TQQQ Options History — July 2015 In July 2015, TQQQ traded between $2.15 and $2.65. ATM implied volatility averaged 43.2%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 1.0% (HV 20d: 44.3%). Max pain ranged from $2.10 to $2.40. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.07.
Notable Days 2015-07-17 : Highest Volume — 633,744 contracts2015-07-08 : Largest IV spike — 14.6% change2015-07-09 : Highest IV Rank — 59.5%2015-07-08 : Largest Expected Move — 15.8%Monthly Statistics Metric Avg Min Max Open Close Price $2.42 $2.15 $2.65 $2.26 $2.51 Max Pain $2.26 $2.10 $2.40 $2.29 $2.40 ATM IV 43.2% 35.1% 55.9% 48.5% 38.2% Expected Move 12.4% 10.1% 15.8% 14.2% 10.1% HV 20d 44.3% 37.9% 50.5% 39.7% 43.9% HV 60d 40.5% 38.8% 42.1% 39.4% 38.8% IV Rank 31.2% 11.4% 59.5% 48.2% 18.8% IV Percentile 52.3% 11.9% 92.9% 80.2% 25.0% Term Structure 0.1% -2.1% 2.5% -0.3% -0.2% VWIV 44.3% 38.3% 53.6% 49.7% 39.1% Skew 25d 13.6% 5.3% 19.0% 15.7% 12.8% Skew 10d 24.5% 10.0% 35.8% 29.2% 21.9% Call IV 25d 36.8% 31.0% 47.4% 40.8% 31.9% Put IV 25d 50.5% 39.1% 65.0% 56.5% 44.7% Bid-Ask Spread % 45.17 30.68 59.78 56.15 55.08 Gamma HHI 0.06 0.03 0.10 0.04 0.05 Net GEX 1.3M -245.6K 3.8M 146.0K 1.1M Net DEX -66.9M -151.8M -17.1M -32.8M -84.4M Net VEX -358.3K -406.5K -321.0K -340.7K -406.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.07 0.92 1.38 0.94 1.06 Total Volume 466,186.909 370,224 633,744 437,328 550,944 Total OI 1,353,973.091 1,098,048 1,559,712 1,248,336 1,559,712
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 2015-07-01 $2.26 $2.29 48.5% 14.2% 39.7% 48.2% 49.7% 15.7% -0.3% 146.0K -32.8M -340.7K 0.94 56.15 N/A N/A 225,792 211,536 651,888 596,448 2015-07-02 $2.28 $2.29 47.3% 14.6% 39.0% 45.6% 49.7% 15.6% 0.8% 602.9K -38.2M -346.3K 0.92 59.78 N/A N/A 237,696 218,976 686,640 615,456 2015-07-06 $2.25 $2.19 48.9% 14.3% 39.3% 48.9% 51.8% 16.9% 2.5% 311.2K -31.3M -336.0K 0.94 30.99 N/A N/A 191,136 179,088 586,368 511,680 2015-07-07 $2.26 $2.10 48.4% 13.8% 37.9% 44.0% 49.5% 15.8% -0.5% 597.6K -35.1M -339.2K 0.97 31.98 N/A N/A 208,128 201,360 621,600 548,112 2015-07-08 $2.15 $2.10 55.4% 15.8% 41.5% 58.4% 53.6% 16.8% 0.2% -196.1K -17.1M -346.3K 0.97 38.19 N/A N/A 206,352 200,832 676,368 601,488 2015-07-09 $2.16 $2.10 55.9% 15.5% 38.3% 59.5% 52.4% 19.0% 1.8% -245.6K -19.1M -353.6K 1.02 30.68 N/A N/A 200,496 205,152 706,416 630,720 2015-07-10 $2.25 $2.10 48.1% 13.8% 41.9% 41.5% 50.1% 15.3% 0.0% 603.6K -40.6M -352.7K 1.22 34.32 N/A N/A 219,936 268,752 718,368 647,664 2015-07-13 $2.36 $2.10 42.1% 12.1% 44.8% 27.7% 44.5% 11.6% 0.1% 1.7M -64.4M -337.1K 0.94 33.27 N/A N/A 247,536 231,504 660,672 594,336 2015-07-14 $2.41 $2.10 39.1% 11.5% 44.8% 20.8% 42.5% 13.9% -0.2% 3.4M -83.8M -334.5K 1.11 46.60 N/A N/A 226,704 250,944 724,848 622,752 2015-07-15 $2.41 $2.19 39.6% 11.4% 44.6% 21.9% 40.4% 13.9% 0.0% 3.8M -81.0M -347.8K 1.04 48.63 N/A N/A 236,304 245,904 757,200 667,488 2015-07-16 $2.51 $2.19 35.1% 10.3% 46.7% 11.4% 38.3% 8.0% -0.2% 3.8M -125.6M -324.1K 1.33 51.87 N/A N/A 225,648 300,096 798,288 700,800 2015-07-17 $2.62 $2.23 36.4% 10.4% 47.3% 14.4% 39.3% 5.3% -2.1% 2.2M -151.8M -321.0K 1.25 54.57 N/A N/A 281,232 352,512 805,872 739,680 2015-07-20 $2.65 $2.21 37.8% 10.8% 47.2% 17.8% 40.6% 12.7% 1.1% 1.3M -107.0M -345.1K 0.98 47.79 N/A N/A 215,424 210,144 641,952 570,864 2015-07-21 $2.65 $2.40 39.5% 11.3% 46.9% 21.7% 41.2% 11.9% 0.5% 1.2M -105.3M -363.6K 1.38 47.18 N/A N/A 161,664 222,288 679,632 626,064 2015-07-22 $2.56 $2.40 37.5% 10.7% 49.0% 17.0% 40.7% 11.7% -0.0% 717.1K -79.9M -379.4K 1.24 44.18 N/A N/A 199,632 247,968 691,488 659,904 2015-07-23 $2.52 $2.40 40.7% 11.7% 49.0% 24.5% 40.9% 12.8% -1.9% 624.3K -69.8M -384.9K 1.22 43.70 N/A N/A 208,704 255,360 716,112 715,680 2015-07-24 $2.46 $2.40 43.2% 12.4% 49.9% 30.1% 43.4% 12.6% -0.5% 424.5K -50.5M -372.7K 1.07 45.21 N/A N/A 244,176 262,080 746,976 748,560 2015-07-27 $2.39 $2.40 48.4% 13.7% 50.5% 42.2% 47.1% 16.8% -1.0% 397.1K -39.6M -383.7K 1.02 39.49 N/A N/A 218,736 223,392 646,752 639,936 2015-07-28 $2.45 $2.40 41.8% 11.7% 43.7% 26.9% 42.3% 13.6% -0.4% 1.1M -55.0M -389.4K 0.95 46.90 N/A N/A 237,360 226,608 694,752 662,448 2015-07-29 $2.50 $2.40 41.0% 11.5% 43.8% 25.1% 38.8% 10.0% 1.1% 2.0M -74.7M -373.5K 0.93 56.03 N/A N/A 236,784 219,648 743,712 680,688 2015-07-30 $2.52 $2.40 38.6% 11.3% 43.7% 19.6% 39.6% 17.0% 1.9% 2.2M -85.6M -404.7K 1.12 51.07 N/A N/A 255,456 286,128 779,808 711,216 2015-07-31 $2.51 $2.40 38.2% 10.1% 43.9% 18.8% 39.1% 12.8% -0.2% 1.1M -84.4M -406.5K 1.06 55.08 N/A N/A 266,832 284,112 797,616 762,096
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