TQQQ Options History — July 2014 In July 2014, TQQQ traded between $1.57 and $1.72. ATM implied volatility averaged 33.9%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 5.9% (HV 20d: 28.0%). Max pain ranged from $0.96 to $1.62. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.18.
Notable Days 2014-07-18 : Highest Volume — 239,952 contracts2014-07-31 : Largest IV spike — 25.5% change2014-07-31 : Highest IV Rank — 56.8%2014-07-31 : Largest Expected Move — 13.0%Monthly Statistics Metric Avg Min Max Open Close Price $1.65 $1.57 $1.72 $1.61 $1.61 Max Pain $1.16 $0.96 $1.62 $0.96 $1.44 ATM IV 33.9% 25.3% 44.6% 26.8% 44.6% Expected Move 12.5% 11.8% 13.0% 12.4% 13.0% HV 20d 28.0% 19.0% 39.9% 19.8% 39.9% HV 60d 31.1% 28.6% 38.4% 38.4% 30.7% IV Rank 25.1% 0.0% 56.8% 0.0% 56.8% IV Percentile 21.4% 0.0% 81.0% 0.0% 81.0% Term Structure 3.0% -0.5% 6.3% 5.8% 0.4% VWIV 48.0% 39.5% 57.1% 47.4% 52.9% Skew 25d 8.7% 2.5% 14.4% 8.5% 10.1% Skew 10d 16.2% 8.3% 22.2% 17.5% 18.2% Call IV 25d 30.9% 23.4% 40.0% 23.4% 40.0% Put IV 25d 39.5% 27.7% 50.1% 32.0% 50.1% Bid-Ask Spread % 22.23 11.95 49.23 11.95 32.75 Gamma HHI 0.07 0.04 0.19 0.07 0.04 Net GEX 619.7K 185.9K 1.9M 542.9K 185.9K Net DEX -97.2M -115.4M -78.0M -95.5M -78.0M Net VEX -236.5K -265.1K -213.7K -236.7K -265.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.18 0.36 3.61 1.73 0.39 Total Volume 96,580.364 29,952 239,952 148,464 178,320 Total OI 1,447,544.727 1,300,416 1,635,072 1,343,136 1,446,624
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 2014-07-01 $1.61 $0.96 26.8% 12.4% 19.8% 0.0% 47.4% 8.5% 5.8% 542.9K -95.5M -236.7K 1.73 11.95 N/A N/A 54,432 94,032 788,592 554,544 2014-07-02 $1.62 $0.96 25.7% 12.7% 19.8% 0.0% 46.1% 6.2% 6.3% 499.3K -97.2M -228.0K 2.49 18.97 N/A N/A 15,552 38,784 796,848 562,656 2014-07-03 $1.65 $0.96 25.3% 12.9% 19.0% 0.0% 45.0% 2.5% 5.5% 582.6K -102.9M -223.3K 2.25 16.50 N/A N/A 22,944 51,696 807,504 567,744 2014-07-07 $1.63 $0.96 28.6% 12.7% 19.3% 9.7% 46.0% 7.8% 1.1% 330.3K -97.5M -238.7K 0.36 15.41 N/A N/A 62,160 22,512 813,696 597,792 2014-07-08 $1.57 $0.96 33.3% 12.7% 23.9% 23.5% 47.2% 6.8% 2.8% 225.7K -83.2M -242.9K 0.55 18.85 N/A N/A 91,920 50,784 815,856 611,520 2014-07-09 $1.61 $0.96 33.0% 12.3% 24.9% 22.7% 46.5% 11.7% 2.2% 669.0K -94.3M -234.9K 0.75 27.10 N/A N/A 30,624 22,848 857,808 618,192 2014-07-10 $1.60 $0.96 38.5% 12.7% 25.3% 38.9% 39.5% 7.4% -0.5% 543.7K -88.8M -254.0K 0.78 16.75 N/A N/A 36,288 28,272 864,192 631,536 2014-07-11 $1.62 $0.96 36.1% 12.7% 23.2% 31.8% 50.8% 7.6% 1.4% 795.3K -99.3M -243.8K 0.70 22.25 N/A N/A 25,008 17,616 882,816 640,272 2014-07-14 $1.65 $0.96 35.7% 12.5% 23.7% 30.6% 52.4% 9.0% 2.2% 1.1M -109.2M -236.3K 0.90 13.61 N/A N/A 68,592 61,824 896,928 647,472 2014-07-15 $1.64 $0.96 35.9% 12.7% 24.4% 31.0% 48.4% 7.4% 3.5% 784.9K -102.6M -238.8K 1.75 22.37 N/A N/A 62,304 109,296 911,904 668,304 2014-07-16 $1.66 $0.96 35.1% 12.7% 24.4% 28.9% 52.0% 8.8% 2.5% 1.0M -111.5M -245.6K 2.82 16.55 N/A N/A 39,216 110,592 926,400 708,672 2014-07-17 $1.59 $0.96 40.3% 12.9% 29.0% 44.1% 52.6% 8.7% 4.7% 264.5K -80.9M -257.4K 0.69 26.15 N/A N/A 82,032 56,352 923,520 697,488 2014-07-18 $1.66 $0.96 33.8% 12.7% 32.7% 24.9% 51.7% 12.7% 1.2% 1.9M -115.4M -228.7K 0.54 18.86 N/A N/A 156,240 83,712 933,792 691,200 2014-07-21 $1.66 $0.00 35.2% 12.0% 32.8% 29.2% 44.7% 10.7% 2.5% 416.2K -89.3M -231.6K 0.65 27.28 N/A N/A 21,168 13,824 768,000 532,416 2014-07-22 $1.69 $1.62 33.1% 11.8% 33.2% 22.9% 41.5% 9.0% 3.5% 529.7K -96.2M -225.7K 1.19 16.21 N/A N/A 35,952 42,816 780,816 538,608 2014-07-23 $1.72 $1.62 33.7% 11.8% 33.3% 24.8% 45.5% 7.3% 3.0% 595.8K -102.9M -218.1K 3.61 15.15 N/A N/A 21,360 77,136 788,976 548,304 2014-07-24 $1.72 $1.46 34.2% 12.0% 33.2% 26.2% 0.0% 14.4% 2.6% 460.2K -100.5M -225.8K 1.07 30.00 N/A N/A 14,496 15,456 791,424 578,976 2014-07-25 $1.70 $1.46 32.7% 12.1% 33.8% 21.6% 57.1% 7.5% 4.7% 384.9K -96.0M -229.0K 0.56 20.02 N/A N/A 40,464 22,464 791,712 578,208 2014-07-28 $1.70 $1.46 36.6% 12.4% 33.8% 33.2% 47.2% 7.5% 1.2% 510.6K -99.3M -213.7K 0.65 49.23 N/A N/A 25,152 16,272 816,048 590,832 2014-07-29 $1.69 $1.44 32.5% 12.3% 34.0% 21.1% 0.0% 8.8% 6.1% 654.8K -97.6M -243.4K 0.81 22.67 N/A N/A 25,728 20,784 834,864 596,256 2014-07-30 $1.71 $1.44 35.5% 12.1% 32.4% 30.0% 46.0% 10.2% 2.5% 644.4K -100.7M -242.7K 0.63 30.49 N/A N/A 35,376 22,368 842,832 603,840 2014-07-31 $1.61 $1.44 44.6% 13.0% 39.9% 56.8% 52.9% 10.1% 0.4% 185.9K -78.0M -265.1K 0.39 32.75 N/A N/A 128,112 50,208 834,768 611,856
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