TQQQ Options History — January 2011

In January 2011, TQQQ traded between $0.40 and $0.44. ATM implied volatility averaged 46.8%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 20.3% (HV 20d: 26.5%). Max pain ranged from $0.35 to $0.43. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 2.35.

Notable Days

  • 2011-01-21: Highest Volume — 600,192 contracts
  • 2011-01-28: Largest IV spike — 27.8% change
  • 2011-01-28: Highest IV Rank — 26.8%
  • 2011-01-28: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.42$0.40$0.44$0.40$0.42
Max Pain$0.40$0.35$0.43$0.35$0.41
ATM IV46.8%41.1%56.8%47.1%53.7%
Expected Move13.8%12.7%16.3%13.5%15.4%
HV 20d26.5%20.8%43.5%21.4%43.5%
HV 60d37.0%34.6%40.5%37.9%40.5%
IV Rank13.6%6.1%26.8%14.1%22.7%
IV Percentile16.7%1.4%44.6%16.0%40.9%
Term Structure2.0%-0.8%8.7%5.9%-0.0%
VWIV49.7%39.1%57.2%54.7%53.3%
Skew 25d12.2%7.8%17.8%10.6%15.8%
Skew 10d18.4%1.8%34.8%6.5%26.0%
Call IV 25d42.7%38.6%52.7%42.0%47.1%
Put IV 25d54.9%49.5%62.9%52.7%62.9%
Bid-Ask Spread %58.7838.7572.0656.6555.64
Gamma HHI0.080.040.130.070.04
Net GEX279.7K-146.8K718.6K348.2K-23.3K
Net DEX-10.9M-20.3M-4.2M-9.5M-5.0M
Net VEX-36.5K-51.3K-30.1K-36.9K-51.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.350.338.074.090.68
Total Volume222,969.658,368600,192334,080181,632
Total OI1,501,017.6906,6241,859,3281,391,2321,530,240

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$0.40$0.3547.1%13.5%21.4%14.1%54.7%10.6%5.9%348.2K-9.5M-36.9K4.0956.65N/AN/A65,664268,416651,648739,584
2011-01-04$0.40$0.3649.2%14.1%21.4%16.8%47.6%11.3%2.9%319.6K-9.0M-37.9K4.8572.06N/AN/A10,36850,304664,320758,400
2011-01-05$0.41$0.3644.4%12.7%22.6%10.5%46.5%7.8%8.7%394.9K-10.6M-37.8K8.0763.79N/AN/A17,280139,392667,776786,048
2011-01-06$0.42$0.3644.5%12.8%22.4%10.6%50.2%9.1%6.5%364.2K-11.0M-38.3K7.0560.87N/AN/A24,576173,184663,168827,520
2011-01-07$0.41$0.4343.3%14.7%22.5%9.0%52.4%14.5%-0.8%250.7K-9.7M-39.6K1.5239.84N/AN/A38,01657,600656,256883,968
2011-01-10$0.42$0.4044.2%14.5%21.9%10.2%54.4%13.3%0.1%342.4K-12.1M-37.8K2.5341.53N/AN/A16,51241,856693,120906,624
2011-01-11$0.42$0.4042.7%14.1%21.0%8.3%49.5%12.8%1.6%383.6K-13.0M-34.8K1.9738.75N/AN/A76,800151,296687,360921,216
2011-01-12$0.43$0.4141.1%13.5%21.6%6.1%39.1%11.2%1.5%423.9K-15.4M-36.1K1.1658.35N/AN/A54,52863,360698,112973,824
2011-01-13$0.43$0.4148.8%14.0%20.8%16.2%45.0%10.7%-0.2%397.0K-15.4M-34.0K1.0962.24N/AN/A220,032240,768687,360988,416
2011-01-14$0.44$0.4144.4%12.7%20.9%10.5%56.9%13.0%0.3%718.6K-20.2M-37.2K0.7068.83N/AN/A253,056176,256830,9761,028,352
2011-01-18$0.44$0.4145.2%13.0%20.8%11.5%44.1%12.1%-0.4%598.4K-20.3M-31.4K0.3362.28N/AN/A91,39229,952785,2801,040,256
2011-01-19$0.43$0.4148.5%13.9%25.4%15.9%44.0%10.9%1.2%377.2K-14.5M-32.2K0.5164.83N/AN/A122,49662,976781,0561,046,400
2011-01-20$0.42$0.4149.2%14.1%26.9%16.8%47.5%15.4%1.4%26.1K-9.3M-31.5K0.5663.84N/AN/A169,34495,232802,1761,037,952
2011-01-21$0.41$0.4248.9%14.0%28.5%16.4%49.8%8.8%3.3%-146.8K-6.5M-30.1K1.2856.56N/AN/A263,808336,384831,7441,013,376
2011-01-24$0.43$0.4146.8%13.4%31.3%13.6%52.4%17.8%1.9%147.8K-6.5M-32.5K1.7960.66N/AN/A59,136105,984460,416446,208
2011-01-25$0.43$0.4146.5%13.3%31.3%13.3%50.2%13.5%1.1%165.7K-6.9M-34.0K1.8469.35N/AN/A41,08875,648498,432543,360
2011-01-26$0.43$0.4146.0%13.2%31.3%12.5%52.2%14.7%2.7%220.5K-8.8M-35.6K5.2166.53N/AN/A19,968104,064524,928593,280
2011-01-27$0.44$0.4144.5%12.7%31.7%10.6%47.3%12.0%2.0%235.9K-9.7M-37.4K0.7559.46N/AN/A62,59247,232526,464630,528
2011-01-28$0.41$0.4156.8%16.3%43.5%26.8%57.2%7.8%-0.1%48.7K-4.2M-43.3K1.1053.44N/AN/A215,040236,160568,704645,504
2011-01-31$0.42$0.4153.7%15.4%43.5%22.7%53.3%15.8%-0.0%-23.3K-5.0M-51.3K0.6855.64N/AN/A108,28873,344726,144804,096