TQQQ Options History — November 2020 In November 2020, TQQQ traded between $14.48 and $19.65. ATM implied volatility averaged 76.1%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 22.3%. IV traded below realized volatility by 15.4% (HV 20d: 91.4%). Max pain ranged from $15.00 to $16.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.70.
Notable Days 2020-11-04 : Highest Volume — 997,888 contracts2020-11-04 : Largest IV drop — 12.1% change2020-11-02 : Highest IV Rank — 41.4%2020-11-02 : Largest Expected Move — 34.7%Monthly Statistics Metric Avg Min Max Open Close Price $18.06 $14.48 $19.65 $14.48 $19.65 Max Pain $15.39 $15.00 $16.25 $15.75 $16.25 ATM IV 76.1% 61.9% 109.5% 109.5% 67.0% Expected Move 22.3% 17.7% 34.7% 34.7% 19.6% HV 20d 91.4% 67.7% 98.0% 84.1% 67.7% HV 60d 92.7% 85.4% 94.5% 88.7% 85.4% IV Rank 23.3% 15.7% 41.4% 41.4% 18.5% IV Percentile 39.7% 23.4% 85.7% 85.7% 25.4% Term Structure 0.2% -2.4% 3.6% -2.4% 3.6% VWIV 80.4% 63.1% 115.6% 115.6% 70.1% Skew 25d 20.2% 14.7% 29.0% 27.7% 15.0% Skew 10d 36.6% 18.6% 50.7% 47.3% 28.7% Call IV 25d 66.1% 55.7% 92.7% 92.7% 60.0% Put IV 25d 86.3% 71.0% 120.4% 120.4% 75.0% Bid-Ask Spread % 36.73 11.37 47.99 13.89 38.24 Gamma HHI 0.07 0.03 0.12 0.03 0.07 Net GEX 21.8M 4.1M 43.0M 4.1M 20.9M Net DEX -1.42B -2.19B -498.7M -498.7M -1.65B Net VEX -5.0M -5.3M -4.7M -4.7M -4.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.48 1.08 0.57 0.88 Total Volume 567,284 351,776 997,888 549,712 442,912 Total OI 2,920,783.2 2,561,400 3,286,584 2,697,296 2,613,408
Daily Data (20 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 2020-11-02 $14.48 $15.75 109.5% 34.7% 84.1% 41.4% 115.6% 27.7% -2.4% 4.1M -498.7M -4.7M 0.57 13.89 N/A N/A 351,208 198,504 1,555,224 1,142,072 2020-11-03 $15.64 $15.75 98.3% 31.1% 87.2% 35.3% 109.1% 29.0% -1.6% 7.4M -767.0M -4.8M 0.69 11.37 N/A N/A 304,264 209,832 1,555,224 1,142,072 2020-11-04 $17.48 $15.75 86.5% 26.0% 93.9% 28.9% 92.7% 22.1% 0.2% 22.6M -1.51B -5.2M 0.57 14.16 N/A N/A 634,576 363,312 1,752,528 1,232,664 2020-11-05 $18.68 $15.00 84.0% 24.4% 96.6% 27.6% 88.6% 22.1% 0.9% 32.7M -2.05B -5.3M 0.58 39.28 N/A N/A 558,992 324,824 1,852,544 1,287,088 2020-11-06 $19.04 $15.00 77.8% 22.7% 95.8% 24.3% 81.7% 19.1% -0.6% 37.7M -2.19B -5.3M 0.66 38.59 N/A N/A 456,056 301,240 1,916,048 1,370,536 2020-11-09 $18.34 $15.00 78.2% 23.1% 90.7% 24.5% 82.5% 19.1% 2.8% 16.3M -1.47B -5.1M 0.73 40.59 N/A N/A 365,208 267,032 1,589,760 1,144,480 2020-11-10 $16.90 $15.63 82.5% 23.8% 94.7% 26.8% 83.6% 21.6% 0.3% 5.4M -888.9M -5.0M 0.74 38.36 N/A N/A 427,560 315,192 1,651,752 1,249,432 2020-11-11 $17.93 $15.63 77.8% 22.3% 97.3% 24.3% 85.2% 18.2% -0.1% 13.2M -1.31B -5.1M 0.58 41.66 N/A N/A 328,464 191,584 1,742,592 1,325,384 2020-11-12 $17.56 $15.00 81.3% 23.6% 97.1% 26.2% 83.6% 25.7% 2.1% 10.1M -1.18B -5.2M 0.82 45.95 N/A N/A 280,696 228,896 1,790,376 1,357,904 2020-11-13 $18.20 $15.00 74.4% 21.6% 98.0% 22.4% 77.5% 19.8% 1.5% 24.9M -1.47B -5.1M 0.65 47.99 N/A N/A 359,416 235,080 1,824,648 1,406,216 2020-11-16 $18.39 $15.00 71.7% 20.7% 95.1% 21.0% 76.4% 20.1% -1.0% 18.6M -1.41B -5.0M 0.91 44.77 N/A N/A 206,488 188,320 1,596,800 1,192,808 2020-11-17 $18.39 $15.00 71.1% 20.5% 94.9% 20.7% 76.8% 20.0% -1.0% 21.6M -1.43B -5.0M 1.08 42.15 N/A N/A 177,784 191,464 1,651,712 1,255,880 2020-11-18 $18.15 $15.00 69.6% 20.0% 95.0% 19.9% 74.2% 20.8% 1.3% 19.5M -1.32B -4.9M 0.79 44.69 N/A N/A 196,504 155,272 1,676,760 1,288,264 2020-11-19 $18.41 $15.00 68.7% 19.8% 95.1% 19.4% 74.6% 19.9% -1.5% 26.8M -1.43B -4.9M 0.62 41.16 N/A N/A 277,848 171,632 1,696,208 1,335,360 2020-11-20 $18.21 $15.00 66.3% 19.1% 95.2% 18.1% 70.9% 18.3% -0.8% 25.4M -1.35B -4.8M 0.83 46.44 N/A N/A 252,008 208,240 1,761,824 1,330,976 2020-11-23 $18.08 $15.63 66.2% 18.9% 92.8% 18.0% 68.2% 19.7% -0.8% 15.1M -1.21B -4.7M 0.56 33.46 N/A N/A 372,992 209,208 1,490,048 1,071,352 2020-11-24 $18.80 $15.63 64.6% 18.5% 92.7% 17.2% 67.2% 15.5% 0.2% 28.6M -1.54B -4.8M 0.53 35.38 N/A N/A 368,352 195,896 1,580,952 1,166,288 2020-11-25 $19.22 $15.63 61.9% 17.7% 82.9% 15.7% 67.3% 15.3% 0.8% 41.6M -1.76B -4.9M 0.68 39.62 N/A N/A 272,184 183,864 1,656,712 1,211,168 2020-11-27 $19.59 $16.25 63.9% 18.3% 81.8% 16.8% 63.1% 14.7% 0.7% 43.0M -1.98B -4.7M 0.48 36.80 N/A N/A 386,112 186,664 1,694,160 1,256,440 2020-11-30 $19.65 $16.25 67.0% 19.6% 67.7% 18.5% 70.1% 15.0% 3.6% 20.9M -1.65B -4.7M 0.88 38.24 N/A N/A 235,248 207,664 1,520,400 1,093,008
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