TQQQ Options History — May 2017 In May 2017, TQQQ traded between $4.00 and $4.44. ATM implied volatility averaged 31.3%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 4.2% (HV 20d: 27.1%). Max pain ranged from $2.60 to $3.62. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.80.
Notable Days 2017-05-18 : Highest Volume — 383,976 contracts2017-05-17 : Largest IV spike — 48.6% change2017-05-17 : Highest IV Rank — 21.8%2017-05-17 : Largest Expected Move — 11.9%Monthly Statistics Metric Avg Min Max Open Close Price $4.19 $4.00 $4.44 $4.09 $4.41 Max Pain $2.82 $2.60 $3.62 $3.58 $2.81 ATM IV 31.3% 27.9% 41.5% 28.3% 33.4% Expected Move 9.2% 8.0% 11.9% 9.0% 9.2% HV 20d 27.1% 20.7% 34.4% 24.2% 31.3% HV 60d 24.0% 21.8% 26.7% 22.1% 25.8% IV Rank 8.3% 3.7% 21.8% 4.2% 11.0% IV Percentile 15.3% 1.6% 68.3% 2.4% 25.0% Term Structure 1.4% -0.9% 3.5% 0.9% -0.0% VWIV 36.8% 32.5% 43.1% 32.5% 36.8% Skew 25d 8.7% 6.2% 13.7% 7.3% 7.6% Skew 10d 18.2% 7.7% 32.7% 7.7% 17.2% Call IV 25d 28.2% 25.6% 35.6% 26.9% 30.9% Put IV 25d 36.9% 32.9% 46.9% 34.3% 38.5% Bid-Ask Spread % 61.34 40.21 77.09 72.76 42.85 Gamma HHI 0.13 0.04 0.32 0.10 0.08 Net GEX 2.1M -50.1K 4.5M 2.5M 48.9K Net DEX -177.3M -214.4M -125.3M -180.7M -181.7M Net VEX -713.0K -775.3K -663.6K -663.6K -727.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.80 0.82 2.58 2.41 1.38 Total Volume 289,984.364 226,128 383,976 270,264 246,600 Total OI 1,693,008 1,601,520 1,835,040 1,601,520 1,702,200
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 2017-05-01 $4.09 $3.58 28.3% 9.0% 24.2% 4.2% 32.5% 7.3% 0.9% 2.5M -180.7M -663.6K 2.41 72.76 N/A N/A 79,248 191,016 679,056 922,464 2017-05-02 $4.09 $3.58 29.8% 8.5% 23.9% 6.2% 33.4% 7.5% 0.8% 2.4M -180.0M -684.0K 2.32 69.21 N/A N/A 84,024 194,904 693,120 939,504 2017-05-03 $4.05 $3.62 30.5% 8.8% 24.5% 7.2% 34.0% 8.9% -0.3% 2.6M -166.7M -726.0K 2.58 72.48 N/A N/A 75,048 193,680 698,664 955,584 2017-05-04 $4.06 $2.60 29.2% 9.1% 24.2% 5.5% 35.5% 6.5% 1.0% 2.9M -168.4M -702.8K 2.39 68.82 N/A N/A 77,952 186,648 695,784 973,536 2017-05-05 $4.09 $2.60 28.8% 9.2% 23.8% 4.9% 38.3% 6.9% 3.5% 4.5M -179.8M -706.5K 2.08 68.85 N/A N/A 94,320 196,080 702,912 980,448 2017-05-08 $4.11 $2.60 28.4% 9.1% 23.8% 4.3% 37.7% 7.4% 2.9% 2.2M -174.7M -690.3K 2.46 62.64 N/A N/A 83,376 205,464 671,952 943,248 2017-05-09 $4.16 $2.60 29.6% 9.2% 23.8% 5.9% 35.2% 7.7% 2.9% 2.1M -184.9M -681.2K 1.85 67.68 N/A N/A 113,352 209,976 674,664 966,216 2017-05-10 $4.16 $2.60 29.3% 8.9% 21.9% 5.6% 37.0% 6.2% 1.9% 2.4M -184.7M -698.9K 2.10 57.28 N/A N/A 105,864 222,192 692,976 988,200 2017-05-11 $4.17 $2.69 30.0% 9.3% 21.3% 6.5% 38.2% 7.2% 3.2% 2.9M -182.7M -708.4K 2.31 68.15 N/A N/A 99,456 229,776 700,824 1,021,680 2017-05-12 $4.19 $2.71 30.1% 9.1% 20.9% 6.7% 38.1% 7.8% 2.6% 3.0M -188.1M -718.9K 2.34 75.67 N/A N/A 103,080 241,536 705,648 1,034,040 2017-05-15 $4.23 $2.71 30.6% 9.0% 20.7% 7.3% 37.0% 7.9% 0.6% 3.0M -192.7M -687.8K 2.23 59.62 N/A N/A 99,024 220,560 682,224 997,032 2017-05-16 $4.28 $2.71 27.9% 8.0% 20.7% 3.7% 38.0% 8.1% 2.6% 3.0M -199.0M -673.2K 2.27 55.73 N/A N/A 94,800 215,064 676,248 1,010,832 2017-05-17 $4.00 $2.71 41.5% 11.9% 34.4% 21.8% 43.1% 11.1% -0.9% 926.7K -125.3M -750.7K 1.66 77.09 N/A N/A 139,224 231,096 681,072 1,022,520 2017-05-18 $4.07 $2.71 38.7% 11.0% 33.4% 18.1% 40.3% 13.7% 2.6% 1.3M -130.9M -775.3K 1.38 66.96 N/A N/A 161,616 222,360 707,280 1,062,288 2017-05-19 $4.11 $2.71 35.6% 10.3% 33.1% 14.0% 42.0% 12.6% -0.5% 1.8M -153.0M -750.4K 1.47 73.94 N/A N/A 112,560 165,624 758,520 1,076,520 2017-05-22 $4.22 $2.71 31.6% 8.9% 32.0% 8.7% 34.8% 11.4% 1.0% -50.1K -159.2M -721.0K 1.07 49.82 N/A N/A 124,464 133,752 652,656 989,832 2017-05-23 $4.22 $2.73 32.2% 9.0% 31.4% 9.4% 36.4% 10.8% 1.6% 1.7M -167.6M -738.3K 1.24 49.62 N/A N/A 103,032 127,392 693,072 1,001,232 2017-05-24 $4.29 $2.73 30.1% 8.4% 31.5% 6.6% 34.1% 10.6% 1.1% 2.4M -181.8M -731.5K 1.06 56.51 N/A N/A 110,616 117,744 703,608 1,017,912 2017-05-25 $4.41 $2.73 29.8% 8.6% 32.4% 6.2% 34.7% 8.2% 3.0% 1.8M -214.4M -706.5K 0.82 40.21 N/A N/A 151,056 123,216 715,440 1,023,048 2017-05-26 $4.41 $2.75 31.3% 8.5% 32.5% 8.2% 35.6% 8.2% 1.0% 1.6M -212.6M -720.3K 1.01 51.35 N/A N/A 132,960 133,776 720,432 1,036,392 2017-05-30 $4.44 $2.75 32.5% 9.0% 31.1% 9.9% 37.8% 8.3% 0.2% 886.6K -192.0M -723.0K 1.23 42.25 N/A N/A 101,376 124,752 673,512 1,001,784 2017-05-31 $4.41 $2.81 33.4% 9.2% 31.3% 11.0% 36.8% 7.6% -0.0% 48.9K -181.7M -727.9K 1.38 42.85 N/A N/A 103,776 142,824 676,704 1,025,496
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