TQQQ Options History — October 2013 In October 2013, TQQQ traded between $0.87 and $1.09. ATM implied volatility averaged 42.3%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 2.8% (HV 20d: 39.5%). Max pain ranged from $0.90 to $0.94. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.81.
Notable Days 2013-10-11 : Highest Volume — 838,752 contracts2013-10-07 : Largest IV spike — 19.6% change2013-10-08 : Highest IV Rank — 90.4%2013-10-08 : Largest Expected Move — 16.5%Monthly Statistics Metric Avg Min Max Open Close Price $1.00 $0.87 $1.09 $0.97 $1.08 Max Pain $0.92 $0.90 $0.94 $0.90 $0.94 ATM IV 42.3% 35.6% 59.1% 38.7% 36.2% Expected Move 12.1% 10.2% 16.5% 11.1% 10.4% HV 20d 39.5% 23.9% 45.5% 25.4% 41.9% HV 60d 35.1% 30.7% 37.0% 31.8% 36.4% IV Rank 37.7% 16.5% 90.4% 26.4% 18.4% IV Percentile 52.4% 17.9% 98.8% 42.9% 22.2% Term Structure 1.8% -2.5% 4.7% 2.9% 3.5% VWIV 44.1% 36.5% 55.5% 41.1% 36.6% Skew 25d 9.5% 5.6% 15.8% 9.7% 6.6% Skew 10d 20.1% 10.2% 30.3% 19.2% 14.5% Call IV 25d 38.3% 32.8% 50.3% 36.0% 33.5% Put IV 25d 47.8% 39.1% 66.0% 45.7% 40.2% Bid-Ask Spread % 45.49 18.35 82.15 54.44 72.26 Gamma HHI 0.13 0.08 0.21 0.12 0.08 Net GEX 1.4M 291.2K 3.3M 611.5K 1.3M Net DEX -45.4M -97.2M 545.5K -18.1M -66.1M Net VEX -125.3K -155.1K -92.3K -92.3K -140.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.81 0.11 1.82 0.54 0.64 Total Volume 243,017.739 67,200 838,752 91,392 68,928 Total OI 1,637,730.783 958,752 2,169,888 958,752 1,876,992
Daily Data (23 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 2013-10-01 $0.97 $0.90 38.7% 11.1% 25.4% 26.4% 41.1% 9.7% 2.9% 611.5K -18.1M -92.3K 0.54 54.44 N/A N/A 59,520 31,872 487,968 470,784 2013-10-02 $0.96 $0.91 40.7% 11.7% 23.9% 32.6% 48.2% 10.3% 2.3% 598.7K -17.8M -96.3K 1.38 51.54 N/A N/A 28,224 38,976 504,864 492,480 2013-10-03 $0.93 $0.91 46.6% 13.3% 28.1% 51.0% 46.4% 11.7% 0.6% 380.1K -10.1M -101.2K 0.39 48.57 N/A N/A 326,592 126,336 521,088 509,376 2013-10-04 $0.96 $0.91 43.0% 13.0% 29.1% 39.8% 49.6% 11.0% 1.1% 1.1M -22.4M -119.8K 0.31 20.36 N/A N/A 178,272 55,872 768,672 580,128 2013-10-07 $0.93 $0.91 51.4% 14.6% 28.7% 66.3% 51.6% 13.6% -1.1% 865.2K -15.0M -119.2K 0.47 19.23 N/A N/A 67,680 31,872 798,240 602,880 2013-10-08 $0.88 $0.91 59.1% 16.5% 35.3% 90.4% 55.5% 15.7% -2.5% 291.2K 498.5K -111.9K 0.48 18.35 N/A N/A 270,816 129,408 831,360 607,200 2013-10-09 $0.87 $0.90 57.6% 16.2% 35.5% 85.9% 53.2% 15.8% -2.4% 471.2K 545.5K -118.3K 0.66 18.79 N/A N/A 106,848 70,560 970,848 630,144 2013-10-10 $0.92 $0.90 47.8% 13.7% 42.0% 55.0% 49.5% 11.9% 0.9% 1.7M -21.2M -129.5K 0.50 26.82 N/A N/A 268,512 134,976 1,012,608 647,424 2013-10-11 $0.95 $0.90 45.6% 13.1% 42.7% 47.9% 46.3% 12.0% 1.5% 2.6M -35.4M -134.4K 0.11 30.18 N/A N/A 758,016 80,736 1,118,208 690,336 2013-10-14 $0.96 $0.90 45.9% 13.2% 42.9% 49.0% 47.6% 10.9% -0.4% 3.0M -55.2M -152.9K 0.56 27.13 N/A N/A 159,552 89,184 1,292,640 711,840 2013-10-15 $0.95 $0.91 49.3% 14.1% 42.8% 59.7% 51.1% 13.1% 1.0% 2.5M -47.2M -155.1K 1.14 26.74 N/A N/A 115,392 131,424 1,291,584 762,336 2013-10-16 $0.99 $0.91 41.8% 12.0% 42.5% 36.2% 46.6% 10.7% 1.5% 3.3M -68.8M -139.4K 1.30 35.38 N/A N/A 91,200 118,464 1,309,440 840,480 2013-10-17 $1.00 $0.91 38.4% 11.0% 42.8% 25.3% 40.4% 7.6% 3.5% 3.2M -75.3M -123.5K 1.82 40.75 N/A N/A 83,712 152,064 1,245,504 826,656 2013-10-18 $1.05 $0.92 36.7% 10.5% 45.4% 19.9% 37.9% 6.2% 3.3% 1.2M -97.2M -109.7K 1.03 48.79 N/A N/A 198,048 204,864 1,263,744 906,144 2013-10-21 $1.06 $0.94 35.6% 10.2% 45.2% 16.5% 37.9% 6.0% 4.7% 966.1K -56.2M -119.6K 1.55 52.16 N/A N/A 63,648 98,592 820,032 604,704 2013-10-22 $1.06 $0.94 37.6% 10.8% 45.1% 22.8% 40.2% 5.6% 3.9% 834.7K -55.1M -131.6K 0.93 55.34 N/A N/A 61,632 57,504 840,192 656,928 2013-10-23 $1.05 $0.94 38.5% 11.0% 45.5% 25.5% 42.1% 6.8% 3.0% 880.1K -51.0M -133.8K 0.19 57.73 N/A N/A 394,752 76,416 863,616 676,224 2013-10-24 $1.06 $0.94 36.9% 10.6% 45.2% 20.8% 37.7% 6.5% 3.6% 1.1M -57.3M -138.5K 0.76 63.29 N/A N/A 42,720 32,352 934,080 710,688 2013-10-25 $1.08 $0.94 36.0% 10.3% 45.3% 17.7% 38.5% 6.5% 3.5% 1.1M -66.2M -129.0K 1.07 62.64 N/A N/A 93,792 100,608 964,032 736,128 2013-10-28 $1.08 $0.94 37.4% 10.7% 45.1% 22.2% 40.1% 6.4% 2.1% 1.2M -68.1M -131.9K 0.94 62.48 N/A N/A 38,976 36,576 1,008,192 743,424 2013-10-29 $1.09 $0.94 35.7% 10.2% 44.3% 16.8% 38.7% 6.7% 3.2% 1.2M -71.5M -123.9K 1.09 71.22 N/A N/A 34,464 37,728 1,016,064 748,320 2013-10-30 $1.08 $0.94 37.1% 10.7% 44.3% 21.5% 36.5% 6.0% 1.5% 1.3M -68.9M -128.7K 0.79 82.15 N/A N/A 134,688 107,040 1,024,128 749,088 2013-10-31 $1.08 $0.94 36.2% 10.4% 41.9% 18.4% 36.6% 6.6% 3.5% 1.3M -66.1M -140.4K 0.64 72.26 N/A N/A 42,144 26,784 1,080,768 796,224
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