TQQQ Options History — December 2017

In December 2017, TQQQ traded between $5.45 and $6.11. ATM implied volatility averaged 36.8%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 5.0% (HV 20d: 31.7%). Max pain ranged from $4.29 to $4.79. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.02.

Notable Days

  • 2017-12-04: Highest Volume — 676,776 contracts
  • 2017-12-15: Largest IV drop — 13.0% change
  • 2017-12-04: Highest IV Rank — 27.4%
  • 2017-12-01: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.79$5.45$6.11$5.65$5.79
Max Pain$4.57$4.29$4.79$4.75$4.79
ATM IV36.8%30.8%45.6%42.5%37.9%
Expected Move10.5%9.3%13.1%13.1%10.7%
HV 20d31.7%25.3%34.3%31.9%25.3%
HV 60d29.9%29.2%30.7%30.2%29.5%
IV Rank15.5%7.6%27.4%23.2%17.0%
IV Percentile51.2%15.5%92.5%87.3%64.7%
Term Structure1.2%-0.9%4.8%2.5%1.1%
VWIV41.9%36.6%51.2%48.1%41.3%
Skew 25d10.1%7.4%13.7%9.4%13.7%
Skew 10d20.7%16.2%32.9%16.2%29.1%
Call IV 25d32.9%28.9%39.5%38.7%32.1%
Put IV 25d42.9%37.8%51.0%48.1%45.7%
Bid-Ask Spread %50.7220.3672.7156.9748.69
Gamma HHI0.070.040.280.040.04
Net GEX7.6M442.4K15.8M6.8M1.7M
Net DEX-408.5M-616.7M-274.8M-393.7M-274.8M
Net VEX-1.2M-1.4M-1.1M-1.3M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.701.351.121.12
Total Volume458,142376,272676,776566,352435,840
Total OI2,663,486.42,220,3123,177,6722,905,9922,354,088

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$5.65$4.7542.5%13.1%31.9%23.2%48.1%9.4%2.5%6.8M-393.7M-1.3M1.1256.97N/AN/A266,664299,6881,433,1601,472,832
2017-12-04$5.45$4.2945.6%12.6%33.5%27.4%51.2%11.3%0.4%5.8M-318.5M-1.4M0.7055.42N/AN/A397,416279,3601,351,3921,428,360
2017-12-05$5.46$4.3343.2%12.6%33.2%24.1%50.7%13.2%1.4%9.9M-326.2M-1.4M0.8050.18N/AN/A257,976205,9921,539,0241,511,616
2017-12-06$5.51$4.3343.7%12.3%33.4%24.8%49.4%12.9%0.8%12.6M-359.9M-1.4M1.1647.87N/AN/A217,224252,7921,584,5521,517,952
2017-12-07$5.59$4.3841.4%11.8%33.5%21.7%47.9%11.5%-0.9%13.3M-417.3M-1.4M0.9949.17N/AN/A219,552218,3761,580,0881,558,824
2017-12-08$5.64$4.3837.8%10.8%33.2%16.9%41.6%10.1%1.4%8.9M-485.1M-1.3M1.0951.99N/AN/A242,880265,6801,595,9521,581,720
2017-12-11$5.78$4.3835.1%10.1%34.2%13.3%39.2%9.1%-0.1%9.6M-494.6M-1.2M0.8239.16N/AN/A240,192197,8561,356,4801,413,864
2017-12-12$5.75$4.3835.6%10.3%34.3%13.9%41.6%7.8%0.1%10.1M-488.7M-1.2M0.9145.54N/AN/A228,624207,0721,404,0241,446,984
2017-12-13$5.78$4.4236.0%10.2%34.0%14.6%42.0%9.5%1.8%11.3M-510.7M-1.2M0.9372.71N/AN/A195,048181,2241,432,0321,472,328
2017-12-14$5.78$4.4635.4%10.0%33.1%13.7%40.6%8.2%-0.9%12.1M-512.9M-1.2M0.8534.74N/AN/A235,008200,1361,439,8561,478,136
2017-12-15$5.95$4.5830.8%9.5%31.1%7.6%38.3%7.4%4.8%15.8M-616.7M-1.1M0.7158.39N/AN/A323,784229,6081,453,4161,484,760
2017-12-18$6.11$4.5832.3%9.3%31.6%9.5%38.4%7.7%2.4%5.3M-441.2M-1.1M1.0457.15N/AN/A202,848211,0801,050,6241,171,488
2017-12-19$6.02$4.5833.8%9.7%32.3%11.5%39.8%9.0%1.0%5.3M-408.8M-1.2M1.0555.21N/AN/A215,904225,6961,075,9201,226,592
2017-12-20$6.00$4.7933.4%9.6%30.7%11.1%40.1%9.9%0.7%7.0M-383.5M-1.2M1.3561.18N/AN/A181,272244,4881,078,2001,247,160
2017-12-21$5.99$4.7932.6%9.3%30.7%9.9%38.0%8.9%-0.1%8.7M-389.4M-1.2M1.2145.98N/AN/A186,768226,1041,080,8161,248,096
2017-12-22$5.96$4.7932.7%9.3%30.6%10.1%38.1%9.1%1.1%442.4K-371.3M-1.2M1.1653.26N/AN/A203,664235,8721,092,0481,267,152
2017-12-26$5.87$4.7934.4%9.7%31.1%12.4%36.6%10.4%2.7%2.7M-325.5M-1.2M1.1455.99N/AN/A190,056216,744994,8961,225,416
2017-12-27$5.88$4.7935.0%9.8%31.1%13.2%38.4%10.7%2.1%1.7M-323.5M-1.2M1.1154.43N/AN/A196,728218,4721,019,6641,258,272
2017-12-28$5.89$4.7935.8%9.9%25.4%14.2%37.2%11.3%2.3%2.9M-328.7M-1.2M1.1220.36N/AN/A192,960216,1921,044,9601,296,984
2017-12-29$5.79$4.7937.9%10.7%25.3%17.0%41.3%13.7%1.1%1.7M-274.8M-1.2M1.1248.69N/AN/A205,512230,3281,047,9601,306,128