TQQQ Options History — February 2016

In February 2016, TQQQ traded between $1.48 and $1.89. ATM implied volatility averaged 74.5%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded below realized volatility by 6.9% (HV 20d: 81.4%). Max pain ranged from $1.81 to $2.08. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.04.

Notable Days

  • 2016-02-03: Highest Volume — 1,170,576 contracts
  • 2016-02-05: Largest IV spike — 17.5% change
  • 2016-02-09: Highest IV Rank — 77.6%
  • 2016-02-11: Largest Expected Move — 26.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.69$1.48$1.89$1.89$1.78
Max Pain$2.01$1.81$2.08$1.82$1.87
ATM IV74.5%62.7%92.8%63.4%66.3%
Expected Move21.4%17.5%26.2%18.6%19.1%
HV 20d81.4%69.3%90.2%86.8%69.3%
HV 60d69.4%64.5%72.2%64.5%71.9%
IV Rank53.1%37.3%77.6%38.2%42.0%
IV Percentile87.6%74.2%98.8%82.5%79.0%
Term Structure-0.6%-4.1%3.1%0.9%0.3%
VWIV69.1%46.0%84.6%65.2%51.7%
Skew 25d19.7%15.3%24.6%15.3%21.3%
Skew 10d35.4%23.0%41.8%33.0%37.7%
Call IV 25d63.5%49.6%78.3%55.3%49.6%
Put IV 25d83.2%68.7%101.9%70.5%70.9%
Bid-Ask Spread %62.8349.7069.2558.3163.45
Gamma HHI0.070.030.180.180.06
Net GEX1.2M-109.2K4.5M2.7M1.4M
Net DEX10.7M-56.8M72.5M-27.3M-35.9M
Net VEX-654.1K-774.7K-510.8K-634.8K-768.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.791.370.991.20
Total Volume950,587.2764,9281,170,576764,928887,712
Total OI2,880,136.82,370,2403,243,8882,370,2402,671,200

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$1.89$1.8263.4%18.6%86.8%38.2%65.2%15.3%0.9%2.7M-27.3M-634.8K0.9958.31N/AN/A383,424381,5041,377,840992,400
2016-02-02$1.77$1.8270.0%20.4%86.0%47.0%70.2%19.6%1.4%1.6M4.5M-597.0K1.0561.08N/AN/A405,888427,7281,454,8321,029,888
2016-02-03$1.75$1.8170.2%20.4%85.8%47.3%72.0%18.5%0.1%1.0M21.8M-586.5K0.8865.90N/AN/A621,984548,5921,517,4721,110,192
2016-02-04$1.73$2.0869.6%20.3%85.3%46.6%60.1%17.4%-2.6%624.2K34.6M-639.9K1.3760.47N/AN/A415,296569,3281,589,2801,265,376
2016-02-05$1.55$2.0881.8%22.9%90.2%62.9%81.4%22.9%-1.3%-100.4K72.5M-552.0K0.9262.97N/AN/A527,856483,4561,623,3601,300,656
2016-02-08$1.49$2.0891.9%25.8%90.1%76.5%84.4%18.8%-2.1%-109.2K69.3M-510.8K1.3065.94N/AN/A416,400540,6241,418,0641,236,048
2016-02-09$1.48$2.0892.8%25.3%89.6%77.6%84.6%24.6%-3.0%-40.6K64.5M-539.3K0.8768.94N/AN/A547,104474,1921,540,6561,352,448
2016-02-10$1.49$2.0886.9%25.0%88.2%69.8%81.1%24.3%-0.4%307.1K55.0M-573.8K1.0469.25N/AN/A445,536464,0641,694,2561,373,328
2016-02-11$1.50$2.0890.0%26.2%80.7%73.9%82.2%21.6%1.1%401.2K56.1M-570.6K0.8567.55N/AN/A520,896444,8641,743,3601,391,904
2016-02-12$1.55$2.0883.2%23.5%78.3%64.7%76.9%19.1%-1.6%416.4K44.4M-606.1K1.2168.83N/AN/A514,992623,9041,839,6481,404,240
2016-02-16$1.65$2.0877.1%22.1%75.7%56.6%71.0%18.3%-0.0%899.9K22.8M-642.6K0.7967.84N/AN/A486,432383,5201,602,7201,279,536
2016-02-17$1.77$2.0875.0%21.5%79.9%53.8%72.5%18.9%1.5%1.6M-26.6M-714.1K0.8766.29N/AN/A508,608441,4081,711,5361,312,464
2016-02-18$1.71$2.0874.8%21.6%80.7%53.5%75.4%21.8%-2.5%2.0M-12.7M-715.6K1.0164.93N/AN/A413,856416,4001,794,0961,351,152
2016-02-19$1.72$2.0868.9%19.6%80.7%45.6%69.6%18.1%3.1%737.3K-10.1M-693.6K0.9265.48N/AN/A478,032438,0961,825,9201,381,056
2016-02-22$1.80$2.0865.0%19.0%78.3%40.3%64.3%17.9%0.1%984.0K-17.6M-731.3K0.9449.70N/AN/A436,416408,4321,491,5521,190,832
2016-02-23$1.72$2.0869.2%19.9%78.4%45.9%71.8%22.7%-2.2%864.3K-2.3M-741.0K0.9952.37N/AN/A431,856429,4081,567,5841,280,160
2016-02-24$1.76$2.0867.1%20.5%78.5%43.2%54.8%16.4%-1.9%1.1M-1.6M-730.8K1.1054.70N/AN/A498,672549,2161,615,6321,335,744
2016-02-25$1.81$1.8764.4%18.2%74.1%39.5%46.0%18.3%-4.1%2.3M-41.3M-760.5K1.2260.95N/AN/A449,856546,8641,672,0801,265,136
2016-02-26$1.81$1.8762.7%17.5%72.6%37.3%47.1%18.6%1.1%4.5M-56.8M-774.7K1.2261.72N/AN/A473,376575,9521,706,1121,292,976
2016-02-29$1.78$1.8766.3%19.1%69.3%42.0%51.7%21.3%0.3%1.4M-35.9M-768.0K1.2063.45N/AN/A402,624485,0881,535,1361,136,064