TQQQ Options History — September 2010

In September 2010, TQQQ traded between $0.22 and $0.29. ATM implied volatility averaged 59.9%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 6.7% (HV 20d: 53.1%). Max pain ranged from $0.22 to $0.27. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.44.

Notable Days

  • 2010-09-16: Highest Volume — 307,200 contracts
  • 2010-09-03: Largest IV drop — 16.8% change
  • 2010-09-01: Highest IV Rank — 37.7%
  • 2010-09-01: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.26$0.22$0.29$0.22$0.28
Max Pain$0.23$0.22$0.27$0.23$0.27
ATM IV59.9%51.7%65.1%65.1%62.7%
Expected Move17.5%15.2%18.7%18.7%18.0%
HV 20d53.1%37.3%64.9%58.8%37.3%
HV 60d58.9%51.6%62.7%62.5%51.6%
IV Rank30.9%20.1%37.7%37.7%34.5%
IV Percentile38.8%29.2%45.9%43.8%45.9%
Term Structure4.9%1.7%8.3%7.1%6.5%
VWIV63.9%52.3%82.3%68.9%60.0%
Skew 25d18.4%7.6%39.7%39.7%11.3%
Skew 10d37.1%10.2%57.2%57.2%10.2%
Call IV 25d50.4%35.5%58.2%37.9%58.2%
Put IV 25d68.8%60.2%77.6%77.6%69.5%
Bid-Ask Spread %62.8033.2394.9894.9885.08
Gamma HHI0.230.100.540.110.17
Net GEX115.8K-201.0K420.1K18.3K84.4K
Net DEX-3.3M-10.0M2.1M2.1M-3.1M
Net VEX-20.4K-28.2K-15.8K-15.8K-28.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.440.017.240.431.14
Total Volume126,518.85727,648307,20069,12028,800
Total OI1,144,795.429558,7201,814,4001,065,6001,097,856

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$0.22$0.2365.1%18.7%58.8%37.7%68.9%39.7%7.1%18.3K2.1M-15.8K0.4394.98N/AN/A48,38420,736535,680529,920
2010-09-02$0.22$0.2362.2%17.8%60.6%33.8%65.2%11.7%3.9%49.2K1.0M-17.1K1.4886.00N/AN/A11,13616,512560,640540,288
2010-09-03$0.23$0.2251.7%17.7%63.7%20.1%82.3%14.6%5.7%111.6K-101.5K-16.3K7.2439.67N/AN/A9,60069,504562,944544,896
2010-09-07$0.23$0.2258.9%18.6%63.7%29.6%55.9%18.2%4.1%75.2K365.7K-16.3K0.0133.23N/AN/A184,7042,304563,712564,864
2010-09-08$0.24$0.2257.9%18.4%64.9%28.2%62.8%16.5%6.5%248.5K-1.7M-19.2K0.5135.96N/AN/A38,40019,584723,456567,168
2010-09-09$0.24$0.2263.8%18.3%57.0%36.0%69.6%16.4%4.4%272.3K-2.4M-19.8K5.2942.83N/AN/A6,52834,560734,592580,224
2010-09-10$0.24$0.2260.2%17.3%55.8%31.2%77.8%16.2%4.9%308.5K-2.3M-18.3K0.3941.54N/AN/A69,50426,880738,816576,000
2010-09-13$0.25$0.2261.6%17.7%56.6%33.1%62.0%17.5%6.2%420.1K-6.1M-19.1K6.0242.24N/AN/A34,560208,128787,584582,528
2010-09-14$0.26$0.2259.2%17.0%56.6%30.0%62.4%20.3%5.1%217.8K-6.0M-19.1K1.3454.74N/AN/A43,00857,600787,968716,928
2010-09-15$0.26$0.2260.6%17.4%55.7%31.8%52.3%19.0%2.7%167.0K-7.0M-19.0K1.2949.62N/AN/A99,456127,872801,408746,112
2010-09-16$0.26$0.2260.4%17.3%55.7%31.5%68.8%20.2%7.2%-23.6K-9.5M-17.3K4.3063.89N/AN/A57,984249,216815,616819,072
2010-09-17$0.27$0.2357.6%16.5%53.2%27.8%69.3%14.8%8.3%-201.0K-10.0M-17.8K4.7167.16N/AN/A40,320190,080817,920996,480
2010-09-20$0.28$0.2356.1%16.1%54.8%25.9%62.9%29.9%3.5%69.0K-2.3M-17.0K1.5673.10N/AN/A28,03243,776300,288258,432
2010-09-21$0.28$0.2259.0%16.9%53.1%29.6%54.4%24.1%3.3%65.1K-2.6M-19.2K1.2088.69N/AN/A84,480101,376319,104285,696
2010-09-22$0.28$0.2361.1%17.5%46.3%32.4%58.4%14.3%3.0%60.5K-2.4M-20.4K0.6959.51N/AN/A112,51277,568357,504355,968
2010-09-23$0.28$0.2562.7%18.0%46.5%34.6%65.1%14.0%4.8%76.8K-2.3M-23.4K3.3265.60N/AN/A36,864122,496427,776423,552
2010-09-24$0.29$0.2653.1%15.2%44.9%21.9%61.6%20.1%5.1%122.0K-3.7M-25.7K5.8576.10N/AN/A15,36089,856454,272510,336
2010-09-27$0.29$0.2659.2%17.0%45.9%29.9%61.8%7.6%5.7%106.1K-3.7M-24.8K1.9380.00N/AN/A45,69688,320451,968511,104
2010-09-28$0.29$0.2762.6%18.0%42.4%34.5%54.5%24.1%1.7%83.9K-3.4M-27.1K0.6478.86N/AN/A33,79221,504482,688538,368
2010-09-29$0.29$0.2762.2%17.8%42.6%33.9%65.5%15.8%2.3%99.8K-3.3M-28.2K1.9460.09N/AN/A20,35239,552511,488559,488
2010-09-30$0.28$0.2762.7%18.0%37.3%34.5%60.0%11.3%6.5%84.4K-3.1M-28.2K1.1485.08N/AN/A13,44015,360519,552578,304