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TLT

iShares 20+ Year Treasury Bond ETFClose $85.65EOD only
Max Pain
$85.50
Next expiry Jun 3, 2026
Expected Move
±$0.37
0.4% from close
Price Gap
-0.15
Distance to max pain
IV Rank
5
Low premium
P/C OI
0.73
Slightly call-heavy
Consensus
7.5/10
Bullish tilt
Published snapshot: Jun 2, 2026 close
End-of-day snapshot

This page reflects TLT options positioning from the latest published market-close snapshot. Intraday price and contract changes are not displayed.

Published Snapshot
Jun 2, 2026 close
TLT Theta Report
Analysis based on market close April 17, 2026
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You are viewing an older report from April 17, 2026. A newer theta report is available for May 26, 2026.

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Theta Verdict

Attractiveness7 / 10
Sizing: Conservative
Primary: Short-put vertical (bull put spread) — sells front-month put near $86, buys lower strike to cap assignment/margin risk; rationale: captures premium in low-IV front while limiting tail risk and defined max loss
Invalidation: Close < gamma_flip $86 or sustained move > resistance $88.4 with rising IV
Confidence:
9 / 10
base 5; +2 GEX/flow strongly aligned; +1 GEX positive (pinning); +0.5 spot 1.2% from MP; +1 VIX 17

IV Environment

IV Regime
Low
IV vs VIX
IVs subdued vs VIX; very low ATM IV except expirations with event skew; avg IV ~13.8
Favorable?
Yes

Term structure: Near-term skewed (puts rich today/3d); 1-4w front-end cheapening then modestly higher 1-3m vols

📌Max-pain cluster at $86 aligns with large put OI and gamma flip
⚖️Dealer GEX +$1.0B supports pinning and compresses realized vol
⚠️Concentrated short-put exposure carries overnight assignment risk and margin spikes; prefer defined-risk spreads

Pin Risk Assessment

Spot vs MP: Above

GEX regime: Pinning ($+1.0B)

Gamma flip: ~$86.00 — Approx — based on put OI concentration of 112,717 (1.2% below spot)

OI concentrations: Put OI concentrated ~112.7k ~1.2% below spot; max-pain $86 across expiries

Verdict: Elevated pin risk — downside capped near $86 but sharp gap moves could breach pins; overnight assignment possible on short puts. Required capital: margin/assignment can be large for naked shorts — use verticals to limit required maintenance margin. Roll/hedge plan: if spot threatens $86, roll down and out to wider-width spread or buy protection (long put) to convert to defined loss; predefine roll levels and size to avoid forced assignment.

Premium Opportunities

#1
Put credit spread
Sell 2026-05-08 $86.00/$84.00 put spread
Sell May 8 86/84 put spread to harvest front-month premium while capping tail loss
Credit: $0.29-$0.36
Max loss: $1.64
BE: $85.64
Mgmt: Buy-to-close if TLT ≤85.50 (protect 1.5 pts below short strike), or if realized IV rises >30% vs entry; roll down one 1-pt spread if 10–14 DTE and spot ≤85.75; close entire position at 7 DTE.
#2
Iron condor
Sell 2026-05-22 $86.00/$84.00 put wing and $88.50/$90.50 call wing
Sell May 22 86/84 put wing and 88.5/90.5 call wing to collect wider premium range
Credit: $0.69-$0.84
Max loss: $1.16
BE: 85.16 / 89.34
Mgmt: If spot touches an inner short wing, buy hedge or reduce size when touch occurs (put wing touch ≤84.5 or call wing touch ≥89.0); close or adjust if IV increases >25% vs entry or when 12 DTE; consider rolling wings outward 1–2 pts only if premium received ≥50% of max credit.
#3
Cash-secured put
Sell 2026-05-15 $86.00 cash-secured put
Sell May 15 86 cash-secured put to potentially acquire TLT at target price while earning premium
Credit: $0.54-$0.66
Max loss: $85.34
BE: $85.34
Mgmt: Predefine: buy-to-close if TLT ≤83.00 (limit assignment risk) or if IV >40% vs entry; if assigned, set stop-buy limit at 86 net basis and consider selling covered calls 30–45 DTE at +1 to +2 pts to recoup premium.

Risk Alerts

!Spot drop through $86 (gamma flip) invalidates pin thesis
!Overnight assignment risk and margin spike for naked short puts; use defined-risk spreads
!Rapid IV spike on macro/bond news increases short-gamma losses and makes rolls costly
How to Use These Reports
This theta reflects the market close on April 17, 2026.
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If the report conviction and the raw data disagree, slow down and resolve the mismatch before sizing risk.