TLT Options History — November 2023 In November 2023, TLT traded between $85.02 and $92.66. ATM implied volatility averaged 18.2%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 2.9% (HV 20d: 21.1%). Max pain ranged from $86.00 to $88.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.58.
Notable Days 2023-11-03 : Highest Volume — 873,206 contracts2023-11-17 : Largest IV drop — 5.1% change2023-11-01 : Highest IV Rank — 60.2%2023-11-01 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $89.22 $85.02 $92.66 $85.02 $91.22 Max Pain $87.43 $86.00 $88.00 $86.00 $88.00 ATM IV 18.2% 16.3% 20.5% 20.5% 16.6% Expected Move 5.4% 4.8% 6.1% 6.1% 5.1% HV 20d 21.1% 18.2% 23.4% 21.9% 20.0% HV 60d 19.8% 18.4% 20.5% 18.4% 20.3% IV Rank 43.1% 28.8% 60.2% 60.2% 31.6% IV Percentile 48.6% 26.2% 71.0% 71.0% 32.5% Term Structure -0.0% -0.5% 0.7% -0.3% 0.1% VWIV 18.9% 16.7% 21.1% 20.2% 18.0% Skew 25d 0.6% -0.5% 1.4% 0.6% -0.5% Skew 10d 1.2% -1.2% 3.1% 0.6% -1.2% Call IV 25d 18.0% 16.0% 20.3% 20.3% 17.2% Put IV 25d 18.6% 16.4% 21.0% 20.9% 16.7% Bid-Ask Spread % 1.43 1.26 2.16 1.55 1.29 Gamma HHI 0.12 0.07 0.35 0.07 0.08 Net GEX 534.8M 354.7M 985.6M 371.3M 506.3M Net DEX -4.51B -7.27B -761.7M -761.7M -4.79B Net VEX -37.8M -41.0M -35.8M -36.2M -36.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.18 1.09 0.90 0.55 Total Volume 344,356.619 121,592 873,206 540,829 377,436 Total OI 4,970,081.81 4,238,780 5,475,210 5,130,083 4,465,927
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 2023-11-01 $85.02 $86.00 20.5% 6.1% 21.9% 60.2% 20.2% 0.6% -0.3% 371.3M -761.7M -36.2M 0.90 1.55 N/A N/A 285,104 255,725 3,878,405 1,251,678 2023-11-02 $86.97 $87.00 20.3% 6.0% 23.4% 59.0% 21.1% 1.2% -0.2% 569.4M -3.86B -38.8M 0.37 1.58 N/A N/A 515,894 193,029 3,986,154 1,249,596 2023-11-03 $87.66 $87.00 19.6% 5.8% 23.2% 53.4% 20.8% 0.6% -0.1% 578.7M -4.67B -39.0M 0.18 2.16 N/A N/A 737,633 135,573 4,026,836 1,288,238 2023-11-06 $86.90 $87.00 19.2% 5.7% 22.7% 50.7% 20.1% 0.3% 0.7% 440.4M -2.81B -39.0M 0.51 1.40 N/A N/A 172,497 87,330 4,075,998 1,187,921 2023-11-07 $88.06 $87.00 18.9% 5.6% 23.2% 48.2% 20.0% 0.9% 0.6% 525.9M -4.41B -40.0M 1.09 1.39 N/A N/A 162,227 176,698 4,129,443 1,224,972 2023-11-08 $89.50 $87.00 18.3% 5.4% 22.8% 43.6% 19.5% 0.9% 0.6% 635.6M -6.52B -41.0M 0.60 1.45 N/A N/A 281,944 167,999 4,154,465 1,212,792 2023-11-09 $87.53 $88.00 19.1% 5.6% 22.5% 49.7% 19.8% 0.5% 0.5% 354.7M -2.98B -38.9M 0.87 1.45 N/A N/A 217,530 190,283 4,094,958 1,262,362 2023-11-10 $88.03 $87.00 18.7% 5.5% 22.0% 47.0% 19.3% 0.5% 0.7% 432.2M -3.77B -39.0M 0.50 1.29 N/A N/A 132,845 66,945 4,159,001 1,315,230 2023-11-13 $87.84 $87.00 19.6% 5.7% 21.3% 53.7% 20.1% 1.1% -0.3% 397.8M -3.18B -37.6M 0.84 1.27 N/A N/A 93,221 78,122 4,093,947 1,227,477 2023-11-14 $89.80 $87.00 19.4% 5.6% 22.1% 52.3% 19.8% 1.4% -0.3% 576.4M -6.07B -39.2M 0.37 1.30 N/A N/A 382,408 141,352 4,120,346 1,265,346 2023-11-15 $88.65 $87.00 18.9% 5.4% 22.3% 48.7% 19.0% 0.8% -0.2% 411.4M -3.91B -37.9M 0.34 1.30 N/A N/A 245,449 83,433 4,126,119 1,321,895 2023-11-16 $89.56 $87.00 18.6% 5.4% 20.9% 46.1% 18.7% 0.8% -0.4% 571.4M -5.39B -37.7M 0.42 1.50 N/A N/A 161,854 68,159 4,125,528 1,308,914 2023-11-17 $89.94 $88.00 17.7% 5.1% 20.9% 39.2% 17.9% 0.4% -0.2% 985.6M -6.03B -37.5M 0.71 1.26 N/A N/A 184,660 130,918 4,160,006 1,315,204 2023-11-20 $90.59 $88.00 17.3% 5.0% 20.7% 36.2% 18.0% 0.5% -0.2% 513.6M -4.79B -37.2M 0.66 1.80 N/A N/A 120,980 79,953 3,161,457 1,077,323 2023-11-21 $90.44 $88.00 17.2% 5.0% 20.5% 35.6% 17.6% 0.7% -0.3% 524.4M -4.54B -37.0M 0.47 1.52 N/A N/A 121,147 56,393 3,200,193 1,100,689 2023-11-22 $90.87 $88.00 16.5% 4.8% 18.2% 30.9% 16.7% 0.7% -0.5% 585.8M -4.99B -36.8M 0.57 1.32 N/A N/A 114,453 64,844 3,219,168 1,126,859 2023-11-24 $89.82 $88.00 16.5% 4.8% 18.5% 30.3% 17.4% 0.1% -0.3% 423.2M -3.43B -35.8M 0.41 1.42 N/A N/A 86,424 35,168 3,232,822 1,162,583 2023-11-27 $91.19 $88.00 16.3% 5.0% 18.8% 28.8% 17.6% 0.4% 0.1% 550.3M -5.14B -35.8M 0.76 1.28 N/A N/A 134,587 102,402 3,172,967 1,093,004 2023-11-28 $91.44 $88.00 16.4% 5.0% 18.6% 30.0% 17.8% 0.1% -0.0% 610.1M -5.47B -36.3M 0.61 1.29 N/A N/A 116,588 71,426 3,216,660 1,148,400 2023-11-29 $92.66 $88.00 16.3% 5.1% 18.8% 29.4% 18.3% 0.3% -0.0% 667.0M -7.27B -36.9M 0.46 1.31 N/A N/A 274,622 126,234 3,249,012 1,181,823 2023-11-30 $91.22 $88.00 16.6% 5.1% 20.0% 31.6% 18.0% -0.5% 0.1% 506.3M -4.79B -36.5M 0.55 1.29 N/A N/A 244,286 133,150 3,243,037 1,222,890
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