TLT Options History — January 2024 In January 2024, TLT traded between $93.28 and $98.69. ATM implied volatility averaged 15.4%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.0% (HV 20d: 14.5%). Max pain ranged from $94.00 to $96.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.79.
Notable Days 2024-01-18 : Highest Volume — 607,135 contracts2024-01-11 : Largest IV drop — 9.2% change2024-01-02 : Highest IV Rank — 35.1%2024-01-02 : Largest Expected Move — 4.8%Monthly Statistics Metric Avg Min Max Open Close Price $95.56 $93.28 $98.69 $98.31 $96.25 Max Pain $95.05 $94.00 $96.00 $94.00 $95.00 ATM IV 15.4% 14.2% 17.1% 17.1% 14.7% Expected Move 4.4% 4.1% 4.8% 4.8% 4.3% HV 20d 14.5% 11.4% 17.5% 17.5% 12.9% HV 60d 18.5% 16.9% 20.1% 20.1% 16.9% IV Rank 22.6% 13.9% 35.1% 35.1% 17.4% IV Percentile 23.2% 11.9% 47.6% 47.6% 16.7% Term Structure -0.1% -0.5% 0.3% -0.2% -0.1% VWIV 15.7% 14.6% 17.0% 17.0% 15.3% Skew 25d 0.2% -0.4% 0.9% -0.0% -0.1% Skew 10d 0.6% -0.9% 2.6% -0.3% -0.9% Call IV 25d 15.3% 14.0% 17.2% 17.2% 15.0% Put IV 25d 15.5% 14.2% 17.2% 17.2% 14.9% Bid-Ask Spread % 1.44 1.17 1.88 1.18 1.88 Gamma HHI 0.07 0.05 0.11 0.09 0.07 Net GEX 228.5M 32.5M 499.8M 263.1M 499.8M Net DEX -3.74B -8.96B -565.4M -8.24B -4.42B Net VEX -35.9M -38.7M -33.9M -38.7M -37.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.37 2.54 0.52 0.47 Total Volume 320,742.571 113,388 607,135 291,591 504,959 Total OI 3,601,930.286 2,886,372 4,058,014 3,935,938 3,230,932
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 2024-01-02 $98.31 $94.00 17.1% 4.8% 17.5% 35.1% 17.0% -0.0% -0.2% 263.1M -8.24B -38.7M 0.52 1.18 N/A N/A 191,435 100,156 2,403,253 1,532,685 2024-01-03 $98.69 $94.00 16.8% 4.6% 17.3% 33.0% 16.0% -0.4% -0.5% 330.5M -8.96B -38.1M 0.63 1.23 N/A N/A 280,376 177,076 2,445,656 1,577,452 2024-01-04 $97.28 $95.00 16.5% 4.7% 17.1% 30.7% 16.8% -0.3% -0.4% 146.8M -6.47B -37.5M 0.69 1.72 N/A N/A 207,668 143,144 2,384,001 1,586,829 2024-01-05 $96.30 $95.00 16.6% 4.7% 16.9% 31.2% 16.6% 0.1% -0.4% 32.5M -4.81B -37.9M 0.69 1.45 N/A N/A 261,583 181,294 2,436,194 1,621,820 2024-01-08 $96.81 $95.00 16.1% 4.6% 17.0% 27.9% 16.2% -0.3% 0.2% 231.9M -5.43B -36.8M 0.77 1.36 N/A N/A 101,954 78,537 2,324,420 1,444,339 2024-01-09 $96.80 $95.00 15.8% 4.6% 16.4% 25.7% 16.0% 0.2% 0.2% 242.4M -5.35B -36.6M 1.25 1.53 N/A N/A 50,391 62,997 2,350,494 1,461,079 2024-01-10 $96.18 $95.00 16.0% 4.6% 16.6% 27.0% 16.0% 0.0% 0.1% 129.5M -4.60B -36.0M 0.58 1.48 N/A N/A 205,662 119,085 2,369,243 1,460,349 2024-01-11 $96.69 $95.00 14.5% 4.2% 16.6% 16.2% 14.8% 0.0% 0.2% 291.1M -5.60B -35.3M 1.00 1.50 N/A N/A 139,203 138,648 2,447,049 1,458,621 2024-01-12 $96.41 $95.00 14.2% 4.1% 14.7% 13.9% 14.6% -0.1% -0.0% 101.0M -5.22B -35.5M 0.52 1.38 N/A N/A 201,020 104,927 2,475,495 1,476,859 2024-01-16 $94.78 $96.00 15.2% 4.4% 13.1% 21.1% 15.5% 0.1% -0.5% 140.0M -2.39B -34.0M 0.63 1.38 N/A N/A 246,133 154,123 2,446,236 1,436,009 2024-01-17 $94.66 $96.00 14.8% 4.2% 13.0% 18.0% 15.2% 0.4% -0.3% 187.2M -2.56B -34.3M 2.54 1.52 N/A N/A 147,309 373,791 2,530,544 1,440,744 2024-01-18 $93.73 $96.00 15.2% 4.4% 13.1% 21.1% 15.6% 0.4% -0.3% 78.3M -633.0M -33.9M 1.33 1.30 N/A N/A 260,844 346,291 2,518,750 1,435,603 2024-01-19 $94.00 $95.00 15.2% 4.4% 13.0% 20.7% 16.0% 0.9% -0.1% 249.2M -1.52B -34.1M 0.70 1.17 N/A N/A 227,949 159,106 2,554,671 1,409,334 2024-01-22 $94.68 $95.00 14.8% 4.3% 12.8% 18.1% 15.5% 0.7% 0.2% 257.8M -2.05B -34.7M 0.58 1.49 N/A N/A 128,232 74,671 1,881,096 1,005,276 2024-01-23 $93.81 $95.00 15.0% 4.4% 12.9% 19.8% 15.6% 0.7% 0.0% 190.5M -1.06B -34.3M 0.56 1.50 N/A N/A 119,859 67,477 1,928,867 1,037,258 2024-01-24 $93.28 $95.00 15.4% 4.6% 12.9% 22.9% 16.1% 0.5% -0.0% 149.6M -565.4M -34.5M 0.58 1.49 N/A N/A 151,097 88,288 1,985,205 1,062,862 2024-01-25 $93.94 $95.00 15.2% 4.5% 13.3% 21.2% 15.7% 0.7% 0.0% 249.2M -1.47B -35.6M 0.70 1.67 N/A N/A 113,004 78,725 2,022,290 1,070,001 2024-01-26 $93.82 $95.00 14.3% 4.2% 11.4% 14.4% 14.7% 0.4% 0.3% 290.8M -1.24B -35.7M 0.75 1.37 N/A N/A 114,633 86,246 2,070,351 1,104,677 2024-01-29 $94.87 $95.00 14.8% 4.4% 12.5% 18.3% 15.4% 0.4% 0.1% 349.7M -2.61B -36.5M 0.37 1.35 N/A N/A 186,133 68,842 1,994,821 1,092,574 2024-01-30 $95.50 $95.00 15.2% 4.5% 12.7% 20.8% 15.7% 0.2% -0.0% 387.1M -3.39B -37.0M 0.64 1.31 N/A N/A 178,405 114,321 2,007,264 1,119,333 2024-01-31 $96.25 $95.00 14.7% 4.3% 12.9% 17.4% 15.3% -0.1% -0.1% 499.8M -4.42B -37.3M 0.47 1.88 N/A N/A 344,065 160,894 2,055,824 1,175,108
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