TQQQ Options History — August 2016 In August 2016, TQQQ traded between $2.44 and $2.62. ATM implied volatility averaged 36.9%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 15.1% (HV 20d: 21.8%). Max pain ranged from $1.92 to $2.19. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.63.
Notable Days 2016-08-02 : Highest Volume — 611,328 contracts2016-08-24 : Largest IV spike — 10.8% change2016-08-25 : Highest IV Rank — 10.7%2016-08-04 : Largest Expected Move — 11.6%Monthly Statistics Metric Avg Min Max Open Close Price $2.55 $2.44 $2.62 $2.50 $2.53 Max Pain $2.02 $1.92 $2.19 $2.17 $2.02 ATM IV 36.9% 33.8% 40.5% 36.0% 39.7% Expected Move 10.4% 9.5% 11.6% 10.0% 10.0% HV 20d 21.8% 17.9% 27.2% 27.2% 17.9% HV 60d 44.0% 42.4% 46.2% 45.9% 42.6% IV Rank 4.1% 0.0% 10.7% 0.0% 9.5% IV Percentile 4.4% 0.0% 13.9% 0.0% 13.1% Term Structure 1.4% -1.6% 6.5% 0.4% 0.7% VWIV 40.2% 36.7% 44.0% 41.6% 37.9% Skew 25d 12.7% 5.2% 20.3% 15.6% 15.5% Skew 10d 20.2% -0.2% 31.6% 10.4% 23.6% Call IV 25d 32.7% 28.5% 39.0% 31.4% 33.8% Put IV 25d 45.4% 39.5% 53.5% 47.0% 49.3% Bid-Ask Spread % 61.49 45.60 76.12 70.06 73.26 Gamma HHI 0.10 0.07 0.31 0.09 0.09 Net GEX 2.9M 1.0M 8.1M 2.8M 1.7M Net DEX -209.6M -245.0M -180.1M -201.2M -181.4M Net VEX -1.0M -1.1M -973.0K -1.1M -973.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.63 1.35 2.00 1.37 1.62 Total Volume 486,609.391 71,040 611,328 601,248 489,264 Total OI 3,346,071.652 3,135,264 3,481,392 3,135,264 3,328,176
Daily Data (23 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 2016-08-01 $2.50 $2.17 36.0% 10.0% 27.2% 0.0% 41.6% 15.6% 0.4% 2.8M -201.2M -1.1M 1.37 70.06 N/A N/A 254,160 347,088 1,633,008 1,502,256 2016-08-02 $2.44 $2.19 38.3% 10.9% 26.9% 3.1% 44.0% 15.8% 0.7% 2.6M -180.1M -1.1M 1.51 68.20 N/A N/A 243,600 367,728 1,679,760 1,542,432 2016-08-03 $2.46 $2.19 38.4% 10.4% 26.4% 3.4% 37.5% 14.7% 0.4% 2.9M -184.7M -1.1M 1.43 73.42 N/A N/A 239,328 342,192 1,698,048 1,606,848 2016-08-04 $2.48 $1.92 36.5% 11.6% 26.3% 0.7% 40.4% 14.9% 0.9% 3.6M -199.7M -1.1M 1.51 45.60 N/A N/A 238,512 359,856 1,715,280 1,623,936 2016-08-05 $2.56 $1.96 33.8% 10.4% 23.7% 0.0% 40.7% 10.9% 0.0% 3.3M -245.0M -1.1M 1.61 52.21 N/A N/A 219,648 352,752 1,736,064 1,653,360 2016-08-08 $2.54 $1.96 36.8% 10.4% 23.8% 4.0% 40.1% 5.2% -1.6% 3.3M -224.0M -1.1M 1.44 52.65 N/A N/A 234,432 337,440 1,678,512 1,594,608 2016-08-09 $2.57 $1.98 34.5% 10.5% 23.7% 1.0% 42.1% 8.5% 1.3% 3.8M -231.7M -1.1M 1.79 52.78 N/A N/A 197,664 353,328 1,738,800 1,615,440 2016-08-10 $2.54 $1.98 36.5% 10.8% 23.9% 3.6% 42.8% 11.2% 0.0% 3.5M -219.2M -1.1M 1.84 53.97 N/A N/A 195,312 358,416 1,736,496 1,640,112 2016-08-11 $2.58 $1.98 34.8% 10.3% 23.6% 1.3% 42.7% 12.7% 0.7% 5.7M -231.8M -1.1M 1.72 52.70 N/A N/A 188,304 324,048 1,742,544 1,677,744 2016-08-12 $2.58 $1.98 33.8% 10.1% 23.3% 0.1% 40.6% 7.4% 2.3% 8.1M -232.0M -1.1M 1.54 52.43 N/A N/A 225,072 346,272 1,752,864 1,694,064 2016-08-15 $2.62 $1.98 35.4% 10.3% 22.8% 2.2% 41.1% 13.1% 3.8% 2.5M -238.4M -1.0M 1.35 56.62 N/A N/A 235,728 317,808 1,709,664 1,666,080 2016-08-16 $2.58 $1.98 37.8% 10.9% 22.9% 5.4% 42.4% 12.8% 3.0% 2.6M -221.2M -1.1M 1.46 55.20 N/A N/A 217,632 316,896 1,718,736 1,688,880 2016-08-17 $2.59 $1.98 37.6% 10.8% 19.4% 5.0% 41.8% 11.1% 6.5% 2.8M -214.6M -1.1M 1.41 66.54 N/A N/A 31,152 43,824 1,714,080 1,705,200 2016-08-18 $2.59 $2.00 35.9% 10.1% 18.7% 2.7% 37.4% 12.1% 2.9% 3.4M -218.2M -1.1M 1.77 57.86 N/A N/A 27,744 49,152 1,724,976 1,727,760 2016-08-19 $2.59 $2.02 34.4% 9.5% 18.7% 0.8% 37.4% 9.9% 3.8% 1.8M -219.6M -1.0M 1.52 61.23 N/A N/A 232,368 352,896 1,729,392 1,752,000 2016-08-22 $2.59 $2.02 36.0% 9.6% 18.6% 2.9% 37.2% 12.4% 2.2% 2.4M -209.7M -1.0M 1.77 60.51 N/A N/A 180,432 319,872 1,648,704 1,622,064 2016-08-23 $2.61 $2.02 35.4% 9.5% 18.6% 2.1% 38.0% 12.3% 1.0% 2.3M -222.6M -1.0M 1.83 61.99 N/A N/A 176,208 322,032 1,658,112 1,647,072 2016-08-24 $2.55 $2.02 39.2% 10.7% 19.6% 8.7% 41.8% 20.3% 0.5% 1.7M -193.4M -1.0M 2.00 68.04 N/A N/A 23,664 47,376 1,663,680 1,662,864 2016-08-25 $2.54 $2.02 40.5% 11.1% 19.5% 10.7% 41.9% 13.0% 0.3% 1.4M -182.8M -1.0M 1.83 58.63 N/A N/A 187,200 343,392 1,681,152 1,684,848 2016-08-26 $2.55 $2.02 38.3% 10.5% 19.5% 7.2% 38.8% 12.1% 3.2% 1.0M -189.0M -1.0M 1.69 76.12 N/A N/A 211,200 356,112 1,690,512 1,704,384 2016-08-29 $2.56 $2.02 39.6% 10.2% 19.2% 9.3% 39.9% 16.2% 0.0% 2.1M -198.0M -994.9K 1.85 72.01 N/A N/A 173,040 319,536 1,652,976 1,609,248 2016-08-30 $2.53 $2.02 39.9% 9.9% 18.0% 9.8% 36.7% 14.0% -0.4% 1.6M -183.2M -992.4K 1.63 72.27 N/A N/A 187,392 304,944 1,668,240 1,638,672 2016-08-31 $2.53 $2.02 39.7% 10.0% 17.9% 9.5% 37.9% 15.5% 0.7% 1.7M -181.4M -973.0K 1.62 73.26 N/A N/A 186,672 302,592 1,681,008 1,647,168
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