TQQQ Options History — February 2014

In February 2014, TQQQ traded between $1.13 and $1.40. ATM implied volatility averaged 42.0%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 8.8% (HV 20d: 50.8%). Max pain ranged from $0.99 to $1.04. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.58.

Notable Days

  • 2014-02-26: Highest Volume — 667,488 contracts
  • 2014-02-07: Largest IV drop — 19.8% change
  • 2014-02-03: Highest IV Rank — 97.5%
  • 2014-02-03: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.31$1.13$1.40$1.13$1.40
Max Pain$1.01$0.99$1.04$0.99$1.04
ATM IV42.0%36.6%58.4%58.4%37.9%
Expected Move14.4%13.8%15.1%15.1%13.9%
HV 20d50.8%40.2%57.2%52.0%40.2%
HV 60d39.3%38.2%40.0%39.9%39.2%
IV Rank40.6%21.8%97.5%97.5%26.2%
IV Percentile65.4%34.1%99.6%99.6%50.0%
Term Structure2.0%-4.1%4.7%-4.1%1.8%
VWIV51.7%48.0%56.4%56.4%49.5%
Skew 25d9.0%7.1%13.0%13.0%7.7%
Skew 10d19.3%14.9%28.4%28.4%17.4%
Call IV 25d38.9%34.0%53.1%53.1%34.3%
Put IV 25d47.9%42.0%66.1%66.1%42.0%
Bid-Ask Spread %9.275.0320.106.8712.88
Gamma HHI0.130.050.240.100.10
Net GEX2.9M1.0M4.7M1.0M2.2M
Net DEX-111.0M-171.6M-6.9M-6.9M-110.3M
Net VEX-343.5K-375.8K-305.1K-306.3K-346.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.051.760.561.22
Total Volume301,480.421149,472667,488352,800151,344
Total OI2,592,159.1581,866,9122,980,0802,528,8321,961,328

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$1.13$0.9958.4%15.1%52.0%97.5%56.4%13.0%-4.1%1.0M-6.9M-306.3K0.566.87N/AN/A225,504127,2961,618,128910,704
2014-02-04$1.15$0.9952.7%15.0%52.6%77.7%52.3%11.4%-2.3%1.5M-21.4M-328.3K0.356.14N/AN/A110,68839,1681,660,752923,088
2014-02-05$1.14$0.9954.1%15.0%51.6%82.8%52.3%10.9%-1.4%1.3M-20.2M-334.7K0.565.03N/AN/A138,38477,9041,716,000930,480
2014-02-06$1.19$0.9950.4%14.8%53.6%69.8%51.7%9.8%-1.4%2.2M-41.9M-358.9K0.446.23N/AN/A165,50472,5761,750,368959,472
2014-02-07$1.25$0.9940.4%14.6%56.9%35.1%49.7%10.1%2.0%4.0M-88.4M-375.8K0.618.36N/AN/A198,576120,4321,845,312968,736
2014-02-10$1.27$0.9939.6%14.5%57.2%32.2%50.6%10.0%2.9%4.4M-104.3M-366.1K0.635.24N/AN/A147,98493,4561,858,560993,072
2014-02-11$1.31$0.9937.1%14.3%55.6%23.6%56.1%8.6%3.3%4.7M-141.1M-353.5K1.086.32N/AN/A140,784152,6881,878,384995,040
2014-02-12$1.32$0.9936.6%14.3%52.2%21.8%52.1%8.7%3.1%4.4M-144.6M-357.8K0.645.50N/AN/A130,75284,0961,892,4001,036,800
2014-02-13$1.36$0.9939.6%14.1%52.4%32.3%51.0%8.7%4.5%4.1M-171.6M-340.1K0.305.46N/AN/A250,94474,2081,905,6001,045,200
2014-02-14$1.36$0.9938.6%14.2%52.4%28.7%50.4%7.1%4.7%3.3M-166.7M-328.8K1.1216.89N/AN/A133,536149,9041,817,1361,054,080
2014-02-18$1.38$0.9939.0%13.9%52.0%30.0%52.8%8.1%4.2%3.1M-169.5M-305.1K1.767.52N/AN/A78,000137,1361,745,8561,054,656
2014-02-19$1.35$0.9942.0%14.2%52.3%40.6%50.4%8.6%1.5%2.6M-151.4M-324.4K0.299.92N/AN/A432,144123,5041,787,7601,128,912
2014-02-20$1.37$0.9940.1%14.2%52.4%34.0%52.9%7.9%4.1%2.9M-165.2M-343.1K0.2914.53N/AN/A116,11233,3601,885,3921,074,624
2014-02-21$1.36$1.0439.9%14.2%52.3%33.2%0.0%8.4%4.0%3.8M-157.5M-347.6K0.538.76N/AN/A133,58471,3281,893,9361,086,144
2014-02-24$1.39$1.0437.7%13.8%46.8%25.7%48.0%8.1%2.8%2.4M-110.3M-345.5K0.349.22N/AN/A310,656104,1601,363,344540,768
2014-02-25$1.38$1.0438.4%14.2%45.1%28.1%53.1%8.7%2.8%2.1M-105.8M-341.5K0.1920.10N/AN/A286,99255,2481,333,104533,808
2014-02-26$1.38$1.0438.6%14.2%45.2%28.8%49.4%7.9%2.5%2.7M-108.2M-362.5K0.0611.83N/AN/A626,88040,6081,447,344575,328
2014-02-27$1.40$1.0437.2%14.1%42.9%24.1%0.0%8.0%2.3%3.1M-123.2M-360.0K0.059.31N/AN/A372,33620,3521,494,720584,688
2014-02-28$1.40$1.0437.9%13.9%40.2%26.2%49.5%7.7%1.8%2.2M-110.3M-346.1K1.2212.88N/AN/A68,16083,1841,366,752594,576