TQQQ Options History — July 2016

In July 2016, TQQQ traded between $2.00 and $2.47. ATM implied volatility averaged 40.5%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 18.0% (HV 20d: 58.4%). Max pain ranged from $1.87 to $2.15. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2016-07-29: Highest Volume — 666,192 contracts
  • 2016-07-11: Largest IV drop — 7.9% change
  • 2016-07-05: Highest IV Rank — 15.8%
  • 2016-07-05: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.26$2.00$2.47$2.04$2.47
Max Pain$2.02$1.87$2.15$2.10$2.15
ATM IV40.5%36.0%46.9%45.4%36.0%
Expected Move11.6%9.7%13.8%11.9%9.7%
HV 20d58.4%27.5%68.8%65.5%27.5%
HV 60d47.4%46.0%48.1%47.1%46.0%
IV Rank6.1%0.0%15.8%13.8%0.0%
IV Percentile9.0%0.0%36.9%27.8%0.0%
Term Structure0.9%-3.5%5.4%2.5%1.5%
VWIV44.0%40.0%47.3%44.2%40.0%
Skew 25d11.2%0.3%25.8%25.8%12.1%
Skew 10d25.1%18.1%45.9%45.9%24.7%
Call IV 25d36.9%31.7%46.4%33.3%36.4%
Put IV 25d48.2%40.8%59.1%59.1%48.5%
Bid-Ask Spread %49.4827.9090.3990.3970.90
Gamma HHI0.070.040.190.050.09
Net GEX3.1M1.9M5.7M1.9M4.7M
Net DEX-130.2M-209.1M-45.8M-76.5M-209.1M
Net VEX-985.9K-1.1M-931.0K-950.9K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.741.540.741.35
Total Volume534,177.6441,696666,192609,264666,192
Total OI3,041,488.82,856,0483,279,4083,149,1843,279,408

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$2.04$2.1045.4%11.9%65.5%13.8%44.2%25.8%2.5%1.9M-76.5M-950.9K0.7490.39N/AN/A350,928258,3361,758,6241,390,560
2016-07-05$2.00$1.8746.9%13.8%65.6%15.8%46.2%14.8%1.1%2.2M-45.8M-935.0K0.8631.67N/AN/A291,360250,3681,629,7441,298,976
2016-07-06$2.05$1.8746.4%13.8%66.4%15.2%47.0%12.0%3.8%2.6M-61.0M-931.0K0.9531.76N/AN/A275,040260,5921,653,9361,332,288
2016-07-07$2.06$1.9044.6%12.8%66.5%12.8%47.3%14.5%0.0%3.0M-70.8M-948.6K0.8727.90N/AN/A293,424255,7441,670,6401,367,328
2016-07-08$2.16$1.9242.6%12.3%68.8%10.1%46.3%9.2%3.1%2.6M-107.9M-940.5K0.9432.24N/AN/A306,432288,9121,682,5441,390,080
2016-07-11$2.20$1.9839.2%11.7%67.5%5.6%46.0%15.0%1.0%2.8M-108.4M-963.1K1.2229.00N/AN/A207,264253,6321,584,9601,348,032
2016-07-12$2.23$1.9841.7%11.6%66.7%9.0%46.3%19.8%-0.3%3.0M-123.9M-980.6K1.5433.26N/AN/A174,288268,4641,614,8641,377,552
2016-07-13$2.22$1.9840.4%11.7%66.8%7.2%46.8%12.9%0.2%2.9M-122.5M-979.6K1.5038.57N/AN/A176,688265,0081,627,6801,402,896
2016-07-14$2.26$1.9838.9%11.8%66.8%5.1%45.1%9.3%2.0%3.2M-133.8M-982.7K1.5148.79N/AN/A208,512315,0241,639,2961,416,816
2016-07-15$2.25$2.0039.4%11.0%66.9%5.8%44.2%2.6%-2.3%3.2M-135.9M-981.5K1.2846.81N/AN/A245,280314,2081,660,8961,471,728
2016-07-18$2.30$2.0238.8%11.2%65.3%3.4%43.2%9.3%0.2%2.4M-128.6M-975.0K0.9954.61N/AN/A258,048255,3601,517,6641,338,384
2016-07-19$2.26$2.0240.1%11.4%65.6%3.6%42.6%11.6%5.4%2.5M-122.9M-1.0M0.9545.31N/AN/A230,352218,7841,568,1601,373,616
2016-07-20$2.35$2.0437.3%10.7%66.6%0.0%40.0%8.1%-0.9%3.7M-159.6M-983.5K1.1153.05N/AN/A259,680287,6641,584,6721,385,904
2016-07-21$2.33$2.0839.0%11.3%66.7%2.3%42.7%6.6%-3.5%3.9M-156.9M-1.0M1.2060.76N/AN/A221,520265,8721,630,8961,434,528
2016-07-22$2.36$2.0836.8%10.4%65.7%0.0%42.0%10.8%1.3%5.7M-161.5M-1.0M1.1154.10N/AN/A242,544270,0961,636,5601,462,368
2016-07-25$2.35$2.0839.1%11.2%48.0%3.1%43.0%11.9%0.4%2.8M-151.1M-995.6K1.1752.52N/AN/A226,464264,3841,581,8401,384,800
2016-07-26$2.37$2.0839.8%11.2%35.7%4.1%43.8%7.3%0.7%2.8M-156.0M-1.0M1.4852.58N/AN/A215,712319,4881,604,5441,432,608
2016-07-27$2.42$2.0839.0%12.1%31.5%3.0%41.1%11.2%1.1%3.0M-177.8M-1.0M1.1161.75N/AN/A286,368317,8561,613,4721,491,936
2016-07-28$2.45$2.1538.1%10.7%28.5%1.7%42.9%0.3%0.9%3.4M-194.1M-1.0M1.3573.55N/AN/A263,136354,5281,662,6721,526,304
2016-07-29$2.47$2.1536.0%9.7%27.5%0.0%40.0%12.1%1.5%4.7M-209.1M-1.1M1.3570.90N/AN/A283,728382,4641,705,5361,573,872