TQQQ Options History — June 2010

In June 2010, TQQQ traded between $0.19 and $0.26. ATM implied volatility averaged 80.5%. The 30-day expected move averaged 22.8%. IV traded below realized volatility by 4.7% (HV 20d: 85.1%). Max pain ranged from $0.21 to $0.26. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.24.

Notable Days

  • 2010-06-21: Highest Volume — 255,744 contracts
  • 2010-06-29: Largest IV spike — 13.5% change
  • 2010-06-09: Largest Expected Move — 26.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.23$0.19$0.26$0.23$0.19
Max Pain$0.24$0.21$0.26$0.26$0.25
ATM IV80.5%65.7%98.3%91.7%85.0%
Expected Move22.8%18.8%26.4%26.3%24.4%
HV 20d85.1%70.4%100.2%99.5%77.7%
HV 60d73.1%65.5%79.0%65.5%79.0%
Term Structure-1.3%-8.1%5.7%-2.5%5.7%
VWIV76.4%60.4%88.9%88.4%84.6%
Skew 25d21.5%3.2%54.6%11.2%13.0%
Skew 10d54.9%28.7%82.0%67.1%82.0%
Call IV 25d69.3%45.8%88.4%87.9%86.4%
Put IV 25d90.7%69.4%107.1%99.1%99.4%
Bid-Ask Spread %61.4842.9886.0085.8672.63
Gamma HHI0.130.070.340.070.13
Net GEX5.7K-64.6K150.1K-1.6K-64.6K
Net DEX2.0M-2.4M5.6M2.0M5.6M
Net VEX-23.2K-29.8K-18.6K-23.9K-23.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.126.240.180.50
Total Volume138,711.2734,992255,7444,992116,352
Total OI1,165,928.727672,0001,408,1281,051,7761,283,328

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$0.23$0.2691.7%26.3%99.5%0.0%88.4%11.2%-2.5%-1.6K2.0M-23.9K0.1885.86N/AN/A4,224768450,816600,960
2010-06-02$0.25$0.2679.3%22.7%99.5%0.0%78.5%54.6%0.7%19.7K1.4M-22.9K0.4383.87N/AN/A56,06424,192451,200600,960
2010-06-03$0.25$0.2581.4%23.3%100.1%0.0%88.9%33.3%-3.9%36.1K934.7K-25.0K2.9786.00N/AN/A44,160131,328463,872614,400
2010-06-04$0.23$0.2189.5%24.9%100.2%0.0%80.7%17.7%-3.0%-48.1K3.4M-22.9K0.2942.98N/AN/A105,21630,336450,816659,328
2010-06-07$0.21$0.2193.6%26.0%98.9%0.0%81.7%21.2%-8.1%-36.7K3.9M-20.1K0.3346.61N/AN/A103,29633,792522,624642,432
2010-06-08$0.21$0.2198.2%26.2%83.0%0.0%87.3%28.7%-5.5%-35.7K4.3M-18.6K0.7648.46N/AN/A112,12885,248573,696637,824
2010-06-09$0.21$0.2198.3%26.4%82.9%0.0%87.8%20.2%-7.3%-26.6K3.9M-18.7K0.3345.13N/AN/A90,62430,336598,272655,872
2010-06-10$0.23$0.2185.1%24.4%86.3%0.0%0.0%35.7%-2.0%23.1K2.3M-19.9K1.3849.36N/AN/A72,57699,840614,016669,312
2010-06-11$0.23$0.2182.4%23.6%86.3%0.0%84.1%34.1%-1.9%49.3K1.6M-20.0K2.4346.21N/AN/A41,472100,608603,648652,416
2010-06-14$0.23$0.2381.7%23.4%83.9%0.0%74.2%19.7%-4.4%35.2K1.4M-20.3K0.9646.98N/AN/A74,11271,424599,808671,232
2010-06-15$0.25$0.2374.7%21.4%88.0%0.0%60.7%31.4%1.1%109.6K-1.1M-21.6K1.4753.91N/AN/A97,536143,232604,416680,448
2010-06-16$0.25$0.2373.0%20.9%87.2%0.0%72.3%22.8%-0.5%79.4K-1.5M-21.0K0.6752.68N/AN/A84,86457,216599,040716,160
2010-06-17$0.26$0.2372.3%20.7%86.7%0.0%81.4%20.6%-0.6%93.3K-2.1M-23.1K6.2459.85N/AN/A14,59291,008642,432738,048
2010-06-18$0.26$0.2465.8%18.9%76.6%0.0%67.8%21.6%0.8%150.1K-2.4M-22.7K1.2960.44N/AN/A46,46459,904644,352763,776
2010-06-21$0.25$0.2465.7%18.8%77.6%0.0%68.3%11.3%1.8%-9.2K1.1M-22.8K1.6265.44N/AN/A97,536158,208297,216374,784
2010-06-22$0.24$0.2668.9%19.8%78.3%0.0%66.1%8.5%0.8%-45.5K2.2M-26.1K0.9165.85N/AN/A56,83251,840369,024521,856
2010-06-23$0.24$0.2666.4%19.0%78.4%0.0%64.2%18.2%1.2%-45.6K2.9M-26.5K0.3069.28N/AN/A97,15229,184420,480562,944
2010-06-24$0.23$0.2674.0%21.2%79.8%0.0%60.4%6.7%0.8%-41.1K2.8M-29.0K0.1268.83N/AN/A79,1049,216500,352581,376
2010-06-25$0.23$0.2574.4%21.3%70.5%0.0%66.2%19.8%0.5%-42.9K3.0M-28.2K0.2362.70N/AN/A158,59236,096529,152586,752
2010-06-28$0.23$0.2579.2%22.7%70.4%0.0%78.3%3.2%0.9%-13.6K2.6M-29.8K3.2868.37N/AN/A24,96081,792620,928615,168
2010-06-29$0.20$0.2590.0%25.8%81.3%0.0%82.9%18.3%-3.6%-59.9K5.1M-25.1K0.5271.01N/AN/A97,53650,688620,160644,736
2010-06-30$0.19$0.2585.0%24.4%77.7%0.0%84.6%13.0%5.7%-64.6K5.6M-23.1K0.5072.63N/AN/A77,56838,784624,768658,560