TQQQ Options History — December 2015 In December 2015, TQQQ traded between $2.28 and $2.60. ATM implied volatility averaged 51.3%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 1.8% (HV 20d: 53.2%). Max pain ranged from $1.87 to $2.31. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.98.
Notable Days 2015-12-18 : Highest Volume — 883,968 contracts2015-12-11 : Largest IV spike — 21.6% change2015-12-11 : Highest IV Rank — 40.8%2015-12-11 : Largest Expected Move — 18.8%Monthly Statistics Metric Avg Min Max Open Close Price $2.45 $2.28 $2.60 $2.60 $2.40 Max Pain $1.98 $1.87 $2.31 $2.31 $1.98 ATM IV 51.3% 43.3% 65.3% 43.7% 52.5% Expected Move 14.8% 12.6% 18.8% 13.0% 14.8% HV 20d 53.2% 40.5% 59.9% 40.7% 59.9% HV 60d 52.7% 48.4% 55.8% 53.0% 48.8% IV Rank 22.1% 11.2% 40.8% 11.8% 23.6% IV Percentile 68.3% 38.9% 90.9% 42.5% 74.6% Term Structure 0.5% -1.9% 2.9% 1.1% 0.3% VWIV 53.2% 46.8% 63.6% 47.1% 51.7% Skew 25d 15.7% 2.7% 20.4% 14.0% 19.6% Skew 10d 30.7% 17.1% 39.7% 25.2% 31.9% Call IV 25d 44.1% 37.0% 55.1% 37.0% 43.6% Put IV 25d 59.8% 48.8% 75.5% 51.0% 63.3% Bid-Ask Spread % 55.38 46.84 66.45 47.22 66.45 Gamma HHI 0.06 0.02 0.19 0.04 0.06 Net GEX 1.4M -1.1M 4.6M 1.1M 63.6K Net DEX -62.7M -111.3M -1.8M -101.2M -37.8M Net VEX -533.9K -566.1K -500.5K -500.5K -549.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.98 0.75 1.55 1.55 0.90 Total Volume 601,016.727 99,744 883,968 99,744 729,456 Total OI 2,124,499.636 1,867,296 2,574,528 1,893,552 2,171,280
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 2015-12-01 $2.60 $2.31 43.7% 13.0% 40.7% 11.8% 47.1% 14.0% 1.1% 1.1M -101.2M -500.5K 1.55 47.22 N/A N/A 39,120 60,624 890,640 1,002,912 2015-12-02 $2.55 $2.31 45.0% 13.7% 40.5% 13.5% 50.1% 17.8% 2.0% 1.0M -92.0M -507.6K 1.05 58.15 N/A N/A 256,368 269,616 914,064 1,021,152 2015-12-03 $2.42 $1.87 53.2% 15.3% 44.1% 24.6% 54.4% 2.7% -1.9% -1.1M -42.5M -504.0K 1.04 62.51 N/A N/A 307,344 318,576 941,040 1,045,968 2015-12-04 $2.59 $1.87 43.3% 13.6% 50.8% 11.2% 49.1% 10.9% 0.2% 3.2M -111.3M -502.6K 0.96 49.98 N/A N/A 365,376 349,440 994,464 1,129,872 2015-12-07 $2.56 $1.90 46.5% 13.8% 51.0% 15.6% 52.3% 14.7% 0.6% 1.4M -92.0M -520.4K 1.14 50.61 N/A N/A 67,248 76,560 940,800 1,009,920 2015-12-08 $2.57 $1.87 48.9% 14.1% 49.6% 18.7% 53.3% 15.4% 0.4% 1.3M -96.0M -532.2K 1.02 52.03 N/A N/A 259,104 265,056 988,656 1,069,104 2015-12-09 $2.43 $1.87 53.5% 15.4% 53.3% 24.9% 58.0% 18.1% 0.2% -372.6K -49.5M -541.8K 0.89 49.80 N/A N/A 304,800 271,008 1,014,624 1,110,192 2015-12-10 $2.46 $1.87 53.8% 15.3% 53.4% 25.3% 58.1% 18.6% -0.7% -295.7K -62.6M -553.4K 0.89 46.84 N/A N/A 283,152 251,760 1,039,488 1,154,640 2015-12-11 $2.30 $1.96 65.3% 18.8% 56.9% 40.8% 63.6% 20.4% 1.0% 226.9K -1.8M -539.5K 0.97 50.22 N/A N/A 353,280 344,352 1,063,872 1,176,672 2015-12-14 $2.35 $1.98 63.3% 18.2% 53.4% 38.2% 63.2% 17.5% -0.8% -66.9K -24.8M -538.3K 1.15 47.36 N/A N/A 299,184 342,816 1,034,256 1,140,960 2015-12-15 $2.40 $1.98 57.9% 16.6% 52.3% 30.8% 60.8% 17.3% -0.2% 414.6K -48.9M -566.1K 0.97 49.49 N/A N/A 354,576 343,488 1,067,424 1,228,752 2015-12-16 $2.50 $1.98 50.7% 14.5% 54.3% 21.3% 52.8% 18.4% -0.9% 2.0M -85.2M -540.1K 1.05 62.78 N/A N/A 321,024 335,664 1,148,592 1,241,712 2015-12-17 $2.41 $2.00 52.1% 14.9% 52.3% 23.0% 54.1% 12.5% 0.5% 1.1M -56.7M -540.9K 0.75 60.25 N/A N/A 447,600 335,904 1,185,840 1,252,704 2015-12-18 $2.28 $1.98 56.1% 16.0% 55.4% 28.5% 55.2% 19.0% -0.8% -174.4K -3.3M -521.7K 0.86 58.33 N/A N/A 474,480 409,488 1,304,448 1,270,080 2015-12-21 $2.33 $1.98 55.4% 16.0% 55.7% 27.4% 53.9% 16.0% 0.9% 549.2K -28.1M -521.9K 0.98 49.83 N/A N/A 331,056 323,808 940,992 926,304 2015-12-22 $2.37 $1.98 50.0% 14.2% 56.3% 20.3% 52.3% 15.0% 2.0% 1.6M -45.1M -538.8K 0.81 61.61 N/A N/A 369,744 301,056 1,053,264 981,312 2015-12-23 $2.43 $1.98 46.5% 13.3% 57.2% 15.6% 46.8% 15.5% 2.9% 3.8M -72.5M -553.6K 0.98 55.30 N/A N/A 298,176 291,600 1,110,432 993,744 2015-12-24 $2.43 $1.98 46.4% 13.5% 57.2% 15.5% 47.2% 13.9% 2.7% 4.6M -75.7M -552.0K 1.03 57.75 N/A N/A 295,008 304,992 1,133,520 1,012,080 2015-12-28 $2.42 $1.98 49.8% 14.5% 57.1% 20.0% 50.8% 15.1% 0.8% 1.8M -57.2M -526.1K 0.90 58.87 N/A N/A 308,256 278,496 959,664 940,848 2015-12-29 $2.54 $1.98 46.7% 12.6% 59.7% 15.9% 47.5% 14.8% 0.5% 4.4M -108.2M -536.5K 0.79 59.63 N/A N/A 381,360 302,352 1,028,640 978,432 2015-12-30 $2.48 $1.98 49.1% 13.4% 59.2% 19.0% 48.3% 18.3% 1.1% 4.4M -87.4M -558.4K 0.98 63.32 N/A N/A 303,168 296,832 1,111,824 1,013,808 2015-12-31 $2.40 $1.98 52.5% 14.8% 59.9% 23.6% 51.7% 19.6% 0.3% 63.6K -37.8M -549.6K 0.90 66.45 N/A N/A 384,864 344,592 1,113,984 1,057,296
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