TQQQ Options History — November 2015

In November 2015, TQQQ traded between $2.27 and $2.63. ATM implied volatility averaged 46.5%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 2.0% (HV 20d: 44.5%). Max pain ranged from $2.19 to $2.29. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.20.

Notable Days

  • 2015-11-13: Highest Volume — 732,720 contracts
  • 2015-11-13: Largest IV spike — 10.7% change
  • 2015-11-13: Highest IV Rank — 29.5%
  • 2015-11-13: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.50$2.27$2.63$2.57$2.53
Max Pain$2.26$2.19$2.29$2.21$2.29
ATM IV46.5%41.4%55.3%43.1%46.6%
Expected Move13.5%12.3%16.2%13.0%13.6%
HV 20d44.5%40.3%53.5%42.3%40.3%
HV 60d65.7%53.3%72.6%72.6%53.3%
IV Rank18.0%11.5%29.5%13.6%16.9%
IV Percentile57.1%36.9%79.4%44.4%58.7%
Term Structure0.5%-1.4%2.6%0.2%1.7%
VWIV48.9%45.5%54.7%46.9%49.6%
Skew 25d14.3%9.4%22.5%14.3%15.7%
Skew 10d26.5%20.7%33.4%26.0%28.3%
Call IV 25d40.1%35.6%49.1%37.2%38.8%
Put IV 25d54.3%48.2%67.5%51.4%54.5%
Bid-Ask Spread %43.1433.2869.0164.3248.75
Gamma HHI0.050.030.100.050.04
Net GEX1.1M-306.9K3.2M1.1M872.0K
Net DEX-90.7M-135.8M-2.4M-114.8M-81.0M
Net VEX-523.3K-536.5K-500.9K-515.0K-514.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.891.491.031.49
Total Volume463,312.8134,880732,720504,528148,656
Total OI1,953,585.61,762,3202,256,6241,776,4321,794,912

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$2.57$2.2143.1%13.0%42.3%13.6%46.9%14.3%0.2%1.1M-114.8M-515.0K1.0364.32N/AN/A248,976255,552881,952894,480
2015-11-03$2.63$2.2241.4%12.8%41.1%11.5%45.5%10.9%1.9%1.8M-135.8M-509.1K1.0756.92N/AN/A266,928284,976915,216913,488
2015-11-04$2.59$2.1943.2%12.3%42.2%13.8%46.4%12.8%-0.1%1.6M-129.6M-535.0K1.2369.01N/AN/A247,920305,952947,760942,624
2015-11-05$2.59$2.1945.1%13.2%42.5%16.3%49.4%11.2%-1.4%1.3M-124.1M-535.3K1.2343.11N/AN/A237,744291,360963,744979,680
2015-11-06$2.59$2.1942.4%13.3%42.7%12.7%46.4%9.4%1.2%1.1M-124.7M-520.2K1.0942.14N/AN/A64,51270,368977,0881,006,752
2015-11-09$2.51$2.1946.0%13.7%45.4%17.5%49.9%11.2%2.6%872.1K-88.2M-532.0K0.8935.53N/AN/A94,65684,432895,344930,336
2015-11-10$2.48$2.2146.5%13.4%45.0%18.1%49.0%14.9%-0.6%447.4K-77.5M-527.7K1.1836.67N/AN/A256,512303,168931,008984,912
2015-11-11$2.50$2.2547.0%13.3%44.5%18.8%49.2%13.9%-1.1%521.5K-87.0M-532.0K1.1444.11N/AN/A265,056303,408934,3681,035,264
2015-11-12$2.40$2.2749.9%14.5%44.9%22.5%50.5%17.3%1.3%-306.9K-54.0M-524.3K1.2035.33N/AN/A258,096310,752950,1601,056,720
2015-11-13$2.27$2.2955.3%16.2%50.0%29.5%53.1%15.7%0.0%-172.1K-2.4M-507.4K1.2638.34N/AN/A323,520409,200970,2721,091,088
2015-11-16$2.36$2.2951.8%14.7%51.5%25.0%54.7%22.5%0.5%112.5K-41.8M-513.3K1.3833.28N/AN/A90,192124,464908,2081,030,944
2015-11-17$2.37$2.2951.6%14.8%50.7%24.7%53.7%14.7%1.2%446.6K-48.5M-524.7K1.4436.70N/AN/A234,672336,864956,2081,092,048
2015-11-18$2.51$2.2948.5%13.9%53.5%20.7%50.1%11.8%-0.1%1.9M-105.2M-500.9K1.2136.53N/AN/A296,112358,752987,8881,115,136
2015-11-19$2.51$2.2947.3%13.6%50.3%19.2%48.3%15.2%0.7%3.2M-115.9M-533.1K1.3640.86N/AN/A283,152386,0161,061,7601,136,640
2015-11-20$2.55$2.2945.4%13.0%41.0%16.7%47.4%14.0%-0.1%2.3M-134.4M-529.4K1.0440.76N/AN/A335,760347,8561,084,0801,172,544
2015-11-23$2.53$2.2945.1%12.9%41.1%16.3%47.6%15.8%0.3%1.7M-86.5M-523.4K1.0538.23N/AN/A66,48069,696859,680902,640
2015-11-24$2.53$2.2944.6%13.3%41.1%15.6%48.5%13.5%1.0%1.3M-82.0M-526.8K1.2536.86N/AN/A69,64886,880890,496950,544
2015-11-25$2.53$2.2944.5%12.5%40.3%15.4%46.3%14.3%1.3%1.2M-87.8M-536.5K1.3437.99N/AN/A253,296338,448930,9601,002,240
2015-11-27$2.54$2.2944.6%12.8%40.3%15.6%46.1%16.6%0.3%1.2M-93.4M-525.0K1.0547.35N/AN/A271,728284,496945,1201,047,408
2015-11-30$2.53$2.2946.6%13.6%40.3%16.9%49.6%15.7%1.7%872.0K-81.0M-514.7K1.4948.75N/AN/A59,80888,848864,576930,336