Increasing Options Volume on TLT
- The 20-day moving average of options volume on the iShares 20+ Year Treasury Bond ETF (TLT) increased to 1.12 million contracts on 10/5/2026.
- Before the recent increase in volume, the previous high was 0.78 million contracts, which occurred in April 2025 after the tariff announcements on Liberation Day.
No Relationship Between Changes in the 30-Year Yield and Options Volume
- A client asked whether there was any relationship between the monthly change in the yield on the U.S. Treasury 30-year bond and the average daily options volume on TLT in each month from September 2021 to September 2026.
- Over this period, there was a complete absence of any linear relationship between these two variables.
- For example, the 30-year yield increased the most in April 2022, but the average options volume for the month was below average, at approximately 0.22 million contracts traded per day.
Implied Volatility is Not Elevated but Atypical
- The three-month at-the-money implied volatility for TLT was 15.64% on 10/5/2026.
- This implied volatility hit a recent high of 15.93% on 10/1/2026, which was its highest level since June 2025.
- Over the past five years from 10/5/2021 to 10/5/2026, three-month implied volatility peaked at 26.73% on 10/21/2022, and had a low of 9.33% on 6/29/2026.
Open Interest Indicates Bullish Sentiment
- On 10/6/2026, the put-call open interest ratio on TLT was 0.478, which was among the most bullish readings since March 2025. This ratio has not been below 0.45 since 12/13/2023.
Rising Yields Have Attracted Inflows of Funds
- As of 10/6/2026, the one-year rolling z-score of one-month flows was 1.28 and the five-year rolling z-score of three-month flows was 1.90. Both these measures being over 1 standard deviation above their respective period averages illustrates an increasing flow of funds into TLT.
