TQQQ Options History — March 2010

In March 2010, TQQQ traded between $0.24 and $0.29. ATM implied volatility averaged 47.2%. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 23.5% (HV 20d: 23.7%). Max pain ranged from $0.25 to $0.29. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 6.14.

Notable Days

  • 2010-03-05: Highest Volume — 167,808 contracts
  • 2010-03-11: Largest IV spike — 15.0% change
  • 2010-03-15: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.27$0.24$0.29$0.24$0.29
Max Pain$0.28$0.25$0.29$0.25$0.29
ATM IV47.2%42.0%53.1%47.6%46.7%
Expected Move13.8%12.8%15.2%13.7%13.4%
HV 20d23.7%22.7%24.6%23.1%24.1%
Term Structure5.0%3.0%6.8%4.2%4.3%
VWIV48.9%44.5%56.6%44.6%47.5%
Skew 25d9.8%7.0%12.6%10.1%7.5%
Skew 10d20.6%14.3%26.1%21.7%14.3%
Call IV 25d44.0%41.7%47.8%42.4%43.0%
Put IV 25d53.8%50.5%57.4%52.4%50.5%
Bid-Ask Spread %56.8329.8473.2532.0465.81
Gamma HHI0.280.150.920.920.17
Net GEX9.6K-19.1K46.0K029.8K
Net DEX-691.3K-1.5M43.7K0-1.4M
Net VEX-7.8K-14.2K00-14.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.140.0863.0010.000.75
Total Volume44,247.2730167,808013,440
Total OI264,645.8180418,1760418,176

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-02$0.24$0.0047.6%13.7%0.0%0.0%0.0%0.0%4.2%0000.0032.04N/AN/A0000
2010-03-03$0.25$0.0044.9%12.9%0.0%0.0%44.6%10.1%4.1%00010.0073.25N/AN/A3843,84000
2010-03-04$0.25$0.2546.2%13.2%0.0%0.0%52.2%10.9%4.9%-3.9K43.7K-881.5029.84N/AN/A53,76080,6403843,840
2010-03-05$0.26$0.2942.0%13.7%0.0%0.0%50.3%12.3%6.3%46.0K-294.1K-1.3K1.9744.24N/AN/A56,448111,36054,14478,720
2010-03-08$0.26$0.2543.9%14.2%0.0%0.0%46.3%11.6%4.7%28.3K-93.9K-4.0K1.8633.71N/AN/A16,12829,95260,288109,056
2010-03-09$0.26$0.2945.2%14.7%0.0%0.0%46.9%11.5%3.6%36.4K-349.4K-5.5K3.0254.06N/AN/A19,58459,13676,416139,008
2010-03-10$0.27$0.2944.3%13.9%0.0%0.0%48.6%11.6%5.6%31.9K-532.3K-5.8K2.0057.66N/AN/A7,68015,36080,640144,384
2010-03-11$0.27$0.2950.9%14.6%0.0%0.0%49.1%12.6%4.3%28.4K-430.8K-6.5K2.2049.83N/AN/A26,49658,36884,480159,744
2010-03-12$0.27$0.2951.6%14.8%0.0%0.0%56.6%9.7%4.0%-1.4K-304.0K-7.9K0.6946.76N/AN/A36,86425,34495,616187,776
2010-03-15$0.27$0.2953.1%15.2%0.0%0.0%49.0%9.6%3.0%-18.0K-353.5K-9.2K4.2554.04N/AN/A1,5366,528132,480211,584
2010-03-16$0.28$0.2951.6%14.8%0.0%0.0%53.8%11.1%5.7%39.2K-1.0M-9.2K21.3370.83N/AN/A3,45673,728134,016218,112
2010-03-17$0.28$0.2949.5%14.2%0.0%0.0%46.4%9.2%6.0%-5.3K-1.4M-8.9K7.5651.01N/AN/A3,45626,112135,936244,608
2010-03-18$0.28$0.2946.7%13.4%0.0%0.0%46.6%9.2%6.8%-3.6K-1.5M-8.8K3.0050.11N/AN/A3841,152136,320244,608
2010-03-19$0.28$0.2948.5%13.9%0.0%0.0%50.2%7.0%6.8%-19.1K-1.3M-8.8K0.1957.77N/AN/A23,8084,608136,704245,760
2010-03-22$0.29$0.2947.0%13.5%0.0%0.0%48.3%8.7%5.5%-3.1K-603.7K-8.7K0.2164.64N/AN/A25,7285,37694,080143,616
2010-03-23$0.29$0.2946.3%13.3%23.1%0.0%48.5%10.3%4.7%4.5K-912.0K-9.6K3.7068.05N/AN/A7,68028,416111,360148,992
2010-03-24$0.29$0.2947.0%13.5%24.6%0.0%53.9%9.2%4.6%-2.5K-672.8K-10.6K63.0067.53N/AN/A38424,192119,040173,952
2010-03-25$0.29$0.2947.0%13.5%24.6%0.0%48.5%7.4%5.5%-10.2K-692.9K-10.7K0.9272.64N/AN/A38,40035,328119,424186,240
2010-03-26$0.29$0.2947.0%13.5%23.9%0.0%47.7%8.6%4.8%-6.0K-688.4K-13.3K0.5172.27N/AN/A22,65611,520157,440221,568
2010-03-29$0.29$0.2947.5%13.6%23.3%0.0%44.5%8.5%5.5%16.4K-1.2M-14.2K0.0864.18N/AN/A4,992384179,328225,024
2010-03-30$0.29$0.2944.7%12.8%22.7%0.0%47.0%9.9%5.1%24.1K-1.4M-14.1K0.1570.10N/AN/A7,6801,152184,320225,024
2010-03-31$0.29$0.2946.7%13.4%24.1%0.0%47.5%7.5%4.3%29.8K-1.4M-14.2K0.7565.81N/AN/A7,6805,760192,000226,176