TQQQ Options History — March 2011 In March 2011, TQQQ traded between $0.37 and $0.46. ATM implied volatility averaged 59.1%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 3.9% (HV 20d: 55.1%). Max pain ranged from $0.41 to $0.47. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.10.
Notable Days 2011-03-16 : Highest Volume — 397,248 contracts2011-03-16 : Largest IV spike — 20.7% change2011-03-16 : Highest IV Rank — 60.3%2011-03-16 : Largest Expected Move — 23.5%Monthly Statistics Metric Avg Min Max Open Close Price $0.42 $0.37 $0.46 $0.43 $0.44 Max Pain $0.43 $0.41 $0.47 $0.42 $0.42 ATM IV 59.1% 47.1% 82.1% 53.9% 47.1% Expected Move 16.9% 13.5% 23.5% 15.5% 13.5% HV 20d 55.1% 45.6% 64.8% 49.3% 52.1% HV 60d 44.6% 38.3% 49.2% 38.3% 48.4% IV Rank 30.3% 14.6% 60.3% 23.6% 14.7% IV Percentile 51.4% 17.9% 90.9% 44.4% 17.9% Term Structure 1.8% -9.0% 6.4% 0.9% 6.4% VWIV 60.3% 50.8% 74.9% 52.9% 50.8% Skew 25d 17.0% 12.7% 24.7% 14.3% 12.7% Skew 10d 33.0% 25.9% 62.2% 62.2% 26.7% Call IV 25d 51.6% 42.5% 71.0% 48.0% 42.5% Put IV 25d 68.6% 55.2% 94.8% 62.3% 55.2% Bid-Ask Spread % 51.27 28.89 87.84 87.84 56.96 Gamma HHI 0.07 0.02 0.35 0.06 0.03 Net GEX 98.0K -423.5K 752.8K 2.3K 752.8K Net DEX -3.6M -17.5M 10.8M -3.2M -17.5M Net VEX -66.8K -86.3K -54.8K -54.8K -86.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.10 0.23 5.26 0.43 1.21 Total Volume 154,000.696 38,016 397,248 106,752 281,088 Total OI 1,772,777.739 1,261,056 2,171,520 1,435,584 2,136,960
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2011-03-01 $0.43 $0.42 53.9% 15.5% 49.3% 23.6% 52.9% 14.3% 0.9% 2.3K -3.2M -54.8K 0.43 87.84 N/A N/A 74,496 32,256 660,672 774,912 2011-03-02 $0.44 $0.42 55.8% 16.0% 45.6% 26.0% 55.0% 14.7% 1.8% 48.1K -4.6M -57.0K 0.27 78.12 N/A N/A 29,952 8,064 687,552 786,816 2011-03-03 $0.46 $0.42 47.1% 13.5% 49.9% 14.6% 53.7% 13.8% 5.2% 240.2K -10.3M -57.8K 0.61 78.70 N/A N/A 115,200 70,080 700,224 791,040 2011-03-04 $0.46 $0.47 50.0% 15.0% 50.3% 18.4% 54.9% 15.9% 4.0% 227.9K -9.2M -61.9K 0.74 30.70 N/A N/A 45,312 33,408 762,432 829,056 2011-03-07 $0.44 $0.46 59.8% 16.7% 52.2% 31.2% 58.1% 14.0% 1.9% 70.4K -5.0M -61.2K 2.23 39.19 N/A N/A 28,608 63,744 779,904 849,984 2011-03-08 $0.44 $0.46 56.7% 16.7% 52.0% 27.2% 61.3% 19.1% 2.3% 111.3K -6.1M -62.4K 0.76 31.83 N/A N/A 87,744 66,432 795,264 873,216 2011-03-09 $0.43 $0.45 61.5% 17.1% 51.8% 33.5% 69.7% 17.6% 4.4% -20.8K -3.5M -65.4K 5.26 28.89 N/A N/A 13,056 68,736 840,768 926,016 2011-03-10 $0.41 $0.46 64.9% 18.6% 54.1% 37.9% 63.5% 17.6% 1.1% -205.0K 1.8M -64.7K 0.51 35.90 N/A N/A 87,552 44,352 850,560 977,664 2011-03-11 $0.42 $0.44 60.7% 17.4% 54.5% 32.4% 59.3% 17.3% 0.7% -165.4K 202.5K -63.3K 1.45 37.35 N/A N/A 30,912 44,928 872,448 975,168 2011-03-14 $0.42 $0.45 62.8% 18.0% 53.7% 35.1% 62.3% 18.2% 2.9% -220.6K 924.2K -61.3K 2.58 38.90 N/A N/A 25,344 65,280 882,816 998,592 2011-03-15 $0.40 $0.44 68.0% 19.5% 54.9% 42.0% 69.9% 20.8% -1.3% -324.9K 5.0M -58.3K 0.40 44.74 N/A N/A 123,072 48,768 899,712 993,792 2011-03-16 $0.37 $0.43 82.1% 23.5% 59.9% 60.3% 74.9% 23.8% -9.0% -340.1K 10.8M -55.0K 0.37 51.39 N/A N/A 290,304 106,944 925,056 1,011,072 2011-03-17 $0.38 $0.42 76.1% 21.8% 60.5% 52.5% 74.1% 24.7% -3.9% -267.7K 7.6M -62.0K 0.96 53.92 N/A N/A 50,304 48,384 1,104,000 1,047,552 2011-03-18 $0.38 $0.42 71.1% 20.4% 60.4% 46.0% 67.1% 21.3% -2.3% -423.5K 8.8M -58.1K 1.04 52.57 N/A N/A 76,416 79,680 1,130,688 1,040,832 2011-03-21 $0.40 $0.42 61.1% 17.5% 64.8% 32.9% 64.7% 18.4% 2.2% 138.4K -1.6M -59.6K 2.47 55.34 N/A N/A 68,160 168,384 712,128 548,928 2011-03-22 $0.40 $0.42 59.1% 17.0% 56.9% 30.4% 57.1% 17.2% 1.1% 108.0K -585.8K -65.0K 0.42 54.53 N/A N/A 120,576 51,072 756,864 679,680 2011-03-23 $0.40 $0.42 55.8% 16.0% 56.7% 26.1% 58.4% 15.3% 3.2% 197.6K -2.1M -69.7K 0.52 58.02 N/A N/A 62,400 32,448 861,888 728,064 2011-03-24 $0.43 $0.41 52.7% 15.1% 59.8% 22.0% 58.1% 15.3% 3.6% 353.6K -7.9M -75.3K 1.16 53.63 N/A N/A 103,680 120,768 907,968 754,752 2011-03-25 $0.43 $0.41 52.3% 15.0% 57.8% 21.4% 55.9% 14.9% 5.3% 416.1K -10.2M -82.4K 1.06 50.70 N/A N/A 115,968 122,880 989,760 848,640 2011-03-28 $0.42 $0.41 56.5% 16.2% 57.9% 27.0% 59.9% 15.9% 2.6% 412.8K -9.1M -83.3K 0.31 51.09 N/A N/A 79,296 24,384 1,072,704 899,904 2011-03-29 $0.43 $0.41 52.6% 15.1% 56.3% 21.9% 53.1% 15.0% 4.2% 516.2K -12.2M -85.3K 0.23 55.32 N/A N/A 130,368 30,144 1,107,072 916,608 2011-03-30 $0.44 $0.42 50.4% 14.4% 56.3% 18.9% 53.0% 13.1% 4.4% 627.1K -15.5M -85.6K 0.25 53.58 N/A N/A 136,704 34,368 1,143,552 940,608 2011-03-31 $0.44 $0.42 47.1% 13.5% 52.1% 14.7% 50.8% 12.7% 6.4% 752.8K -17.5M -86.3K 1.21 56.96 N/A N/A 126,912 154,176 1,190,208 946,752
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