TQQQ Options History — March 2017 In March 2017, TQQQ traded between $3.48 and $3.70. ATM implied volatility averaged 30.8%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 8.1% (HV 20d: 22.7%). Max pain ranged from $2.92 to $3.46. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.27.
Notable Days 2017-03-31 : Highest Volume — 315,912 contracts2017-03-21 : Largest IV spike — 16.9% change2017-03-24 : Highest IV Rank — 13.3%2017-03-01 : Largest Expected Move — 9.9%Monthly Statistics Metric Avg Min Max Open Close Price $3.58 $3.48 $3.70 $3.60 $3.70 Max Pain $3.35 $2.92 $3.46 $2.92 $3.46 ATM IV 30.8% 25.1% 35.1% 32.2% 29.6% Expected Move 8.6% 7.1% 9.9% 9.9% 7.6% HV 20d 22.7% 19.1% 27.0% 19.1% 22.2% HV 60d 23.3% 20.9% 25.5% 24.9% 20.9% IV Rank 4.4% 0.0% 13.3% 2.9% 5.9% IV Percentile 4.9% 0.0% 17.9% 4.8% 2.8% Term Structure 0.7% -8.5% 5.1% 0.8% 0.3% VWIV 30.6% 21.7% 35.3% 34.3% 25.6% Skew 25d 7.2% 1.1% 11.3% 7.8% 9.2% Skew 10d 14.6% 7.6% 21.6% 14.7% 12.0% Call IV 25d 28.7% 22.8% 43.3% 28.2% 26.4% Put IV 25d 35.9% 29.8% 44.3% 36.0% 35.6% Bid-Ask Spread % 63.14 45.40 89.88 85.25 71.88 Gamma HHI 0.07 0.03 0.23 0.10 0.11 Net GEX 931.1K -433.8K 3.4M 1.3M 1.7M Net DEX -117.3M -139.4M -89.5M -135.0M -131.8M Net VEX -716.6K -737.8K -694.1K -706.4K -700.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.27 0.82 1.78 1.37 1.50 Total Volume 230,707.826 183,144 315,912 216,552 315,912 Total OI 1,506,073.043 1,286,184 1,669,584 1,529,040 1,480,248
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 2017-03-01 $3.60 $2.92 32.2% 9.9% 19.1% 2.9% 34.3% 7.8% 0.8% 1.3M -135.0M -706.4K 1.37 85.25 N/A N/A 91,320 125,232 707,496 821,544 2017-03-02 $3.53 $2.92 32.8% 8.6% 20.6% 3.8% 32.7% 3.8% 2.4% 1.4M -121.9M -727.0K 1.78 82.44 N/A N/A 72,528 128,928 726,048 835,056 2017-03-03 $3.55 $2.92 30.3% 7.6% 20.2% 0.2% 28.3% 5.2% 2.0% 2.0M -123.9M -733.3K 1.63 89.88 N/A N/A 79,272 128,832 730,584 848,736 2017-03-06 $3.54 $3.29 30.0% 9.1% 20.4% 0.0% 35.3% 6.1% 1.2% 316.4K -113.2M -718.6K 1.50 47.22 N/A N/A 75,672 113,496 704,904 827,256 2017-03-07 $3.50 $3.29 31.6% 9.3% 21.3% 2.2% 33.9% 6.2% 0.1% -60.6K -107.5M -716.0K 1.59 45.40 N/A N/A 71,784 113,904 714,408 837,192 2017-03-08 $3.53 $3.29 31.1% 8.8% 21.3% 1.5% 34.3% 6.9% 1.0% 226.1K -110.4M -712.3K 1.16 47.89 N/A N/A 98,712 114,240 713,400 844,536 2017-03-09 $3.54 $3.33 32.1% 8.9% 21.2% 2.9% 33.7% 8.3% -6.4% 918.3K -114.1M -716.6K 1.21 53.43 N/A N/A 94,008 114,000 731,520 848,664 2017-03-10 $3.57 $3.29 29.3% 8.6% 21.2% 0.0% 31.2% 7.6% 1.3% 3.4M -125.6M -720.3K 1.45 52.38 N/A N/A 86,328 124,776 750,240 851,280 2017-03-13 $3.60 $3.37 29.4% 8.8% 21.1% 0.1% 32.5% 7.3% 0.7% 564.1K -124.1M -722.1K 1.73 47.09 N/A N/A 67,056 116,088 723,888 834,648 2017-03-14 $3.57 $3.46 32.1% 9.2% 21.1% 4.0% 34.4% 7.0% -0.5% 146.0K -119.0M -719.7K 1.47 55.96 N/A N/A 80,208 117,528 733,392 849,120 2017-03-15 $3.65 $3.46 27.7% 7.1% 22.2% 0.0% 31.8% 7.8% -8.5% 1.5M -138.9M -711.3K 0.82 87.06 N/A N/A 142,464 116,616 749,016 851,928 2017-03-16 $3.63 $3.46 29.3% 8.8% 21.8% 2.2% 30.2% 7.0% 1.4% 2.0M -139.4M -719.7K 1.01 54.09 N/A N/A 117,648 119,328 802,008 862,056 2017-03-17 $3.63 $3.46 28.2% 7.9% 21.7% 0.7% 27.8% 5.1% -1.9% 2.7M -137.3M -714.0K 0.96 62.13 N/A N/A 130,368 125,736 801,240 868,344 2017-03-20 $3.63 $3.46 25.1% 7.1% 21.5% 0.0% 21.7% 7.0% 4.3% 495.9K -111.6M -694.1K 0.86 47.68 N/A N/A 105,264 90,504 596,592 689,592 2017-03-21 $3.48 $3.46 29.4% 8.4% 26.1% 5.7% 26.9% 11.3% 5.1% -192.4K -94.8M -701.0K 1.15 79.95 N/A N/A 114,960 131,640 602,616 701,712 2017-03-22 $3.54 $3.42 31.5% 9.0% 26.8% 8.5% 32.9% 10.4% 1.0% -433.8K -89.5M -725.9K 1.28 53.13 N/A N/A 109,536 140,472 627,240 750,792 2017-03-23 $3.51 $3.42 34.3% 9.7% 26.5% 12.2% 31.5% 8.4% 3.6% -388.8K -90.2M -736.1K 1.19 50.07 N/A N/A 114,312 136,464 635,520 771,816 2017-03-24 $3.55 $3.46 35.1% 9.8% 26.7% 13.3% 32.1% 9.1% 4.2% -82.5K -95.5M -737.8K 1.24 59.32 N/A N/A 118,728 146,952 646,416 787,920 2017-03-27 $3.56 $3.46 33.9% 9.6% 26.7% 11.7% 33.1% 10.2% -0.3% 20.9K -97.3M -722.9K 0.96 70.81 N/A N/A 132,792 127,080 633,552 770,928 2017-03-28 $3.63 $3.46 31.6% 8.7% 27.0% 8.6% 24.7% 1.1% 3.5% 929.9K -118.0M -717.9K 1.06 67.81 N/A N/A 124,512 132,048 659,640 786,312 2017-03-29 $3.66 $3.46 30.7% 7.9% 23.5% 7.4% 28.0% 6.8% 0.6% 1.4M -126.2M -704.9K 1.12 76.98 N/A N/A 114,552 128,160 666,192 794,688 2017-03-30 $3.68 $3.46 30.5% 7.6% 22.2% 7.1% 26.8% 5.5% -0.4% 1.5M -132.1M -702.4K 1.17 64.35 N/A N/A 118,248 138,072 668,520 800,880 2017-03-31 $3.70 $3.46 29.6% 7.6% 22.2% 5.9% 25.6% 9.2% 0.3% 1.7M -131.8M -700.7K 1.50 71.88 N/A N/A 126,168 189,744 665,928 814,320
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