TQQQ Options History — February 2011

In February 2011, TQQQ traded between $0.43 and $0.48. ATM implied volatility averaged 47.2%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 1.2% (HV 20d: 46.0%). Max pain ranged from $0.40 to $0.46. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.83.

Notable Days

  • 2011-02-01: Highest Volume — 334,464 contracts
  • 2011-02-22: Largest IV spike — 29.9% change
  • 2011-02-23: Highest IV Rank — 33.9%
  • 2011-02-23: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.46$0.43$0.48$0.44$0.45
Max Pain$0.41$0.40$0.46$0.41$0.42
ATM IV47.2%35.9%61.8%48.3%50.1%
Expected Move14.0%12.5%17.7%13.8%14.4%
HV 20d46.0%40.3%54.3%44.8%45.6%
HV 60d39.0%35.1%41.3%41.3%37.2%
IV Rank14.6%0.0%33.9%15.6%18.6%
IV Percentile21.2%0.0%62.9%24.5%35.5%
Term Structure4.3%0.5%8.7%1.7%4.2%
VWIV51.9%42.7%63.5%51.1%54.6%
Skew 25d14.1%10.0%25.1%12.1%20.2%
Skew 10d29.3%20.9%59.7%25.9%41.9%
Call IV 25d43.0%38.2%56.1%43.4%38.2%
Put IV 25d57.1%49.4%75.4%55.4%58.3%
Bid-Ask Spread %66.7427.8584.7327.8584.73
Gamma HHI0.100.050.230.060.07
Net GEX410.9K-8.4K938.5K272.8K125.8K
Net DEX-15.3M-27.9M-1.0M-12.4M-7.0M
Net VEX-50.1K-61.2K-27.4K-57.1K-54.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.445.140.951.41
Total Volume143,949.47426,880334,464334,46477,184
Total OI1,734,053.053692,7362,120,8321,641,9841,417,536

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$0.44$0.4148.3%13.8%44.8%15.6%51.1%12.1%1.7%272.8K-12.4M-57.1K0.9527.85N/AN/A171,264163,200782,592859,392
2011-02-02$0.44$0.4250.5%14.5%44.9%18.5%55.1%12.2%1.2%187.0K-10.8M-61.2K0.4446.32N/AN/A50,68822,272815,232954,624
2011-02-03$0.44$0.4245.5%13.1%44.2%12.0%49.4%14.0%2.3%212.8K-11.0M-59.4K1.8658.65N/AN/A38,78472,192846,336959,232
2011-02-04$0.45$0.4038.4%14.2%44.5%2.6%51.2%12.8%2.7%291.5K-13.7M-56.1K2.8160.54N/AN/A26,88075,648856,704994,560
2011-02-07$0.45$0.4042.7%13.5%44.6%8.2%48.8%12.7%4.2%442.5K-16.0M-55.9K3.3563.31N/AN/A61,824206,976851,7121,011,840
2011-02-08$0.46$0.4035.9%13.1%44.9%0.0%50.5%12.2%3.9%564.1K-19.5M-48.0K1.3165.13N/AN/A42,62455,680854,4001,052,928
2011-02-09$0.46$0.4042.3%13.5%45.1%8.4%61.8%12.3%5.2%495.3K-18.2M-54.3K3.7564.26N/AN/A26,49699,456863,2321,060,224
2011-02-10$0.46$0.4046.4%13.3%44.7%13.8%48.0%13.1%5.9%550.4K-19.4M-50.0K0.4573.37N/AN/A56,83225,728860,9281,111,680
2011-02-11$0.47$0.4044.1%12.6%45.1%10.7%45.5%10.0%8.3%694.3K-23.1M-49.4K2.7267.48N/AN/A26,49672,192889,3441,118,976
2011-02-14$0.47$0.4045.8%13.1%44.7%13.0%42.7%10.5%5.8%747.3K-24.6M-47.9K1.0065.35N/AN/A91,39291,008896,6401,153,920
2011-02-15$0.47$0.4046.8%13.4%44.7%14.3%45.1%11.5%5.2%855.0K-24.7M-46.8K1.1271.09N/AN/A12,67214,208927,7441,158,144
2011-02-16$0.48$0.4243.7%12.5%42.7%10.2%43.0%12.1%8.7%938.5K-27.9M-47.3K2.7368.42N/AN/A51,840141,696936,5761,166,208
2011-02-17$0.48$0.4244.1%12.6%41.5%10.7%47.8%14.2%6.7%751.7K-26.6M-45.7K0.9871.85N/AN/A36,09635,328916,2241,204,608
2011-02-18$0.48$0.4244.0%12.6%40.3%10.6%53.1%12.0%6.8%590.4K-23.8M-43.0K1.6670.55N/AN/A101,760169,344874,3681,213,440
2011-02-22$0.44$0.4257.2%16.4%51.8%27.8%59.9%10.5%3.1%89.6K-6.0M-44.4K1.3677.03N/AN/A100,992137,472549,888526,464
2011-02-23$0.43$0.4261.8%17.7%52.7%33.9%63.5%24.0%1.3%2.5K-2.9M-49.5K1.2275.22N/AN/A91,776112,128588,288629,376
2011-02-24$0.43$0.4258.8%16.9%52.6%29.9%53.9%25.1%0.5%-8.4K-2.9M-54.5K0.5581.69N/AN/A64,12835,328642,432708,480
2011-02-25$0.45$0.4649.9%14.3%54.3%18.3%61.5%16.5%4.0%3.1K-1.0M-27.4K5.1475.29N/AN/A12,28863,168302,016390,720
2011-02-28$0.45$0.4250.1%14.4%45.6%18.6%54.6%20.2%4.2%125.8K-7.0M-54.8K1.4184.73N/AN/A32,06445,120660,288757,248