TQQQ Options History — May 2010

In May 2010, TQQQ traded between $0.22 and $0.32. ATM implied volatility averaged 84.4%. The 30-day expected move averaged 23.8%. IV traded below realized volatility by 1.4% (HV 20d: 85.9%). Max pain ranged from $0.26 to $0.30. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.78.

Notable Days

  • 2010-05-21: Highest Volume — 461,184 contracts
  • 2010-05-04: Largest IV spike — 38.3% change
  • 2010-05-20: Largest Expected Move — 32.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.26$0.22$0.32$0.32$0.24
Max Pain$0.28$0.26$0.30$0.30$0.26
ATM IV84.4%52.3%112.5%52.3%81.0%
Expected Move23.8%15.0%32.2%15.0%23.2%
HV 20d85.9%45.9%102.7%45.9%101.3%
HV 60d59.6%42.1%65.9%42.1%65.9%
Term Structure-3.3%-15.2%4.4%3.3%3.1%
VWIV83.5%49.5%117.5%49.5%101.8%
Skew 25d26.4%15.3%41.9%19.0%28.2%
Skew 10d69.9%30.3%110.3%41.0%76.2%
Call IV 25d69.6%44.2%93.2%44.2%64.3%
Put IV 25d95.9%63.2%123.8%63.2%92.4%
Bid-Ask Spread %69.8755.1092.5765.4780.60
Gamma HHI0.100.060.170.110.09
Net GEX-10.7K-86.4K96.4K96.4K17.3K
Net DEX3.1M-4.0M9.9M-4.0M1.8M
Net VEX-26.7K-32.7K-19.3K-32.5K-24.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.1416.470.1816.47
Total Volume177,292.812,672461,18412,672100,608
Total OI1,192,300.8882,4321,634,304950,7841,003,008

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$0.32$0.3052.3%15.0%45.9%0.0%49.5%19.0%3.3%96.4K-4.0M-32.5K0.1865.47N/AN/A10,7521,920431,232519,552
2010-05-04$0.29$0.3072.2%20.7%57.1%0.0%71.3%17.4%-6.1%7.8K326.2K-30.8K0.5462.00N/AN/A113,28061,056430,464518,784
2010-05-05$0.29$0.3072.8%20.9%57.4%0.0%79.6%25.9%-6.8%12.5K720.2K-31.2K1.9175.23N/AN/A22,27242,624472,704547,968
2010-05-06$0.26$0.3084.4%24.2%67.6%0.0%75.6%23.6%-9.4%-44.5K3.6M-27.8K1.6192.57N/AN/A76,800124,032479,232564,096
2010-05-07$0.24$0.29112.1%28.7%71.1%0.0%96.1%23.6%-11.4%-52.3K5.2M-27.2K0.6763.46N/AN/A120,96081,408490,368612,864
2010-05-10$0.28$0.2976.6%19.9%89.0%0.0%71.9%19.4%4.4%-5.3K1.9M-30.7K0.9862.03N/AN/A94,08092,544554,880652,032
2010-05-11$0.28$0.2979.3%20.9%88.7%0.0%81.0%24.3%0.1%16.9K1.4M-32.0K0.6962.37N/AN/A180,096124,032571,776659,712
2010-05-12$0.29$0.2972.1%19.4%90.0%0.0%74.7%30.2%0.6%78.8K-1.1M-32.7K1.8166.35N/AN/A128,640233,088604,800663,552
2010-05-13$0.28$0.2971.6%20.5%90.8%0.0%68.7%18.9%0.7%-4.8K1.4M-31.8K0.2155.10N/AN/A111,74423,808619,392693,120
2010-05-14$0.26$0.2982.7%23.7%92.5%0.0%81.9%28.6%-2.8%-55.1K4.8M-27.9K0.3566.11N/AN/A324,864112,128671,616682,752
2010-05-17$0.26$0.2980.3%23.0%92.8%0.0%66.8%31.8%-2.5%-36.9K4.1M-26.4K0.1470.23N/AN/A56,8328,064706,944715,776
2010-05-18$0.25$0.2988.1%25.3%93.0%0.0%77.5%25.2%-5.9%-49.8K5.7M-24.9K0.4364.14N/AN/A70,65630,720748,416713,856
2010-05-19$0.25$0.2986.6%24.8%92.5%0.0%78.5%27.6%-3.9%-86.4K7.3M-23.2K0.1868.84N/AN/A170,88029,952759,936720,384
2010-05-20$0.22$0.27112.5%32.2%97.4%0.0%117.5%30.7%-15.2%-71.3K9.7M-19.3K0.3164.95N/AN/A239,23273,728815,616739,584
2010-05-21$0.22$0.27102.6%29.4%97.2%0.0%107.5%36.6%-8.1%-45.5K9.9M-20.0K2.4771.79N/AN/A132,864328,320867,072767,232
2010-05-24$0.23$0.2698.7%28.3%97.6%0.0%104.7%32.4%-6.0%-7.5K2.5M-22.9K1.0269.13N/AN/A63,74464,896382,080500,352
2010-05-25$0.22$0.2695.4%27.4%96.3%0.0%89.8%41.9%-2.5%-2.9K2.9M-22.3K0.3973.50N/AN/A30,72011,904439,680525,696
2010-05-26$0.22$0.2690.7%26.0%96.2%0.0%94.3%15.3%0.6%8012.3M-22.6K4.0084.03N/AN/A3,07212,288461,184532,992
2010-05-27$0.24$0.2676.7%22.0%102.7%0.0%81.2%27.0%1.6%18.4K1.9M-23.6K1.2079.50N/AN/A16,89620,352460,800544,512
2010-05-28$0.24$0.2681.0%23.2%101.3%0.0%101.8%28.2%3.1%17.3K1.8M-24.5K16.4780.60N/AN/A5,76094,848447,360555,648