TQQQ Options History — June 2014

In June 2014, TQQQ traded between $1.42 and $1.56. ATM implied volatility averaged 33.6%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 9.2% (HV 20d: 24.4%). Max pain ranged from $0.96 to $0.97. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.65.

Notable Days

  • 2014-06-04: Highest Volume — 168,528 contracts
  • 2014-06-06: Largest IV drop — 15.6% change
  • 2014-06-05: Highest IV Rank — 27.6%
  • 2014-06-03: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.49$1.42$1.56$1.42$1.56
Max Pain$0.96$0.96$0.97$0.96$0.96
ATM IV33.6%28.7%38.3%36.6%28.7%
Expected Move13.1%12.5%13.5%13.3%12.5%
HV 20d24.4%17.3%33.6%33.6%17.3%
HV 60d45.0%41.9%47.2%47.0%41.9%
IV Rank11.9%0.0%27.6%21.9%0.0%
IV Percentile14.0%0.0%45.6%27.0%0.0%
Term Structure4.2%-0.2%6.8%2.3%5.3%
VWIV49.5%43.6%57.5%45.2%46.3%
Skew 25d7.7%5.3%13.6%7.8%6.5%
Skew 10d16.0%11.8%26.8%16.0%20.7%
Call IV 25d31.0%25.6%36.4%33.6%26.3%
Put IV 25d38.6%32.3%42.4%41.3%32.7%
Bid-Ask Spread %17.539.9234.3413.4924.15
Gamma HHI0.060.040.090.060.07
Net GEX1.1M394.3K1.6M1.5M526.4K
Net DEX-111.6M-137.6M-75.7M-106.1M-85.2M
Net VEX-274.6K-307.3K-247.4K-299.7K-247.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.673.731.511.84
Total Volume85,067.42914,544168,52864,22459,904
Total OI1,849,6161,205,4722,219,5681,906,2721,324,128

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$1.42$0.9636.6%13.3%33.6%21.9%45.2%7.8%2.3%1.5M-106.1M-299.7K1.5113.49N/AN/A25,63238,5921,238,592667,680
2014-06-03$1.42$0.9636.6%13.5%33.5%21.8%50.9%7.8%2.6%1.5M-105.1M-306.7K1.3911.85N/AN/A48,38467,4881,250,400684,336
2014-06-04$1.43$0.9636.1%13.5%29.1%20.1%52.7%6.3%2.9%1.6M-111.8M-307.3K0.9013.72N/AN/A88,84879,6801,276,128691,584
2014-06-05$1.47$0.9638.3%13.3%29.0%27.6%49.1%7.5%-0.2%1.5M-123.8M-297.0K0.6712.32N/AN/A47,04031,3921,296,816709,536
2014-06-06$1.49$0.9632.3%13.1%28.7%6.9%52.9%8.5%3.7%1.6M-135.7M-273.1K2.059.92N/AN/A52,320107,4241,310,304717,456
2014-06-09$1.49$0.9734.2%13.1%29.0%13.3%49.4%8.9%3.8%1.4M-133.1M-287.0K0.8213.23N/AN/A56,49646,4161,321,824738,672
2014-06-10$1.50$0.9733.4%13.0%25.4%10.6%52.6%7.7%5.6%1.5M-137.4M-263.1K2.5412.34N/AN/A24,19261,4401,333,056760,656
2014-06-11$1.50$0.9732.1%13.2%25.5%6.3%48.6%8.1%4.8%1.4M-136.7M-269.7K1.6112.75N/AN/A15,50425,0081,338,096752,400
2014-06-12$1.46$0.9736.9%13.4%27.1%22.7%51.6%5.3%6.3%1.4M-121.5M-281.7K1.1114.56N/AN/A72,19280,2561,337,328768,048
2014-06-13$1.47$0.9636.7%13.0%24.7%22.0%50.0%6.8%6.2%1.5M-125.1M-288.5K1.8316.52N/AN/A15,64828,5601,362,720810,288
2014-06-16$1.47$0.9636.7%13.3%24.4%22.1%51.5%8.1%5.2%1.4M-126.3M-286.3K0.6911.83N/AN/A14,97610,3201,364,448832,368
2014-06-17$1.48$0.9637.4%13.4%24.0%24.5%53.3%9.6%3.7%1.4M-128.1M-281.5K0.7519.09N/AN/A38,88029,2801,360,752836,640
2014-06-18$1.50$0.9632.6%12.8%23.3%7.8%48.9%13.6%4.4%1.6M-137.6M-273.8K2.4034.34N/AN/A25,77661,8721,373,760845,808
2014-06-19$1.50$0.9633.4%12.9%22.5%10.7%57.5%7.9%6.0%983.2K-134.7M-265.8K1.1523.18N/AN/A45,50452,2241,351,824818,448
2014-06-20$1.50$0.9631.1%12.8%22.4%2.5%48.2%7.2%6.8%749.6K-102.8M-262.5K0.6820.62N/AN/A82,08055,6321,126,080833,712
2014-06-23$1.50$0.9630.8%13.2%21.6%1.6%45.2%7.4%5.1%550.3K-76.1M-256.7K1.5519.74N/AN/A28,80044,784745,728459,744
2014-06-24$1.50$0.9630.7%12.8%18.2%1.4%44.3%6.2%2.0%513.1K-75.7M-263.5K1.3818.40N/AN/A45,55263,024769,488501,168
2014-06-25$1.53$0.9631.5%12.9%18.3%4.0%43.6%7.4%3.5%445.1K-79.2M-249.7K3.1028.18N/AN/A9,50429,472774,192523,872
2014-06-26$1.53$0.9630.7%13.0%17.4%1.2%49.7%5.4%3.4%394.3K-79.2M-252.9K3.7321.76N/AN/A3,07211,472775,488538,128
2014-06-27$1.55$0.9629.2%12.7%17.4%0.0%47.4%6.8%5.0%467.7K-82.2M-252.8K2.9516.25N/AN/A15,64846,128777,360542,880
2014-06-30$1.56$0.9628.7%12.5%17.3%0.0%46.3%6.5%5.3%526.4K-85.2M-247.4K1.8424.15N/AN/A21,07238,832779,040545,088