TQQQ Options History — January 2016

In January 2016, TQQQ traded between $1.69 and $2.22. ATM implied volatility averaged 72.7%, placing in the 50.7% IV rank vs the trailing year. The 30-day expected move averaged 20.7%. IV traded above realized volatility by 1.1% (HV 20d: 71.6%). Max pain ranged from $1.74 to $2.29. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.97.

Notable Days

  • 2016-01-20: Highest Volume — 1,140,096 contracts
  • 2016-01-07: Largest IV spike — 18.8% change
  • 2016-01-15: Highest IV Rank — 60.9%
  • 2016-01-20: Largest Expected Move — 23.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.88$1.69$2.22$2.22$1.88
Max Pain$2.02$1.74$2.29$2.29$1.77
ATM IV72.7%59.8%80.3%65.1%65.2%
Expected Move20.7%16.8%23.0%17.9%18.8%
HV 20d71.6%57.4%86.8%63.3%86.8%
HV 60d58.4%51.3%64.7%51.4%64.7%
IV Rank50.7%33.4%60.9%40.4%40.6%
IV Percentile91.9%84.5%97.2%90.5%84.5%
Term Structure-0.9%-3.8%2.7%0.1%-0.6%
VWIV69.1%55.9%80.9%59.6%64.0%
Skew 25d19.5%12.4%25.9%20.5%12.4%
Skew 10d37.7%26.6%48.0%35.8%26.6%
Call IV 25d62.4%51.3%70.7%52.6%57.9%
Put IV 25d81.8%68.5%92.1%73.1%70.3%
Bid-Ask Spread %42.2520.7156.1320.7156.13
Gamma HHI0.060.030.140.030.14
Net GEX40.8K-1.3M2.9M-187.8K2.9M
Net DEX28.6M-21.8M72.0M2.8M-21.8M
Net VEX-512.9K-612.1K-447.1K-492.3K-612.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.461.311.300.46
Total Volume854,950.737309,8401,140,096732,768309,840
Total OI2,303,626.1051,855,1042,751,6481,855,1042,751,648

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$2.22$2.2965.1%17.9%63.3%40.4%59.6%20.5%0.1%-187.8K2.8M-492.3K1.3020.71N/AN/A318,288414,480864,864990,240
2016-01-05$2.22$2.2559.8%16.8%57.4%33.4%55.9%17.2%-0.5%-766.8K2.7M-513.2K1.0922.03N/AN/A328,704359,232917,3281,128,336
2016-01-06$2.14$2.2962.9%17.6%58.3%37.5%61.3%17.4%-1.5%-1.2M22.4M-522.8K1.0426.27N/AN/A370,224384,480989,3761,182,336
2016-01-07$1.98$2.2374.7%20.3%62.9%53.4%67.3%21.3%-2.1%-1.3M56.1M-501.3K0.9934.78N/AN/A411,888407,9041,068,0001,228,704
2016-01-08$1.90$2.1979.5%22.6%61.9%59.8%64.1%25.9%-3.4%-420.2K72.0M-472.5K0.9635.61N/AN/A412,320395,8081,155,0721,264,800
2016-01-11$1.93$2.1974.3%20.6%61.9%52.8%61.9%15.7%1.1%-505.6K38.2M-464.1K1.0942.31N/AN/A351,984384,3841,027,5361,081,728
2016-01-12$2.00$2.1569.7%19.2%60.7%46.7%61.6%13.9%-0.5%-268.7K23.9M-503.0K0.9840.87N/AN/A351,264344,0641,082,2081,147,296
2016-01-13$1.79$2.1075.0%21.3%70.1%53.7%69.6%19.8%0.7%-738.8K58.7M-447.1K1.0152.28N/AN/A370,368372,8641,141,3441,168,608
2016-01-14$1.89$2.0872.1%20.1%73.4%49.9%69.4%22.1%-3.4%-561.0K39.9M-481.9K0.6548.65N/AN/A590,112382,2241,196,9761,207,776
2016-01-15$1.72$2.0880.3%22.1%76.0%60.9%73.4%20.9%-3.8%-40.0K68.6M-450.4K0.7052.70N/AN/A640,224451,3441,417,2961,232,736
2016-01-19$1.74$1.9879.8%22.7%76.3%60.2%72.0%19.8%-3.2%30.6K42.5M-467.3K0.7741.50N/AN/A455,760349,5841,079,424905,232
2016-01-20$1.72$1.9880.2%23.0%74.9%60.8%80.9%22.9%2.7%251.1K37.7M-473.5K1.1741.14N/AN/A524,304615,7921,144,848912,720
2016-01-21$1.74$1.8178.2%22.6%74.4%58.1%80.5%22.6%-3.2%226.4K31.6M-518.8K0.7042.25N/AN/A613,536432,1921,250,6401,042,128
2016-01-22$1.86$1.8069.5%20.1%79.5%46.4%71.6%18.6%-1.7%1.3M-5.4M-579.7K0.8841.96N/AN/A502,224442,5121,436,2081,093,344
2016-01-25$1.78$1.8573.4%21.7%78.9%51.6%75.7%23.2%1.9%1.1M6.8M-552.7K0.9346.32N/AN/A536,304496,9441,316,880941,856
2016-01-26$1.82$1.7772.3%21.2%79.9%50.1%74.7%19.3%-0.3%755.5K8.3M-584.7K1.2848.78N/AN/A418,560537,3121,309,0561,041,888
2016-01-27$1.69$1.7776.1%22.1%82.5%55.2%74.0%21.1%-0.0%-83.5K36.7M-539.3K1.3153.15N/AN/A404,880529,6801,381,4881,099,728
2016-01-28$1.76$1.7473.9%22.0%82.1%52.3%75.8%15.0%-0.3%247.4K22.1M-569.2K1.2055.26N/AN/A468,720563,7601,447,5841,121,664
2016-01-29$1.88$1.7765.2%18.8%86.8%40.6%64.0%12.4%-0.6%2.9M-21.8M-612.1K0.4656.13N/AN/A212,49697,3441,591,2001,160,448