TQQQ Options History — April 2015 In April 2015, TQQQ traded between $2.10 and $2.45. ATM implied volatility averaged 41.9%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 1.3% (HV 20d: 40.6%). Max pain ranged from $2.08 to $2.29. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.92.
Notable Days 2015-04-24 : Highest Volume — 407,472 contracts2015-04-30 : Largest IV spike — 10.0% change2015-04-01 : Highest IV Rank — 47.6%2015-04-01 : Largest Expected Move — 13.5%Monthly Statistics Metric Avg Min Max Open Close Price $2.27 $2.10 $2.45 $2.10 $2.25 Max Pain $2.13 $2.08 $2.29 $2.15 $2.29 ATM IV 41.9% 37.0% 48.3% 48.3% 44.9% Expected Move 11.9% 10.4% 13.5% 13.5% 13.4% HV 20d 40.6% 34.3% 46.3% 46.2% 38.9% HV 60d 40.8% 37.6% 44.8% 44.8% 39.0% IV Rank 34.4% 24.3% 47.6% 47.6% 40.6% IV Percentile 52.6% 32.9% 74.6% 74.6% 69.0% Term Structure 0.1% -2.7% 2.6% 1.0% -0.5% VWIV 41.9% 37.5% 47.6% 47.6% 41.6% Skew 25d 11.2% 2.7% 17.3% 12.7% 12.6% Skew 10d 21.8% 1.1% 35.5% 24.9% 29.2% Call IV 25d 37.3% 32.5% 45.1% 43.9% 37.1% Put IV 25d 48.5% 43.1% 56.6% 56.6% 49.7% Bid-Ask Spread % 55.82 33.02 69.99 66.23 54.39 Gamma HHI 0.09 0.03 0.53 0.05 0.06 Net GEX 1.9M -205.7K 7.1M -205.7K 1.3M Net DEX -61.6M -111.4M -30.4M -30.4M -45.5M Net VEX -277.2K -299.8K -259.7K -267.9K -296.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.54 1.28 1.01 0.85 Total Volume 328,297.143 66,624 407,472 329,712 402,432 Total OI 1,014,818.286 871,440 1,160,640 941,280 1,160,640
Daily Data (21 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 2015-04-01 $2.10 $2.15 48.3% 13.5% 46.2% 47.6% 47.6% 12.7% 1.0% -205.7K -30.4M -267.9K 1.01 66.23 N/A N/A 164,160 165,552 544,704 396,576 2015-04-02 $2.12 $2.10 46.2% 13.2% 46.3% 43.4% 43.8% 12.0% -0.1% 511.2K -34.7M -273.1K 1.07 33.02 N/A N/A 150,768 161,472 559,008 419,616 2015-04-06 $2.17 $2.08 46.7% 13.4% 45.4% 44.4% 47.5% 11.2% -0.9% 849.3K -42.7M -264.4K 0.90 36.57 N/A N/A 163,680 147,936 517,008 362,688 2015-04-07 $2.16 $2.08 44.8% 13.2% 45.1% 40.5% 45.5% 15.5% -0.9% 1.1M -46.2M -278.9K 1.03 52.98 N/A N/A 164,736 168,960 558,480 393,792 2015-04-08 $2.20 $2.08 43.9% 12.2% 41.0% 38.5% 42.1% 17.3% -2.7% 1.7M -51.5M -278.3K 0.54 61.57 N/A N/A 43,344 23,280 586,224 410,976 2015-04-09 $2.24 $2.08 42.4% 11.8% 40.8% 35.5% 42.3% 2.7% -0.7% 2.7M -63.2M -280.4K 1.28 49.13 N/A N/A 139,200 177,648 616,704 428,256 2015-04-10 $2.27 $2.08 39.7% 11.7% 40.5% 29.9% 40.1% 4.0% 2.5% 7.1M -69.2M -275.8K 1.24 59.25 N/A N/A 147,312 181,968 618,960 435,024 2015-04-13 $2.25 $2.08 43.0% 12.3% 40.2% 36.8% 45.9% 14.7% 0.1% 1.7M -61.1M -274.3K 1.04 55.95 N/A N/A 148,080 153,936 568,608 392,448 2015-04-14 $2.23 $2.08 43.1% 12.4% 38.3% 36.9% 44.4% 13.2% -0.5% 1.5M -54.4M -276.4K 1.00 51.64 N/A N/A 152,016 151,488 597,168 408,672 2015-04-15 $2.28 $2.08 40.0% 11.5% 39.0% 30.5% 41.3% 12.4% -0.1% 2.3M -63.8M -269.6K 1.00 59.27 N/A N/A 158,832 158,928 606,960 422,736 2015-04-16 $2.27 $2.15 39.6% 11.2% 37.7% 29.7% 40.8% 11.2% 2.5% 2.3M -63.3M -272.2K 0.94 62.64 N/A N/A 158,928 148,944 615,360 435,120 2015-04-17 $2.16 $2.15 43.2% 12.4% 41.3% 37.2% 42.0% 11.9% -1.4% 695.1K -37.6M -267.9K 0.93 60.14 N/A N/A 189,648 175,728 617,040 437,136 2015-04-20 $2.26 $2.15 39.3% 11.2% 43.9% 29.0% 38.7% 11.2% -0.1% 838.7K -53.2M -259.7K 0.90 51.84 N/A N/A 167,040 150,912 499,152 372,288 2015-04-21 $2.29 $2.15 40.0% 11.3% 44.2% 30.4% 39.0% 11.8% -0.5% 1.6M -63.2M -268.6K 1.00 49.70 N/A N/A 157,488 158,208 549,264 394,032 2015-04-22 $2.32 $2.13 40.2% 11.0% 44.3% 31.0% 37.5% 11.5% -0.8% 2.0M -71.9M -267.8K 0.70 55.47 N/A N/A 211,584 149,136 578,688 395,472 2015-04-23 $2.35 $2.13 37.9% 10.4% 35.0% 26.0% 38.8% 10.3% -0.3% 3.0M -87.9M -291.0K 0.69 51.90 N/A N/A 223,776 154,032 665,568 415,104 2015-04-24 $2.45 $2.13 37.0% 10.6% 36.6% 24.3% 38.0% 9.9% -0.1% 2.2M -111.4M -281.6K 0.77 59.84 N/A N/A 230,208 177,264 691,968 428,976 2015-04-27 $2.42 $2.13 39.8% 11.2% 37.2% 30.0% 41.7% 7.8% 1.2% 1.9M -86.1M -284.4K 0.76 62.25 N/A N/A 203,280 155,328 614,496 403,584 2015-04-28 $2.40 $2.15 38.4% 11.5% 35.8% 27.2% 41.5% 10.7% 2.6% 1.9M -82.3M -293.4K 0.79 68.43 N/A N/A 204,240 160,416 645,264 430,512 2015-04-29 $2.37 $2.25 40.8% 11.2% 34.3% 32.2% 39.7% 10.9% 2.2% 1.7M -73.2M -299.8K 0.81 69.99 N/A N/A 216,480 175,872 663,744 453,168 2015-04-30 $2.25 $2.29 44.9% 13.4% 38.9% 40.6% 41.6% 12.6% -0.5% 1.3M -45.5M -296.4K 0.85 54.39 N/A N/A 217,056 185,376 687,936 472,704
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