TQQQ Options History — November 2013

In November 2013, TQQQ traded between $1.02 and $1.19. ATM implied volatility averaged 35.7%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 1.8% (HV 20d: 33.9%). Max pain ranged from $0.94 to $1.04. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.03.

Notable Days

  • 2013-11-13: Highest Volume — 554,400 contracts
  • 2013-11-08: Largest IV drop — 18.7% change
  • 2013-11-07: Highest IV Rank — 36.7%
  • 2013-11-20: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.10$1.02$1.19$1.08$1.19
Max Pain$0.99$0.94$1.04$0.94$1.04
ATM IV35.7%32.9%42.0%35.4%33.8%
Expected Move13.3%10.2%14.6%10.2%14.4%
HV 20d33.9%30.3%41.4%41.4%34.1%
HV 60d36.3%34.5%38.1%36.3%34.6%
IV Rank16.9%8.0%36.7%16.1%10.9%
IV Percentile22.8%6.0%65.5%17.5%8.3%
Term Structure4.4%2.3%8.5%3.4%3.9%
VWIV46.2%35.6%53.0%35.6%53.0%
Skew 25d7.1%5.4%9.4%6.0%5.5%
Skew 10d15.4%12.4%18.6%15.4%13.6%
Call IV 25d33.8%31.0%38.4%33.1%32.1%
Put IV 25d40.9%36.4%47.8%39.1%37.7%
Bid-Ask Spread %20.534.2081.7681.766.13
Gamma HHI0.130.080.220.080.08
Net GEX2.1M887.3K4.4M1.3M2.0M
Net DEX-65.2M-114.8M-27.6M-65.4M-76.4M
Net VEX-147.3K-175.6K-127.1K-139.4K-164.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.064.060.141.18
Total Volume253,382.466,048554,400163,680248,064
Total OI1,964,260.81,327,3922,576,0641,904,5441,906,080

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$1.08$0.9435.4%10.2%41.4%16.1%35.6%6.0%3.4%1.3M-65.4M-139.4K0.1481.76N/AN/A143,61620,0641,090,272814,272
2013-11-04$1.08$0.9433.1%10.8%39.7%8.8%41.1%8.6%5.7%2.1M-74.1M-131.9K2.4959.77N/AN/A18,91247,1361,177,152815,904
2013-11-05$1.09$0.9434.6%10.8%31.3%13.4%38.4%7.2%5.5%2.0M-76.5M-130.9K0.2458.05N/AN/A239,04057,1201,183,680840,000
2013-11-06$1.08$0.9435.6%11.1%30.6%16.7%41.8%8.2%5.0%2.0M-76.5M-127.1K4.0654.19N/AN/A45,216183,4561,195,296858,144
2013-11-07$1.02$0.9442.0%12.0%33.5%36.7%41.0%9.4%4.4%1.1M-41.3M-138.0K0.3233.72N/AN/A342,720110,9761,207,200881,184
2013-11-08$1.06$0.9434.1%11.2%35.1%12.0%40.9%7.4%4.5%2.6M-78.6M-149.8K0.8328.63N/AN/A156,096129,4081,422,816892,800
2013-11-11$1.06$0.0038.2%14.2%34.8%24.9%0.0%7.5%6.0%2.7M-75.5M-145.6K0.559.57N/AN/A150,72082,2721,430,016921,696
2013-11-12$1.06$0.0037.1%14.4%34.4%21.4%50.7%7.5%5.0%3.1M-79.4M-141.4K0.857.72N/AN/A151,776128,5441,470,720959,232
2013-11-13$1.10$0.9637.9%14.1%34.5%23.7%50.0%6.1%6.9%4.4M-114.8M-130.9K0.4510.42N/AN/A381,312173,0881,536,3841,039,680
2013-11-14$1.11$0.9635.1%14.3%34.3%15.1%49.3%7.2%7.1%4.0M-92.2M-137.3K1.148.88N/AN/A151,872172,7041,276,7041,058,400
2013-11-15$1.12$0.9634.9%14.2%30.3%14.5%0.0%7.1%8.5%2.7M-96.8M-136.3K2.234.60N/AN/A86,880193,8241,310,5921,157,472
2013-11-18$1.09$0.9637.5%14.3%32.2%22.6%50.3%7.1%2.7%948.2K-31.1M-137.7K1.014.20N/AN/A79,10480,064727,584599,808
2013-11-19$1.08$1.0437.7%14.4%32.5%23.2%49.2%7.5%2.6%887.3K-27.6M-154.1K0.135.05N/AN/A233,95229,952778,560656,448
2013-11-20$1.07$1.0436.9%14.6%32.0%20.7%0.0%8.0%2.3%1.6M-32.5M-174.1K0.685.84N/AN/A44,64030,144966,144671,520
2013-11-21$1.10$1.0434.8%14.5%33.4%14.1%0.0%6.8%2.8%2.0M-46.0M-175.6K0.066.31N/AN/A236,54414,784993,888688,704
2013-11-22$1.12$1.0434.4%14.3%33.2%12.6%0.0%6.6%3.1%1.6M-45.7M-160.0K0.835.05N/AN/A52,80043,680889,152697,536
2013-11-25$1.13$1.0433.8%14.4%33.2%11.0%0.0%6.1%2.7%1.7M-49.0M-154.0K1.225.30N/AN/A114,720139,776903,936720,768
2013-11-26$1.15$1.0433.9%14.3%33.6%11.3%52.5%6.6%2.8%1.9M-57.3M-158.5K0.984.68N/AN/A111,168109,152947,040799,584
2013-11-27$1.17$1.0432.9%14.3%34.0%8.0%53.0%5.4%3.7%1.9M-67.7M-159.8K1.2510.71N/AN/A148,032184,320977,088821,760
2013-11-29$1.19$1.0433.8%14.4%34.1%10.9%53.0%5.5%3.9%2.0M-76.4M-164.7K1.186.13N/AN/A113,856134,2081,041,888864,192