TQQQ Options History — August 2020 In August 2020, TQQQ traded between $14.87 and $20.50. ATM implied volatility averaged 75.7%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded above realized volatility by 16.7% (HV 20d: 58.9%). Max pain ranged from $9.38 to $13.81. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.84.
Notable Days 2020-08-07 : Highest Volume — 1,198,696 contracts2020-08-27 : Largest IV spike — 10.9% change2020-08-31 : Highest IV Rank — 29.4%2020-08-31 : Largest Expected Move — 23.9%Monthly Statistics Metric Avg Min Max Open Close Price $17.06 $14.87 $20.50 $15.59 $20.50 Max Pain $10.96 $9.38 $13.81 $13.75 $12.13 ATM IV 75.7% 69.8% 87.4% 77.3% 87.4% Expected Move 21.6% 19.9% 23.9% 21.7% 23.9% HV 20d 58.9% 47.6% 68.5% 62.0% 47.6% HV 60d 63.1% 62.0% 65.3% 65.3% 62.3% IV Rank 23.1% 20.0% 29.4% 24.0% 29.4% IV Percentile 60.1% 51.6% 78.2% 63.1% 78.2% Term Structure 1.6% -1.2% 3.8% -1.2% 0.9% VWIV 77.9% 71.4% 87.8% 83.4% 87.8% Skew 25d 22.0% 19.1% 24.9% 22.5% 20.9% Skew 10d 39.5% 34.1% 43.7% 39.3% 41.3% Call IV 25d 65.3% 60.0% 78.3% 66.1% 78.3% Put IV 25d 87.3% 79.6% 99.2% 88.6% 99.2% Bid-Ask Spread % 32.07 4.86 50.00 7.39 41.24 Gamma HHI 0.07 0.04 0.17 0.07 0.06 Net GEX 21.2M 4.1M 44.2M 18.9M 14.8M Net DEX -1.92B -2.59B -1.10B -1.68B -2.36B Net VEX -5.0M -5.2M -4.7M -5.2M -5.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.84 0.54 1.05 0.54 0.99 Total Volume 692,842.667 463,328 1,198,696 897,632 541,208 Total OI 3,917,183.619 3,359,624 4,266,608 3,823,608 3,418,832
Daily Data (21 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 2020-08-03 $15.59 $13.75 77.3% 21.7% 62.0% 24.0% 83.4% 22.5% -1.2% 18.9M -1.68B -5.2M 0.54 7.39 N/A N/A 581,912 315,720 1,869,672 1,953,936 2020-08-04 $15.54 $13.75 75.8% 21.1% 62.0% 23.2% 78.0% 21.8% -1.1% 19.4M -1.61B -5.1M 0.96 4.86 N/A N/A 254,376 244,232 1,841,000 2,080,640 2020-08-05 $15.75 $13.81 72.6% 20.1% 61.8% 21.5% 72.3% 21.4% -0.2% 24.8M -1.71B -5.1M 0.90 7.25 N/A N/A 253,000 227,280 1,878,808 2,134,776 2020-08-06 $16.40 $9.38 71.9% 21.5% 62.5% 21.1% 76.6% 22.1% -0.1% 30.3M -2.03B -5.0M 0.72 19.98 N/A N/A 488,648 353,096 1,911,944 2,189,168 2020-08-07 $15.89 $9.63 74.5% 22.6% 63.7% 22.5% 82.0% 24.1% 3.1% 27.6M -1.73B -5.0M 0.91 29.51 N/A N/A 627,792 570,904 1,941,688 2,253,928 2020-08-10 $15.52 $9.75 74.5% 22.1% 62.6% 22.5% 79.1% 23.4% 3.8% 9.6M -1.36B -5.0M 0.81 26.68 N/A N/A 355,232 289,504 1,708,360 1,994,560 2020-08-11 $14.87 $9.75 80.3% 23.1% 64.6% 25.6% 82.5% 24.9% -0.6% 4.1M -1.10B -5.0M 0.80 28.36 N/A N/A 361,984 289,648 1,795,752 2,103,136 2020-08-12 $15.92 $10.00 74.1% 22.3% 68.5% 22.3% 77.0% 24.2% 3.7% 20.2M -1.63B -5.0M 0.59 36.96 N/A N/A 504,576 299,000 1,885,784 2,170,976 2020-08-13 $16.02 $10.00 75.8% 22.0% 67.8% 23.2% 77.3% 21.8% 0.6% 23.4M -1.70B -5.0M 0.84 35.49 N/A N/A 409,088 345,376 1,939,160 2,250,128 2020-08-14 $15.82 $10.00 74.8% 22.1% 68.1% 22.7% 76.3% 20.1% 3.0% 15.5M -1.57B -4.9M 0.82 32.04 N/A N/A 420,632 343,776 1,972,672 2,293,936 2020-08-17 $16.53 $10.00 73.2% 21.2% 63.6% 21.8% 72.6% 22.0% 0.2% 19.2M -1.82B -4.8M 0.93 24.67 N/A N/A 276,392 256,264 1,745,488 1,987,064 2020-08-18 $17.01 $10.00 69.9% 20.1% 62.8% 20.0% 71.4% 19.1% 1.8% 26.6M -2.06B -4.9M 0.84 25.64 N/A N/A 294,616 246,344 1,861,488 2,114,488 2020-08-19 $16.70 $10.00 71.2% 20.4% 63.5% 20.7% 79.0% 22.6% 2.6% 23.9M -1.87B -5.0M 0.86 45.93 N/A N/A 266,072 229,904 1,880,728 2,186,600 2020-08-20 $17.38 $10.00 69.8% 19.9% 55.7% 20.0% 73.5% 22.1% 2.8% 31.9M -2.21B -4.9M 0.87 33.20 N/A N/A 277,392 242,216 1,913,184 2,242,824 2020-08-21 $17.60 $10.38 72.1% 20.5% 53.0% 21.2% 75.4% 21.4% 1.7% 44.2M -2.35B -4.9M 0.74 41.45 N/A N/A 485,768 359,952 1,933,536 2,304,088 2020-08-24 $17.91 $10.63 75.0% 21.2% 50.4% 22.8% 73.8% 22.1% 2.7% 15.6M -1.88B -4.7M 1.03 44.66 N/A N/A 325,760 335,544 1,571,088 1,788,536 2020-08-25 $18.40 $11.50 73.6% 20.5% 47.7% 22.0% 75.6% 22.3% 2.4% 18.4M -2.09B -4.9M 0.88 50.00 N/A N/A 246,720 216,608 1,669,256 1,942,432 2020-08-26 $19.53 $11.63 76.7% 22.0% 50.1% 23.7% 78.4% 21.2% 1.9% 17.2M -2.48B -4.8M 0.77 47.90 N/A N/A 499,456 384,096 1,704,160 1,994,440 2020-08-27 $19.56 $12.00 85.0% 23.7% 50.3% 28.2% 83.4% 22.3% 2.0% 17.5M -2.46B -5.0M 0.82 44.92 N/A N/A 497,928 406,352 1,756,680 2,091,976 2020-08-28 $19.80 $12.13 83.1% 22.4% 49.4% 27.1% 80.9% 19.6% 3.0% 22.3M -2.59B -5.0M 1.05 45.45 N/A N/A 304,944 320,384 1,830,304 2,153,640 2020-08-31 $20.50 $12.13 87.4% 23.9% 47.6% 29.4% 87.8% 20.9% 0.9% 14.8M -2.36B -5.0M 0.99 41.24 N/A N/A 271,328 269,880 1,593,432 1,825,400
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