TQQQ Options History — October 2014 In October 2014, TQQQ traded between $1.44 and $1.92. ATM implied volatility averaged 53.8%, placing in the 67.8% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 5.6% (HV 20d: 59.3%). Max pain ranged from $1.46 to $1.67. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 1.16.
Notable Days 2014-10-31 : Highest Volume — 599,616 contracts2014-10-09 : Largest IV spike — 23.2% change2014-10-10 : Highest IV Rank — 100.0%2014-10-15 : Largest Expected Move — 18.0%Monthly Statistics Metric Avg Min Max Open Close Price $1.68 $1.44 $1.92 $1.72 $1.92 Max Pain $1.55 $1.46 $1.67 $1.60 $1.48 ATM IV 53.8% 38.5% 73.5% 55.8% 38.5% Expected Move 15.1% 13.6% 18.0% 14.6% 13.8% HV 20d 59.3% 41.7% 71.2% 41.7% 68.0% HV 60d 42.5% 34.6% 48.1% 34.9% 47.4% IV Rank 67.8% 27.4% 100.0% 89.7% 27.4% IV Percentile 89.1% 53.2% 100.0% 97.2% 53.2% Term Structure -1.0% -6.8% 2.0% -2.3% -1.1% VWIV 53.1% 47.0% 62.3% 51.1% 50.2% Skew 25d 15.1% 8.9% 22.0% 16.2% 10.5% Skew 10d 26.9% 11.7% 45.1% 24.6% 22.0% Call IV 25d 47.1% 36.2% 65.1% 46.2% 36.2% Put IV 25d 62.3% 46.7% 85.8% 62.3% 46.7% Bid-Ask Spread % 37.35 20.33 53.97 34.76 22.54 Gamma HHI 0.04 0.03 0.10 0.04 0.04 Net GEX 670.3K -595.3K 1.6M 302.8K 1.5M Net DEX -79.9M -159.5M -18.5M -70.6M -159.5M Net VEX -302.7K -342.9K -270.2K -274.8K -324.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.16 0.38 1.70 0.38 1.49 Total Volume 306,248.348 45,312 599,616 93,936 599,616 Total OI 1,713,309.913 1,442,592 1,908,288 1,442,592 1,908,288
Daily Data (23 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 2014-10-01 $1.72 $1.60 55.8% 14.6% 41.7% 89.7% 51.1% 16.2% -2.3% 302.8K -70.6M -274.8K 0.38 34.76 N/A N/A 67,968 25,968 869,328 573,264 2014-10-02 $1.72 $1.62 50.2% 14.1% 41.7% 73.3% 48.5% 17.4% -2.0% 399.1K -68.8M -280.2K 0.45 22.17 N/A N/A 76,176 34,512 902,112 586,704 2014-10-03 $1.77 $1.67 46.4% 13.8% 42.9% 62.2% 47.0% 8.9% -1.3% 744.6K -82.9M -289.0K 1.46 31.19 N/A N/A 24,720 36,048 931,344 603,744 2014-10-06 $1.75 $1.67 48.3% 14.1% 42.8% 67.8% 48.6% 11.3% 0.3% 608.4K -80.5M -280.4K 1.03 20.33 N/A N/A 22,368 22,944 935,712 630,480 2014-10-07 $1.68 $1.67 53.9% 14.5% 44.5% 84.1% 48.2% 17.3% -1.2% 175.1K -64.6M -277.2K 0.60 33.68 N/A N/A 50,304 30,192 945,360 650,304 2014-10-08 $1.79 $1.62 45.0% 13.6% 49.4% 57.8% 49.3% 14.6% 1.3% 851.0K -87.8M -273.8K 1.51 49.12 N/A N/A 150,192 226,128 982,416 667,680 2014-10-09 $1.69 $1.62 55.4% 14.5% 52.9% 88.7% 48.0% 14.2% -1.1% 200.7K -67.4M -281.8K 1.70 33.45 N/A N/A 45,216 76,848 978,672 695,712 2014-10-10 $1.56 $1.62 65.4% 15.7% 58.9% 100.0% 55.5% 12.4% -3.8% -595.3K -37.2M -281.5K 0.86 35.11 N/A N/A 61,152 52,656 981,072 714,096 2014-10-13 $1.49 $1.62 67.7% 16.8% 60.1% 100.0% 57.6% 15.0% 2.0% -119.5K -30.7M -270.2K 0.65 49.02 N/A N/A 80,352 51,888 975,888 675,936 2014-10-14 $1.54 $1.54 64.6% 16.1% 60.6% 92.6% 55.0% 17.5% -1.8% -116.6K -33.1M -280.3K 1.09 42.38 N/A N/A 184,848 200,736 1,028,304 692,880 2014-10-15 $1.47 $1.52 70.5% 18.0% 61.8% 100.0% 58.4% 20.7% 1.8% -16.4K -18.5M -279.2K 1.20 53.97 N/A N/A 218,880 263,040 1,048,272 708,528 2014-10-16 $1.44 $1.50 73.5% 17.1% 60.7% 100.0% 61.6% 21.0% -6.8% 247.2K -19.9M -282.3K 1.48 52.83 N/A N/A 105,072 155,040 1,072,800 711,360 2014-10-17 $1.49 $1.50 62.7% 16.5% 63.3% 77.6% 60.8% 20.8% -0.7% 816.3K -32.7M -324.0K 0.97 43.72 N/A N/A 67,200 65,472 1,140,144 756,480 2014-10-20 $1.56 $1.50 56.0% 16.1% 65.9% 63.7% 54.7% 18.0% -5.2% 573.0K -58.6M -314.2K 1.09 40.36 N/A N/A 223,200 242,976 987,792 616,944 2014-10-21 $1.67 $1.46 50.7% 15.0% 71.2% 52.8% 52.7% 12.2% -0.2% 1.1M -88.2M -318.4K 1.31 35.86 N/A N/A 233,616 305,040 1,039,200 641,952 2014-10-22 $1.65 $1.48 51.7% 15.6% 69.9% 54.8% 54.4% 14.5% 1.7% 998.0K -91.5M -342.5K 1.43 35.39 N/A N/A 223,920 321,264 1,077,120 704,256 2014-10-23 $1.73 $1.48 49.6% 14.8% 68.3% 50.4% 52.9% 22.0% 1.8% 1.1M -107.7M -342.9K 1.41 43.11 N/A N/A 227,328 321,120 1,094,592 721,728 2014-10-24 $1.77 $1.46 47.2% 14.7% 67.8% 45.5% 52.2% 17.9% -4.9% 1.1M -119.7M -331.9K 1.55 29.21 N/A N/A 224,640 347,712 1,123,728 735,456 2014-10-27 $1.78 $1.48 47.6% 14.8% 67.9% 46.2% 62.3% 10.5% 0.9% 1.1M -113.8M -335.0K 0.75 29.34 N/A N/A 37,344 27,936 1,081,296 680,736 2014-10-28 $1.86 $1.48 45.1% 14.1% 69.7% 41.2% 51.0% 10.3% -0.8% 1.4M -135.6M -305.7K 1.42 31.47 N/A N/A 74,640 106,272 1,103,088 697,008 2014-10-29 $1.83 $1.48 48.1% 14.3% 67.3% 47.4% 50.2% 12.4% -0.6% 1.4M -132.5M -331.0K 1.51 46.63 N/A N/A 228,624 344,400 1,135,104 725,136 2014-10-30 $1.85 $1.48 43.0% 14.1% 67.3% 36.6% 50.8% 12.1% 1.6% 1.6M -136.2M -340.4K 1.39 43.48 N/A N/A 233,760 324,384 1,143,408 730,704 2014-10-31 $1.92 $1.48 38.5% 13.8% 68.0% 27.4% 50.2% 10.5% -1.1% 1.5M -159.5M -324.6K 1.49 22.54 N/A N/A 240,768 358,848 1,169,856 738,432
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