TQQQ Options History — December 2020 In December 2020, TQQQ traded between $20.02 and $22.56. ATM implied volatility averaged 69.5%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded above realized volatility by 26.5% (HV 20d: 43.0%). Max pain ranged from $10.00 to $16.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.83.
Notable Days 2020-12-09 : Highest Volume — 744,992 contracts2020-12-09 : Largest IV spike — 10.6% change2020-12-11 : Highest IV Rank — 24.1%2020-12-11 : Largest Expected Move — 21.9%Monthly Statistics Metric Avg Min Max Open Close Price $21.36 $20.02 $22.56 $20.50 $22.55 Max Pain $11.58 $10.00 $16.25 $16.25 $12.50 ATM IV 69.5% 64.3% 77.4% 66.1% 68.8% Expected Move 19.8% 17.4% 21.9% 19.6% 18.4% HV 20d 43.0% 35.8% 68.3% 68.3% 35.8% HV 60d 73.1% 65.5% 85.7% 85.7% 65.5% IV Rank 19.1% 13.5% 24.1% 18.0% 16.0% IV Percentile 25.5% 15.9% 40.9% 23.8% 21.8% Term Structure 1.6% -1.9% 6.3% 5.4% 1.5% VWIV 73.1% 65.6% 80.6% 69.7% 70.8% Skew 25d 20.2% 11.1% 25.8% 12.0% 24.0% Skew 10d 38.0% 22.8% 52.2% 23.7% 43.8% Call IV 25d 60.7% 54.7% 69.2% 62.1% 57.4% Put IV 25d 80.9% 71.5% 87.2% 74.1% 81.5% Bid-Ask Spread % 27.04 13.72 41.14 39.61 41.14 Gamma HHI 0.13 0.07 0.35 0.08 0.35 Net GEX 26.4M 2.7M 43.8M 27.6M 40.8M Net DEX -1.83B -2.16B -1.40B -1.96B -1.82B Net VEX -4.6M -4.8M -4.3M -4.7M -4.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.56 1.08 0.56 0.77 Total Volume 479,548.364 326,400 744,992 661,112 470,792 Total OI 2,741,401.091 2,298,184 3,035,760 2,756,464 2,668,968
Daily Data (22 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 2020-12-01 $20.50 $16.25 66.1% 19.6% 68.3% 18.0% 69.7% 12.0% 5.4% 27.6M -1.96B -4.7M 0.56 39.61 N/A N/A 422,968 238,144 1,572,776 1,183,688 2020-12-02 $20.55 $16.25 66.6% 19.3% 64.6% 18.3% 70.4% 11.1% 6.3% 29.8M -1.95B -4.8M 0.68 38.21 N/A N/A 222,776 151,072 1,608,592 1,225,736 2020-12-03 $20.68 $10.00 66.8% 20.5% 53.4% 18.3% 72.6% 11.9% 5.5% 35.0M -2.02B -4.7M 0.82 13.72 N/A N/A 245,480 201,928 1,631,472 1,254,952 2020-12-04 $20.86 $10.00 67.4% 20.2% 48.8% 18.7% 74.5% 16.8% 3.9% 43.8M -2.10B -4.7M 0.71 15.06 N/A N/A 267,768 189,584 1,655,544 1,289,304 2020-12-07 $21.16 $10.00 70.5% 20.2% 48.7% 20.4% 73.4% 17.9% -1.9% 22.4M -1.93B -4.7M 0.94 17.80 N/A N/A 185,208 174,256 1,501,128 1,131,984 2020-12-08 $21.54 $10.00 67.2% 19.8% 46.1% 18.6% 70.9% 15.4% 2.0% 27.5M -2.04B -4.7M 0.62 15.70 N/A N/A 235,792 147,080 1,537,336 1,196,864 2020-12-09 $20.10 $10.00 74.3% 21.5% 43.0% 22.4% 78.1% 14.6% -0.5% 11.6M -1.47B -4.7M 0.77 20.23 N/A N/A 422,048 322,944 1,578,624 1,239,040 2020-12-10 $20.43 $10.38 73.4% 21.4% 38.8% 21.9% 77.3% 18.8% 0.8% 11.3M -1.58B -4.7M 0.71 15.20 N/A N/A 285,824 201,808 1,603,976 1,320,720 2020-12-11 $20.02 $10.63 77.4% 21.9% 38.8% 24.1% 80.6% 19.8% -1.9% 2.7M -1.40B -4.8M 0.95 16.38 N/A N/A 351,832 334,968 1,650,216 1,356,616 2020-12-14 $20.64 $10.63 74.1% 21.3% 38.3% 22.3% 76.5% 22.8% -0.3% 17.5M -1.68B -4.7M 0.88 21.09 N/A N/A 218,976 192,136 1,514,776 1,223,760 2020-12-15 $21.18 $10.63 71.3% 20.5% 38.9% 20.8% 73.7% 23.9% 0.8% 27.1M -1.90B -4.7M 0.93 25.77 N/A N/A 187,984 174,800 1,579,576 1,278,176 2020-12-16 $21.73 $10.63 69.1% 19.8% 39.4% 19.6% 75.4% 23.9% 0.9% 36.2M -2.14B -4.6M 0.79 35.08 N/A N/A 229,176 180,144 1,610,104 1,315,816 2020-12-17 $21.93 $10.63 69.1% 19.8% 38.6% 19.6% 74.5% 23.0% 0.4% 40.7M -2.16B -4.5M 0.94 29.09 N/A N/A 238,000 222,840 1,614,664 1,358,808 2020-12-18 $21.49 $11.25 71.3% 20.6% 40.0% 20.8% 76.5% 25.8% -1.8% 37.6M -1.92B -4.5M 0.90 34.05 N/A N/A 327,240 293,072 1,632,952 1,402,808 2020-12-21 $21.60 $11.25 72.0% 20.5% 39.3% 21.1% 76.6% 24.7% 1.7% 12.0M -1.59B -4.5M 0.98 30.65 N/A N/A 333,000 324,840 1,263,728 1,034,456 2020-12-22 $21.80 $11.25 71.0% 20.3% 38.9% 20.6% 76.9% 24.1% 2.3% 20.3M -1.74B -4.5M 0.85 32.26 N/A N/A 231,496 196,824 1,364,896 1,158,040 2020-12-23 $21.80 $12.50 67.5% 19.0% 37.4% 18.7% 71.6% 22.3% 2.7% 29.8M -1.73B -4.5M 1.08 28.60 N/A N/A 217,088 234,344 1,382,392 1,209,528 2020-12-24 $21.76 $12.50 66.3% 18.4% 37.1% 16.2% 68.0% 22.3% 2.7% 33.8M -1.67B -4.5M 0.71 37.84 N/A N/A 191,264 135,136 1,413,632 1,266,608 2020-12-28 $22.51 $12.50 64.3% 17.4% 38.1% 13.5% 66.6% 22.9% 1.6% 21.4M -1.82B -4.3M 0.91 20.62 N/A N/A 245,816 223,336 1,281,344 1,081,264 2020-12-29 $22.56 $12.50 67.3% 18.1% 38.1% 15.1% 67.3% 23.7% 1.5% 26.3M -1.84B -4.4M 0.92 28.62 N/A N/A 256,768 235,632 1,350,208 1,160,240 2020-12-30 $22.53 $12.50 67.1% 18.0% 35.8% 15.0% 65.6% 22.9% 1.6% 25.0M -1.79B -4.4M 0.77 38.21 N/A N/A 219,040 168,840 1,382,600 1,222,912 2020-12-31 $22.55 $12.50 68.8% 18.4% 35.8% 16.0% 70.8% 24.0% 1.5% 40.8M -1.82B -4.4M 0.77 41.14 N/A N/A 265,656 205,136 1,404,632 1,264,336
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