TQQQ Options History — January 2020 In January 2020, TQQQ traded between $11.11 and $12.69. ATM implied volatility averaged 45.7%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 17.7% (HV 20d: 28.0%). Max pain ranged from $8.13 to $11.63. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.76.
Notable Days 2020-01-24 : Highest Volume — 713,328 contracts2020-01-31 : Largest IV spike — 23.4% change2020-01-31 : Highest IV Rank — 61.6%2020-01-31 : Largest Expected Move — 17.2%Monthly Statistics Metric Avg Min Max Open Close Price $11.94 $11.11 $12.69 $11.28 $11.69 Max Pain $10.80 $8.13 $11.63 $8.13 $11.63 ATM IV 45.7% 40.3% 58.8% 41.4% 58.8% Expected Move 13.2% 11.0% 17.2% 11.0% 17.2% HV 20d 28.0% 22.8% 40.0% 24.2% 40.0% HV 60d 27.9% 25.8% 31.2% 30.5% 31.2% IV Rank 29.8% 14.7% 61.6% 14.7% 61.6% IV Percentile 35.9% 9.9% 86.5% 13.9% 86.5% Term Structure 0.8% -0.8% 6.6% 1.2% 1.9% VWIV 48.5% 43.8% 58.0% 44.6% 58.0% Skew 25d 15.5% 8.9% 21.3% 12.6% 21.3% Skew 10d 28.6% 23.5% 36.9% 23.5% 33.8% Call IV 25d 38.7% 35.6% 48.7% 37.0% 48.7% Put IV 25d 54.2% 46.0% 70.0% 49.6% 70.0% Bid-Ask Spread % 12.39 3.89 30.33 4.45 20.78 Gamma HHI 0.11 0.03 0.37 0.12 0.18 Net GEX 9.2M -8.2M 27.8M 15.3M -8.2M Net DEX -575.3M -911.4M -160.9M -720.4M -160.9M Net VEX -1.9M -2.2M -1.7M -1.7M -2.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.42 1.05 0.82 0.98 Total Volume 368,700.19 200,744 713,328 410,080 644,344 Total OI 1,678,494.476 1,179,944 2,031,760 1,773,064 1,678,304
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 2020-01-02 $11.28 $8.13 41.4% 11.0% 24.2% 14.7% 44.6% 12.6% 1.2% 15.3M -720.4M -1.7M 0.82 4.45 N/A N/A 225,184 184,896 899,296 873,768 2020-01-03 $11.11 $8.13 45.5% 12.3% 25.4% 21.6% 47.8% 13.5% 0.8% 11.4M -633.5M -1.7M 0.72 3.89 N/A N/A 218,800 157,128 915,544 943,072 2020-01-06 $11.20 $10.63 46.1% 13.2% 25.4% 28.4% 47.4% 15.6% -0.4% 7.9M -587.4M -1.7M 0.85 4.96 N/A N/A 111,248 94,528 836,920 863,112 2020-01-07 $11.29 $10.63 45.2% 13.2% 23.8% 27.7% 48.4% 16.2% -0.6% 10.7M -625.6M -1.8M 0.83 4.24 N/A N/A 109,976 90,768 868,536 907,112 2020-01-08 $11.61 $10.63 42.6% 12.3% 23.7% 22.3% 47.2% 15.3% 0.5% 12.4M -750.3M -1.7M 0.71 4.36 N/A N/A 208,192 148,728 890,624 937,712 2020-01-09 $11.77 $10.63 42.5% 12.2% 22.8% 23.1% 43.9% 14.6% 1.1% 10.9M -787.6M -1.7M 0.89 7.97 N/A N/A 207,672 184,328 908,984 971,168 2020-01-10 $11.70 $10.88 43.6% 12.5% 23.4% 25.7% 47.6% 8.9% 1.2% 4.5M -754.5M -1.7M 0.82 5.95 N/A N/A 193,008 157,472 932,416 1,012,736 2020-01-13 $12.05 $10.88 43.6% 12.6% 24.0% 25.8% 46.3% 15.3% -0.0% 7.4M -728.4M -1.7M 0.97 4.10 N/A N/A 159,480 155,304 840,672 890,480 2020-01-14 $12.00 $10.88 45.0% 13.0% 24.6% 28.9% 47.9% 15.4% -0.5% 6.6M -710.0M -1.7M 0.42 5.43 N/A N/A 270,856 115,024 870,448 957,264 2020-01-15 $11.91 $11.00 45.6% 12.8% 24.3% 30.5% 43.8% 15.4% -0.8% 9.3M -702.4M -1.8M 0.55 7.47 N/A N/A 200,640 109,824 931,384 991,008 2020-01-16 $12.26 $11.00 41.6% 11.8% 25.3% 20.9% 44.2% 13.0% -0.8% 19.8M -850.6M -1.8M 0.64 23.04 N/A N/A 212,680 135,360 978,840 1,020,968 2020-01-17 $12.44 $11.00 40.3% 11.6% 25.4% 18.0% 46.8% 12.5% 0.2% 27.8M -911.4M -1.8M 0.58 21.55 N/A N/A 284,448 165,680 985,096 1,046,664 2020-01-21 $12.49 $11.13 43.1% 12.3% 25.4% 24.4% 46.0% 14.7% 0.2% 8.7M -469.8M -1.8M 0.65 16.39 N/A N/A 172,232 111,456 624,248 555,696 2020-01-22 $12.59 $11.25 43.0% 12.3% 25.4% 24.3% 45.4% 14.8% -0.1% 10.7M -500.9M -1.8M 0.68 6.20 N/A N/A 210,832 143,016 665,800 612,504 2020-01-23 $12.69 $11.25 42.6% 12.2% 25.4% 23.3% 45.2% 15.6% 0.4% 17.7M -541.0M -1.9M 0.64 7.36 N/A N/A 178,664 115,088 715,192 669,136 2020-01-24 $12.33 $11.25 49.0% 14.1% 28.5% 38.6% 50.9% 17.9% -0.1% 1.4M -388.9M -2.0M 1.04 20.25 N/A N/A 350,136 363,192 738,984 698,096 2020-01-27 $11.63 $11.50 55.4% 16.2% 36.2% 53.5% 54.5% 18.0% -0.5% -58.7K -178.5M -2.1M 0.52 20.33 N/A N/A 252,288 132,320 672,136 667,168 2020-01-28 $12.16 $11.38 50.1% 14.7% 39.1% 41.0% 54.0% 19.7% 1.4% 5.6M -341.3M -2.2M 0.55 12.90 N/A N/A 209,496 116,248 761,344 716,160 2020-01-29 $12.23 $11.50 47.6% 14.7% 38.1% 35.1% 54.2% 15.6% 6.6% 6.6M -367.7M -2.2M 0.96 28.19 N/A N/A 127,696 123,136 799,120 762,448 2020-01-30 $12.26 $11.63 47.6% 14.6% 38.1% 35.2% 54.7% 19.1% 5.8% 6.8M -370.8M -2.2M 1.05 30.33 N/A N/A 191,056 200,280 831,024 807,200 2020-01-31 $11.69 $11.63 58.8% 17.2% 40.0% 61.6% 58.0% 21.3% 1.9% -8.2M -160.9M -2.2M 0.98 20.78 N/A N/A 325,232 319,112 844,656 833,648
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