TQQQ Options History — December 2014

In December 2014, TQQQ traded between $1.84 and $2.16. ATM implied volatility averaged 45.3%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 8.9% (HV 20d: 36.4%). Max pain ranged from $1.67 to $2.19. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.96.

Notable Days

2014-12-17: Highest Volume — 499,152 contracts
2014-12-10: Largest IV spike — 19.5% change
2014-12-16: Highest IV Rank — 79.9%
2014-12-16: Largest Expected Move — 17.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.07	$1.84	$2.16	$2.12	$2.03
Max Pain	$1.75	$1.67	$2.19	$1.67	$1.87
ATM IV	45.3%	35.5%	63.8%	39.1%	49.9%
Expected Move	14.0%	12.5%	17.3%	12.9%	14.7%
HV 20d	36.4%	21.9%	48.6%	22.5%	47.4%
HV 60d	48.6%	46.9%	51.9%	47.7%	49.0%
IV Rank	41.5%	21.1%	79.9%	28.6%	51.1%
IV Percentile	68.4%	24.6%	98.0%	54.4%	87.7%
Term Structure	0.5%	-5.3%	5.2%	0.6%	0.5%
VWIV	51.3%	42.5%	61.3%	51.7%	47.3%
Skew 25d	11.7%	-0.3%	21.2%	13.1%	11.6%
Skew 10d	25.5%	4.1%	48.7%	23.9%	26.0%
Call IV 25d	39.9%	30.6%	53.2%	32.8%	44.4%
Put IV 25d	51.6%	39.3%	69.9%	45.9%	56.0%
Bid-Ask Spread %	40.25	24.07	82.07	39.09	42.07
Gamma HHI	0.05	0.03	0.09	0.05	0.04
Net GEX	1.0M	384.0K	1.8M	781.8K	900.1K
Net DEX	-98.3M	-133.5M	-58.5M	-122.5M	-58.5M
Net VEX	-289.4K	-314.9K	-256.8K	-290.6K	-268.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.28	1.30	1.30	0.98
Total Volume	363,093.818	21,024	499,152	409,056	105,456
Total OI	1,639,658.182	1,294,944	1,887,264	1,640,352	1,316,112

Daily Data (22 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
2014-12-01	$2.12	$1.67	39.1%	12.9%	22.5%	28.6%	51.7%	13.1%	0.6%	781.8K	-122.5M	-290.6K	1.30	39.09	N/A	N/A	177,696	231,360	868,752	771,600
2014-12-02	$2.14	$1.67	38.3%	12.8%	22.5%	26.9%	49.0%	10.3%	2.0%	785.7K	-125.7M	-291.0K	1.21	27.05	N/A	N/A	182,256	220,848	884,736	796,176
2014-12-03	$2.16	$1.67	35.5%	13.0%	21.9%	21.1%	46.8%	9.6%	3.5%	811.3K	-130.8M	-286.8K	1.16	28.89	N/A	N/A	186,912	216,000	899,376	818,544
2014-12-04	$2.15	$1.67	37.6%	12.7%	21.9%	25.6%	42.5%	10.4%	1.7%	1.2M	-127.4M	-297.6K	0.28	26.10	N/A	N/A	46,320	13,200	901,344	828,480
2014-12-05	$2.14	$1.67	36.3%	12.9%	22.1%	22.7%	49.1%	8.7%	2.0%	895.5K	-131.2M	-297.0K	1.03	24.90	N/A	N/A	221,712	228,144	935,424	832,176
2014-12-08	$2.09	$1.67	38.9%	13.2%	24.1%	28.1%	49.7%	9.0%	0.3%	958.5K	-117.3M	-303.1K	0.93	25.26	N/A	N/A	208,848	195,216	918,864	803,424
2014-12-09	$2.13	$1.67	41.3%	13.3%	24.4%	33.2%	46.1%	12.5%	-5.3%	1.2M	-125.6M	-276.4K	0.91	34.81	N/A	N/A	217,776	198,336	935,376	806,784
2014-12-10	$2.02	$1.69	49.4%	14.5%	31.7%	50.0%	55.6%	3.6%	0.8%	870.6K	-103.3M	-305.3K	0.99	52.14	N/A	N/A	211,584	210,240	947,088	824,688
2014-12-11	$2.04	$1.69	49.2%	14.7%	31.9%	49.7%	56.1%	19.1%	-1.1%	996.0K	-108.5M	-308.9K	1.21	40.43	N/A	N/A	203,952	246,096	960,432	832,128
2014-12-12	$1.99	$1.69	54.4%	16.0%	33.3%	60.5%	58.5%	9.4%	2.1%	470.4K	-88.0M	-314.9K	1.01	49.63	N/A	N/A	226,272	228,912	969,936	870,912
2014-12-15	$1.94	$1.67	57.8%	16.3%	34.0%	67.5%	60.0%	19.3%	0.5%	394.3K	-74.3M	-310.7K	1.04	34.29	N/A	N/A	224,928	233,904	946,368	849,600
2014-12-16	$1.84	$1.69	63.8%	17.3%	38.5%	79.9%	61.3%	16.7%	-2.4%	384.0K	-58.9M	-314.4K	0.98	32.72	N/A	N/A	239,136	234,384	993,120	867,408
2014-12-17	$1.93	$1.67	55.4%	16.2%	42.1%	62.5%	58.3%	21.2%	1.2%	802.3K	-75.8M	-294.6K	0.99	48.08	N/A	N/A	251,040	248,112	1,016,976	848,688
2014-12-18	$2.07	$1.67	48.8%	14.7%	48.5%	48.7%	51.7%	13.8%	-1.5%	1.2M	-121.7M	-286.4K	1.00	36.48	N/A	N/A	242,544	242,208	1,038,000	842,640
2014-12-19	$2.09	$1.67	43.8%	14.5%	48.6%	38.4%	50.8%	11.3%	0.7%	1.8M	-133.5M	-289.5K	0.84	41.25	N/A	N/A	79,584	66,960	1,039,248	848,016
2014-12-22	$2.11	$0.00	43.4%	13.8%	48.6%	37.5%	49.0%	11.6%	0.4%	1.2M	-73.4M	-277.1K	0.96	39.43	N/A	N/A	197,472	189,120	659,472	668,880
2014-12-23	$2.10	$2.19	43.2%	13.2%	47.7%	37.2%	51.5%	12.2%	5.2%	1.5M	-75.0M	-281.2K	0.98	24.07	N/A	N/A	194,976	190,416	679,488	677,760
2014-12-24	$2.10	$1.87	42.3%	13.1%	47.7%	35.2%	51.3%	12.0%	1.3%	1.7M	-76.3M	-278.2K	0.96	28.91	N/A	N/A	197,472	189,600	697,200	685,824
2014-12-26	$2.14	$1.87	41.6%	12.5%	47.8%	33.9%	48.9%	17.5%	-3.6%	1.2M	-85.4M	-269.7K	1.01	71.50	N/A	N/A	200,976	203,088	700,800	686,832
2014-12-29	$2.14	$1.87	41.8%	13.1%	47.4%	34.3%	49.2%	-0.3%	2.0%	1.5M	-79.7M	-256.8K	0.97	82.07	N/A	N/A	184,368	179,616	641,952	652,992
2014-12-30	$2.10	$1.87	44.3%	12.6%	46.3%	39.4%	44.3%	5.4%	0.3%	1.4M	-70.3M	-267.5K	0.34	56.26	N/A	N/A	15,696	5,328	652,608	656,256
2014-12-31	$2.03	$1.87	49.9%	14.7%	47.4%	51.1%	47.3%	11.6%	0.5%	900.1K	-58.5M	-268.5K	0.98	42.07	N/A	N/A	53,232	52,224	656,400	659,712