TQQQ Options History — June 2017 In June 2017, TQQQ traded between $4.10 and $4.64. ATM implied volatility averaged 41.0%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 1.3% (HV 20d: 42.2%). Max pain ranged from $2.92 to $4.21. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.87.
Notable Days 2017-06-27 : Highest Volume — 600,624 contracts2017-06-09 : Largest IV spike — 32.2% change2017-06-29 : Highest IV Rank — 34.0%2017-06-29 : Largest Expected Move — 15.1%Monthly Statistics Metric Avg Min Max Open Close Price $4.36 $4.10 $4.64 $4.47 $4.11 Max Pain $4.04 $2.92 $4.21 $2.92 $4.17 ATM IV 41.0% 32.7% 50.6% 32.7% 47.4% Expected Move 11.8% 9.2% 15.1% 9.2% 13.4% HV 20d 42.2% 30.9% 51.0% 30.9% 49.0% HV 60d 31.7% 25.6% 37.2% 25.6% 37.2% IV Rank 21.1% 10.1% 34.0% 10.1% 29.8% IV Percentile 63.9% 23.4% 96.8% 23.4% 92.1% Term Structure -0.1% -3.0% 2.9% -0.3% -0.4% VWIV 43.7% 34.7% 50.9% 38.1% 46.1% Skew 25d 10.5% 4.1% 15.1% 8.1% 14.5% Skew 10d 22.8% 13.8% 32.3% 17.7% 30.9% Call IV 25d 37.1% 29.2% 47.8% 29.5% 41.3% Put IV 25d 47.6% 37.6% 62.1% 37.6% 55.8% Bid-Ask Spread % 35.95 20.84 75.22 55.55 24.07 Gamma HHI 0.08 0.03 0.20 0.10 0.04 Net GEX 795.3K -789.8K 5.7M 262.3K -475.4K Net DEX -155.0M -227.1M -101.7M -192.4M -123.7M Net VEX -1.0M -1.4M -696.7K -724.4K -1.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.56 1.41 1.16 0.61 Total Volume 422,144.727 229,128 600,624 229,128 544,200 Total OI 1,911,980.727 1,677,000 2,307,000 1,743,840 2,307,000
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 2017-06-01 $4.47 $2.92 32.7% 9.2% 30.9% 10.1% 38.1% 8.1% -0.3% 262.3K -192.4M -724.4K 1.16 55.55 N/A N/A 106,224 122,904 686,400 1,057,440 2017-06-02 $4.62 $2.92 32.8% 9.4% 32.6% 10.2% 34.7% 8.1% -1.8% 1.3M -227.1M -696.7K 1.28 70.70 N/A N/A 136,080 174,792 691,560 1,068,072 2017-06-05 $4.63 $3.96 32.8% 10.0% 32.7% 10.2% 42.7% 8.6% 1.2% 1.4M -203.6M -704.9K 1.34 25.11 N/A N/A 109,704 147,168 663,312 1,030,224 2017-06-06 $4.58 $3.96 34.7% 10.5% 33.3% 12.7% 43.2% 9.1% 1.6% 871.8K -200.0M -733.6K 1.17 33.43 N/A N/A 114,528 134,304 691,512 1,051,680 2017-06-07 $4.64 $4.13 35.5% 10.8% 33.3% 13.8% 41.3% 10.2% -1.8% 894.4K -211.1M -706.2K 1.27 27.41 N/A N/A 125,280 158,760 705,720 1,068,072 2017-06-08 $4.63 $4.17 36.3% 10.5% 33.4% 14.9% 45.6% 9.8% -0.5% 487.5K -212.4M -748.9K 1.28 30.17 N/A N/A 122,784 157,584 730,032 1,085,712 2017-06-09 $4.26 $4.17 48.0% 13.8% 46.1% 30.6% 50.5% 9.2% -2.2% -428.7K -105.9M -844.7K 1.41 68.97 N/A N/A 183,480 259,032 700,992 1,105,248 2017-06-12 $4.18 $4.21 48.4% 13.3% 46.6% 31.1% 48.0% 9.8% -0.2% -789.8K -101.7M -857.5K 1.02 31.47 N/A N/A 207,816 211,032 695,208 1,119,672 2017-06-13 $4.33 $4.21 38.5% 11.2% 48.1% 17.9% 39.6% 11.0% 1.2% 76.0K -145.9M -963.5K 1.05 34.81 N/A N/A 175,800 184,320 786,912 1,181,544 2017-06-14 $4.24 $4.21 45.2% 12.5% 48.5% 26.8% 41.4% 4.1% 0.1% -248.4K -127.8M -959.0K 0.81 75.22 N/A N/A 216,504 176,352 804,216 1,196,520 2017-06-15 $4.19 $4.21 40.6% 12.4% 41.6% 20.6% 45.5% 14.5% 2.9% -783.6K -115.3M -972.8K 0.60 33.88 N/A N/A 320,928 192,480 870,240 1,210,752 2017-06-16 $4.16 $4.17 43.1% 12.3% 41.2% 23.9% 44.3% 14.5% 0.2% 179.1K -136.1M -1.1M 0.66 23.59 N/A N/A 296,664 195,000 975,360 1,233,408 2017-06-19 $4.36 $4.17 38.8% 11.2% 44.1% 18.3% 42.5% 13.2% 2.3% 334.4K -127.9M -1.1M 0.57 25.55 N/A N/A 306,264 175,248 717,240 959,760 2017-06-20 $4.27 $4.17 41.8% 12.0% 44.0% 22.2% 47.0% 12.3% 1.3% 913.8K -117.1M -1.1M 0.69 24.38 N/A N/A 264,720 182,040 780,624 998,376 2017-06-21 $4.38 $4.17 40.1% 11.5% 45.0% 20.0% 43.9% 12.8% 0.0% 1.9M -141.9M -1.1M 0.59 20.84 N/A N/A 303,000 180,288 813,024 1,046,928 2017-06-22 $4.39 $4.21 40.2% 11.5% 44.7% 20.1% 42.5% 11.9% -0.6% 4.1M -177.6M -1.2M 0.63 26.54 N/A N/A 262,488 166,224 902,424 1,046,520 2017-06-23 $4.43 $4.17 39.3% 11.2% 43.6% 19.0% 41.4% 11.1% 0.6% 5.7M -187.4M -1.2M 0.67 23.84 N/A N/A 290,064 193,968 929,208 1,063,752 2017-06-26 $4.38 $4.17 42.3% 11.9% 43.7% 22.8% 42.7% 7.6% -1.0% 1.4M -167.7M -1.2M 0.66 31.59 N/A N/A 269,376 177,120 875,208 994,512 2017-06-27 $4.17 $4.17 47.7% 13.1% 46.9% 30.1% 45.7% 6.1% -3.0% -219.1K -111.9M -1.2M 0.56 34.27 N/A N/A 385,608 215,016 886,872 1,034,424 2017-06-28 $4.30 $4.17 44.3% 12.6% 48.5% 25.6% 43.9% 9.1% -1.2% 973.0K -163.1M -1.3M 0.58 28.58 N/A N/A 345,000 200,232 998,784 1,105,704 2017-06-29 $4.10 $4.17 50.6% 15.1% 51.0% 34.0% 50.9% 15.1% -0.6% -199.3K -111.5M -1.4M 0.63 40.85 N/A N/A 366,888 229,920 1,079,832 1,113,576 2017-06-30 $4.11 $4.17 47.4% 13.4% 49.0% 29.8% 46.1% 14.5% -0.4% -475.4K -123.7M -1.4M 0.61 24.07 N/A N/A 338,520 205,680 1,135,608 1,171,392
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