A N/A 129,657 88,241 2,921,372 789,061 2023-09-25 $89.18 $95.00 19.2% 5.6% 16.7% 39.6% 19.4% 1.5% 0.4% -74.9M 2.72B -18.0M 0.93 12.56 N/A N/A 194,830 180,810 2,892,938 753,157 2023-09-26 $88.88 $94.00 19.0% 5.4% 16.6% 38.0% 19.3% 1.8% 0.7% -62.6M 2.71B -19.0M 0.49 6.29 N/A N/A 172,303 83,905 2,980,230 819,650 2023-09-27 $88.22 $94.00 20.2% 5.9% 15.9% 45.1% 20.4% 2.6% 0.4% -54.6M 2.92B -19.5M 0.62 6.53 N/A N/A 248,999 154,932 3,060,502 845,590 2023-09-28 $88.55 $93.00 18.7% 5.3% 16.1% 36.7% 19.0% 2.0% 0.5% -2.0M 2.48B -21.5M 0.41 12.94 N/A N/A 273,534 113,470 3,217,217 914,566 2023-09-29 $88.59 $93.00 18.9% 5.4% 15.8% 38.0% 18.6% 2.1% 0.7% 81.9M 2.26B -22.6M 0.42 9.37 N/A N/A 250,278 104,366 3,327,669 950,912
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