TLT Options History — October 2023 In October 2023, TLT traded between $82.84 and $88.34. ATM implied volatility averaged 22.2%, placing in the 59.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.1% (HV 20d: 21.1%). Max pain ranged from $86.00 to $92.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.60.
Notable Days 2023-10-03 : Highest Volume — 826,842 contracts2023-10-03 : Largest IV spike — 19.4% change2023-10-26 : Highest IV Rank — 77.2%2023-10-03 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $85.28 $82.84 $88.34 $87.02 $84.12 Max Pain $88.05 $86.00 $92.00 $92.00 $86.00 ATM IV 22.2% 20.0% 24.6% 20.6% 21.2% Expected Move 6.4% 5.8% 7.3% 5.9% 6.3% HV 20d 21.1% 15.6% 24.2% 15.6% 22.1% HV 60d 18.0% 16.2% 19.5% 16.2% 18.4% IV Rank 59.6% 43.9% 77.2% 47.7% 65.1% IV Percentile 85.3% 67.1% 96.0% 71.8% 78.6% Term Structure -0.3% -1.0% 0.3% -0.3% -0.1% VWIV 22.6% 20.1% 25.3% 20.1% 22.7% Skew 25d 2.0% 1.0% 3.1% 2.2% 1.0% Skew 10d 4.0% 1.6% 6.0% 4.2% 1.6% Call IV 25d 21.5% 19.4% 23.3% 20.0% 21.0% Put IV 25d 23.5% 21.6% 26.3% 22.2% 22.0% Bid-Ask Spread % 7.51 1.19 20.88 2.03 1.53 Gamma HHI 0.06 0.04 0.11 0.04 0.06 Net GEX 150.3M -77.6M 475.5M -26.7M 236.4M Net DEX 1.35B -1.26B 3.48B 3.08B 624.9M Net VEX -28.9M -36.5M -20.6M -21.1M -34.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.18 1.30 0.84 0.43 Total Volume 427,956.682 197,334 826,842 465,042 199,464 Total OI 4,898,407.864 4,149,014 5,497,094 4,149,014 5,088,633
Daily Data (22 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 2023-10-02 $87.02 $92.00 20.6% 5.9% 15.6% 47.7% 20.1% 2.2% -0.3% -26.7M 3.08B -21.1M 0.84 2.03 N/A N/A 253,145 211,897 3,234,707 914,307 2023-10-03 $85.05 $90.00 24.6% 7.3% 16.7% 70.7% 24.8% 3.0% -0.8% -35.9M 3.25B -20.6M 0.77 8.23 N/A N/A 468,142 358,700 3,343,591 899,923 2023-10-04 $86.19 $89.00 21.9% 6.2% 17.8% 55.2% 20.3% 2.6% -0.6% 114.9M 1.77B -24.5M 1.25 13.19 N/A N/A 280,638 351,586 3,631,274 970,407 2023-10-05 $85.88 $90.00 22.3% 6.1% 17.7% 57.0% 21.4% 2.8% -0.8% 124.3M 1.69B -24.8M 0.73 20.88 N/A N/A 200,635 146,886 3,742,971 957,321 2023-10-06 $85.05 $90.00 22.1% 6.3% 17.4% 56.3% 21.8% 3.0% -0.6% -16.6M 2.56B -25.2M 0.45 15.98 N/A N/A 303,692 136,694 3,854,033 1,040,659 2023-10-09 $86.53 $88.00 22.2% 6.2% 19.1% 56.7% 21.9% 2.0% -0.4% 197.9M 720.7M -28.0M 0.33 12.95 N/A N/A 200,770 66,382 3,814,409 1,003,837 2023-10-10 $86.63 $88.00 21.2% 6.0% 18.9% 50.7% 21.2% 2.1% -0.1% 198.0M 831.7M -27.4M 0.56 20.77 N/A N/A 243,767 136,275 3,854,950 1,025,033 2023-10-11 $88.34 $87.00 20.0% 5.8% 20.7% 43.9% 20.4% 2.1% 0.3% 369.9M -1.26B -30.3M 0.70 19.51 N/A N/A 215,959 150,208 3,967,178 1,032,422 2023-10-12 $86.20 $88.00 20.9% 6.0% 22.0% 49.3% 21.2% 1.9% -0.1% 164.5M 1.53B -27.4M 0.33 13.25 N/A N/A 519,285 173,545 3,975,424 1,067,894 2023-10-13 $87.50 $88.00 21.8% 6.3% 23.0% 54.1% 21.8% 1.4% 0.1% 242.4M -274.0M -30.7M 0.70 4.54 N/A N/A 157,623 110,442 4,067,083 1,122,474 2023-10-16 $86.20 $89.00 22.0% 6.3% 23.1% 55.2% 22.3% 1.0% -0.4% 92.2M 1.61B -28.6M 0.68 4.40 N/A N/A 145,248 98,263 3,921,277 1,087,370 2023-10-17 $85.30 $89.00 21.5% 6.2% 23.2% 52.8% 22.2% 1.4% -0.7% 17.0M 2.39B -27.3M 0.66 7.57 N/A N/A 170,046 113,037 3,970,101 1,103,628 2023-10-18 $84.45 $89.00 23.4% 6.7% 23.1% 63.3% 23.6% 2.1% -1.0% -15.1M 2.45B -27.5M 1.30 8.89 N/A N/A 306,679 397,427 4,025,554 1,083,478 2023-10-19 $82.84 $88.00 24.1% 6.9% 22.3% 67.3% 24.1% 3.1% -0.4% -77.6M 3.48B -26.4M 0.68 1.39 N/A N/A 339,740 229,736 4,188,347 1,120,908 2023-10-20 $83.16 $87.00 23.0% 6.7% 22.1% 61.4% 23.8% 2.4% -0.4% -19.7M 2.81B -28.4M 0.41 1.19 N/A N/A 343,842 140,553 4,363,950 1,133,144 2023-10-23 $84.25 $87.00 22.7% 6.7% 21.7% 59.3% 23.5% 1.7% 0.0% 220.9M 794.2M -31.3M 0.31 1.38 N/A N/A 346,217 108,718 3,423,945 1,037,369 2023-10-24 $85.27 $87.00 20.9% 6.1% 22.3% 48.9% 22.5% 1.6% 0.1% 377.6M -334.2M -32.8M 0.18 1.39 N/A N/A 318,258 57,202 3,570,424 1,074,185 2023-10-25 $83.38 $87.00 23.8% 7.1% 23.4% 72.1% 25.3% 1.9% -0.4% 190.4M 1.49B -31.2M 0.56 1.50 N/A N/A 373,243 208,223 3,619,674 1,094,960 2023-10-26 $84.65 $86.00 22.8% 6.8% 24.2% 77.2% 23.8% 1.8% -0.1% 475.5M -410.3M -36.5M 0.37 1.63 N/A N/A 289,134 107,900 3,893,434 1,202,953 2023-10-27 $84.28 $86.00 22.0% 6.6% 24.1% 71.4% 23.3% 1.2% 0.2% 254.2M 123.5M -36.1M 0.39 1.66 N/A N/A 171,731 66,781 3,994,983 1,243,912 2023-10-30 $83.91 $86.00 22.6% 6.8% 23.5% 75.6% 24.2% 1.2% -0.2% 221.4M 681.6M -35.0M 0.57 1.32 N/A N/A 126,009 71,325 3,810,743 1,192,104 2023-10-31 $84.12 $86.00 21.2% 6.3% 22.1% 65.1% 22.7% 1.0% -0.1% 236.4M 624.9M -34.7M 0.43 1.53 N/A N/A 139,760 59,704 3,851,933 1,236,700
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