TQQQ Options History — August 2017 In August 2017, TQQQ traded between $4.35 and $4.81. ATM implied volatility averaged 40.9%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 7.9% (HV 20d: 33.1%). Max pain ranged from $3.96 to $4.29. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.97.
Notable Days 2017-08-10 : Highest Volume — 797,112 contracts2017-08-10 : Largest IV spike — 25.9% change2017-08-10 : Highest IV Rank — 31.1%2017-08-10 : Largest Expected Move — 14.0%Monthly Statistics Metric Avg Min Max Open Close Price $4.56 $4.35 $4.81 $4.60 $4.81 Max Pain $4.14 $3.96 $4.29 $4.29 $4.17 ATM IV 40.9% 36.3% 48.4% 39.8% 37.0% Expected Move 11.6% 10.0% 14.0% 11.1% 10.0% HV 20d 33.1% 19.3% 42.8% 28.7% 42.8% HV 60d 40.5% 39.3% 42.0% 39.3% 42.0% IV Rank 21.1% 14.9% 31.1% 19.5% 15.9% IV Percentile 64.1% 39.3% 92.5% 63.5% 40.5% Term Structure 1.0% -1.1% 2.9% -0.3% 1.3% VWIV 44.6% 38.0% 60.2% 41.8% 38.0% Skew 25d 14.0% 11.3% 18.5% 12.3% 12.3% Skew 10d 28.2% 23.0% 37.1% 25.5% 24.7% Call IV 25d 34.5% 31.1% 40.5% 34.4% 31.3% Put IV 25d 48.5% 43.0% 57.0% 46.7% 43.7% Bid-Ask Spread % 28.79 18.49 38.47 22.05 32.34 Gamma HHI 0.06 0.02 0.45 0.04 0.04 Net GEX 2.8M -7.3M 8.7M 344.6K 8.6M Net DEX -206.4M -314.0M -126.2M -217.7M -314.0M Net VEX -1.5M -1.6M -1.4M -1.4M -1.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.97 0.85 1.14 0.91 0.86 Total Volume 683,737.043 592,800 797,112 642,120 653,040 Total OI 2,690,117.217 2,383,824 3,013,824 2,383,824 2,832,720
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 2017-08-01 $4.60 $4.29 39.8% 11.1% 28.7% 19.5% 41.8% 12.3% -0.3% 344.6K -217.7M -1.4M 0.91 22.05 N/A N/A 335,352 306,768 1,106,928 1,276,896 2017-08-02 $4.64 $4.29 39.3% 10.8% 27.5% 18.9% 40.4% 11.6% 0.0% 899.3K -234.0M -1.4M 0.93 37.72 N/A N/A 364,920 339,096 1,127,832 1,305,288 2017-08-03 $4.60 $3.96 37.7% 11.6% 24.5% 16.8% 45.4% 11.9% 0.6% 578.8K -228.4M -1.4M 1.09 33.65 N/A N/A 302,496 330,552 1,173,888 1,356,912 2017-08-04 $4.59 $3.96 36.9% 11.3% 22.5% 15.7% 46.0% 11.3% 0.6% -7.3M -236.3M -1.4M 0.97 23.22 N/A N/A 380,448 370,104 1,194,624 1,382,088 2017-08-07 $4.69 $3.96 36.3% 10.9% 22.4% 14.9% 42.6% 11.5% 1.3% 2.3M -263.0M -1.4M 0.95 22.45 N/A N/A 330,144 313,728 1,148,424 1,312,728 2017-08-08 $4.67 $4.13 37.9% 11.5% 22.7% 17.0% 44.1% 13.1% 1.9% 4.2M -266.8M -1.4M 0.97 36.87 N/A N/A 353,976 343,392 1,208,976 1,327,200 2017-08-09 $4.65 $4.13 38.5% 11.4% 19.3% 17.8% 42.7% 13.6% 1.3% 3.3M -242.3M -1.5M 0.95 33.21 N/A N/A 358,272 339,240 1,236,528 1,396,944 2017-08-10 $4.37 $4.13 48.4% 14.0% 30.5% 31.1% 60.2% 18.5% 0.5% -1.3M -150.3M -1.5M 1.14 38.47 N/A N/A 372,984 424,128 1,268,064 1,422,384 2017-08-11 $4.46 $4.13 46.4% 13.5% 30.2% 28.4% 51.6% 16.9% 0.8% 2.0M -160.7M -1.6M 0.85 32.64 N/A N/A 410,400 349,176 1,301,112 1,532,640 2017-08-14 $4.62 $4.17 40.0% 11.6% 32.8% 19.9% 47.4% 15.1% 0.1% 5.2M -240.2M -1.6M 0.90 22.72 N/A N/A 384,840 347,064 1,292,976 1,458,000 2017-08-15 $4.66 $4.17 37.6% 10.8% 32.4% 16.6% 41.6% 13.7% 2.1% 7.6M -250.0M -1.5M 1.04 26.94 N/A N/A 325,368 337,008 1,317,048 1,501,368 2017-08-16 $4.65 $4.17 37.7% 10.8% 31.5% 16.8% 41.9% 14.5% 2.7% 8.7M -250.6M -1.5M 0.98 35.41 N/A N/A 328,896 322,176 1,328,088 1,517,160 2017-08-17 $4.40 $4.17 46.4% 13.2% 37.0% 28.4% 52.3% 18.2% 2.9% 1.3M -144.6M -1.5M 0.85 36.99 N/A N/A 426,360 361,008 1,350,456 1,526,136 2017-08-18 $4.40 $4.17 46.4% 13.1% 37.0% 28.4% 47.4% 16.5% 1.8% 3.8M -139.3M -1.5M 0.94 25.85 N/A N/A 399,288 374,952 1,442,496 1,571,328 2017-08-21 $4.35 $4.17 47.2% 13.3% 36.4% 29.4% 46.9% 15.9% 0.1% 452.7K -126.2M -1.4M 0.89 25.98 N/A N/A 342,192 305,112 1,208,232 1,390,896 2017-08-22 $4.55 $4.17 40.7% 11.3% 40.5% 20.8% 42.9% 14.1% 0.5% 4.6M -198.4M -1.5M 0.92 22.35 N/A N/A 362,040 333,096 1,253,304 1,408,152 2017-08-23 $4.51 $4.17 41.8% 11.4% 40.5% 22.2% 42.1% 14.0% 0.7% 4.4M -187.4M -1.5M 1.06 27.76 N/A N/A 300,336 317,304 1,291,392 1,449,600 2017-08-24 $4.46 $4.17 42.6% 11.7% 40.0% 23.3% 44.3% 13.7% 0.7% 2.5M -163.2M -1.5M 1.10 24.22 N/A N/A 306,504 337,488 1,291,512 1,466,664 2017-08-25 $4.44 $4.17 42.2% 11.2% 39.9% 22.8% 43.2% 13.6% -1.1% -858.4K -152.9M -1.4M 1.13 25.77 N/A N/A 306,696 347,544 1,304,352 1,505,160 2017-08-28 $4.46 $4.17 41.0% 11.2% 39.9% 21.2% 41.7% 13.9% 1.2% 2.0M -160.2M -1.4M 1.01 18.49 N/A N/A 297,600 301,272 1,220,904 1,430,688 2017-08-29 $4.53 $4.17 41.1% 11.0% 40.3% 21.2% 40.7% 12.6% 2.1% 3.9M -179.7M -1.4M 0.96 29.36 N/A N/A 303,096 289,704 1,242,912 1,448,016 2017-08-30 $4.66 $4.17 38.9% 10.6% 41.6% 18.3% 40.5% 14.4% 1.7% 6.9M -241.5M -1.4M 0.91 27.64 N/A N/A 362,424 328,368 1,274,880 1,468,800 2017-08-31 $4.81 $4.17 37.0% 10.0% 42.8% 15.9% 38.0% 12.3% 1.3% 8.6M -314.0M -1.4M 0.86 32.34 N/A N/A 351,744 301,296 1,327,776 1,504,944
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