TQQQ Options History — September 2016

In September 2016, TQQQ traded between $2.41 and $2.71. ATM implied volatility averaged 41.4%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 7.3% (HV 20d: 34.1%). Max pain ranged from $2.02 to $2.40. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.63.

Notable Days

2016-09-09: Highest Volume — 681,168 contracts
2016-09-09: Largest IV spike — 27.0% change
2016-09-13: Highest IV Rank — 26.1%
2016-09-13: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.59	$2.41	$2.71	$2.55	$2.70
Max Pain	$2.35	$2.02	$2.40	$2.02	$2.40
ATM IV	41.4%	35.4%	49.2%	40.9%	39.1%
Expected Move	11.6%	9.4%	14.1%	10.6%	10.1%
HV 20d	34.1%	14.7%	44.8%	17.7%	44.8%
HV 60d	39.0%	31.4%	45.6%	42.6%	31.6%
IV Rank	12.9%	2.8%	26.1%	12.1%	9.0%
IV Percentile	21.7%	2.4%	56.0%	17.5%	13.9%
Term Structure	0.8%	-1.5%	5.0%	-0.1%	0.2%
VWIV	41.9%	34.7%	48.6%	40.9%	38.7%
Skew 25d	15.4%	10.8%	20.4%	11.8%	16.2%
Skew 10d	28.3%	20.2%	40.6%	24.8%	25.4%
Call IV 25d	35.2%	30.3%	44.2%	38.2%	33.4%
Put IV 25d	50.6%	42.7%	59.5%	50.0%	49.6%
Bid-Ask Spread %	55.45	39.20	77.77	72.36	62.29
Gamma HHI	0.10	0.07	0.15	0.10	0.15
Net GEX	2.7M	555.6K	6.9M	2.0M	6.9M
Net DEX	-167.8M	-225.1M	-120.9M	-188.0M	-168.8M
Net VEX	-927.0K	-976.0K	-893.3K	-971.8K	-906.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.63	1.38	2.03	1.72	1.79
Total Volume	525,981.714	460,992	681,168	478,896	534,720
Total OI	3,006,987.429	2,503,680	3,404,688	3,343,920	2,809,440

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
2016-09-01	$2.55	$2.02	40.9%	10.6%	17.7%	12.1%	40.9%	11.8%	-0.1%	2.0M	-188.0M	-971.8K	1.72	72.36	N/A	N/A	175,776	303,120	1,689,024	1,654,896
2016-09-02	$2.57	$2.02	37.2%	9.4%	14.7%	5.8%	34.7%	20.4%	1.8%	3.4M	-206.7M	-950.8K	1.52	77.77	N/A	N/A	213,120	323,568	1,694,784	1,667,328
2016-09-06	$2.62	$2.37	37.3%	11.2%	15.8%	5.9%	40.0%	14.8%	0.1%	2.3M	-217.3M	-924.1K	1.39	39.20	N/A	N/A	193,200	267,792	1,613,568	1,568,448
2016-09-07	$2.62	$2.37	36.5%	10.9%	15.6%	4.7%	36.6%	10.8%	1.0%	2.9M	-225.1M	-906.1K	1.68	55.57	N/A	N/A	177,936	299,760	1,643,232	1,596,912
2016-09-08	$2.58	$2.37	36.9%	10.4%	16.3%	5.3%	35.6%	13.6%	-0.9%	2.2M	-205.2M	-914.9K	1.41	44.84	N/A	N/A	205,152	289,536	1,653,264	1,637,616
2016-09-09	$2.41	$2.37	46.9%	13.0%	29.2%	22.2%	45.3%	19.0%	0.6%	1.5M	-124.1M	-923.0K	1.38	50.90	N/A	N/A	286,608	394,560	1,647,264	1,649,040
2016-09-12	$2.52	$2.37	44.6%	12.5%	33.5%	18.3%	43.9%	13.9%	-1.5%	2.1M	-164.4M	-893.3K	1.40	57.45	N/A	N/A	231,648	323,424	1,624,128	1,610,400
2016-09-13	$2.43	$2.37	49.2%	14.1%	34.9%	26.1%	48.6%	18.9%	-0.4%	2.1M	-139.8M	-915.3K	1.39	48.14	N/A	N/A	205,536	285,024	1,661,328	1,632,816
2016-09-14	$2.48	$2.37	48.6%	14.0%	35.5%	25.2%	47.5%	13.3%	0.3%	2.6M	-159.9M	-911.3K	1.39	45.70	N/A	N/A	231,456	321,888	1,671,936	1,641,936
2016-09-15	$2.60	$2.37	42.5%	12.5%	39.6%	14.8%	44.3%	17.7%	0.8%	3.0M	-222.6M	-908.8K	1.61	51.36	N/A	N/A	221,328	356,112	1,700,064	1,673,280
2016-09-16	$2.60	$2.37	44.0%	12.4%	39.6%	17.4%	47.9%	16.7%	0.0%	555.6K	-216.3M	-902.9K	1.50	53.21	N/A	N/A	218,880	327,312	1,686,240	1,718,448
2016-09-19	$2.56	$2.37	43.5%	12.5%	39.9%	16.4%	43.8%	16.5%	0.5%	2.3M	-123.2M	-902.3K	1.76	56.73	N/A	N/A	182,832	320,880	1,303,440	1,200,240
2016-09-20	$2.58	$2.37	44.6%	12.8%	40.0%	18.4%	45.4%	15.4%	1.4%	2.2M	-121.1M	-976.0K	1.46	45.00	N/A	N/A	215,664	314,112	1,332,336	1,300,848
2016-09-21	$2.65	$2.37	39.3%	11.3%	41.1%	9.4%	41.8%	17.7%	1.2%	3.9M	-147.8M	-952.0K	1.91	63.91	N/A	N/A	179,424	341,856	1,358,016	1,309,344
2016-09-22	$2.71	$2.40	35.4%	10.1%	41.0%	2.8%	40.1%	13.1%	2.7%	3.0M	-179.2M	-930.4K	2.03	53.13	N/A	N/A	176,832	358,320	1,369,200	1,343,808
2016-09-23	$2.66	$2.40	37.6%	10.4%	41.7%	6.5%	38.9%	11.9%	5.0%	3.1M	-163.0M	-940.5K	1.85	54.83	N/A	N/A	188,208	348,912	1,377,456	1,369,968
2016-09-26	$2.59	$2.40	43.4%	12.1%	42.8%	16.3%	43.6%	15.9%	1.4%	2.0M	-120.9M	-950.1K	1.85	52.28	N/A	N/A	172,080	318,720	1,312,992	1,297,872
2016-09-27	$2.67	$2.40	39.4%	10.8%	43.9%	9.5%	40.4%	17.1%	0.8%	2.4M	-143.0M	-926.9K	1.61	58.88	N/A	N/A	194,016	312,624	1,327,968	1,324,224
2016-09-28	$2.68	$2.40	38.7%	10.5%	43.6%	8.3%	38.5%	15.0%	1.2%	3.7M	-153.1M	-923.8K	1.88	55.90	N/A	N/A	171,168	321,120	1,364,016	1,354,512
2016-09-29	$2.63	$2.40	43.1%	11.8%	44.1%	15.8%	42.3%	14.3%	0.9%	2.9M	-134.3M	-936.3K	1.64	65.08	N/A	N/A	205,200	336,192	1,378,848	1,376,256
2016-09-30	$2.70	$2.40	39.1%	10.1%	44.8%	9.0%	38.7%	16.2%	0.2%	6.9M	-168.8M	-906.9K	1.79	62.29	N/A	N/A	191,472	343,248	1,414,272	1,395,168