TQQQ Options History — July 2017

In July 2017, TQQQ traded between $3.96 and $4.74. ATM implied volatility averaged 41.9%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 2.2% (HV 20d: 44.1%). Max pain ranged from $4.04 to $4.29. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2017-07-28: Highest Volume — 713,376 contracts
  • 2017-07-27: Largest IV spike — 20.3% change
  • 2017-07-03: Highest IV Rank — 37.0%
  • 2017-07-03: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.44$3.96$4.74$3.96$4.60
Max Pain$4.14$4.04$4.29$4.17$4.29
ATM IV41.9%34.5%52.9%52.9%42.7%
Expected Move12.0%9.9%16.1%16.1%12.3%
HV 20d44.1%32.4%54.2%50.2%32.9%
HV 60d39.4%38.0%40.4%38.0%39.3%
IV Rank22.4%12.5%37.0%37.0%23.4%
IV Percentile68.4%29.8%97.6%97.6%77.8%
Term Structure0.5%-2.0%5.0%-1.2%0.3%
VWIV43.9%36.0%50.5%45.6%44.6%
Skew 25d11.1%5.7%18.2%18.2%13.0%
Skew 10d20.9%12.5%31.4%28.9%27.5%
Call IV 25d37.3%30.3%48.4%42.9%37.0%
Put IV 25d48.4%41.0%61.1%61.1%50.0%
Bid-Ask Spread %27.1316.4483.8551.8123.61
Gamma HHI0.040.020.080.020.03
Net GEX2.0M-232.6K4.6M-232.6K647.3K
Net DEX-213.6M-282.5M-98.8M-120.1M-214.9M
Net VEX-1.4M-1.4M-1.3M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.561.270.560.92
Total Volume496,353.6418,944713,376515,496661,104
Total OI2,250,8522,099,2562,359,0802,103,3122,287,656

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$3.96$4.1752.9%16.1%50.2%37.0%45.6%18.2%-1.2%-232.6K-120.1M-1.4M0.5651.81N/AN/A331,464184,0321,022,7361,080,576
2017-07-05$4.08$4.1749.0%14.2%51.9%31.9%46.1%5.7%-2.0%249.3K-131.9M-1.4M0.6683.85N/AN/A319,992211,9441,062,9121,124,208
2017-07-06$3.96$4.0449.6%14.1%52.2%32.7%50.5%12.8%-0.1%-87.3K-98.8M-1.4M0.7331.91N/AN/A279,312204,0001,077,8881,159,248
2017-07-07$4.09$4.0447.6%13.4%54.2%29.9%47.4%15.2%0.5%1.9M-131.3M-1.4M0.7123.86N/AN/A279,120199,2001,096,8961,186,104
2017-07-10$4.19$4.0445.6%13.1%46.6%27.3%50.5%13.1%-0.6%1.4M-154.5M-1.4M0.7620.01N/AN/A268,704203,2801,046,9521,142,592
2017-07-11$4.20$4.0446.2%13.1%46.1%28.2%50.2%10.9%1.1%2.5M-164.2M-1.4M0.8122.15N/AN/A263,688212,2801,095,6241,165,488
2017-07-12$4.36$4.0842.0%12.1%46.4%22.5%43.4%7.5%0.5%4.6M-223.4M-1.4M0.7416.64N/AN/A284,064209,9521,125,8641,192,944
2017-07-13$4.39$4.0840.2%11.5%45.8%20.1%41.3%10.7%0.0%4.6M-231.9M-1.4M0.7416.74N/AN/A262,416193,1281,128,0721,205,616
2017-07-14$4.49$4.0836.8%10.9%46.1%15.5%38.5%13.1%2.6%3.7M-269.6M-1.3M0.7520.00N/AN/A266,592199,6561,126,5121,216,560
2017-07-17$4.49$4.0839.7%11.4%46.0%19.4%42.4%10.7%0.4%2.2M-233.0M-1.3M0.6616.93N/AN/A255,432169,6081,044,3601,145,040
2017-07-18$4.57$4.0837.8%10.8%43.6%16.8%39.4%10.0%0.9%2.6M-255.7M-1.3M0.6616.44N/AN/A251,832167,1121,064,5681,174,320
2017-07-19$4.66$4.0837.9%10.9%43.1%17.0%41.5%9.8%0.6%2.7M-280.9M-1.3M0.8317.99N/AN/A249,480208,1041,067,0161,186,992
2017-07-20$4.68$4.1739.4%11.3%42.2%19.0%44.7%9.0%-0.7%2.3M-282.5M-1.3M0.9718.13N/AN/A216,960210,0481,087,3921,226,856
2017-07-21$4.65$4.1738.6%11.0%42.3%18.0%45.2%9.9%1.2%2.3M-280.5M-1.3M0.7917.58N/AN/A250,800197,9281,102,3441,239,720
2017-07-24$4.74$4.1738.7%10.9%42.6%18.1%43.0%11.0%-0.3%2.4M-259.5M-1.3M0.9718.13N/AN/A240,624232,2721,003,0321,096,224
2017-07-25$4.69$4.2536.8%10.4%42.5%15.6%42.6%11.0%1.3%1.9M-249.1M-1.3M1.0219.70N/AN/A231,120236,3521,038,8401,150,608
2017-07-26$4.72$4.2534.5%9.9%37.8%12.5%36.0%10.7%5.0%2.5M-260.6M-1.3M0.9538.07N/AN/A225,120212,9281,057,3441,174,848
2017-07-27$4.62$4.2541.5%11.7%37.7%21.8%39.6%7.1%-1.5%1.4M-220.9M-1.3M1.2743.82N/AN/A275,064348,9841,072,7761,181,232
2017-07-28$4.64$4.2940.7%11.5%32.4%20.8%45.9%11.8%1.0%1.3M-208.0M-1.4M0.9825.15N/AN/A360,912352,4641,091,9281,267,152
2017-07-31$4.60$4.2942.7%12.3%32.9%23.4%44.6%13.0%0.3%647.3K-214.9M-1.4M0.9223.61N/AN/A344,976316,1281,066,7521,220,904