TLT Options History — March 2024 In March 2024, TLT traded between $92.66 and $95.90. ATM implied volatility averaged 13.3%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.7% (HV 20d: 11.6%). Max pain ranged from $93.00 to $94.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.02.
Notable Days 2024-03-13 : Highest Volume — 418,932 contracts2024-03-12 : Largest IV drop — 6.1% change2024-03-11 : Highest IV Rank — 14.1%2024-03-05 : Largest Expected Move — 4.1%Monthly Statistics Metric Avg Min Max Open Close Price $94.22 $92.66 $95.90 $94.41 $94.66 Max Pain $93.55 $93.00 $94.00 $94.00 $93.00 ATM IV 13.3% 12.0% 14.3% 13.7% 12.4% Expected Move 3.8% 3.4% 4.1% 4.0% 3.5% HV 20d 11.6% 10.3% 15.2% 15.2% 10.3% HV 60d 14.3% 13.4% 15.8% 15.8% 13.4% IV Rank 7.7% 0.0% 14.1% 10.1% 2.9% IV Percentile 6.6% 0.0% 16.7% 7.5% 1.2% Term Structure 0.1% -0.2% 0.6% -0.1% 0.6% VWIV 13.5% 12.2% 14.5% 14.0% 12.5% Skew 25d 0.4% 0.1% 0.8% 0.6% 0.3% Skew 10d 0.5% -0.0% 1.2% 0.4% 0.5% Call IV 25d 13.1% 11.8% 14.2% 13.4% 12.1% Put IV 25d 13.6% 12.2% 14.6% 14.0% 12.4% Bid-Ask Spread % 1.53 1.18 1.91 1.88 1.23 Gamma HHI 0.09 0.06 0.20 0.20 0.07 Net GEX 271.1M 21.7M 806.0M 806.0M 298.8M Net DEX -2.20B -5.17B 254.7M -2.70B -2.55B Net VEX -39.9M -42.0M -38.3M -40.7M -39.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.02 0.57 1.97 0.82 1.01 Total Volume 268,823.9 128,031 418,932 359,650 293,268 Total OI 3,447,080.65 2,989,865 3,793,960 3,529,693 3,320,455
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 2024-03-01 $94.41 $94.00 13.7% 4.0% 15.2% 10.1% 14.0% 0.6% -0.1% 806.0M -2.70B -40.7M 0.82 1.88 N/A N/A 198,032 161,618 2,302,368 1,227,325 2024-03-04 $94.13 $94.00 14.0% 4.0% 13.6% 12.4% 14.4% 0.5% 0.1% 312.2M -2.50B -40.6M 1.21 1.65 N/A N/A 72,732 87,835 2,298,737 1,205,848 2024-03-05 $95.41 $94.00 14.2% 4.1% 12.4% 13.7% 14.4% 0.5% 0.1% 464.9M -4.67B -41.5M 0.80 1.81 N/A N/A 171,551 136,485 2,326,608 1,244,493 2024-03-06 $95.90 $94.00 14.1% 4.0% 12.0% 12.6% 14.5% 0.5% 0.0% 573.4M -5.17B -41.6M 0.60 1.71 N/A N/A 233,076 139,863 2,358,993 1,293,288 2024-03-07 $95.84 $94.00 14.2% 4.1% 11.9% 14.0% 14.4% 0.4% 0.0% 422.3M -4.70B -42.0M 0.88 1.65 N/A N/A 123,471 108,593 2,330,390 1,316,787 2024-03-08 $95.69 $94.00 13.6% 3.9% 11.5% 9.1% 13.7% 0.3% 0.1% 281.1M -4.29B -41.5M 0.57 1.91 N/A N/A 159,852 90,606 2,355,437 1,377,299 2024-03-11 $95.72 $94.00 14.3% 4.0% 11.5% 14.1% 14.3% 0.3% -0.2% 333.0M -4.18B -41.2M 1.00 1.69 N/A N/A 84,319 84,124 2,312,109 1,347,483 2024-03-12 $94.87 $94.00 13.4% 3.8% 12.0% 7.7% 13.4% 0.3% -0.1% 178.0M -2.59B -39.8M 0.96 1.49 N/A N/A 127,266 122,235 2,344,187 1,373,099 2024-03-13 $94.38 $94.00 13.4% 3.8% 10.4% 7.4% 13.3% 0.5% -0.1% 173.8M -2.11B -39.1M 1.47 1.34 N/A N/A 169,678 249,254 2,357,271 1,358,217 2024-03-14 $92.95 $94.00 13.7% 3.9% 11.8% 10.7% 13.9% 0.5% -0.1% 21.7M 254.7M -38.7M 1.10 1.18 N/A N/A 181,561 199,111 2,372,104 1,357,800 2024-03-15 $93.03 $94.00 13.4% 3.8% 11.7% 8.5% 13.4% 0.3% -0.2% 195.3M -249.6M -38.8M 0.70 1.19 N/A N/A 155,267 108,877 2,421,255 1,372,705 2024-03-18 $92.66 $93.00 13.9% 3.9% 11.6% 12.2% 13.8% 0.7% -0.1% 49.9M -278.3M -38.3M 1.41 1.55 N/A N/A 96,790 136,028 1,937,328 1,052,537 2024-03-19 $93.00 $93.00 13.4% 3.8% 11.7% 8.7% 13.6% 0.6% -0.1% 101.0M -583.7M -38.5M 1.08 1.91 N/A N/A 96,593 104,413 1,979,693 1,096,480 2024-03-20 $92.97 $93.00 12.8% 3.7% 11.4% 3.6% 12.8% 0.8% -0.1% 79.7M -379.7M -38.3M 1.45 1.52 N/A N/A 162,142 235,162 2,014,119 1,130,485 2024-03-21 $93.05 $93.00 12.6% 3.6% 11.4% 1.9% 12.5% 0.5% 0.0% 69.2M -451.8M -38.9M 0.98 1.42 N/A N/A 111,903 109,758 2,036,805 1,187,883 2024-03-22 $93.93 $93.00 12.5% 3.6% 10.4% 1.0% 12.6% 0.1% 0.1% 495.9M -1.80B -40.2M 0.66 1.42 N/A N/A 150,977 100,296 2,061,654 1,226,763 2024-03-25 $93.43 $93.00 12.7% 3.6% 10.5% 2.9% 12.8% 0.1% 0.5% 131.1M -984.2M -39.4M 1.04 1.28 N/A N/A 62,613 65,418 2,005,003 1,146,921 2024-03-26 $93.85 $93.00 12.4% 3.5% 10.3% 0.5% 13.0% 0.5% 0.6% 168.0M -1.48B -39.3M 1.97 1.39 N/A N/A 83,862 165,017 2,027,148 1,175,467 2024-03-27 $94.56 $93.00 12.0% 3.4% 10.5% 0.0% 12.2% 0.3% 0.6% 266.3M -2.49B -39.3M 0.62 1.39 N/A N/A 145,914 90,918 2,052,390 1,236,679 2024-03-28 $94.66 $93.00 12.4% 3.5% 10.3% 2.9% 12.5% 0.3% 0.6% 298.8M -2.55B -39.6M 1.01 1.23 N/A N/A 145,687 147,581 2,083,231 1,237,224
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