TQQQ Options History — March 2015 In March 2015, TQQQ traded between $2.11 and $2.38. ATM implied volatility averaged 43.6%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 7.1% (HV 20d: 36.5%). Max pain ranged from $1.73 to $2.19. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.77.
Notable Days 2015-03-26 : Highest Volume — 327,984 contracts2015-03-25 : Largest IV spike — 20.8% change2015-03-26 : Highest IV Rank — 53.7%2015-03-11 : Largest Expected Move — 14.3%Monthly Statistics Metric Avg Min Max Open Close Price $2.23 $2.11 $2.38 $2.38 $2.15 Max Pain $2.08 $1.73 $2.19 $1.73 $2.15 ATM IV 43.6% 35.7% 51.2% 35.7% 47.7% Expected Move 12.4% 9.8% 14.3% 9.8% 13.2% HV 20d 36.5% 28.2% 45.8% 28.2% 45.8% HV 60d 45.4% 42.9% 47.0% 46.1% 45.8% IV Rank 37.9% 21.5% 53.7% 21.5% 46.6% IV Percentile 57.5% 22.2% 84.9% 22.2% 72.6% Term Structure 0.7% -3.3% 3.4% 2.6% 0.8% VWIV 42.9% 33.3% 48.2% 33.3% 43.6% Skew 25d 12.8% 6.9% 24.4% 11.8% 13.0% Skew 10d 25.2% 17.5% 36.5% 29.8% 23.3% Call IV 25d 37.8% 31.0% 44.0% 33.3% 40.6% Put IV 25d 50.6% 42.8% 58.4% 45.2% 53.6% Bid-Ask Spread % 53.39 25.50 76.17 76.17 66.58 Gamma HHI 0.05 0.02 0.28 0.05 0.04 Net GEX 1.0M 169.2K 1.8M 1.4M 338.7K Net DEX -81.5M -128.4M -26.9M -120.8M -40.0M Net VEX -259.1K -275.3K -237.2K -237.2K -275.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.23 1.41 1.07 0.91 Total Volume 154,994.182 35,808 327,984 282,960 298,320 Total OI 1,101,453.818 736,032 1,327,872 1,118,256 914,112
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 2015-03-02 $2.38 $1.73 35.7% 9.8% 28.2% 21.5% 33.3% 11.8% 2.6% 1.4M -120.8M -237.2K 1.07 76.17 N/A N/A 136,368 146,592 710,256 408,000 2015-03-03 $2.35 $1.75 36.5% 10.5% 29.1% 23.2% 36.1% 10.3% -0.0% 1.3M -114.2M -246.8K 1.09 74.75 N/A N/A 136,416 149,136 720,960 422,208 2015-03-04 $2.32 $1.73 39.3% 11.5% 29.1% 29.0% 40.1% 6.9% 3.4% 1.1M -110.1M -247.9K 1.13 73.59 N/A N/A 137,712 155,088 731,184 432,528 2015-03-05 $2.34 $2.08 39.5% 11.6% 28.6% 29.5% 44.1% 11.8% 2.7% 1.2M -114.4M -247.0K 1.00 30.17 N/A N/A 155,328 155,568 739,104 443,568 2015-03-06 $2.25 $2.10 43.4% 12.9% 32.1% 37.6% 45.9% 15.7% 2.5% 1.2M -98.6M -264.2K 0.97 33.70 N/A N/A 158,592 153,264 760,752 448,800 2015-03-09 $2.27 $2.19 42.7% 12.5% 30.6% 36.2% 46.7% 14.5% 0.6% 1.3M -103.2M -255.5K 0.60 25.50 N/A N/A 46,272 27,648 744,960 418,272 2015-03-10 $2.15 $2.19 48.5% 13.6% 37.9% 48.2% 48.2% 12.6% 1.1% 1.2M -80.2M -263.9K 0.94 35.73 N/A N/A 50,784 47,712 779,664 438,912 2015-03-11 $2.11 $2.15 49.6% 14.3% 35.6% 50.5% 45.4% 15.4% 0.3% 851.3K -69.9M -265.3K 0.39 36.68 N/A N/A 69,168 27,120 786,192 468,096 2015-03-12 $2.15 $2.13 48.1% 13.5% 36.1% 47.3% 45.5% 14.1% -3.3% 951.7K -79.6M -271.3K 0.23 43.42 N/A N/A 53,568 12,096 825,168 490,416 2015-03-13 $2.12 $2.13 48.1% 13.9% 34.1% 47.4% 46.9% 10.8% 1.2% 1.4M -75.5M -272.3K 0.37 48.46 N/A N/A 36,192 13,440 835,824 492,048 2015-03-16 $2.20 $2.13 45.6% 13.2% 35.7% 42.2% 46.9% 10.3% 0.9% 1.2M -94.6M -261.3K 0.32 49.60 N/A N/A 56,064 18,000 777,984 440,016 2015-03-17 $2.22 $2.13 47.9% 13.8% 35.8% 46.9% 46.8% 14.8% -1.9% 1.5M -97.6M -261.3K 0.66 49.67 N/A N/A 25,728 16,992 789,936 451,200 2015-03-18 $2.28 $2.13 41.6% 11.9% 37.2% 33.7% 43.8% 24.4% -2.9% 1.6M -106.6M -261.7K 0.85 68.44 N/A N/A 37,296 31,680 780,576 464,544 2015-03-19 $2.29 $2.15 40.6% 11.5% 36.7% 31.6% 41.9% 10.7% 1.6% 1.8M -113.4M -259.6K 0.47 55.89 N/A N/A 30,192 14,256 797,280 483,600 2015-03-20 $2.34 $2.15 37.8% 10.7% 36.8% 25.9% 38.0% 11.8% 0.8% 1.7M -128.4M -248.2K 0.37 65.16 N/A N/A 62,304 23,040 800,640 489,792 2015-03-23 $2.32 $2.15 38.5% 10.6% 36.9% 27.3% 37.9% 13.7% 2.4% 639.5K -56.1M -246.6K 1.41 54.61 N/A N/A 14,880 20,928 426,960 309,072 2015-03-24 $2.29 $2.15 38.3% 10.9% 37.1% 27.0% 39.6% 13.5% 1.7% 598.6K -53.1M -253.9K 0.87 55.91 N/A N/A 34,944 30,288 437,856 322,560 2015-03-25 $2.13 $2.15 46.3% 12.3% 45.0% 43.6% 42.9% 8.2% 0.2% 241.7K -32.3M -252.9K 0.85 61.51 N/A N/A 56,304 48,096 466,704 347,280 2015-03-26 $2.12 $2.15 51.2% 14.3% 44.3% 53.7% 46.9% 13.7% -0.2% 169.2K -26.9M -265.0K 0.98 49.53 N/A N/A 165,552 162,432 492,768 375,936 2015-03-27 $2.14 $2.15 47.2% 13.6% 44.4% 45.5% 42.5% 11.5% -0.3% 316.8K -32.1M -272.5K 0.29 61.33 N/A N/A 56,160 16,032 527,280 395,232 2015-03-30 $2.21 $2.15 44.6% 11.8% 45.1% 40.1% 41.7% 12.4% 1.4% 651.9K -46.2M -271.1K 1.08 58.07 N/A N/A 154,944 167,376 488,736 355,008 2015-03-31 $2.15 $2.15 47.7% 13.2% 45.8% 46.6% 43.6% 13.0% 0.8% 338.7K -40.0M -275.3K 0.91 66.58 N/A N/A 156,240 142,080 522,816 391,296
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