TQQQ Options History — July 2010

In July 2010, TQQQ traded between $0.19 and $0.24. ATM implied volatility averaged 71.8%. The 30-day expected move averaged 20.8%. IV traded above realized volatility by 2.4% (HV 20d: 69.4%). Max pain ranged from $0.22 to $0.25. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.82.

Notable Days

  • 2010-07-01: Highest Volume — 324,480 contracts
  • 2010-07-08: Largest IV drop — 18.5% change
  • 2010-07-01: Largest Expected Move — 25.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.22$0.19$0.24$0.19$0.23
Max Pain$0.23$0.22$0.25$0.23$0.22
ATM IV71.8%62.5%88.8%88.8%64.4%
Expected Move20.8%17.9%25.5%25.5%18.5%
HV 20d69.4%57.4%76.4%76.4%57.4%
HV 60d81.7%78.8%84.0%79.0%80.2%
Term Structure2.2%-2.5%6.6%1.0%6.6%
VWIV76.6%56.2%120.2%83.4%57.8%
Skew 25d20.9%6.1%40.5%22.4%40.5%
Skew 10d44.0%33.4%71.5%53.8%33.4%
Call IV 25d62.0%36.4%80.7%80.7%36.4%
Put IV 25d83.0%70.6%103.0%103.0%76.9%
Bid-Ask Spread %56.4338.3689.4364.4189.43
Gamma HHI0.090.060.260.120.06
Net GEX36.8K-65.2K114.3K-65.2K39.9K
Net DEX1.5M-984.6K6.1M6.1M207.7K
Net VEX-25.9K-29.5K-20.9K-21.6K-26.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.306.720.300.64
Total Volume114,011.4296,912324,480324,4806,912
Total OI1,309,549.714814,0801,689,9841,315,2001,027,968

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$0.19$0.2388.8%25.5%76.4%0.0%83.4%22.4%1.0%-65.2K6.1M-21.6K0.3064.41N/AN/A248,83275,648648,576666,624
2010-07-02$0.19$0.2283.1%23.8%68.7%0.0%82.7%23.6%4.4%-33.7K6.0M-23.0K0.6282.42N/AN/A54,91234,176782,208720,384
2010-07-06$0.19$0.2584.8%24.7%66.2%0.0%120.2%21.9%-2.4%-33.1K5.8M-22.2K0.5546.43N/AN/A133,63273,728801,792732,288
2010-07-07$0.21$0.2586.5%23.1%74.5%0.0%86.5%29.2%0.4%26.7K3.6M-26.2K0.3150.67N/AN/A133,24840,704857,088759,168
2010-07-08$0.21$0.2570.5%22.5%74.3%0.0%79.3%20.8%-2.5%38.4K2.8M-26.6K0.8639.13N/AN/A124,800107,904863,616762,240
2010-07-09$0.22$0.2566.9%20.6%69.1%0.0%0.0%20.5%2.3%114.3K1.5M-27.4K0.9639.30N/AN/A114,432109,824905,472781,440
2010-07-12$0.22$0.2568.0%20.5%68.5%0.0%85.5%18.2%3.7%106.1K1.2M-26.8K1.6438.36N/AN/A66,816109,824883,968806,016
2010-07-13$0.23$0.2574.1%20.9%69.7%0.0%73.3%20.3%3.3%94.9K-171.1K-26.9K0.7143.39N/AN/A65,28046,080844,032784,512
2010-07-14$0.23$0.2263.0%19.5%64.8%0.0%66.7%19.3%3.4%63.6K-984.6K-26.8K1.8943.54N/AN/A35,71267,584838,272810,624
2010-07-15$0.23$0.2272.2%20.7%64.3%0.0%66.3%19.2%-2.1%76.4K-906.4K-26.1K1.6042.58N/AN/A35,32856,448840,960809,856
2010-07-16$0.21$0.2276.0%21.8%69.9%0.0%75.0%15.0%2.3%4.5K3.6M-23.1K4.0351.63N/AN/A13,82455,680844,416780,288
2010-07-19$0.22$0.2270.8%20.3%70.6%0.0%86.6%18.8%4.3%26.4K1.6M-20.9K4.2351.99N/AN/A23,808100,608437,760376,320
2010-07-20$0.23$0.2272.8%20.9%71.6%0.0%71.3%32.3%0.2%20.6K1.5M-22.9K1.0866.50N/AN/A22,65624,576457,344473,088
2010-07-21$0.22$0.2275.1%21.5%72.1%0.0%78.4%6.1%2.6%19.7K1.1M-25.5K0.6963.24N/AN/A52,22436,096474,624496,512
2010-07-22$0.23$0.2267.1%19.2%76.3%0.0%73.1%23.4%-0.0%34.1K450.4K-28.4K0.9366.88N/AN/A46,46443,008498,816516,480
2010-07-23$0.24$0.2267.6%19.4%74.8%0.0%72.8%16.6%0.7%35.2K-8.7K-29.5K2.3755.53N/AN/A23,04054,528525,312543,360
2010-07-26$0.24$0.2262.5%17.9%75.1%0.0%77.3%19.7%3.9%52.5K-607.6K-29.0K6.7256.65N/AN/A6,91246,464533,760506,880
2010-07-27$0.24$0.2263.8%18.3%75.0%0.0%69.0%14.2%2.1%57.2K-938.2K-29.0K0.7962.03N/AN/A13,05610,368529,536501,120
2010-07-28$0.24$0.2265.5%18.8%60.6%0.0%70.0%16.9%4.9%50.8K-327.7K-27.9K6.7160.30N/AN/A2,68818,048528,768501,504
2010-07-29$0.23$0.2264.1%18.4%57.8%0.0%56.2%20.8%6.2%43.0K206.3K-26.9K0.5770.53N/AN/A37,24821,120529,920517,632
2010-07-30$0.23$0.2264.4%18.5%57.4%0.0%57.8%40.5%6.6%39.9K207.7K-26.7K0.6489.43N/AN/A4,2242,688515,712512,256