TQQQ Options History — November 2014

In November 2014, TQQQ traded between $1.92 and $2.20. ATM implied volatility averaged 37.7%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 0.4% (HV 20d: 38.1%). Max pain ranged from $1.46 to $1.67. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.44.

Notable Days

  • 2014-11-03: Highest Volume — 580,944 contracts
  • 2014-11-17: Largest IV spike — 12.4% change
  • 2014-11-04: Highest IV Rank — 37.9%
  • 2014-11-04: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.02$1.92$2.20$1.94$2.20
Max Pain$1.57$1.46$1.67$1.48$1.67
ATM IV37.7%32.6%43.6%42.8%33.8%
Expected Move13.2%12.1%14.3%14.0%12.4%
HV 20d38.1%20.3%67.9%67.9%20.5%
HV 60d46.8%46.4%47.2%47.2%47.1%
IV Rank25.8%15.1%37.9%36.2%17.7%
IV Percentile42.1%11.9%70.6%68.3%18.7%
Term Structure0.7%-2.3%4.6%-0.6%2.6%
VWIV48.1%43.9%51.7%51.0%45.9%
Skew 25d8.1%-4.8%12.6%12.6%9.3%
Skew 10d19.0%14.0%24.7%20.9%19.7%
Call IV 25d34.8%28.9%40.1%36.6%29.5%
Put IV 25d43.0%34.6%49.6%49.2%38.8%
Bid-Ask Spread %29.8920.7560.3428.6827.53
Gamma HHI0.050.030.070.040.06
Net GEX1.5M892.4K1.9M1.4M892.4K
Net DEX-158.1M-176.5M-133.7M-155.5M-147.6M
Net VEX-296.5K-336.8K-257.1K-326.3K-273.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.472.801.520.47
Total Volume426,179.36873,872580,944580,94492,304
Total OI1,865,744.8421,611,4081,966,3201,851,1681,705,536

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$1.94$1.4842.8%14.0%67.9%36.2%51.0%12.6%-0.6%1.4M-155.5M-326.3K1.5228.68N/AN/A230,112350,8321,140,336710,832
2014-11-04$1.92$1.4843.6%14.3%65.8%37.9%51.4%9.1%-0.1%1.3M-150.7M-331.5K1.4928.94N/AN/A231,840345,7921,151,712732,912
2014-11-05$1.92$1.4843.0%13.9%62.6%36.7%51.7%10.5%1.5%1.4M-151.6M-336.8K1.3025.41N/AN/A234,144304,2241,168,560745,872
2014-11-06$1.94$1.4840.2%13.6%58.5%30.9%51.1%11.4%0.2%1.8M-156.8M-324.3K1.2920.75N/AN/A237,216305,4721,179,984751,728
2014-11-07$1.93$1.4838.9%13.9%49.4%28.2%50.8%8.3%2.7%1.6M-157.5M-323.6K1.3029.18N/AN/A246,000319,1521,190,688770,112
2014-11-10$1.95$1.4836.9%13.3%44.4%24.0%49.9%9.6%2.1%1.7M-158.5M-296.6K1.5427.96N/AN/A205,248317,0881,156,608741,264
2014-11-11$1.97$1.4635.4%13.1%43.8%21.0%48.8%7.6%2.8%1.9M-157.4M-277.8K1.5424.04N/AN/A209,040322,8001,105,920750,336
2014-11-12$1.98$1.4836.7%13.1%37.9%23.7%47.9%7.5%0.2%1.7M-166.7M-289.4K1.5225.88N/AN/A218,304331,3921,168,512773,952
2014-11-13$2.00$1.4836.7%13.1%35.5%23.7%48.6%8.9%-0.8%1.7M-169.9M-311.2K1.4231.56N/AN/A222,192314,6881,169,040785,856
2014-11-14$2.02$1.5034.7%12.8%34.6%19.4%43.9%5.9%2.5%1.5M-174.8M-279.3K1.8860.34N/AN/A34,03263,8401,164,384801,936
2014-11-17$2.00$1.6739.0%13.2%34.0%28.3%47.5%9.0%1.1%1.5M-163.2M-302.2K1.5624.83N/AN/A199,632311,8081,144,128763,824
2014-11-18$2.05$1.6737.1%12.7%27.2%24.5%46.6%10.4%-0.0%1.6M-176.5M-290.5K1.5222.03N/AN/A203,280309,8401,157,808774,000
2014-11-19$2.02$1.6738.8%13.5%27.5%28.0%48.7%5.0%-0.4%1.5M-159.9M-306.4K0.8435.23N/AN/A40,12833,7441,129,104787,008
2014-11-20$2.05$1.6739.3%12.9%24.5%29.0%46.1%9.2%-2.1%1.6M-169.3M-276.5K1.5532.19N/AN/A209,184324,7201,140,816784,848
2014-11-21$2.06$1.6736.3%13.0%24.0%22.7%47.7%-4.8%4.6%1.9M-174.6M-285.1K1.5436.75N/AN/A213,696329,3281,143,312788,928
2014-11-24$2.11$1.6735.1%12.5%24.8%20.3%44.6%7.3%-2.3%1.3M-133.7M-261.0K2.8021.46N/AN/A43,344121,248891,312720,096
2014-11-25$2.12$1.6736.1%12.5%21.1%22.4%47.7%9.2%-1.9%1.1M-138.5M-285.3K1.4931.70N/AN/A216,720322,176927,456763,296
2014-11-26$2.16$1.6732.6%12.1%20.3%15.1%44.5%8.2%1.7%916.9K-140.7M-257.1K0.8533.48N/AN/A44,68838,160893,808773,328
2014-11-28$2.20$1.6733.8%12.4%20.5%17.7%45.9%9.3%2.6%892.4K-147.6M-273.0K0.4727.53N/AN/A62,78429,520905,280800,256