TQQQ Options History — September 2013

In September 2013, TQQQ traded between $0.83 and $0.95. ATM implied volatility averaged 39.2%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 4.2% (HV 20d: 35.0%). Max pain ranged from $0.79 to $0.90. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.15.

Notable Days

  • 2013-09-30: Highest Volume — 388,032 contracts
  • 2013-09-11: Largest IV drop — 23.4% change
  • 2013-09-03: Highest IV Rank — 49.7%
  • 2013-09-03: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.91$0.83$0.95$0.83$0.94
Max Pain$0.86$0.79$0.90$0.79$0.90
ATM IV39.2%33.9%46.1%46.1%42.9%
Expected Move11.4%10.3%13.2%13.2%12.3%
HV 20d35.0%24.3%40.5%37.5%24.3%
HV 60d34.1%31.3%38.7%38.2%31.4%
IV Rank27.8%11.1%49.7%49.7%39.4%
IV Percentile40.5%7.9%75.8%75.8%63.1%
Term Structure3.8%1.0%6.3%1.0%1.3%
VWIV40.9%36.1%45.8%45.8%43.0%
Skew 25d8.4%6.7%10.5%10.2%10.5%
Skew 10d16.5%12.8%22.5%19.8%21.1%
Call IV 25d36.3%33.1%42.1%42.1%38.6%
Put IV 25d44.7%40.0%52.4%52.4%49.1%
Bid-Ask Spread %36.2214.1361.0560.6244.08
Gamma HHI0.100.060.230.070.16
Net GEX387.6K-48.9K1.0M11.6K374.7K
Net DEX-19.9M-39.3M-5.5M-8.5M-10.8M
Net VEX-74.6K-91.6K-63.4K-79.9K-88.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.103.580.910.13
Total Volume121,353.648,576388,03248,576388,032
Total OI1,143,580.8645,1201,490,5921,121,088891,264

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$0.83$0.7946.1%13.2%37.5%49.7%45.8%10.2%1.0%11.6K-8.5M-79.9K0.9160.62N/AN/A25,44023,136498,528622,560
2013-09-04$0.86$0.8042.3%12.1%38.9%37.7%44.0%9.1%2.4%155.3K-14.5M-78.0K2.3360.81N/AN/A30,04869,984507,360637,344
2013-09-05$0.86$0.8041.2%11.8%38.9%34.3%44.7%8.9%3.5%154.5K-14.8M-79.1K1.9161.05N/AN/A18,62435,616509,184660,672
2013-09-06$0.86$0.8440.6%12.7%38.6%32.3%43.8%10.3%2.8%171.1K-15.7M-78.1K0.5426.18N/AN/A86,97647,040513,120672,384
2013-09-09$0.89$0.8440.5%12.1%40.2%32.0%44.7%9.8%4.1%329.9K-23.3M-72.6K0.7524.11N/AN/A85,34464,128529,920692,160
2013-09-10$0.91$0.8444.2%11.9%40.5%43.6%41.7%8.9%4.1%425.9K-26.8M-68.6K0.7723.96N/AN/A83,71264,608536,640697,536
2013-09-11$0.90$0.8533.9%11.4%40.2%11.1%42.8%8.6%4.4%493.0K-26.5M-70.3K0.8122.79N/AN/A40,99233,120571,392718,560
2013-09-12$0.90$0.8540.2%11.5%40.0%30.9%40.1%8.5%4.5%576.5K-26.0M-72.4K1.4314.13N/AN/A42,72061,248592,416733,152
2013-09-13$0.90$0.8539.4%11.3%34.7%28.4%41.9%8.3%5.4%583.6K-25.8M-74.4K3.5829.48N/AN/A21,02475,360594,240763,296
2013-09-16$0.89$0.8640.4%11.6%34.9%31.7%43.8%8.2%4.3%491.1K-23.5M-72.2K1.3529.01N/AN/A47,23263,648604,416791,520
2013-09-17$0.91$0.8738.6%11.1%35.1%26.2%42.3%8.3%3.0%706.6K-29.6M-69.2K2.5218.16N/AN/A20,35251,264628,896807,936
2013-09-18$0.95$0.8736.8%10.5%36.7%20.3%37.9%6.8%5.0%892.4K-39.3M-63.4K1.0256.00N/AN/A101,664103,200622,944831,744
2013-09-19$0.95$0.8936.1%10.4%36.1%18.2%36.7%6.7%6.1%953.3K-37.7M-63.9K0.5530.18N/AN/A105,31257,696595,008814,080
2013-09-20$0.94$0.8935.9%10.3%35.9%17.6%39.9%6.9%6.3%1.0M-34.8M-69.4K1.1931.22N/AN/A51,16861,056646,368844,224
2013-09-23$0.94$0.8937.3%10.7%35.6%21.8%37.1%6.7%3.1%-46.7K-6.4M-69.3K0.6947.11N/AN/A40,60828,128279,744365,376
2013-09-24$0.94$0.8936.1%10.3%35.6%18.1%36.1%7.2%5.0%-1.7K-7.0M-72.0K1.2122.43N/AN/A27,55233,216307,776373,440
2013-09-25$0.93$0.8936.8%10.5%25.2%20.2%36.3%8.0%3.3%-48.9K-5.5M-76.0K1.1220.80N/AN/A45,50451,072325,728400,704
2013-09-26$0.95$0.8935.8%10.3%25.7%17.3%37.2%7.0%3.7%88.7K-8.9M-82.5K0.1053.11N/AN/A127,58412,768361,728438,432
2013-09-27$0.94$0.9038.4%11.0%25.6%25.4%38.6%8.9%3.2%426.9K-12.5M-91.6K0.1749.26N/AN/A86,40014,496451,584438,240
2013-09-30$0.94$0.9042.9%12.3%24.3%39.4%43.0%10.5%1.3%374.7K-10.8M-88.6K0.1344.08N/AN/A344,16043,872453,024438,240