TQQQ Options History — September 2015

In September 2015, TQQQ traded between $1.70 and $2.12. ATM implied volatility averaged 71.4%, placing in the 50.5% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded below realized volatility by 16.4% (HV 20d: 87.8%). Max pain ranged from $1.87 to $2.04. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.94.

Notable Days

2015-09-11: Highest Volume — 923,472 contracts
2015-09-02: Largest IV drop — 17.9% change
2015-09-01: Highest IV Rank — 83.0%
2015-09-01: Largest Expected Move — 27.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.94	$1.70	$2.12	$1.80	$1.82
Max Pain	$1.97	$1.87	$2.04	$1.98	$1.94
ATM IV	71.4%	57.4%	96.2%	96.2%	75.5%
Expected Move	20.5%	16.5%	27.4%	27.4%	21.2%
HV 20d	87.8%	67.4%	99.2%	89.6%	68.7%
HV 60d	66.0%	62.1%	70.2%	62.1%	70.2%
IV Rank	50.5%	32.3%	83.0%	83.0%	55.8%
IV Percentile	93.9%	87.3%	99.6%	99.6%	94.8%
Term Structure	-0.2%	-4.5%	4.9%	-4.5%	-1.1%
VWIV	67.9%	59.0%	92.1%	92.1%	79.2%
Skew 25d	23.2%	16.9%	32.6%	32.6%	20.7%
Skew 10d	43.2%	32.8%	61.5%	61.5%	42.2%
Call IV 25d	60.1%	46.0%	78.6%	78.6%	62.1%
Put IV 25d	83.3%	68.7%	111.2%	111.2%	82.8%
Bid-Ask Spread %	48.86	25.02	68.38	66.65	67.01
Gamma HHI	0.11	0.03	0.80	0.03	0.03
Net GEX	1.7M	-376.8K	15.2M	99.4K	97.6K
Net DEX	-9.1M	-62.7M	27.0M	20.6M	11.2M
Net VEX	-489.8K	-534.5K	-405.1K	-490.8K	-430.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.67	1.13	1.01	0.67
Total Volume	615,750.857	149,856	923,472	699,264	646,944
Total OI	1,930,756.571	1,522,032	2,209,632	1,951,296	1,692,288

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
2015-09-01	$1.80	$1.98	96.2%	27.4%	89.6%	83.0%	92.1%	32.6%	-4.5%	99.4K	20.6M	-490.8K	1.01	66.65	N/A	N/A	347,328	351,936	1,048,896	902,400
2015-09-02	$1.93	$1.98	79.0%	22.6%	93.3%	60.9%	76.8%	21.5%	-1.5%	284.6K	4.7M	-516.1K	0.85	66.95	N/A	N/A	404,976	344,928	1,078,656	960,480
2015-09-03	$1.92	$1.87	76.7%	21.6%	92.7%	58.0%	67.0%	16.9%	-1.3%	773.0K	-4.2M	-534.5K	0.96	25.02	N/A	N/A	369,360	354,096	1,150,080	986,640
2015-09-04	$1.86	$1.94	83.1%	23.2%	93.0%	65.8%	68.5%	31.4%	-1.5%	460.1K	20.3M	-502.0K	0.89	34.32	N/A	N/A	377,040	337,152	1,169,808	1,018,224
2015-09-08	$2.00	$1.92	71.0%	20.5%	96.6%	50.1%	71.0%	21.4%	0.5%	933.7K	-17.4M	-520.3K	0.70	28.87	N/A	N/A	119,856	84,144	1,057,536	863,232
2015-09-09	$1.93	$1.94	74.2%	21.2%	96.7%	54.1%	63.8%	24.6%	2.4%	975.6K	-11.3M	-516.3K	1.11	34.34	N/A	N/A	321,504	357,264	1,135,536	921,312
2015-09-10	$1.99	$1.94	71.1%	20.3%	97.7%	50.1%	66.0%	25.6%	-0.0%	1.0M	-16.3M	-529.8K	0.76	28.91	N/A	N/A	436,944	330,432	1,162,080	975,360
2015-09-11	$2.02	$1.94	67.0%	19.4%	98.1%	44.8%	64.4%	26.4%	-2.8%	15.2M	-24.8M	-519.7K	0.68	34.65	N/A	N/A	550,368	373,104	1,216,896	992,736
2015-09-14	$2.01	$1.94	68.2%	19.5%	98.0%	46.3%	64.2%	24.5%	1.6%	1.1M	-24.1M	-516.2K	1.13	36.85	N/A	N/A	294,144	332,544	1,092,432	879,168
2015-09-15	$2.08	$1.94	64.2%	18.4%	98.8%	41.1%	66.0%	19.8%	2.1%	1.5M	-40.4M	-514.7K	1.05	33.45	N/A	N/A	72,960	76,896	1,107,312	949,728
2015-09-16	$2.12	$1.96	60.4%	17.3%	99.2%	36.1%	59.2%	19.0%	1.0%	1.6M	-51.4M	-515.7K	0.94	36.84	N/A	N/A	303,360	284,640	1,125,600	1,001,712
2015-09-17	$2.12	$1.98	57.4%	16.5%	99.1%	32.3%	61.1%	22.7%	0.8%	2.1M	-62.7M	-514.9K	1.11	47.49	N/A	N/A	293,952	325,824	1,139,952	1,018,848
2015-09-18	$2.03	$1.98	63.0%	18.0%	95.9%	39.5%	61.6%	22.6%	1.0%	353.5K	-20.9M	-493.8K	1.04	46.95	N/A	N/A	327,696	340,800	1,144,224	1,058,496
2015-09-21	$2.04	$2.04	60.8%	17.7%	83.0%	36.7%	59.0%	23.1%	0.2%	322.6K	-18.6M	-486.2K	0.99	55.57	N/A	N/A	308,304	305,760	785,616	736,416
2015-09-22	$1.91	$2.04	69.7%	19.6%	79.0%	48.3%	64.3%	20.9%	-1.3%	-207.8K	1.6M	-464.8K	1.03	56.78	N/A	N/A	271,248	279,120	875,328	794,544
2015-09-23	$1.96	$2.02	64.2%	18.3%	79.2%	41.1%	63.4%	22.0%	2.2%	160.0K	-6.6M	-476.4K	0.99	63.84	N/A	N/A	294,144	292,512	895,920	824,784
2015-09-24	$1.94	$2.02	67.6%	19.2%	71.0%	45.5%	65.1%	26.8%	4.9%	-70.1K	17.8K	-463.1K	0.90	61.78	N/A	N/A	319,344	287,376	915,024	851,424
2015-09-25	$1.89	$2.00	69.5%	19.7%	67.4%	47.9%	67.9%	18.1%	-3.4%	9.5M	4.5M	-459.6K	0.99	63.39	N/A	N/A	337,824	333,888	961,104	866,016
2015-09-28	$1.74	$2.00	78.8%	24.5%	73.1%	60.2%	71.1%	21.8%	-0.6%	-155.8K	18.4M	-415.8K	1.08	68.04	N/A	N/A	271,296	294,048	788,880	757,920
2015-09-29	$1.70	$1.98	81.1%	24.0%	72.8%	63.1%	74.0%	24.5%	-2.9%	-376.8K	27.0M	-405.1K	0.85	68.38	N/A	N/A	311,808	263,904	829,200	814,080
2015-09-30	$1.82	$1.94	75.5%	21.2%	68.7%	55.8%	79.2%	20.7%	-1.1%	97.6K	11.2M	-430.8K	0.67	67.01	N/A	N/A	387,312	259,632	859,152	833,136