TQQQ Options History — July 2011

In July 2011, TQQQ traded between $0.43 and $0.49. ATM implied volatility averaged 55.1%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 0.6% (HV 20d: 55.6%). Max pain ranged from $0.39 to $0.42. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.43.

Notable Days

  • 2011-07-08: Highest Volume — 331,200 contracts
  • 2011-07-11: Largest IV spike — 22.0% change
  • 2011-07-13: Highest IV Rank — 72.8%
  • 2011-07-28: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.46$0.43$0.49$0.45$0.45
Max Pain$0.41$0.39$0.42$0.39$0.42
ATM IV55.1%40.8%69.3%40.8%68.3%
Expected Move15.6%11.7%19.7%11.7%19.6%
HV 20d55.6%49.1%59.3%56.5%55.7%
HV 60d49.3%46.8%52.6%46.8%52.6%
IV Rank42.5%11.5%72.8%11.5%70.8%
IV Percentile52.9%3.6%93.7%3.6%92.5%
Term Structure0.6%-5.3%6.7%1.9%-3.2%
VWIV58.7%42.6%70.3%42.6%69.4%
Skew 25d13.5%4.5%23.3%9.1%23.3%
Skew 10d27.2%12.7%54.9%17.7%54.9%
Call IV 25d48.6%33.3%58.6%33.3%58.6%
Put IV 25d62.1%42.4%81.9%42.4%81.9%
Bid-Ask Spread %29.8718.9580.8480.8436.37
Gamma HHI0.050.030.180.040.04
Net GEX299.3K104.6K539.8K349.4K173.5K
Net DEX-12.0M-18.9M-4.1M-11.7M-7.5M
Net VEX-62.9K-71.9K-56.2K-56.7K-71.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.214.141.300.92
Total Volume158,524.852,992331,200250,176160,128
Total OI1,667,932.81,191,5522,153,8561,466,3041,697,088

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$0.45$0.3940.8%11.7%56.5%11.5%42.6%9.1%1.9%349.4K-11.7M-56.7K1.3080.84N/AN/A108,672141,504786,240680,064
2011-07-05$0.45$0.4143.5%13.8%55.6%16.7%50.4%7.8%-0.1%366.2K-13.7M-56.2K2.1122.51N/AN/A35,90475,840805,824736,896
2011-07-06$0.46$0.4143.1%13.6%55.4%15.9%52.1%4.5%1.4%377.8K-14.8M-56.8K2.3824.12N/AN/A24,96059,520821,376758,976
2011-07-07$0.48$0.4144.9%13.2%55.5%21.1%47.0%7.3%1.8%354.7K-18.9M-56.7K1.0418.95N/AN/A122,880127,872834,624755,712
2011-07-08$0.47$0.4147.0%14.2%55.9%25.7%50.5%4.7%-2.5%370.7K-18.7M-56.6K0.5225.44N/AN/A217,536113,664902,592795,072
2011-07-11$0.45$0.4257.4%15.1%57.0%47.7%53.5%13.3%1.9%404.8K-12.0M-62.8K0.6126.54N/AN/A117,12071,2321,057,152848,448
2011-07-12$0.44$0.4268.3%16.7%58.2%70.8%66.9%16.7%-0.3%350.2K-9.9M-63.2K1.1422.37N/AN/A70,65680,8321,118,208875,712
2011-07-13$0.44$0.4169.3%16.4%57.2%72.8%64.3%16.3%-0.1%407.8K-11.0M-63.5K1.1925.36N/AN/A49,34458,5601,141,632910,080
2011-07-14$0.43$0.4156.7%16.2%54.6%46.1%65.1%9.1%6.7%104.6K-5.4M-60.9K0.7139.15N/AN/A103,68073,5361,148,736943,680
2011-07-15$0.45$0.4154.2%15.5%55.1%41.0%53.7%17.2%2.4%539.8K-12.4M-58.2K0.6120.19N/AN/A106,56065,0881,186,752967,104
2011-07-18$0.44$0.4157.2%16.4%55.6%47.4%69.9%13.6%1.2%109.4K-4.1M-57.2K4.1422.46N/AN/A28,032116,160671,424520,128
2011-07-19$0.47$0.4152.3%15.0%59.3%36.8%59.4%16.5%1.4%141.4K-8.6M-58.1K0.2122.90N/AN/A159,36033,984685,440625,728
2011-07-20$0.46$0.4152.0%14.9%56.7%36.3%61.0%14.6%-2.3%264.3K-12.0M-67.1K1.6425.57N/AN/A39,36064,704816,576646,848
2011-07-21$0.47$0.4153.3%15.3%55.6%39.1%55.1%17.4%-0.4%274.8K-13.1M-67.8K0.6533.26N/AN/A57,79237,824829,824696,768
2011-07-22$0.49$0.4249.5%14.2%55.7%30.9%54.7%11.8%2.0%379.2K-16.6M-64.2K3.2429.10N/AN/A47,040152,640866,496723,264
2011-07-25$0.48$0.4256.4%16.2%50.7%45.5%61.1%12.5%-2.1%329.2K-15.9M-67.4K2.9528.73N/AN/A30,91291,200870,720696,384
2011-07-26$0.49$0.4254.7%15.7%49.1%42.0%57.1%13.7%1.9%294.9K-15.7M-68.8K0.5929.85N/AN/A54,33632,256870,912729,408
2011-07-27$0.45$0.4263.6%18.2%56.9%60.9%70.3%22.7%4.8%197.3K-9.0M-71.9K0.5433.85N/AN/A121,34465,472909,504747,264
2011-07-28$0.45$0.4268.6%19.7%56.8%71.5%69.0%18.9%-5.3%195.0K-9.2M-71.7K2.1029.90N/AN/A17,08835,904914,880765,120
2011-07-29$0.45$0.4268.3%19.6%55.7%70.8%69.4%23.3%-3.2%173.5K-7.5M-71.9K0.9236.37N/AN/A83,52076,608924,864772,224