TQQQ Options History — August 2014 In August 2014, TQQQ traded between $1.56 and $1.85. ATM implied volatility averaged 36.6%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 1.9% (HV 20d: 34.7%). Max pain ranged from $1.25 to $1.35. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.35.
Notable Days 2014-08-18 : Highest Volume — 220,896 contracts2014-08-13 : Largest IV drop — 24.0% change2014-08-05 : Highest IV Rank — 61.7%2014-08-06 : Largest Expected Move — 13.7%Monthly Statistics Metric Avg Min Max Open Close Price $1.72 $1.56 $1.85 $1.59 $1.85 Max Pain $1.29 $1.25 $1.35 $1.25 $1.35 ATM IV 36.6% 30.1% 46.3% 44.0% 30.8% Expected Move 12.7% 11.3% 13.7% 13.4% 11.3% HV 20d 34.7% 20.8% 40.1% 39.4% 20.8% HV 60d 29.6% 28.3% 31.4% 30.8% 28.3% IV Rank 33.1% 14.1% 61.7% 55.1% 16.1% IV Percentile 33.4% 2.4% 84.1% 78.2% 4.4% Term Structure 3.8% 0.4% 8.0% 0.4% 3.8% VWIV 43.5% 37.9% 52.4% 40.5% 42.8% Skew 25d 9.9% 5.5% 15.1% 15.1% 5.5% Skew 10d 18.2% 5.6% 25.7% 25.7% 12.4% Call IV 25d 32.8% 26.6% 40.6% 39.5% 26.8% Put IV 25d 42.7% 32.4% 54.6% 54.6% 32.4% Bid-Ask Spread % 26.78 13.81 50.43 45.59 38.51 Gamma HHI 0.05 0.04 0.10 0.04 0.06 Net GEX 372.2K -15.1K 1.1M 192.3K 468.5K Net DEX -102.7M -128.4M -71.1M -75.8M -128.4M Net VEX -250.8K -293.5K -224.7K -263.9K -234.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.35 0.26 5.29 0.48 1.05 Total Volume 82,326.857 18,096 220,896 155,856 51,072 Total OI 1,626,009.143 1,437,648 1,737,360 1,532,688 1,658,592
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 2014-08-01 $1.59 $1.25 44.0% 13.4% 39.4% 55.1% 40.5% 15.1% 0.4% 192.3K -75.8M -263.9K 0.48 45.59 N/A N/A 105,264 50,592 896,016 636,672 2014-08-04 $1.62 $1.25 42.7% 13.2% 40.1% 51.3% 52.4% 11.1% 0.7% 439.4K -83.3M -275.8K 0.77 28.47 N/A N/A 46,656 35,952 935,232 663,600 2014-08-05 $1.58 $1.25 46.3% 13.4% 38.9% 61.7% 46.8% 9.8% 3.4% 156.2K -73.4M -287.7K 0.40 30.52 N/A N/A 35,472 14,352 960,720 687,312 2014-08-06 $1.58 $1.25 46.2% 13.7% 38.0% 61.5% 0.0% 14.0% 2.6% 172.3K -74.7M -293.5K 0.26 27.00 N/A N/A 22,368 5,904 975,120 695,520 2014-08-07 $1.56 $1.25 46.3% 13.6% 38.0% 61.7% 0.0% 12.1% 4.7% -15.1K -71.1M -279.8K 0.31 27.53 N/A N/A 34,656 10,608 971,952 697,824 2014-08-08 $1.60 $1.25 43.8% 13.7% 38.3% 54.5% 0.0% 10.6% 4.1% 43.4K -76.8M -281.4K 0.30 32.12 N/A N/A 36,720 11,088 984,144 703,104 2014-08-11 $1.63 $1.25 39.1% 13.5% 38.2% 40.5% 0.0% 11.4% 3.4% 456.7K -87.8M -272.8K 0.88 21.86 N/A N/A 22,368 19,584 991,632 708,192 2014-08-12 $1.62 $1.25 42.5% 13.3% 38.1% 50.6% 37.9% 10.2% 1.2% 118.9K -85.7M -262.7K 0.80 18.24 N/A N/A 10,032 8,064 996,096 723,120 2014-08-13 $1.67 $1.25 32.3% 12.9% 39.6% 20.6% 47.5% 11.5% 5.4% 1.1M -104.9M -248.2K 1.91 26.84 N/A N/A 43,056 82,176 998,976 726,000 2014-08-14 $1.70 $1.25 36.1% 12.7% 36.7% 31.6% 46.5% 10.3% 8.0% 845.7K -111.5M -232.3K 0.96 14.49 N/A N/A 59,808 57,360 968,976 720,576 2014-08-15 $1.72 $1.25 34.2% 12.5% 33.3% 26.1% 0.0% 11.0% 5.3% 499.6K -111.9M -235.0K 0.52 20.45 N/A N/A 120,960 62,688 996,528 740,832 2014-08-18 $1.77 $1.25 33.0% 12.2% 34.2% 22.6% 46.5% 9.8% 2.8% 674.1K -112.7M -224.7K 5.29 28.72 N/A N/A 35,136 185,760 885,024 552,624 2014-08-19 $1.80 $1.35 31.8% 12.1% 34.0% 19.1% 40.3% 9.1% 3.5% 548.0K -116.5M -228.9K 1.96 22.01 N/A N/A 29,760 58,272 892,608 594,864 2014-08-20 $1.80 $1.35 33.2% 12.2% 33.5% 23.1% 42.2% 8.8% 4.3% 445.0K -115.1M -240.9K 2.18 15.74 N/A N/A 35,184 76,608 901,584 627,024 2014-08-21 $1.81 $1.35 31.3% 12.1% 33.5% 17.7% 37.9% 8.5% 4.1% 240.4K -115.5M -237.3K 1.19 21.71 N/A N/A 31,392 37,248 905,712 658,896 2014-08-22 $1.81 $1.35 32.2% 11.9% 33.0% 20.2% 40.3% 9.0% 3.6% 240.0K -117.0M -239.7K 1.37 15.79 N/A N/A 23,904 32,688 914,880 667,728 2014-08-25 $1.83 $1.35 30.8% 12.0% 33.1% 16.0% 44.3% 7.6% 4.8% 150.6K -122.5M -227.5K 4.45 50.43 N/A N/A 19,536 86,880 924,864 690,720 2014-08-26 $1.84 $1.35 31.3% 11.8% 33.0% 17.5% 0.0% 7.7% 4.0% 292.2K -123.5M -229.5K 0.43 27.94 N/A N/A 28,032 11,952 928,176 689,424 2014-08-27 $1.84 $1.35 30.1% 12.1% 32.9% 14.1% 0.0% 6.9% 4.9% 383.3K -124.7M -227.9K 2.10 13.81 N/A N/A 19,296 40,512 937,920 691,344 2014-08-28 $1.83 $1.35 30.2% 12.1% 21.9% 14.4% 0.0% 7.2% 4.4% 404.0K -123.0M -242.0K 0.83 34.58 N/A N/A 16,368 13,536 951,840 694,224 2014-08-29 $1.85 $1.35 30.8% 11.3% 20.8% 16.1% 42.8% 5.5% 3.8% 468.5K -128.4M -234.6K 1.05 38.51 N/A N/A 24,912 26,160 956,352 702,240
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