TBT gamma exposure and option levels
20+ year Treasuries −2× · close 38.64 (−1.15% on the day, +0.86% over 5 sessions)
Dealers were net long gamma (for 325 sessions): when the price moves, their hedging leans against it, which tends to calm it. The call wall — the strike with the most call open interest in reach — stands at 45, 16.5% above the close, unchanged for 18 sessions — too far away to have much pull day to day. The put wall stands at 36, 6.8% below the close, unchanged for 10 sessions. Max pain for the front expiry is 41 (6.1% above the close). Implied volatility over 30 days is 24.3%, an IV rank of 48 on a scale where 0 is the lowest day of its own year and 100 the highest; realised volatility over 20 days is 22.6%. The options price a move of about ±7.0% over the next 30 days.
TBT levels tonight
| Level | Price | From the close | Note |
|---|---|---|---|
| Call wall | 45 | +16.5% | 18 sessions |
| Put wall | 36 | −6.8% | 10 sessions |
| Gamma flip | 31.81 | −17.7% | above it dealers are long gamma |
| Max pain, front expiry | 41 | +6.1% |
TBT and its option levels over the last year
The close, with the call wall and the put wall (the strikes the option book is heaviest at) and the gamma flip (the price where dealers’ net gamma changes sign). Each line is that day’s reading, not a level looked back on.
Implied against realised volatility
What the options charge for the next 30 days, against how much TBT actually moved over the last 20. A gap between the two is the market’s price for uncertainty.
How to read these figures
Gamma exposure (GEX)
How much dealers must buy or sell to stay hedged for each 1% move in the price. Long gamma means they trade against moves and dampen them; short gamma means they trade with moves and can amplify them. It is estimated from open interest and an assumption about which side dealers are on.
Call wall and put wall
The strikes where call and put open interest is heaviest within reach of the price. Prices often slow, or get pinned, near them into expiry; they are where a lot of hedging sits, not a guarantee.
Gamma flip
The price at which net dealer gamma changes sign. The same book acts as a brake above it and as an accelerator below it.
IV rank and the priced move
IV rank places today’s implied volatility between the lowest (0) and the highest (100) of the last year. The priced move is what the options charge for the next 30 days, as a percentage of the price.
Every figure is end-of-day and describes how the option market is positioned. It is not a forecast of where TBT goes, and not advice. See the terms.
The whole TBT history, all 121 series
This page shows tonight’s reading and one year. Open the Viewer for every session of TBT as 121 daily series — dealer gamma, vanna, charm, walls by expiry, IV, flow — on the chart.
Other Leveraged & inverse ETFs
Every ticker on one row, filtered: the Scanner · what changed tonight: Tonight · the market as a whole: Market