TQQQ Options History — January 2015

In January 2015, TQQQ traded between $1.82 and $2.07. ATM implied volatility averaged 54.1%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 1.9% (HV 20d: 52.2%). Max pain ranged from $1.92 to $2.13. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2015-01-13: Highest Volume — 499,152 contracts
  • 2015-01-27: Largest IV spike — 17.3% change
  • 2015-01-15: Highest IV Rank — 80.8%
  • 2015-01-16: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.94$1.82$2.07$2.02$1.89
Max Pain$1.97$1.92$2.13$2.13$1.92
ATM IV54.1%44.6%64.2%50.5%57.1%
Expected Move15.4%12.6%17.2%14.0%16.5%
HV 20d52.2%45.1%57.3%47.2%56.3%
HV 60d43.8%40.9%48.1%48.1%44.1%
IV Rank59.9%40.0%80.8%52.3%66.0%
IV Percentile88.2%65.5%98.0%88.5%93.3%
Term Structure0.0%-5.0%6.3%2.4%2.3%
VWIV53.4%47.0%63.1%47.9%54.2%
Skew 25d16.4%7.7%23.8%8.0%19.6%
Skew 10d30.3%18.5%44.8%20.4%36.5%
Call IV 25d47.5%37.4%54.1%50.3%48.7%
Put IV 25d63.9%52.0%72.8%58.3%68.3%
Bid-Ask Spread %55.9042.5377.3542.5367.44
Gamma HHI0.070.030.460.280.46
Net GEX875.5K-1.1M3.4M-1.1M3.4M
Net DEX-44.7M-78.9M-23.4M-51.4M-42.3M
Net VEX-280.8K-309.1K-258.0K-265.9K-309.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.351.611.171.09
Total Volume304,202.441,808499,152387,168436,704
Total OI1,324,742.41,032,4801,608,9601,363,2481,324,032

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$2.02$2.1350.5%14.0%47.2%52.3%47.9%8.0%2.4%-1.1M-51.4M-265.9K1.1742.53N/AN/A178,416208,752675,552687,696
2015-01-05$1.92$2.1355.2%15.7%50.1%62.0%54.3%21.2%-1.0%406.8K-35.4M-258.0K0.5145.28N/AN/A72,00036,960621,456641,904
2015-01-06$1.85$2.1360.6%17.0%51.5%73.4%61.8%21.2%-2.2%318.6K-26.3M-258.8K0.7752.01N/AN/A89,37668,544650,640671,040
2015-01-07$1.92$2.0856.0%15.8%53.6%63.7%55.1%15.3%1.9%593.3K-34.8M-266.4K1.0648.29N/AN/A20,25621,552703,968694,800
2015-01-08$2.03$2.0248.8%13.6%57.3%48.7%51.5%22.0%-1.9%1.2M-58.5M-265.1K0.8949.75N/AN/A243,840216,720714,336705,312
2015-01-09$1.99$2.0250.5%14.0%54.4%52.4%50.6%7.7%1.6%1.1M-55.1M-271.6K0.8851.94N/AN/A246,336215,712746,448718,080
2015-01-12$1.93$1.9854.8%15.9%55.2%61.2%53.5%23.8%-1.3%861.8K-44.0M-271.6K0.8044.80N/AN/A231,888185,520734,160687,648
2015-01-13$1.92$1.9657.2%16.2%54.5%66.2%56.1%13.3%0.3%650.1K-40.5M-271.5K0.7456.77N/AN/A286,896212,256741,168716,640
2015-01-14$1.89$1.9458.6%16.7%54.0%69.1%58.4%17.3%0.0%469.2K-32.2M-276.1K0.8848.78N/AN/A251,136220,176796,848757,152
2015-01-15$1.82$1.9464.2%16.6%52.5%80.8%55.6%17.3%-5.0%148.0K-23.4M-271.9K0.7552.21N/AN/A278,784208,512817,728765,312
2015-01-16$1.88$1.9260.9%17.2%50.8%73.9%63.1%19.8%-1.8%400.0K-33.9M-270.1K0.8251.82N/AN/A77,56863,600834,000774,960
2015-01-20$1.92$1.9258.3%16.7%45.1%68.6%56.8%17.5%-0.9%625.5K-34.9M-279.0K0.5554.61N/AN/A47,61626,352616,464416,016
2015-01-21$1.95$1.9256.7%16.3%45.2%65.3%55.5%14.8%-3.1%907.1K-43.5M-285.6K0.3555.82N/AN/A44,44815,648647,376434,880
2015-01-22$2.06$1.9247.4%13.8%49.2%45.8%48.3%22.8%0.3%1.6M-65.0M-283.1K0.8057.79N/AN/A243,456195,024677,424448,752
2015-01-23$2.07$1.9244.6%12.7%49.3%40.0%47.6%14.5%0.8%1.5M-78.9M-305.6K0.8462.95N/AN/A232,032195,936759,360466,272
2015-01-26$2.07$1.9244.6%12.6%49.3%40.0%47.0%13.2%1.1%1.8M-71.3M-302.1K1.6163.11N/AN/A23,28037,392719,568422,784
2015-01-27$1.91$1.9252.3%14.8%56.0%56.0%49.1%11.5%0.4%1.1M-43.5M-298.4K0.9369.77N/AN/A57,84053,904736,272434,400
2015-01-28$1.88$1.9252.4%15.7%56.1%56.2%50.8%11.1%6.3%803.6K-40.2M-303.9K1.0577.35N/AN/A205,824216,528771,984477,456
2015-01-29$1.93$1.9252.2%15.7%56.8%55.9%50.9%15.8%0.8%727.2K-39.2M-301.3K1.0664.94N/AN/A202,512214,752786,864498,096
2015-01-30$1.89$1.9257.1%16.5%56.3%66.0%54.2%19.6%2.3%3.4M-42.3M-309.1K1.0967.44N/AN/A208,848227,856813,552510,480