TQQQ Options History — September 2020 In September 2020, TQQQ traded between $14.20 and $21.91. ATM implied volatility averaged 98.7%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 27.8%. IV traded below realized volatility by 1.8% (HV 20d: 100.5%). Max pain ranged from $12.38 to $18.75. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.67.
Notable Days 2020-09-04 : Highest Volume — 1,589,984 contracts2020-09-03 : Largest IV spike — 17.1% change2020-09-03 : Highest IV Rank — 44.6%2020-09-03 : Largest Expected Move — 33.3%Monthly Statistics Metric Avg Min Max Open Close Price $16.33 $14.20 $21.91 $21.14 $16.39 Max Pain $15.95 $12.38 $18.75 $12.38 $15.25 ATM IV 98.7% 89.3% 115.5% 89.3% 91.0% Expected Move 27.8% 24.0% 33.3% 24.0% 24.4% HV 20d 100.5% 47.6% 116.5% 47.6% 114.8% HV 60d 76.4% 62.4% 81.7% 62.4% 81.0% IV Rank 35.5% 30.4% 44.6% 30.4% 31.4% IV Percentile 81.0% 72.2% 90.1% 79.0% 72.2% Term Structure 1.6% -4.3% 8.0% 2.4% 6.5% VWIV 95.7% 85.0% 110.7% 87.6% 85.0% Skew 25d 23.2% 20.2% 29.3% 20.2% 22.9% Skew 10d 40.7% 26.5% 60.3% 38.9% 40.6% Call IV 25d 86.1% 78.1% 100.8% 81.3% 78.3% Put IV 25d 109.4% 100.3% 128.7% 101.5% 101.2% Bid-Ask Spread % 17.15 6.83 49.97 49.97 15.39 Gamma HHI 0.05 0.03 0.09 0.06 0.04 Net GEX 8.4M -4.2M 23.8M 17.1M 22.7M Net DEX -1.13B -2.82B -537.3M -2.61B -1.24B Net VEX -4.9M -5.4M -4.5M -5.1M -4.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.42 0.94 0.76 0.69 Total Volume 782,962.667 278,976 1,589,984 532,616 668,320 Total OI 3,476,329.143 2,449,240 4,213,992 3,593,944 2,818,968
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 2020-09-01 $21.14 $12.38 89.3% 24.0% 47.6% 30.4% 87.6% 20.2% 2.4% 17.1M -2.61B -5.1M 0.76 49.97 N/A N/A 303,480 229,136 1,666,608 1,927,336 2020-09-02 $21.91 $12.50 98.6% 26.6% 48.1% 35.5% 96.1% 22.4% 1.2% 17.8M -2.82B -5.1M 0.72 42.70 N/A N/A 450,368 323,448 1,713,048 2,003,168 2020-09-03 $18.28 $18.75 115.5% 33.3% 84.2% 44.6% 110.7% 27.9% 0.2% -3.9M -1.37B -5.4M 0.77 9.57 N/A N/A 820,136 627,512 1,756,312 2,098,936 2020-09-04 $17.98 $18.75 108.4% 30.7% 83.5% 40.8% 106.0% 29.3% -1.9% -4.2M -1.23B -5.4M 0.84 17.05 N/A N/A 864,272 725,712 1,981,168 2,209,680 2020-09-08 $15.37 $18.00 113.4% 32.0% 101.4% 43.5% 103.0% 26.5% 0.4% 3.3M -830.2M -4.9M 0.48 17.54 N/A N/A 529,328 253,416 1,763,704 1,919,464 2020-09-09 $16.60 $17.50 103.7% 29.8% 103.6% 38.2% 101.3% 24.6% 2.5% 7.8M -1.22B -5.1M 0.43 11.80 N/A N/A 487,904 209,096 1,906,904 1,982,064 2020-09-10 $15.67 $16.88 105.2% 30.2% 103.1% 39.0% 100.3% 21.4% 2.2% 5.2M -914.8M -4.9M 0.76 15.59 N/A N/A 489,248 372,336 1,992,296 2,013,584 2020-09-11 $15.11 $16.88 99.7% 28.1% 103.8% 36.1% 93.6% 20.2% -4.3% -1.5M -687.9M -4.7M 0.94 19.40 N/A N/A 474,224 443,376 2,051,992 2,107,664 2020-09-14 $16.10 $16.25 92.0% 26.3% 106.4% 32.0% 93.7% 21.8% 1.5% 7.1M -1.12B -4.8M 0.68 12.96 N/A N/A 317,712 216,648 1,826,776 1,918,352 2020-09-15 $16.52 $16.25 94.3% 27.0% 105.6% 33.2% 92.9% 23.4% 0.8% 11.1M -1.29B -4.8M 0.42 15.65 N/A N/A 393,720 166,112 1,889,808 1,955,136 2020-09-16 $16.07 $16.25 95.1% 27.3% 105.5% 33.6% 94.7% 24.5% 1.3% 9.9M -1.14B -4.8M 0.64 25.63 N/A N/A 295,736 188,224 1,992,936 1,992,928 2020-09-17 $14.98 $15.88 100.8% 28.9% 108.1% 36.7% 98.4% 22.1% 1.1% -262.0K -695.9M -4.6M 0.63 20.12 N/A N/A 545,296 345,768 2,008,728 2,044,040 2020-09-18 $14.62 $15.88 98.8% 28.4% 106.9% 35.6% 95.4% 22.5% -0.9% -2.1M -581.8M -4.6M 0.63 7.34 N/A N/A 649,040 406,184 2,102,176 2,111,816 2020-09-21 $14.51 $15.63 100.1% 28.5% 106.6% 36.3% 98.1% 22.8% 1.3% 4.9M -583.6M -4.5M 0.63 14.70 N/A N/A 409,584 258,592 1,500,848 948,392 2020-09-22 $15.61 $15.63 93.4% 26.2% 110.3% 32.7% 94.2% 20.5% -0.2% 12.0M -946.7M -4.8M 0.47 11.16 N/A N/A 422,984 198,112 1,605,816 1,026,360 2020-09-23 $14.20 $15.25 98.2% 28.4% 113.8% 35.3% 95.9% 24.3% 2.0% 5.7M -537.3M -4.6M 0.61 15.09 N/A N/A 470,624 285,504 1,715,656 1,077,464 2020-09-24 $14.40 $15.25 100.7% 28.6% 111.0% 36.6% 97.9% 24.6% 0.0% 6.3M -571.8M -4.6M 0.68 15.99 N/A N/A 507,776 343,872 1,802,144 1,162,792 2020-09-25 $15.29 $15.25 91.7% 25.5% 114.1% 31.8% 89.9% 22.7% 2.0% 23.8M -977.6M -4.8M 0.73 7.41 N/A N/A 538,392 395,392 1,871,024 1,237,304 2020-09-28 $16.19 $15.25 90.6% 24.9% 116.5% 31.2% 87.3% 20.6% 8.0% 16.1M -1.14B -4.9M 0.78 8.18 N/A N/A 301,648 235,008 1,590,544 971,208 2020-09-29 $16.05 $15.25 91.6% 25.5% 115.3% 31.7% 88.0% 22.8% 6.5% 17.6M -1.12B -5.0M 0.80 6.83 N/A N/A 155,024 123,952 1,682,744 1,055,024 2020-09-30 $16.39 $15.25 91.0% 24.4% 114.8% 31.4% 85.0% 22.9% 6.5% 22.7M -1.24B -4.9M 0.69 15.39 N/A N/A 395,848 272,472 1,717,640 1,101,328
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