TQQQ Options History — November 2017 In November 2017, TQQQ traded between $5.39 and $5.86. ATM implied volatility averaged 35.7%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 3.1% (HV 20d: 32.6%). Max pain ranged from $4.33 to $4.71. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.79.
Notable Days 2017-11-29 : Highest Volume — 572,064 contracts2017-11-29 : Largest IV spike — 25.1% change2017-11-15 : Highest IV Rank — 21.6%2017-11-29 : Largest Expected Move — 12.5%Monthly Statistics Metric Avg Min Max Open Close Price $5.62 $5.39 $5.86 $5.41 $5.72 Max Pain $4.47 $4.33 $4.71 $4.58 $4.71 ATM IV 35.7% 31.0% 41.3% 39.4% 39.1% Expected Move 10.5% 8.6% 12.5% 11.6% 12.2% HV 20d 32.6% 24.5% 37.0% 32.2% 31.5% HV 60d 30.3% 28.1% 34.7% 34.7% 30.1% IV Rank 14.1% 7.9% 21.6% 19.0% 18.6% IV Percentile 42.8% 15.9% 80.2% 65.1% 68.3% Term Structure 0.9% -0.2% 2.1% 1.0% 0.6% VWIV 36.1% 29.0% 48.8% 48.8% 43.4% Skew 25d 9.6% 6.8% 14.1% 7.8% 10.8% Skew 10d 20.9% 12.1% 35.3% 20.5% 22.2% Call IV 25d 32.3% 28.5% 35.4% 35.4% 34.7% Put IV 25d 41.9% 36.0% 49.3% 43.3% 45.4% Bid-Ask Spread % 34.51 25.36 47.43 36.73 43.31 Gamma HHI 0.06 0.04 0.09 0.07 0.06 Net GEX 7.4M 2.3M 12.9M 7.8M 11.4M Net DEX -445.8M -532.6M -356.0M -407.2M -442.9M Net VEX -1.3M -1.3M -1.2M -1.3M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.52 1.05 0.52 0.87 Total Volume 460,118.857 368,904 572,064 493,416 447,528 Total OI 2,679,529.143 2,511,432 2,879,016 2,606,544 2,879,016
Daily Data (21 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 2017-11-01 $5.41 $4.58 39.4% 11.6% 32.2% 19.0% 48.8% 7.8% 1.0% 7.8M -407.2M -1.3M 0.52 36.73 N/A N/A 325,608 167,808 1,300,752 1,305,792 2017-11-02 $5.39 $4.33 38.0% 11.3% 31.1% 17.1% 38.0% 8.5% 0.8% 8.8M -406.8M -1.3M 0.85 25.48 N/A N/A 281,472 239,160 1,345,152 1,321,344 2017-11-03 $5.52 $4.33 35.3% 10.5% 32.0% 13.5% 35.7% 8.6% 1.3% 6.8M -494.7M -1.3M 0.79 25.36 N/A N/A 280,224 221,184 1,374,288 1,383,264 2017-11-06 $5.59 $4.33 35.0% 10.7% 31.9% 13.1% 36.2% 6.8% 1.5% 6.7M -451.8M -1.3M 0.60 29.48 N/A N/A 302,040 182,112 1,283,208 1,277,352 2017-11-07 $5.59 $4.33 35.8% 10.8% 31.9% 14.2% 38.3% 7.5% 2.0% 9.3M -473.0M -1.3M 1.05 34.63 N/A N/A 228,312 239,664 1,323,024 1,299,672 2017-11-08 $5.66 $4.33 34.9% 10.5% 32.0% 13.0% 35.7% 9.1% 1.7% 6.8M -491.1M -1.3M 0.75 31.73 N/A N/A 228,000 172,128 1,333,872 1,377,960 2017-11-09 $5.58 $4.33 37.4% 11.1% 32.6% 16.4% 39.8% 10.0% 1.4% 5.3M -443.9M -1.3M 0.89 47.43 N/A N/A 259,656 231,552 1,340,184 1,383,576 2017-11-10 $5.57 $4.38 36.2% 10.8% 32.6% 14.8% 35.9% 9.6% 2.1% 5.6M -446.5M -1.3M 0.95 29.12 N/A N/A 245,496 234,360 1,363,368 1,428,216 2017-11-13 $5.58 $4.38 37.1% 10.8% 32.6% 15.9% 35.1% 11.6% 0.1% 5.9M -428.1M -1.3M 1.01 27.50 N/A N/A 244,632 247,296 1,267,200 1,324,488 2017-11-14 $5.53 $4.38 37.6% 10.8% 32.9% 16.6% 35.3% 12.2% -0.1% 5.2M -409.3M -1.3M 0.73 31.88 N/A N/A 235,416 171,456 1,301,952 1,391,712 2017-11-15 $5.43 $4.38 41.3% 11.8% 33.8% 21.6% 40.9% 14.1% -0.2% 2.3M -356.9M -1.3M 0.77 41.84 N/A N/A 224,976 172,560 1,310,400 1,417,920 2017-11-16 $5.67 $4.38 36.1% 10.3% 36.1% 14.6% 35.3% 10.8% 1.1% 8.1M -472.1M -1.3M 0.67 33.00 N/A N/A 264,000 177,648 1,319,568 1,448,592 2017-11-17 $5.59 $4.58 34.5% 9.8% 36.8% 12.5% 33.8% 10.1% 0.9% 7.3M -429.7M -1.3M 0.71 34.73 N/A N/A 253,680 179,808 1,329,120 1,475,568 2017-11-20 $5.57 $4.58 34.4% 9.6% 35.9% 12.3% 31.3% 11.3% 0.3% 5.6M -392.8M -1.2M 0.79 30.00 N/A N/A 224,304 177,288 1,223,040 1,288,392 2017-11-21 $5.75 $4.58 31.6% 8.9% 37.0% 8.6% 29.9% 9.2% 0.3% 7.5M -460.6M -1.2M 0.69 35.81 N/A N/A 303,648 208,032 1,242,432 1,332,480 2017-11-22 $5.79 $4.58 31.3% 8.8% 36.3% 8.2% 29.8% 8.5% 1.0% 12.9M -487.9M -1.2M 0.90 42.66 N/A N/A 241,944 218,376 1,288,608 1,373,664 2017-11-24 $5.84 $4.58 31.9% 8.6% 36.0% 9.0% 29.0% 7.2% 0.5% 10.4M -532.6M -1.2M 0.72 34.19 N/A N/A 244,776 176,472 1,315,536 1,406,712 2017-11-27 $5.84 $4.58 31.0% 8.8% 24.5% 7.9% 30.9% 8.1% 1.5% 8.2M -483.5M -1.2M 0.86 26.95 N/A N/A 198,696 170,208 1,242,648 1,324,368 2017-11-28 $5.86 $4.58 31.8% 9.2% 24.5% 8.8% 32.6% 8.2% 1.9% 8.5M -495.2M -1.2M 0.68 43.02 N/A N/A 278,592 190,320 1,266,768 1,347,336 2017-11-29 $5.59 $4.58 39.8% 12.5% 30.6% 19.5% 43.0% 11.3% 0.5% 5.4M -356.0M -1.3M 0.79 39.89 N/A N/A 318,840 253,224 1,330,032 1,381,536 2017-11-30 $5.72 $4.71 39.1% 12.2% 31.5% 18.6% 43.4% 10.8% 0.6% 11.4M -442.9M -1.3M 0.87 43.31 N/A N/A 239,304 208,224 1,431,792 1,447,224
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