TQQQ Options History — April 2011

In April 2011, TQQQ traded between $0.42 and $0.48. ATM implied volatility averaged 45.1%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 6.6% (HV 20d: 38.6%). Max pain ranged from $0.41 to $0.44. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2011-04-26: Highest Volume — 323,904 contracts
  • 2011-04-11: Largest IV spike — 19.1% change
  • 2011-04-11: Highest IV Rank — 22.0%
  • 2011-04-04: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.44$0.42$0.48$0.44$0.48
Max Pain$0.41$0.41$0.44$0.42$0.44
ATM IV45.1%39.2%52.7%46.4%39.2%
Expected Move13.4%11.2%15.4%13.3%11.2%
HV 20d38.6%29.0%51.9%51.9%31.6%
HV 60d47.7%44.9%49.0%48.2%44.9%
IV Rank12.1%4.4%22.0%13.8%4.4%
IV Percentile12.4%0.8%34.5%14.7%0.8%
Term Structure4.1%0.0%6.1%5.9%5.1%
VWIV49.0%40.3%62.2%51.0%47.8%
Skew 25d13.3%10.0%15.2%12.6%10.0%
Skew 10d29.7%21.8%41.7%24.0%30.3%
Call IV 25d41.2%35.7%47.1%41.0%36.1%
Put IV 25d54.5%46.1%62.3%53.5%46.1%
Bid-Ask Spread %42.1825.7864.3361.7864.33
Gamma HHI0.050.030.150.040.05
Net GEX721.3K47.7K1.8M814.8K547.0K
Net DEX-11.4M-18.6M-2.5M-18.6M-15.9M
Net VEX-72.9K-86.7K-55.4K-86.7K-76.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.132.972.270.84
Total Volume157,171.252,608323,904236,35271,040
Total OI2,144,3521,307,1362,661,5042,262,9122,021,952

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$0.44$0.4246.4%13.3%51.9%13.8%51.0%12.6%5.9%814.8K-18.6M-86.7K2.2761.78N/AN/A72,384163,9681,287,744975,168
2011-04-04$0.44$0.4150.4%15.4%49.9%19.0%53.8%15.2%0.0%773.3K-15.7M-84.9K1.4925.78N/AN/A22,27233,2161,322,1121,028,352
2011-04-05$0.43$0.4147.9%14.6%49.9%15.7%54.3%14.0%6.1%767.6K-13.0M-82.8K0.9735.11N/AN/A26,68825,9201,324,4161,051,776
2011-04-06$0.44$0.4146.9%14.5%49.5%14.4%52.9%15.2%2.8%875.7K-15.1M-81.3K2.9731.92N/AN/A14,59243,3921,333,8241,068,672
2011-04-07$0.44$0.4146.2%14.5%46.2%13.5%53.5%14.6%3.0%863.4K-13.9M-82.0K1.1728.40N/AN/A34,17640,1281,335,3601,102,272
2011-04-08$0.43$0.4144.3%14.3%46.3%11.0%47.7%13.3%4.5%859.3K-11.0M-79.1K0.6435.01N/AN/A110,01669,8881,356,0961,124,736
2011-04-11$0.43$0.4152.7%14.7%46.3%22.0%40.3%12.3%0.7%956.9K-9.6M-72.8K0.1357.45N/AN/A102,14413,6321,421,7601,112,448
2011-04-12$0.42$0.4149.5%15.3%44.2%17.8%55.6%15.0%2.0%697.4K-4.3M-68.2K1.0628.38N/AN/A88,70494,2721,459,0081,117,056
2011-04-13$0.43$0.4141.4%14.6%33.7%7.2%46.4%14.5%2.8%1.4M-11.0M-67.7K0.2529.88N/AN/A145,15235,9041,478,0161,150,656
2011-04-14$0.43$0.4149.0%14.1%33.2%17.2%62.2%15.2%4.4%1.4M-8.7M-64.5K1.7328.89N/AN/A45,12078,1441,445,1841,179,072
2011-04-15$0.42$0.4247.6%13.7%33.3%15.4%46.9%14.9%4.2%1.8M-5.5M-60.1K0.8137.39N/AN/A86,78470,6561,438,4641,223,040
2011-04-18$0.42$0.4248.1%13.8%29.0%16.0%54.4%14.4%5.7%47.7K-2.5M-55.4K1.5242.04N/AN/A98,496149,952685,056622,080
2011-04-19$0.42$0.4145.9%13.1%29.4%13.0%47.3%15.2%3.2%83.3K-3.6M-61.1K0.4141.69N/AN/A95,23238,976726,912738,240
2011-04-20$0.45$0.4142.3%12.1%36.5%8.3%46.5%12.7%4.6%303.5K-9.8M-68.3K1.8050.26N/AN/A94,272170,112797,952769,152
2011-04-21$0.46$0.4240.2%11.5%32.8%5.6%43.7%11.2%6.1%385.2K-12.5M-70.4K1.4248.75N/AN/A117,504167,424835,392802,176
2011-04-25$0.47$0.4241.2%11.8%32.8%6.9%46.7%12.7%5.6%427.0K-12.1M-73.0K0.6743.16N/AN/A79,68053,184871,296897,792
2011-04-26$0.47$0.4241.7%12.0%32.2%7.7%46.2%11.7%5.3%476.1K-14.4M-72.9K2.1445.85N/AN/A103,104220,800879,936930,816
2011-04-27$0.48$0.4342.3%12.1%31.5%8.3%42.5%11.2%3.7%476.4K-15.8M-76.0K0.7149.41N/AN/A82,56058,560893,5681,076,352
2011-04-28$0.48$0.4439.6%11.4%31.4%4.9%41.1%10.4%5.3%508.7K-15.8M-74.7K0.2758.03N/AN/A98,68826,688908,3521,094,784
2011-04-29$0.48$0.4439.2%11.2%31.6%4.4%47.8%10.0%5.1%547.0K-15.9M-76.7K0.8464.33N/AN/A38,59232,448932,7361,089,216