TQQQ Options History — May 2014

In May 2014, TQQQ traded between $1.21 and $1.42. ATM implied volatility averaged 40.8%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 1.5% (HV 20d: 42.3%). Max pain ranged from $0.97 to $1.04. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2014-05-16: Highest Volume — 209,664 contracts
  • 2014-05-15: Largest IV spike — 19.8% change
  • 2014-05-07: Highest IV Rank — 63.2%
  • 2014-05-02: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.30$1.21$1.42$1.27$1.42
Max Pain$1.03$0.97$1.04$1.03$0.97
ATM IV40.8%34.6%48.6%45.0%34.6%
Expected Move13.8%12.5%14.4%14.4%13.4%
HV 20d42.3%31.3%63.0%63.0%33.7%
HV 60d46.7%45.6%47.7%47.3%47.0%
IV Rank36.3%14.6%63.2%50.8%14.6%
IV Percentile52.6%10.3%88.9%78.6%10.3%
Term Structure2.3%-1.2%5.6%0.4%3.1%
VWIV51.1%45.9%60.3%58.9%47.5%
Skew 25d10.3%7.2%12.0%10.6%7.2%
Skew 10d20.8%15.2%26.4%19.4%15.6%
Call IV 25d36.7%30.9%41.8%40.7%32.2%
Put IV 25d47.0%39.3%53.8%51.3%39.3%
Bid-Ask Spread %15.189.3632.8412.3815.49
Gamma HHI0.060.050.110.050.06
Net GEX1.6M1.3M2.4M1.6M1.5M
Net DEX-70.0M-105.8M-45.9M-63.9M-105.8M
Net VEX-304.2K-330.1K-276.5K-330.1K-305.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.222.480.800.56
Total Volume92,83240,272209,664127,82451,552
Total OI1,827,5521,600,6561,974,0481,824,0001,893,456

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$1.27$1.0345.0%14.4%63.0%50.8%58.9%10.6%0.4%1.6M-63.9M-330.1K0.8012.38N/AN/A70,84856,9761,250,736573,264
2014-05-02$1.26$1.0346.5%14.4%62.5%55.9%0.0%10.7%-1.2%1.6M-62.5M-328.7K2.1913.28N/AN/A12,62427,6481,254,528581,376
2014-05-05$1.28$1.0344.5%13.8%55.1%49.0%49.8%11.8%2.4%1.8M-66.2M-317.9K1.1915.40N/AN/A30,81636,8161,257,648584,352
2014-05-06$1.23$1.0346.7%14.1%55.9%56.6%0.0%11.1%1.2%1.5M-53.6M-317.8K0.2214.71N/AN/A42,6729,3121,265,808587,664
2014-05-07$1.22$1.0348.6%14.3%55.2%63.2%51.3%11.9%1.9%1.3M-45.9M-307.4K0.4811.83N/AN/A101,90448,5281,278,000592,560
2014-05-08$1.21$1.0346.9%14.4%51.9%57.3%0.0%12.0%1.2%1.3M-46.0M-310.3K0.4117.48N/AN/A91,96837,5841,294,032616,176
2014-05-09$1.23$1.0342.6%14.1%38.3%42.6%0.0%11.0%2.5%1.6M-50.5M-311.2K0.4920.21N/AN/A45,64822,3201,329,168618,864
2014-05-12$1.29$1.0341.7%14.2%38.7%39.5%53.4%11.8%2.2%2.4M-72.9M-306.4K0.8413.17N/AN/A79,34466,4801,330,608610,656
2014-05-13$1.29$1.0337.9%13.6%38.3%26.3%50.1%10.6%4.9%2.3M-73.6M-307.3K1.9713.00N/AN/A21,31242,0481,324,752620,208
2014-05-14$1.27$1.0336.4%14.0%38.9%21.2%0.0%9.4%4.4%2.0M-65.2M-299.3K0.6612.19N/AN/A56,54437,2481,323,072626,880
2014-05-15$1.24$1.0343.7%13.5%38.0%46.1%51.1%10.9%3.1%1.7M-52.7M-300.9K0.6322.88N/AN/A54,00033,7921,324,896620,352
2014-05-16$1.26$1.0341.5%13.9%38.5%38.5%60.3%11.2%5.6%2.4M-62.3M-288.9K2.3515.25N/AN/A62,496147,1681,338,768635,280
2014-05-19$1.29$1.0340.5%13.7%38.4%35.3%46.4%10.4%1.3%1.3M-63.8M-292.5K0.6210.68N/AN/A41,85625,8241,101,984498,672
2014-05-20$1.28$1.0340.3%13.6%37.8%34.5%45.9%10.4%2.3%1.3M-60.3M-300.6K2.4812.73N/AN/A17,47243,3441,115,040504,384
2014-05-21$1.31$1.0338.5%13.5%37.4%28.2%51.3%11.2%1.5%1.4M-68.9M-296.0K0.9312.80N/AN/A36,38433,9841,118,976537,120
2014-05-22$1.33$1.0436.6%13.3%36.3%21.5%0.0%9.7%2.9%1.5M-75.3M-306.0K1.779.36N/AN/A27,84049,1521,135,584559,968
2014-05-23$1.36$1.0435.8%12.5%31.3%18.9%50.6%9.6%1.7%1.5M-82.9M-294.3K1.2632.84N/AN/A34,41643,4401,144,560570,384
2014-05-27$1.41$1.0435.7%13.2%33.1%18.4%50.8%9.0%1.8%1.5M-98.1M-276.5K1.7014.08N/AN/A55,48894,5601,155,504585,120
2014-05-28$1.40$1.0337.2%13.4%33.2%23.7%51.5%7.2%1.9%1.4M-95.0M-295.4K0.4211.62N/AN/A43,34418,1441,169,952620,640
2014-05-29$1.42$0.9835.9%13.5%33.6%19.4%46.9%8.2%2.3%1.5M-104.3M-295.3K0.8517.36N/AN/A52,22444,3521,197,696629,904
2014-05-30$1.42$0.9734.6%13.4%33.7%14.6%47.5%7.2%3.1%1.5M-105.8M-305.9K0.5615.49N/AN/A33,02418,5281,229,472663,984