TQQQ Options History — December 2013

In December 2013, TQQQ traded between $1.15 and $1.29. ATM implied volatility averaged 37.9%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 9.9% (HV 20d: 27.9%). Max pain ranged from $1.04 to $1.04. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.03.

Notable Days

2013-12-18: Highest Volume — 819,840 contracts
2013-12-11: Largest IV spike — 14.5% change
2013-12-17: Highest IV Rank — 42.6%
2013-12-27: Largest Expected Move — 14.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.21	$1.15	$1.29	$1.18	$1.29
Max Pain	$1.04	$1.04	$1.04	$1.04	$1.04
ATM IV	37.9%	33.2%	43.9%	36.8%	37.2%
Expected Move	14.7%	14.4%	14.9%	14.5%	14.8%
HV 20d	27.9%	23.4%	34.4%	34.3%	27.6%
HV 60d	34.7%	34.1%	35.7%	34.7%	34.3%
IV Rank	23.8%	9.1%	42.6%	20.4%	24.0%
IV Percentile	42.6%	7.1%	80.6%	33.7%	42.9%
Term Structure	2.8%	0.7%	5.4%	1.6%	1.9%
VWIV	53.0%	47.0%	60.2%	51.9%	60.2%
Skew 25d	7.4%	5.4%	8.7%	7.2%	6.5%
Skew 10d	15.9%	11.6%	19.7%	14.2%	15.9%
Call IV 25d	35.4%	31.1%	40.3%	34.5%	34.9%
Put IV 25d	42.8%	37.4%	48.7%	41.6%	41.3%
Bid-Ask Spread %	6.54	2.74	12.66	6.22	5.38
Gamma HHI	0.09	0.04	0.39	0.09	0.04
Net GEX	2.4M	1.2M	7.0M	2.0M	1.2M
Net DEX	-74.3M	-137.0M	-50.1M	-73.0M	-56.6M
Net VEX	-179.6K	-212.8K	-154.8K	-168.6K	-212.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.10	2.73	2.18	0.60
Total Volume	279,035.429	79,968	819,840	199,296	208,608
Total OI	2,257,481.143	1,232,352	2,999,136	2,002,176	1,598,784

Daily Data (21 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
2013-12-02	$1.18	$1.04	36.8%	14.5%	34.3%	20.4%	51.9%	7.2%	1.6%	2.0M	-73.0M	-168.6K	2.18	6.22	N/A	N/A	62,688	136,608	1,085,760	916,416
2013-12-03	$1.18	$1.04	36.1%	14.4%	34.4%	18.3%	0.0%	7.5%	2.9%	1.8M	-70.2M	-171.0K	0.50	12.66	N/A	N/A	146,976	73,152	1,102,656	985,152
2013-12-04	$1.18	$1.04	36.9%	14.6%	34.4%	20.6%	0.0%	6.5%	2.1%	2.2M	-75.9M	-184.4K	0.56	10.60	N/A	N/A	131,424	73,824	1,205,952	1,024,608
2013-12-05	$1.18	$1.04	40.5%	14.6%	34.4%	32.0%	0.0%	8.2%	0.7%	2.0M	-70.3M	-186.9K	0.31	8.60	N/A	N/A	187,008	57,984	1,193,472	1,072,992
2013-12-06	$1.20	$1.04	36.2%	14.8%	26.2%	18.4%	0.0%	8.0%	3.3%	2.3M	-86.5M	-170.5K	1.02	11.34	N/A	N/A	180,288	184,608	1,213,824	1,116,672
2013-12-09	$1.21	$1.04	35.6%	14.5%	23.6%	16.7%	52.0%	7.5%	3.5%	2.1M	-94.2M	-166.4K	1.80	2.74	N/A	N/A	79,488	143,136	1,273,824	1,225,152
2013-12-10	$1.21	$1.04	37.7%	14.4%	23.4%	23.3%	47.0%	7.5%	3.5%	2.0M	-89.0M	-179.6K	2.10	7.71	N/A	N/A	57,024	119,808	1,281,408	1,254,144
2013-12-11	$1.17	$1.04	43.2%	14.6%	28.3%	40.5%	0.0%	8.2%	2.1%	1.7M	-62.6M	-182.5K	0.23	3.95	N/A	N/A	356,256	81,600	1,307,520	1,260,672
2013-12-12	$1.16	$1.04	42.4%	14.8%	26.2%	37.8%	49.9%	7.4%	1.9%	2.9M	-67.3M	-190.2K	2.73	10.10	N/A	N/A	29,952	81,792	1,485,120	1,253,568
2013-12-13	$1.15	$1.04	42.1%	14.8%	26.3%	37.0%	50.9%	7.8%	1.8%	2.9M	-62.9M	-182.6K	0.29	6.82	N/A	N/A	180,960	52,896	1,490,784	1,310,976
2013-12-16	$1.17	$1.04	42.8%	14.7%	26.8%	39.2%	0.0%	8.7%	1.9%	4.3M	-84.9M	-169.0K	0.14	3.67	N/A	N/A	377,952	52,992	1,602,432	1,330,752
2013-12-17	$1.16	$1.04	43.9%	14.9%	24.5%	42.6%	54.3%	8.4%	1.2%	2.6M	-68.7M	-156.9K	0.10	5.64	N/A	N/A	211,392	20,832	1,416,960	1,369,728
2013-12-18	$1.20	$1.04	39.0%	14.9%	26.2%	27.4%	0.0%	7.7%	3.1%	3.7M	-102.5M	-154.8K	0.36	8.98	N/A	N/A	600,672	219,168	1,476,960	1,370,304
2013-12-19	$1.19	$1.04	38.2%	14.6%	26.4%	24.8%	53.9%	8.2%	4.3%	4.1M	-100.8M	-162.9K	0.86	3.14	N/A	N/A	159,936	137,376	1,566,144	1,368,000
2013-12-20	$1.23	$1.04	35.4%	14.5%	26.3%	15.9%	53.4%	7.5%	5.4%	7.0M	-137.0M	-156.5K	1.19	4.54	N/A	N/A	259,200	308,064	1,605,696	1,393,440
2013-12-23	$1.27	$1.04	33.2%	14.7%	27.7%	9.1%	54.1%	7.1%	4.2%	1.3M	-50.8M	-158.3K	0.82	6.90	N/A	N/A	163,968	133,824	717,120	515,232
2013-12-24	$1.27	$1.04	33.9%	14.8%	27.8%	11.3%	49.1%	6.6%	3.4%	1.3M	-50.9M	-203.7K	1.64	4.90	N/A	N/A	38,112	62,400	832,320	613,152
2013-12-26	$1.28	$1.04	33.4%	14.6%	27.6%	9.7%	53.3%	6.1%	3.4%	1.5M	-56.6M	-197.4K	1.97	3.86	N/A	N/A	80,256	157,824	848,832	626,976
2013-12-27	$1.27	$1.04	35.0%	14.9%	27.4%	14.7%	58.4%	5.4%	3.4%	1.2M	-50.3M	-207.1K	0.97	3.28	N/A	N/A	86,208	83,520	853,248	674,400
2013-12-30	$1.27	$1.04	35.5%	14.9%	27.2%	16.4%	0.0%	6.7%	3.2%	1.2M	-50.1M	-209.1K	1.25	6.32	N/A	N/A	35,616	44,352	882,912	683,040
2013-12-31	$1.29	$1.04	37.2%	14.8%	27.6%	24.0%	60.2%	6.5%	1.9%	1.2M	-56.6M	-212.8K	0.60	5.38	N/A	N/A	130,560	78,048	892,320	706,464