TQQQ Options History — January 2014

In January 2014, TQQQ traded between $1.16 and $1.33. ATM implied volatility averaged 39.4%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 2.8% (HV 20d: 36.7%). Max pain ranged from $0.96 to $1.04. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2014-01-15: Highest Volume — 465,792 contracts
  • 2014-01-13: Largest IV spike — 24.9% change
  • 2014-01-27: Highest IV Rank — 63.6%
  • 2014-01-02: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.25$1.16$1.33$1.26$1.21
Max Pain$1.02$0.96$1.04$1.04$0.99
ATM IV39.4%31.8%48.6%39.5%47.4%
Expected Move14.5%14.1%14.9%14.9%14.7%
HV 20d36.7%27.9%47.4%29.2%46.8%
HV 60d32.7%29.8%37.2%34.2%37.2%
IV Rank31.7%5.1%63.6%31.9%59.4%
IV Percentile53.2%2.8%95.6%65.9%93.7%
Term Structure1.2%-2.2%4.1%1.1%0.4%
VWIV52.1%48.6%57.4%53.3%51.8%
Skew 25d8.6%7.3%11.9%7.4%9.7%
Skew 10d18.5%15.1%23.2%19.8%20.8%
Call IV 25d36.7%32.7%44.5%36.6%43.5%
Put IV 25d45.4%40.4%54.4%43.9%53.2%
Bid-Ask Spread %5.353.5611.185.425.68
Gamma HHI0.100.050.190.050.16
Net GEX1.8M567.1K3.2M1.1M1.8M
Net DEX-56.9M-108.0M-13.2M-46.7M-37.2M
Net VEX-277.8K-343.3K-175.5K-227.6K-341.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.121.180.310.12
Total Volume247,63297,296465,792254,688210,288
Total OI2,156,100.5711,035,2642,695,6801,709,2802,409,456

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$1.26$1.0439.5%14.9%29.2%31.9%53.3%7.4%1.1%1.1M-46.7M-227.6K0.315.42N/AN/A194,68860,000950,592758,688
2014-01-03$1.24$1.0437.4%14.9%30.6%24.6%53.5%7.5%4.1%1.1M-40.5M-234.4K0.486.68N/AN/A155,04073,7281,027,872796,416
2014-01-06$1.22$1.0437.7%14.8%30.9%25.6%0.0%8.4%2.1%1.2M-37.9M-232.2K0.505.66N/AN/A190,36894,4641,099,392821,472
2014-01-07$1.25$1.0436.9%14.5%31.4%22.7%57.4%8.3%1.6%2.0M-60.1M-252.1K0.634.84N/AN/A154,36896,5761,210,080872,544
2014-01-08$1.26$1.0435.9%14.6%31.2%19.3%51.1%8.5%1.9%2.3M-70.1M-265.3K0.894.74N/AN/A83,42474,0161,299,360914,976
2014-01-09$1.25$1.0436.1%14.5%31.5%19.9%57.3%8.0%1.6%2.0M-61.9M-267.8K0.614.16N/AN/A133,72880,9281,317,984951,456
2014-01-10$1.26$1.0432.1%14.4%27.9%6.1%49.1%7.8%1.7%2.4M-74.3M-275.2K0.827.05N/AN/A109,24889,9521,390,848963,456
2014-01-13$1.21$1.0440.1%14.6%32.8%33.9%50.4%8.5%1.0%1.2M-39.3M-262.4K0.934.50N/AN/A215,808200,8321,387,6801,003,008
2014-01-14$1.28$1.0435.3%14.4%37.7%17.3%0.0%8.1%2.0%3.0M-88.8M-273.6K0.904.38N/AN/A156,288140,7361,452,6721,020,000
2014-01-15$1.31$0.9631.8%14.2%38.1%5.1%52.0%7.6%2.0%3.2M-106.8M-270.0K0.934.87N/AN/A241,632224,1601,443,1681,056,576
2014-01-16$1.31$0.9637.1%14.2%37.8%23.7%49.0%8.1%1.9%2.7M-108.0M-286.8K1.185.50N/AN/A60,96071,9041,511,1361,156,416
2014-01-17$1.28$0.9636.9%14.1%37.2%22.9%52.2%8.1%2.2%898.3K-91.6M-284.2K1.145.13N/AN/A133,632152,4481,511,7121,183,968
2014-01-21$1.31$0.9636.2%14.1%37.5%20.5%52.4%7.3%2.3%1.8M-67.6M-277.1K1.053.65N/AN/A128,160134,2081,072,032634,272
2014-01-22$1.33$1.0336.2%14.1%36.4%20.3%48.6%7.6%2.0%1.9M-72.5M-299.3K0.326.05N/AN/A296,35294,6561,129,056716,064
2014-01-23$1.31$1.0338.8%14.1%35.2%29.6%52.0%8.5%0.7%1.7M-64.6M-313.0K0.365.97N/AN/A216,19277,7601,153,920776,640
2014-01-24$1.23$1.0447.2%14.7%41.6%58.8%50.3%11.9%-2.2%567.1K-15.5M-175.5K0.394.40N/AN/A69,88827,408620,544414,720
2014-01-27$1.20$1.0448.6%14.7%42.5%63.6%49.9%9.9%-1.6%1.5M-29.6M-320.9K0.5111.18N/AN/A209,040106,8001,357,776842,784
2014-01-28$1.20$1.0444.5%14.7%42.5%49.4%55.9%10.0%-0.8%1.6M-26.3M-322.7K0.304.14N/AN/A93,12028,3681,430,400870,912
2014-01-29$1.16$0.9947.9%14.8%43.7%61.2%49.5%10.3%-0.3%1.2M-13.2M-309.4K0.573.56N/AN/A101,32857,7921,482,336877,584
2014-01-30$1.22$0.9944.4%14.7%47.4%48.9%55.2%9.6%1.0%2.2M-42.6M-343.3K0.434.73N/AN/A111,98448,0001,498,224889,920
2014-01-31$1.21$0.9947.4%14.7%46.8%59.4%51.8%9.7%0.4%1.8M-37.2M-341.2K0.125.68N/AN/A187,87222,4161,503,120906,336