TQQQ Options History — October 2015 In October 2015, TQQQ traded between $1.79 and $2.53. ATM implied volatility averaged 52.5%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 8.8% (HV 20d: 61.2%). Max pain ranged from $1.75 to $2.19. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.02.
Notable Days 2015-10-23 : Highest Volume — 887,136 contracts2015-10-02 : Largest IV drop — 14.2% change2015-10-01 : Highest IV Rank — 54.2%2015-10-01 : Largest Expected Move — 21.6%Monthly Statistics Metric Avg Min Max Open Close Price $2.19 $1.79 $2.53 $1.79 $2.51 Max Pain $2.02 $1.75 $2.19 $1.75 $2.19 ATM IV 52.5% 43.0% 74.3% 74.3% 43.6% Expected Move 15.1% 12.5% 21.6% 21.6% 12.6% HV 20d 61.2% 44.2% 71.4% 64.3% 44.2% HV 60d 71.2% 69.6% 73.2% 69.6% 72.5% IV Rank 25.8% 13.5% 54.2% 54.2% 14.4% IV Percentile 69.3% 43.7% 94.4% 94.4% 48.4% Term Structure -0.1% -3.2% 4.4% -0.6% 1.8% VWIV 53.7% 45.0% 76.5% 76.5% 46.0% Skew 25d 15.3% 10.6% 18.3% 15.6% 12.3% Skew 10d 30.7% 20.8% 40.7% 33.3% 20.8% Call IV 25d 45.1% 36.8% 67.5% 67.5% 36.9% Put IV 25d 60.4% 49.2% 83.1% 83.1% 49.2% Bid-Ask Spread % 43.78 21.27 76.40 73.86 58.28 Gamma HHI 0.07 0.03 0.23 0.04 0.04 Net GEX 1.2M -197.8K 3.2M 460.6K 1.3M Net DEX -65.8M -131.4M 8.2M 8.2M -128.8M Net VEX -502.7K -550.8K -445.0K -445.0K -534.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.02 0.62 1.33 0.77 1.27 Total Volume 622,948.364 199,344 887,136 651,264 642,768 Total OI 1,853,949.818 1,590,288 2,062,848 1,815,552 2,062,848
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 2015-10-01 $1.79 $1.75 74.3% 21.6% 64.3% 54.2% 76.5% 15.6% -0.6% 460.6K 8.2M -445.0K 0.77 73.86 N/A N/A 367,296 283,968 958,848 856,704 2015-10-02 $1.93 $1.77 63.7% 18.3% 70.4% 40.5% 57.5% 13.5% 2.1% -197.8K -26.6M -467.7K 0.72 76.40 N/A N/A 457,920 330,576 1,002,144 897,264 2015-10-05 $2.03 $1.77 59.9% 17.4% 71.4% 35.5% 60.3% 17.5% 1.5% 1.0M -38.2M -483.3K 0.62 27.34 N/A N/A 123,360 75,984 875,328 777,552 2015-10-06 $1.99 $1.83 62.5% 17.4% 66.7% 38.9% 60.0% 18.3% -1.5% 1.0M -32.8M -487.2K 0.80 26.19 N/A N/A 341,376 272,688 934,992 825,504 2015-10-07 $2.02 $1.85 58.6% 17.0% 65.2% 33.8% 58.5% 16.7% -1.2% 1.5M -42.9M -488.2K 0.93 21.27 N/A N/A 319,680 297,936 962,448 836,688 2015-10-08 $2.05 $1.87 57.0% 16.6% 64.4% 31.8% 58.9% 16.5% 0.1% 1.9M -49.1M -493.8K 1.06 24.83 N/A N/A 344,016 364,848 982,704 868,416 2015-10-09 $2.08 $1.96 55.4% 16.0% 64.3% 29.6% 57.2% 16.4% -0.8% 391.3K -58.4M -490.9K 0.99 26.62 N/A N/A 350,208 346,320 992,160 917,856 2015-10-12 $2.09 $2.08 54.5% 15.4% 64.3% 28.5% 56.8% 17.5% -0.0% 996.8K -49.1M -499.5K 1.08 25.88 N/A N/A 269,184 290,832 903,360 847,056 2015-10-13 $2.05 $2.08 55.9% 16.0% 63.3% 30.3% 58.3% 17.5% 0.9% 484.4K -34.6M -494.8K 1.10 29.50 N/A N/A 282,432 310,944 900,624 899,424 2015-10-14 $2.04 $2.08 57.8% 15.9% 63.0% 32.8% 57.7% 18.0% -3.2% 139.5K -29.0M -496.4K 0.97 32.39 N/A N/A 323,952 314,352 943,776 954,720 2015-10-15 $2.15 $2.08 51.4% 14.2% 65.8% 24.4% 52.3% 11.8% 0.5% 3.2M -61.9M -501.6K 1.09 30.13 N/A N/A 305,856 334,656 979,872 999,312 2015-10-16 $2.17 $2.08 47.7% 13.8% 64.0% 19.7% 50.3% 14.5% 1.2% 972.5K -75.7M -505.2K 1.23 33.19 N/A N/A 338,736 416,880 998,256 1,049,952 2015-10-19 $2.21 $2.08 45.1% 13.0% 64.1% 16.3% 46.7% 14.0% -0.1% 1.4M -54.8M -496.9K 1.33 53.55 N/A N/A 263,952 350,064 822,864 767,424 2015-10-20 $2.16 $2.08 48.8% 14.0% 59.0% 21.1% 50.5% 17.4% -2.1% 678.5K -45.5M -510.9K 0.96 50.94 N/A N/A 291,024 280,128 875,232 876,816 2015-10-21 $2.14 $2.08 49.0% 14.0% 58.7% 21.3% 51.3% 18.1% -2.2% 536.9K -40.1M -502.5K 1.10 54.05 N/A N/A 250,560 276,720 893,424 890,304 2015-10-22 $2.26 $2.08 46.1% 13.3% 61.3% 17.5% 47.3% 13.0% -2.1% 1.8M -75.8M -506.5K 1.25 54.65 N/A N/A 284,544 355,344 911,232 915,792 2015-10-23 $2.46 $2.08 43.7% 12.6% 65.6% 14.5% 45.0% 12.3% -1.9% 976.4K -131.4M -502.0K 0.90 48.79 N/A N/A 466,416 420,720 932,208 964,992 2015-10-26 $2.46 $2.10 45.2% 13.3% 54.7% 16.4% 47.5% 13.6% -0.1% 1.7M -109.9M -530.3K 0.97 57.20 N/A N/A 342,000 330,096 950,496 842,640 2015-10-27 $2.47 $2.13 46.1% 13.9% 53.2% 17.6% 49.5% 15.6% -0.7% 1.8M -111.0M -550.8K 0.96 46.07 N/A N/A 280,464 269,616 1,004,208 925,632 2015-10-28 $2.53 $2.14 44.6% 13.2% 50.2% 15.6% 45.6% 10.6% 4.4% 2.2M -129.4M -525.0K 1.24 56.48 N/A N/A 260,208 321,408 1,011,744 942,048 2015-10-29 $2.53 $2.19 43.0% 12.5% 48.9% 13.5% 47.2% 15.9% 2.1% 2.5M -130.6M -546.2K 1.20 55.64 N/A N/A 252,048 302,784 1,032,432 999,600 2015-10-30 $2.51 $2.19 43.6% 12.6% 44.2% 14.4% 46.0% 12.3% 1.8% 1.3M -128.8M -534.5K 1.27 58.28 N/A N/A 283,728 359,040 1,046,784 1,016,064
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