TQQQ Options History — May 2015

In May 2015, TQQQ traded between $2.19 and $2.46. ATM implied volatility averaged 39.9%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 4.5% (HV 20d: 44.3%). Max pain ranged from $1.87 to $2.29. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.26.

Notable Days

  • 2015-05-01: Highest Volume — 453,408 contracts
  • 2015-05-26: Largest IV spike — 15.7% change
  • 2015-05-06: Highest IV Rank — 46.4%
  • 2015-05-07: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.35$2.19$2.46$2.35$2.41
Max Pain$1.97$1.87$2.29$2.29$2.08
ATM IV39.9%35.3%47.7%39.9%39.2%
Expected Move11.6%9.9%14.2%11.1%11.2%
HV 20d44.3%40.4%49.1%41.5%41.4%
HV 60d40.7%39.5%42.1%39.8%42.0%
IV Rank30.2%20.7%46.4%30.2%28.9%
IV Percentile45.9%21.0%77.4%48.0%45.6%
Term Structure1.2%-0.5%3.0%2.2%0.2%
VWIV43.6%37.2%56.1%40.1%41.3%
Skew 25d12.0%8.8%15.1%13.9%12.0%
Skew 10d23.4%20.1%26.8%20.7%21.1%
Call IV 25d34.7%30.6%41.3%36.0%33.4%
Put IV 25d46.7%41.2%56.4%49.8%45.4%
Bid-Ask Spread %51.7542.6365.3861.3353.52
Gamma HHI0.080.040.270.070.06
Net GEX2.0M625.4K5.3M1.6M1.6M
Net DEX-64.8M-80.5M-36.8M-68.2M-64.0M
Net VEX-290.0K-303.2K-276.4K-292.9K-303.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.701.840.701.64
Total Volume317,138.453,760453,408453,408429,312
Total OI1,179,8041,023,5521,315,6321,192,1281,315,632

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$2.35$2.2939.9%11.1%41.5%30.2%40.1%13.9%2.2%1.6M-68.2M-292.9K0.7061.33N/AN/A266,304187,104703,968488,160
2015-05-04$2.36$1.8738.2%11.7%41.0%26.7%42.2%10.0%2.4%1.8M-71.4M-291.6K1.1461.56N/AN/A33,60038,160629,328444,960
2015-05-05$2.25$1.8744.1%12.7%44.8%39.0%49.3%14.3%1.1%1.3M-50.1M-290.1K0.8352.66N/AN/A194,208161,088654,864451,920
2015-05-06$2.19$1.8747.7%14.0%45.2%46.4%50.6%15.1%0.1%921.3K-36.8M-289.1K0.9448.26N/AN/A222,816209,136671,136466,944
2015-05-07$2.23$1.9045.6%14.2%45.4%42.1%56.1%13.2%1.1%933.2K-44.9M-298.4K0.9743.98N/AN/A221,664214,272697,152530,208
2015-05-08$2.32$1.9039.2%12.5%47.1%28.9%47.5%11.9%-0.1%2.6M-66.5M-297.4K0.8456.69N/AN/A49,72841,952706,416549,408
2015-05-11$2.29$1.9041.5%12.3%47.2%33.5%42.6%13.9%1.0%1.5M-56.1M-289.5K1.5965.38N/AN/A25,05639,936649,824510,768
2015-05-12$2.27$1.9043.5%12.3%47.1%37.8%50.1%12.1%-0.1%1.5M-51.5M-287.9K1.4559.67N/AN/A150,288218,112663,408507,072
2015-05-13$2.27$1.9042.7%12.3%46.5%36.1%53.1%15.0%1.3%1.3M-51.5M-288.8K1.2942.63N/AN/A150,720194,208675,888544,176
2015-05-14$2.37$1.9038.6%12.0%49.1%27.5%43.4%10.3%1.6%3.5M-77.7M-276.4K1.4342.76N/AN/A158,304226,080684,288560,112
2015-05-15$2.37$1.9237.1%11.1%45.4%24.4%41.5%12.0%2.3%5.3M-77.5M-277.2K1.3245.92N/AN/A178,800236,832692,160597,216
2015-05-18$2.40$1.9836.8%10.7%42.9%23.9%38.2%11.8%2.3%1.0M-67.0M-277.8K0.7847.20N/AN/A64,89650,880540,480483,072
2015-05-19$2.40$1.9837.8%10.9%42.8%25.8%37.8%10.4%-0.5%1.6M-69.3M-287.7K0.7250.14N/AN/A31,34422,416589,296523,440
2015-05-20$2.40$1.9838.3%11.0%42.6%26.8%39.6%10.7%1.4%1.9M-72.0M-295.2K1.5552.82N/AN/A138,912214,992607,680532,032
2015-05-21$2.44$1.9835.6%10.1%42.6%21.4%37.9%10.3%3.0%2.8M-79.7M-291.2K1.5244.01N/AN/A133,728203,760613,200550,800
2015-05-22$2.43$1.9835.3%9.9%40.4%20.7%39.6%10.8%1.5%3.5M-80.3M-289.0K1.5150.49N/AN/A156,960237,072615,888565,200
2015-05-26$2.34$2.0840.8%11.6%42.3%32.2%42.8%12.7%0.2%625.4K-52.3M-288.5K1.4449.49N/AN/A166,320239,232563,232534,096
2015-05-27$2.46$2.0837.6%10.4%45.8%25.6%37.2%8.8%0.8%1.8M-80.5M-287.0K1.6350.60N/AN/A157,968256,992610,560591,696
2015-05-28$2.44$2.0838.1%10.7%45.5%26.5%40.3%9.9%1.3%2.6M-78.8M-301.9K1.8455.85N/AN/A147,504272,112643,248637,152
2015-05-29$2.41$2.0839.2%11.2%41.4%28.9%41.3%12.0%0.2%1.6M-64.0M-303.2K1.6453.52N/AN/A162,480266,832652,896662,736