TQQQ Options History — February 2015 In February 2015, TQQQ traded between $1.94 and $2.35. ATM implied volatility averaged 43.4%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 2.5% (HV 20d: 45.9%). Max pain ranged from $1.67 to $1.92. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.07.
Notable Days 2015-02-04 : Highest Volume — 445,200 contracts2015-02-10 : Largest IV drop — 12.2% change2015-02-02 : Highest IV Rank — 61.9%2015-02-02 : Largest Expected Move — 16.6%Monthly Statistics Metric Avg Min Max Open Close Price $2.17 $1.94 $2.35 $1.94 $2.31 Max Pain $1.73 $1.67 $1.92 $1.92 $1.73 ATM IV 43.4% 36.2% 55.1% 55.1% 36.7% Expected Move 12.5% 10.0% 16.6% 16.6% 10.2% HV 20d 45.9% 28.6% 57.3% 57.3% 29.8% HV 60d 45.9% 44.4% 46.7% 44.4% 45.8% IV Rank 37.6% 22.6% 61.9% 61.9% 23.6% IV Percentile 57.4% 26.2% 88.9% 88.9% 29.8% Term Structure 0.6% -2.3% 4.7% 0.1% -1.6% VWIV 45.2% 34.7% 55.5% 55.5% 38.4% Skew 25d 12.3% -1.1% 19.9% 19.9% 9.5% Skew 10d 27.6% 15.7% 39.3% 39.3% 17.8% Call IV 25d 38.9% 32.5% 54.7% 48.7% 32.5% Put IV 25d 51.3% 40.8% 68.6% 68.6% 42.0% Bid-Ask Spread % 62.22 38.46 78.90 77.24 78.84 Gamma HHI 0.05 0.04 0.09 0.04 0.09 Net GEX 1.8M 595.5K 3.0M 859.3K 595.5K Net DEX -102.3M -139.0M -43.5M -43.5M -122.2M Net VEX -286.2K -319.7K -244.0K -300.8K -254.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.07 0.29 1.55 0.29 1.18 Total Volume 330,881.684 52,512 445,200 81,984 339,648 Total OI 1,281,738.947 1,157,328 1,421,232 1,170,384 1,238,544
Daily Data (19 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 2015-02-02 $1.94 $1.92 55.1% 16.6% 57.3% 61.9% 55.5% 19.9% 0.1% 859.3K -43.5M -300.8K 0.29 77.24 N/A N/A 63,744 18,240 733,776 436,608 2015-02-03 $1.99 $1.92 50.6% 15.0% 55.3% 52.5% 48.7% 15.1% 0.3% 1.5M -61.2M -305.2K 0.96 72.10 N/A N/A 222,528 213,264 783,504 447,888 2015-02-04 $1.98 $1.92 49.7% 14.5% 53.1% 50.6% 46.8% 17.1% 3.7% 1.8M -63.0M -319.7K 0.98 78.90 N/A N/A 224,448 220,752 810,000 475,824 2015-02-05 $2.04 $1.67 48.9% 14.1% 52.4% 48.9% 50.4% 13.8% -2.3% 2.6M -77.5M -308.8K 0.95 47.73 N/A N/A 208,560 197,136 838,320 475,968 2015-02-06 $1.99 $1.67 49.1% 13.7% 49.2% 49.3% 53.0% -1.1% -1.2% 1.6M -72.0M -315.9K 1.00 53.21 N/A N/A 203,664 202,848 854,496 481,824 2015-02-09 $1.99 $1.67 50.3% 14.7% 48.9% 52.0% 53.0% 16.7% 0.3% 1.7M -63.1M -311.7K 1.08 38.46 N/A N/A 186,336 200,400 796,848 452,880 2015-02-10 $2.08 $1.67 44.2% 13.8% 49.8% 39.2% 47.0% 14.0% 4.7% 2.6M -87.4M -299.4K 1.20 56.47 N/A N/A 178,704 214,608 834,624 484,560 2015-02-11 $2.10 $1.67 44.8% 12.7% 49.6% 40.4% 45.2% 15.1% 0.8% 3.0M -95.4M -310.6K 1.05 56.09 N/A N/A 203,184 212,736 851,328 502,512 2015-02-12 $2.17 $1.67 41.5% 12.6% 50.4% 33.6% 43.6% 6.2% 3.7% 2.7M -122.8M -291.6K 1.24 55.73 N/A N/A 189,600 235,248 893,760 503,664 2015-02-13 $2.22 $1.69 38.4% 11.3% 47.5% 27.2% 42.5% 9.0% 1.1% 2.3M -137.4M -280.4K 1.16 58.94 N/A N/A 197,040 228,960 904,704 516,528 2015-02-17 $2.22 $1.69 40.5% 11.7% 46.6% 31.5% 45.2% 14.2% 0.1% 2.1M -118.4M -294.3K 1.18 58.21 N/A N/A 162,432 192,000 832,704 472,752 2015-02-18 $2.24 $1.71 41.4% 11.9% 46.4% 33.3% 45.5% 13.0% 0.4% 2.0M -123.0M -288.6K 1.22 67.79 N/A N/A 152,016 185,136 838,032 493,632 2015-02-19 $2.28 $1.71 39.5% 11.3% 46.4% 29.5% 42.1% 13.7% 0.6% 2.0M -129.8M -270.5K 0.72 63.89 N/A N/A 30,528 21,984 824,688 488,688 2015-02-20 $2.32 $1.71 40.6% 11.5% 43.7% 31.8% 42.9% 16.0% 2.3% 1.5M -139.0M -261.6K 0.58 68.36 N/A N/A 47,616 27,504 822,720 498,192 2015-02-23 $2.33 $1.73 39.6% 10.8% 43.7% 29.7% 42.4% 6.9% 0.2% 1.5M -119.6M -260.1K 1.48 55.71 N/A N/A 131,568 194,064 736,848 420,480 2015-02-24 $2.33 $1.71 39.9% 10.4% 43.7% 30.3% 39.0% 11.7% -0.5% 1.4M -121.4M -258.1K 1.55 63.26 N/A N/A 130,128 201,264 743,376 439,440 2015-02-25 $2.32 $1.73 38.4% 10.0% 30.0% 27.0% 42.0% 14.0% -1.5% 1.3M -118.7M -262.3K 1.40 65.71 N/A N/A 136,896 191,376 750,144 454,752 2015-02-26 $2.35 $1.73 36.2% 10.0% 28.6% 22.6% 34.7% 9.9% 0.9% 1.8M -128.1M -244.0K 1.18 65.57 N/A N/A 147,120 173,472 760,176 458,256 2015-02-27 $2.31 $1.73 36.7% 10.2% 29.8% 23.6% 38.4% 9.5% -1.6% 595.5K -122.2M -254.3K 1.18 78.84 N/A N/A 155,808 183,840 776,640 461,904
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