TQQQ Options History — August 2015 In August 2015, TQQQ traded between $1.73 and $2.53. ATM implied volatility averaged 59.0%, placing in the 48.5% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded above realized volatility by 6.8% (HV 20d: 52.2%). Max pain ranged from $1.98 to $2.40. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.00.
Notable Days 2015-08-21 : Highest Volume — 817,152 contracts2015-08-24 : Largest IV spike — 35.9% change2015-08-21 : Highest IV Rank — 100.0%2015-08-24 : Largest Expected Move — 33.3%Monthly Statistics Metric Avg Min Max Open Close Price $2.25 $1.73 $2.53 $2.49 $1.99 Max Pain $2.12 $1.98 $2.40 $2.40 $1.98 ATM IV 59.0% 39.6% 109.5% 40.2% 79.8% Expected Move 17.3% 10.3% 33.3% 11.8% 24.4% HV 20d 52.2% 35.0% 83.9% 43.6% 83.9% HV 60d 44.9% 38.0% 59.1% 38.6% 59.1% IV Rank 48.5% 21.8% 100.0% 23.2% 62.2% IV Percentile 74.3% 36.9% 100.0% 41.7% 98.4% Term Structure -0.8% -6.9% 3.1% 0.4% -0.3% VWIV 60.4% 39.4% 113.0% 43.2% 84.5% Skew 25d 19.6% 11.1% 43.6% 12.8% 32.0% Skew 10d 34.8% 19.8% 59.6% 21.6% 57.4% Call IV 25d 49.2% 33.2% 89.7% 34.3% 64.0% Put IV 25d 68.9% 47.0% 133.3% 47.1% 96.0% Bid-Ask Spread % 51.76 37.82 69.47 58.91 46.61 Gamma HHI 0.04 0.02 0.15 0.05 0.02 Net GEX 544.6K -841.8K 2.0M 1.3M 649.8K Net DEX -29.8M -78.6M 46.7M -63.4M -14.6M Net VEX -449.4K -552.3K -395.2K -395.2K -542.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.00 0.53 2.65 2.65 0.93 Total Volume 563,456 153,120 817,152 153,120 653,568 Total OI 1,681,371.429 1,371,984 2,124,192 1,371,984 1,866,672
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 2015-08-03 $2.49 $2.40 40.2% 11.8% 43.6% 23.2% 43.2% 12.8% 0.4% 1.3M -63.4M -395.2K 2.65 58.91 N/A N/A 41,904 111,216 702,000 669,984 2015-08-04 $2.46 $2.40 41.0% 11.7% 44.0% 25.1% 41.4% 15.3% 0.4% 506.7K -55.9M -407.4K 1.08 63.69 N/A N/A 223,008 239,856 720,336 749,712 2015-08-05 $2.53 $2.40 39.6% 10.3% 39.8% 21.8% 39.4% 13.8% 0.5% 1.8M -78.6M -407.1K 1.14 61.57 N/A N/A 224,976 256,080 749,568 766,080 2015-08-06 $2.42 $2.08 45.1% 13.8% 44.0% 34.6% 46.3% 12.2% -2.4% -841.8K -38.1M -405.5K 1.06 37.82 N/A N/A 266,784 281,952 769,008 791,376 2015-08-07 $2.39 $2.08 45.9% 13.4% 41.9% 36.4% 47.2% 14.7% -1.6% -723.3K -28.9M -413.5K 1.06 38.59 N/A N/A 278,448 295,488 826,464 850,128 2015-08-10 $2.48 $2.08 42.6% 12.1% 40.4% 28.8% 45.7% 11.3% -1.5% 636.6K -60.6M -409.1K 0.93 43.46 N/A N/A 240,912 224,880 695,760 709,968 2015-08-11 $2.39 $2.08 46.1% 14.1% 42.2% 36.9% 46.4% 13.4% 2.0% -52.8K -40.7M -415.6K 0.53 45.14 N/A N/A 114,192 60,096 747,648 736,224 2015-08-12 $2.41 $2.10 45.6% 13.8% 42.3% 35.8% 49.1% 12.7% 2.2% 401.0K -46.9M -430.4K 0.92 39.48 N/A N/A 314,928 290,400 796,512 769,008 2015-08-13 $2.40 $2.10 45.2% 13.4% 39.2% 34.8% 47.7% 16.4% 2.6% 449.9K -46.0M -469.1K 0.95 46.64 N/A N/A 318,528 301,632 841,392 846,480 2015-08-14 $2.41 $2.10 43.9% 13.1% 35.5% 31.9% 45.0% 11.1% 2.2% 1.3M -50.5M -461.2K 0.99 46.82 N/A N/A 298,896 295,728 891,648 860,208 2015-08-17 $2.47 $2.10 42.4% 12.3% 36.3% 28.4% 43.2% 13.3% 1.7% 2.0M -65.1M -449.9K 0.91 49.67 N/A N/A 295,920 269,904 814,992 756,288 2015-08-18 $2.43 $2.13 43.7% 12.6% 36.5% 31.3% 49.3% 14.5% 3.1% 1.6M -57.2M -460.0K 1.09 53.44 N/A N/A 237,552 259,344 834,960 788,448 2015-08-19 $2.38 $2.13 49.1% 14.1% 35.0% 43.7% 49.3% 15.9% -2.4% 1.1M -46.4M -457.3K 0.65 55.15 N/A N/A 146,928 95,904 856,704 794,640 2015-08-20 $2.20 $2.13 59.5% 17.0% 44.7% 67.9% 58.9% 18.6% 1.2% -551.4K -213.4K -466.5K 0.88 48.70 N/A N/A 385,584 338,064 905,088 848,064 2015-08-21 $1.92 $2.13 80.6% 23.0% 63.0% 100.0% 77.1% 28.7% 3.0% 29.9K 46.7M -428.7K 0.92 47.48 N/A N/A 424,752 392,400 995,904 879,552 2015-08-24 $1.75 $2.10 109.5% 33.3% 69.6% 100.0% 113.0% 43.6% -5.9% 19.2K 28.7M -427.2K 0.82 67.36 N/A N/A 403,728 332,640 863,856 773,472 2015-08-25 $1.73 $2.00 94.5% 28.6% 67.7% 81.1% 95.3% 24.0% -5.7% 104.0K 25.0M -433.0K 0.87 69.47 N/A N/A 366,288 319,536 980,400 822,960 2015-08-26 $1.91 $1.98 87.5% 24.1% 79.0% 72.4% 84.5% 33.3% -4.0% 331.7K 10.9M -482.7K 0.90 66.24 N/A N/A 373,344 337,392 1,047,888 859,920 2015-08-27 $2.04 $1.98 78.6% 22.9% 83.4% 61.1% 78.5% 27.3% -6.9% 699.5K -16.3M -523.6K 0.78 51.98 N/A N/A 423,168 330,192 1,090,320 914,976 2015-08-28 $2.05 $1.98 78.1% 23.5% 83.7% 60.4% 82.4% 27.7% -4.5% 642.4K -27.4M -552.3K 0.96 48.77 N/A N/A 390,768 375,696 1,168,944 955,248 2015-08-31 $1.99 $1.98 79.8% 24.4% 83.9% 62.2% 84.5% 32.0% -0.3% 649.8K -14.6M -542.4K 0.93 46.61 N/A N/A 337,824 315,744 1,016,688 849,984
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