TQQQ Options History — October 2010

In October 2010, TQQQ traded between $0.27 and $0.34. ATM implied volatility averaged 57.7%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 14.5% (HV 20d: 43.2%). Max pain ranged from $0.27 to $0.33. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.36.

Notable Days

  • 2010-10-15: Highest Volume — 380,544 contracts
  • 2010-10-14: Largest IV spike — 29.9% change
  • 2010-10-04: Highest IV Rank — 34.2%
  • 2010-10-04: Largest Expected Move — 19.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.31$0.27$0.34$0.28$0.34
Max Pain$0.30$0.27$0.33$0.27$0.33
ATM IV57.7%44.2%62.4%56.9%61.0%
Expected Move17.2%16.1%19.3%16.3%17.5%
HV 20d43.2%37.0%47.4%37.0%42.6%
HV 60d50.8%48.6%53.9%51.6%48.6%
IV Rank28.0%10.3%34.2%26.9%32.3%
IV Percentile36.2%8.9%46.7%32.9%46.7%
Term Structure3.2%-1.2%8.1%8.1%-1.2%
VWIV64.6%57.9%78.8%69.3%71.8%
Skew 25d13.0%5.8%21.1%7.2%9.0%
Skew 10d31.6%12.4%51.7%12.4%23.3%
Call IV 25d53.8%45.9%62.3%54.5%54.1%
Put IV 25d66.7%61.3%77.1%61.7%63.2%
Bid-Ask Spread %57.8535.9792.6692.6653.01
Gamma HHI0.200.090.620.160.10
Net GEX151.6K-3.7K401.2K85.3K99.9K
Net DEX-5.5M-15.3M-1.0M-3.1M-6.0M
Net VEX-27.9K-35.8K-19.6K-27.9K-35.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.360.0034.170.0034.17
Total Volume128,438.8573,840380,5443,84081,024
Total OI1,162,313.143700,8001,391,6161,123,9681,280,640

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$0.28$0.2756.9%16.3%37.0%26.9%0.0%7.2%8.1%85.3K-3.1M-27.9K0.0092.66N/AN/A3,8400532,992590,976
2010-10-04$0.27$0.2762.4%19.3%37.8%34.2%69.3%14.8%2.3%-3.7K-1.0M-25.7K0.4635.97N/AN/A60,67228,032534,912590,976
2010-10-05$0.29$0.2757.2%17.7%42.1%27.3%78.8%17.9%3.4%243.0K-5.1M-25.6K4.0363.15N/AN/A13,82455,680567,552572,928
2010-10-06$0.29$0.2758.1%18.7%43.3%28.5%0.0%11.5%1.6%119.6K-3.5M-25.4K0.2736.10N/AN/A64,51217,664567,936623,616
2010-10-07$0.29$0.2761.0%18.6%43.3%32.3%71.4%13.8%0.8%165.6K-4.0M-25.0K1.0842.62N/AN/A30,33632,640578,304629,376
2010-10-08$0.30$0.2754.9%17.2%43.5%24.2%71.6%21.1%3.9%257.5K-5.4M-26.0K0.3852.83N/AN/A34,17613,056595,968642,048
2010-10-11$0.30$0.2757.1%17.3%41.7%27.2%66.9%13.5%4.1%276.9K-5.5M-24.3K3.1455.97N/AN/A44,544139,776587,520651,264
2010-10-12$0.30$0.2753.6%17.3%41.9%22.6%63.9%18.7%3.6%301.6K-6.1M-24.2K1.0467.39N/AN/A141,312147,072582,144678,144
2010-10-13$0.31$0.2744.2%16.5%42.2%10.3%58.1%13.4%6.9%401.2K-8.9M-23.3K2.5866.26N/AN/A61,824159,360589,824701,952
2010-10-14$0.31$0.2757.5%16.5%42.5%27.6%62.4%11.0%5.8%307.6K-7.0M-22.6K1.1061.96N/AN/A56,44862,208607,488749,568
2010-10-15$0.33$0.2956.1%16.1%46.6%25.8%57.9%18.7%3.8%88.5K-15.3M-19.6K0.3460.66N/AN/A284,16096,384637,440754,176
2010-10-18$0.33$0.3061.7%17.7%44.2%33.2%61.8%10.4%-0.5%83.2K-4.5M-23.7K0.8554.04N/AN/A196,224165,888369,792331,008
2010-10-19$0.31$0.3059.9%17.2%47.3%30.9%58.9%8.9%4.7%90.6K-4.0M-30.2K0.3267.43N/AN/A127,10441,088512,256466,560
2010-10-20$0.32$0.3059.2%17.0%47.4%29.9%61.6%16.4%5.0%96.4K-4.6M-30.0K1.6353.44N/AN/A19,96832,640505,728490,368
2010-10-21$0.32$0.3358.0%16.6%47.2%28.3%62.9%7.4%4.0%79.5K-4.6M-29.6K3.7660.12N/AN/A18,81670,656516,864518,784
2010-10-22$0.33$0.3357.0%16.3%44.1%27.1%60.1%12.8%1.8%101.4K-4.8M-32.7K2.2351.17N/AN/A20,35245,312518,400576,768
2010-10-25$0.33$0.3357.5%16.5%43.7%27.7%64.2%5.8%4.3%120.4K-5.8M-32.4K4.6660.53N/AN/A21,504100,224521,472609,024
2010-10-26$0.34$0.3358.4%16.8%43.7%28.9%60.5%15.1%4.9%104.5K-5.5M-32.9K5.3363.05N/AN/A9,21649,152526,848624,384
2010-10-27$0.34$0.3360.3%17.3%43.3%31.3%62.8%14.6%1.0%76.2K-5.7M-33.4K1.4159.08N/AN/A32,64046,080533,760672,000
2010-10-28$0.34$0.3360.9%17.5%42.5%32.1%62.5%10.2%-1.0%88.7K-6.1M-34.7K1.7557.44N/AN/A26,11245,696553,344713,472
2010-10-29$0.34$0.3361.0%17.5%42.6%32.3%71.8%9.0%-1.2%99.9K-6.0M-35.8K34.1753.01N/AN/A2,30478,720552,960727,680