TQQQ Options History — September 2017

In September 2017, TQQQ traded between $4.51 and $4.84. ATM implied volatility averaged 37.4%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 3.0% (HV 20d: 34.4%). Max pain ranged from $4.17 to $4.58. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2017-09-05: Highest Volume — 674,496 contracts
  • 2017-09-25: Largest IV spike — 20.9% change
  • 2017-09-25: Highest IV Rank — 23.7%
  • 2017-09-05: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.72$4.51$4.84$4.82$4.77
Max Pain$4.55$4.17$4.58$4.17$4.58
ATM IV37.4%32.7%42.9%36.5%36.2%
Expected Move10.8%9.2%12.5%9.2%9.8%
HV 20d34.4%26.5%43.7%42.8%29.5%
HV 60d36.6%33.0%42.0%42.0%33.0%
IV Rank16.4%10.1%23.7%15.2%14.8%
IV Percentile46.6%23.4%78.6%36.5%38.5%
Term Structure1.3%-0.7%3.2%1.4%1.3%
VWIV38.7%30.7%43.9%33.0%34.3%
Skew 25d12.7%9.6%15.8%11.5%11.1%
Skew 10d27.7%21.1%37.2%23.4%26.7%
Call IV 25d31.5%27.1%37.7%30.6%30.9%
Put IV 25d44.2%38.0%50.2%42.1%42.1%
Bid-Ask Spread %19.0010.3547.7629.1316.50
Gamma HHI0.060.020.390.030.03
Net GEX5.2M898.7K14.6M6.5M2.9M
Net DEX-225.6M-326.8M-124.0M-326.8M-238.8M
Net VEX-1.4M-1.4M-1.3M-1.4M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.691.400.950.69
Total Volume554,821.2400,680674,496664,224453,264
Total OI2,664,573.62,363,9042,925,9362,884,2722,642,376

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$4.82$4.1736.5%9.2%42.8%15.2%33.0%11.5%1.4%6.5M-326.8M-1.4M0.9529.13N/AN/A341,256322,9681,361,6881,522,584
2017-09-05$4.68$4.5042.8%12.5%43.6%23.6%42.0%9.6%1.5%4.8M-227.6M-1.4M0.8224.61N/AN/A371,496303,0001,265,6401,414,536
2017-09-06$4.72$4.5040.2%11.8%43.7%20.0%42.9%14.5%0.3%6.4M-245.6M-1.4M0.8617.33N/AN/A341,784294,2641,308,2881,454,088
2017-09-07$4.75$4.5838.8%11.5%43.7%18.2%42.2%14.5%1.1%8.3M-266.7M-1.4M0.9014.94N/AN/A339,120306,4801,344,4561,477,896
2017-09-08$4.63$4.5841.5%12.2%38.0%21.8%43.9%15.8%1.3%3.5M-206.0M-1.4M1.0415.06N/AN/A318,120329,6161,373,9761,502,928
2017-09-11$4.78$4.5836.6%10.9%38.8%15.3%42.2%14.4%1.1%6.0M-255.9M-1.4M1.0613.37N/AN/A318,192338,7841,263,8401,443,936
2017-09-12$4.81$4.5834.8%10.7%36.9%12.9%41.0%13.7%3.2%8.0M-269.7M-1.4M1.2217.16N/AN/A281,256342,1201,310,9761,496,256
2017-09-13$4.84$4.5834.1%10.2%36.9%11.9%39.4%12.5%2.0%9.6M-284.1M-1.4M1.2116.51N/AN/A278,448336,4801,338,9601,542,816
2017-09-14$4.75$4.5834.7%10.4%37.5%12.7%40.7%12.7%2.8%9.1M-253.3M-1.4M1.3611.72N/AN/A249,960339,3121,359,9121,536,360
2017-09-15$4.79$4.5832.7%9.8%31.1%10.1%30.7%11.0%2.4%14.6M-278.4M-1.4M1.0514.40N/AN/A309,096323,6161,378,2241,547,712
2017-09-18$4.79$4.5835.2%10.2%31.2%13.4%39.6%13.4%0.8%4.6M-225.7M-1.4M1.3715.35N/AN/A216,240297,2641,129,8241,234,080
2017-09-19$4.80$4.5834.7%10.0%30.5%12.7%38.3%12.1%1.3%5.0M-231.5M-1.4M1.4010.35N/AN/A196,008274,1281,159,5361,280,592
2017-09-20$4.77$4.5832.9%9.4%26.5%10.4%34.4%10.4%2.7%1.8M-209.9M-1.3M1.0947.76N/AN/A223,152243,8881,165,7281,312,824
2017-09-21$4.67$4.5837.0%10.6%27.6%15.8%36.9%12.2%0.8%967.8K-179.0M-1.3M1.2219.05N/AN/A205,944251,3041,191,0241,330,152
2017-09-22$4.67$4.5835.5%10.1%27.1%13.8%36.4%11.9%-0.7%2.8M-162.1M-1.3M1.2317.24N/AN/A233,352286,8961,194,3121,355,064
2017-09-25$4.51$4.5842.9%12.1%30.2%23.7%40.7%10.3%0.8%898.7K-124.0M-1.3M0.9923.30N/AN/A258,936256,5361,121,6881,245,336
2017-09-26$4.54$4.5840.7%11.5%30.3%20.8%38.4%14.8%1.3%1.2M-143.8M-1.3M0.9026.75N/AN/A244,872219,3361,174,8241,336,320
2017-09-27$4.69$4.5840.4%11.3%31.7%20.4%39.5%14.5%0.5%3.2M-199.7M-1.3M0.8217.56N/AN/A247,152202,1041,201,7281,356,120
2017-09-28$4.65$4.5840.2%11.3%30.2%20.1%36.8%13.2%0.7%3.0M-183.1M-1.3M0.8311.83N/AN/A219,168181,5121,236,9121,377,960
2017-09-29$4.77$4.5836.2%9.8%29.5%14.8%34.3%11.1%1.3%2.9M-238.8M-1.3M0.6916.50N/AN/A267,552185,7121,246,6801,395,696