TQQQ Options History — March 2014 In March 2014, TQQQ traded between $1.25 and $1.43. ATM implied volatility averaged 41.9%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 8.8% (HV 20d: 33.1%). 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 17 of 21 days. Put/call ratio averaged 0.76.
Notable Days 2014-03-21 : Highest Volume — 308,784 contracts2014-03-13 : Largest IV spike — 20.1% change2014-03-27 : Highest IV Rank — 64.0%2014-03-24 : Largest Expected Move — 14.8%Monthly Statistics Metric Avg Min Max Open Close Price $1.36 $1.25 $1.43 $1.37 $1.28 Max Pain $1.04 $1.04 $1.04 $1.04 $1.04 ATM IV 41.9% 36.1% 48.7% 43.5% 47.3% Expected Move 14.4% 14.1% 14.8% 14.3% 14.5% HV 20d 33.1% 25.1% 41.3% 41.3% 38.0% HV 60d 40.7% 39.3% 42.2% 39.5% 42.0% IV Rank 40.3% 20.1% 64.0% 45.8% 59.2% IV Percentile 68.6% 29.0% 94.4% 81.7% 91.3% Term Structure 1.6% -1.4% 4.6% -1.4% -0.6% VWIV 51.9% 47.1% 57.6% 47.9% 54.9% Skew 25d 9.7% 6.9% 11.8% 9.6% 10.0% Skew 10d 19.8% 14.4% 24.0% 20.9% 19.5% Call IV 25d 38.1% 33.7% 43.0% 39.7% 41.8% Put IV 25d 47.8% 40.6% 54.7% 49.3% 51.7% Bid-Ask Spread % 11.76 5.52 20.40 12.21 10.96 Gamma HHI 0.13 0.04 0.27 0.10 0.05 Net GEX 1.9M 719.1K 5.4M 1.9M 1.1M Net DEX -89.1M -123.3M -43.6M -95.5M -55.7M Net VEX -321.7K -340.9K -300.2K -340.9K -323.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.17 2.25 0.45 0.20 Total Volume 131,282.286 38,352 308,784 135,552 105,504 Total OI 1,949,908.571 1,352,688 2,324,592 1,967,184 1,597,104
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 2014-03-03 $1.37 $1.04 43.5% 14.3% 41.3% 45.8% 47.9% 9.6% -1.4% 1.9M -95.5M -340.9K 0.45 12.21 N/A N/A 93,504 42,048 1,360,560 606,624 2014-03-04 $1.42 $1.04 37.8% 14.3% 32.2% 26.1% 50.0% 7.5% 0.9% 2.2M -121.4M -335.1K 1.46 8.75 N/A N/A 55,824 81,504 1,371,120 613,776 2014-03-05 $1.43 $1.04 36.1% 14.5% 32.1% 20.1% 50.6% 6.9% 2.5% 2.0M -123.3M -337.4K 2.25 7.22 N/A N/A 26,688 60,144 1,380,768 661,536 2014-03-06 $1.43 $1.04 36.4% 14.1% 31.7% 21.1% 53.6% 6.9% 1.6% 2.2M -122.8M -330.6K 1.05 14.20 N/A N/A 43,824 46,032 1,380,720 637,104 2014-03-07 $1.41 $1.04 36.7% 14.2% 31.3% 22.3% 53.7% 9.7% 4.6% 2.0M -110.1M -330.7K 0.89 7.50 N/A N/A 30,240 26,976 1,385,424 664,848 2014-03-10 $1.41 $1.04 37.5% 14.3% 26.9% 24.8% 0.0% 9.1% 4.4% 2.2M -113.1M -320.4K 1.46 5.52 N/A N/A 15,600 22,752 1,395,696 667,488 2014-03-11 $1.39 $1.04 37.9% 14.3% 27.2% 26.2% 48.1% 10.3% 3.3% 2.1M -105.0M -316.5K 0.60 11.99 N/A N/A 47,808 28,896 1,396,512 678,912 2014-03-12 $1.41 $1.04 37.5% 14.2% 25.1% 24.9% 51.6% 10.1% 3.5% 2.2M -112.9M -317.6K 0.95 7.27 N/A N/A 43,728 41,520 1,404,000 689,904 2014-03-13 $1.35 $1.04 45.0% 14.6% 30.1% 51.1% 50.9% 10.3% 0.1% 1.7M -79.6M -316.2K 0.62 7.50 N/A N/A 144,432 89,904 1,405,776 699,792 2014-03-14 $1.32 $1.04 47.9% 14.5% 29.6% 61.0% 53.8% 11.8% 0.5% 1.8M -73.9M -329.8K 0.97 11.72 N/A N/A 95,712 93,312 1,479,696 706,560 2014-03-17 $1.36 $1.04 43.9% 14.4% 31.2% 47.2% 52.4% 10.5% 1.2% 2.4M -89.1M -328.7K 0.36 13.88 N/A N/A 74,352 26,592 1,503,216 744,288 2014-03-18 $1.40 $1.04 40.2% 14.3% 33.2% 34.5% 0.0% 9.0% 3.0% 3.2M -120.9M -321.8K 0.67 13.36 N/A N/A 74,496 49,872 1,507,296 754,320 2014-03-19 $1.38 $1.04 41.7% 14.1% 32.8% 39.5% 52.8% 11.5% 2.9% 3.2M -102.2M -313.4K 0.35 20.40 N/A N/A 100,176 34,992 1,494,768 760,992 2014-03-20 $1.39 $1.04 39.8% 14.3% 32.5% 32.8% 0.0% 9.2% 3.4% 5.4M -113.6M -305.5K 0.71 12.08 N/A N/A 106,224 74,928 1,527,552 743,328 2014-03-21 $1.34 $1.04 42.9% 14.1% 35.2% 43.6% 0.0% 10.3% 1.5% 862.8K -73.2M -300.2K 0.58 13.85 N/A N/A 195,552 113,232 1,548,960 775,632 2014-03-24 $1.31 $1.04 43.3% 14.8% 35.5% 45.0% 54.0% 10.6% 1.5% 777.7K -55.6M -305.7K 0.60 13.06 N/A N/A 150,720 89,904 963,168 389,520 2014-03-25 $1.32 $1.04 42.4% 14.5% 35.8% 41.9% 0.0% 9.4% 1.9% 882.7K -60.0M -316.6K 0.36 10.02 N/A N/A 93,984 33,984 1,012,416 435,216 2014-03-26 $1.27 $1.04 46.8% 14.6% 38.1% 57.4% 57.6% 9.8% -0.1% 785.8K -51.0M -321.6K 0.85 16.02 N/A N/A 29,520 24,960 1,039,776 449,184 2014-03-27 $1.25 $1.04 48.7% 14.5% 37.3% 64.0% 47.1% 11.7% -1.3% 719.1K -43.6M -318.7K 0.17 15.77 N/A N/A 122,448 21,120 1,052,304 466,608 2014-03-28 $1.26 $1.04 46.8% 14.6% 37.6% 57.4% 0.0% 10.1% 0.5% 939.7K -47.7M -325.7K 0.32 13.63 N/A N/A 78,528 25,392 1,114,128 481,488 2014-03-31 $1.28 $1.04 47.3% 14.5% 38.0% 59.2% 54.9% 10.0% -0.6% 1.1M -55.7M -323.4K 0.20 10.96 N/A N/A 87,936 17,568 1,114,368 482,736
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