TQQQ Options History — September 2014 In September 2014, TQQQ traded between $1.75 and $1.88. ATM implied volatility averaged 37.8%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 12.7% (HV 20d: 25.2%). Max pain ranged from $1.35 to $1.60. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.92.
Notable Days 2014-09-16 : Highest Volume — 165,072 contracts2014-09-25 : Largest IV spike — 16.5% change2014-09-29 : Highest IV Rank — 67.9%2014-09-25 : Largest Expected Move — 13.6%Monthly Statistics Metric Avg Min Max Open Close Price $1.83 $1.75 $1.88 $1.87 $1.80 Max Pain $1.48 $1.35 $1.60 $1.35 $1.60 ATM IV 37.8% 31.2% 48.4% 31.2% 45.9% Expected Move 12.7% 12.0% 13.6% 12.0% 13.6% HV 20d 25.2% 17.7% 38.9% 20.3% 38.5% HV 60d 30.4% 27.9% 34.4% 28.2% 34.2% IV Rank 36.8% 17.2% 67.9% 17.2% 60.6% IV Percentile 44.4% 5.6% 90.5% 5.6% 81.7% Term Structure 2.7% -3.5% 6.3% 1.9% 1.7% VWIV 44.9% 36.9% 51.1% 42.8% 47.6% Skew 25d 11.3% 7.1% 16.0% 7.1% 14.5% Skew 10d 21.6% 12.0% 32.3% 12.0% 31.8% Call IV 25d 33.1% 27.2% 40.2% 27.2% 40.2% Put IV 25d 44.4% 34.3% 55.1% 34.3% 54.8% Bid-Ask Spread % 27.13 13.67 60.59 22.91 47.25 Gamma HHI 0.06 0.04 0.11 0.06 0.04 Net GEX 567.0K 27.1K 1.5M 487.8K 488.9K Net DEX -107.9M -133.5M -75.7M -131.4M -86.3M Net VEX -237.8K -270.0K -218.4K -233.7K -257.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.38 2.58 0.49 0.54 Total Volume 64,777.143 15,552 165,072 58,080 43,440 Total OI 1,589,403.429 1,205,568 1,833,696 1,676,400 1,418,256
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 2014-09-02 $1.87 $1.35 31.2% 12.0% 20.3% 17.2% 42.8% 7.1% 1.9% 487.8K -131.4M -233.7K 0.49 22.91 N/A N/A 39,024 19,056 961,824 714,576 2014-09-03 $1.84 $1.35 31.7% 12.5% 19.1% 18.8% 38.7% 7.6% 3.5% 401.7K -115.2M -237.8K 0.69 22.57 N/A N/A 35,808 24,624 919,728 725,232 2014-09-04 $1.83 $1.35 31.4% 12.6% 19.2% 17.9% 37.1% 11.2% 6.3% 390.9K -112.4M -248.2K 1.06 18.32 N/A N/A 19,632 20,832 936,816 742,080 2014-09-05 $1.86 $1.35 33.7% 12.2% 18.3% 24.5% 36.9% 9.6% 4.0% 432.6K -118.3M -233.7K 0.38 17.13 N/A N/A 11,280 4,272 934,032 742,464 2014-09-08 $1.87 $1.35 32.4% 12.3% 17.7% 20.9% 43.2% 10.5% 5.5% 527.9K -121.9M -227.1K 0.71 13.67 N/A N/A 16,320 11,568 937,776 742,800 2014-09-09 $1.82 $1.35 35.1% 12.4% 20.7% 28.8% 45.9% 8.6% 4.8% 335.7K -113.7M -225.6K 1.97 27.31 N/A N/A 15,456 30,432 942,768 749,664 2014-09-10 $1.87 $1.35 38.9% 12.1% 21.3% 40.1% 43.1% 11.3% 5.5% 497.9K -120.7M -227.6K 0.66 22.59 N/A N/A 18,048 12,000 952,080 761,040 2014-09-11 $1.86 $1.42 35.0% 12.3% 19.3% 28.7% 45.2% 9.6% 4.9% 455.7K -122.0M -227.9K 0.54 19.25 N/A N/A 13,872 7,440 959,232 764,592 2014-09-12 $1.83 $1.44 36.7% 12.5% 20.3% 33.5% 47.7% 9.2% 4.3% 401.4K -115.0M -230.2K 0.63 20.42 N/A N/A 28,032 17,616 966,432 765,792 2014-09-15 $1.78 $1.44 41.8% 13.3% 23.3% 48.4% 47.3% 9.5% 1.0% 27.1K -99.9M -230.9K 0.51 25.20 N/A N/A 109,296 55,488 972,480 768,432 2014-09-16 $1.83 $1.54 37.3% 13.2% 23.7% 35.2% 46.6% 16.0% 1.1% 953.1K -116.9M -238.7K 0.62 30.57 N/A N/A 101,856 63,216 1,017,024 779,136 2014-09-17 $1.84 $1.54 39.2% 12.9% 23.0% 40.9% 49.0% 7.2% 1.1% 1.3M -124.4M -225.1K 2.18 60.59 N/A N/A 20,832 45,504 1,040,928 792,768 2014-09-18 $1.88 $1.54 34.1% 12.5% 24.1% 25.7% 43.9% 11.3% 4.3% 1.5M -132.9M -218.4K 1.42 24.83 N/A N/A 31,728 44,928 997,824 758,112 2014-09-19 $1.87 $1.54 33.6% 12.2% 24.1% 24.4% 45.8% 11.1% 5.1% 1.3M -133.5M -226.6K 0.41 22.73 N/A N/A 95,808 39,600 1,005,552 764,592 2014-09-22 $1.82 $1.54 38.1% 12.7% 26.2% 37.6% 48.2% 11.7% 2.6% 385.3K -84.6M -241.6K 1.14 31.86 N/A N/A 39,936 45,456 753,840 451,728 2014-09-23 $1.81 $1.58 39.6% 12.8% 26.1% 42.2% 51.1% 13.3% 1.3% 373.3K -84.5M -235.8K 2.58 37.39 N/A N/A 9,696 25,008 783,504 485,280 2014-09-24 $1.86 $1.58 40.0% 12.8% 28.6% 43.2% 47.0% 13.9% 2.4% 477.5K -91.4M -239.3K 0.86 23.68 N/A N/A 32,400 27,840 783,120 497,376 2014-09-25 $1.75 $1.58 46.6% 13.6% 37.0% 62.6% 46.4% 15.0% -3.5% 262.9K -75.7M -253.7K 0.67 35.31 N/A N/A 45,024 30,240 796,416 523,392 2014-09-26 $1.80 $1.60 43.6% 13.3% 38.9% 54.0% 42.7% 14.3% -0.5% 413.6K -82.6M -265.1K 0.46 23.86 N/A N/A 44,304 20,592 829,536 539,088 2014-09-29 $1.80 $1.60 48.4% 13.5% 38.6% 67.9% 46.8% 14.9% -0.6% 479.6K -82.4M -270.0K 0.87 22.24 N/A N/A 22,896 19,920 849,120 551,040 2014-09-30 $1.80 $1.60 45.9% 13.6% 38.5% 60.6% 47.6% 14.5% 1.7% 488.9K -86.3M -257.2K 0.54 47.25 N/A N/A 28,272 15,168 857,136 561,120
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