TQQQ Options History — December 2011

In December 2011, TQQQ traded between $0.33 and $0.38. ATM implied volatility averaged 66.9%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded below realized volatility by 9.7% (HV 20d: 76.6%). Max pain ranged from $0.31 to $0.36. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2011-12-07: Highest Volume — 382,272 contracts
  • 2011-12-09: Largest IV drop — 17.6% change
  • 2011-12-08: Highest IV Rank — 45.2%
  • 2011-12-08: Largest Expected Move — 23.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.36$0.33$0.38$0.37$0.35
Max Pain$0.33$0.31$0.36$0.36$0.32
ATM IV66.9%54.5%84.9%69.7%56.7%
Expected Move19.1%15.6%23.0%20.0%16.3%
HV 20d76.6%55.6%89.1%89.1%55.6%
HV 60d80.5%74.9%83.1%83.1%74.9%
IV Rank28.9%17.7%45.2%31.4%19.7%
IV Percentile60.1%44.4%81.3%66.7%47.6%
Term Structure6.1%-1.4%9.7%5.9%7.0%
VWIV68.4%56.3%79.3%72.3%58.2%
Skew 25d17.9%12.8%23.0%16.7%13.5%
Skew 10d34.6%26.2%42.9%30.7%28.2%
Call IV 25d58.0%49.0%66.7%61.9%50.8%
Put IV 25d75.9%62.3%89.7%78.7%64.2%
Bid-Ask Spread %28.7910.8167.8963.1113.74
Gamma HHI0.170.040.510.240.06
Net GEX266.2K-330.4K485.4K371.2K372.2K
Net DEX-4.5M-12.4M9.7M-9.3M-8.2M
Net VEX-50.8K-61.2K-36.3K-60.3K-54.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.141.830.561.53
Total Volume165,970.28630,144382,27298,11230,144
Total OI1,782,217.143862,4642,495,6161,951,8721,500,864

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$0.37$0.3669.7%20.0%89.1%31.4%72.3%16.7%5.9%371.2K-9.3M-60.3K0.5663.11N/AN/A62,78435,3281,186,368765,504
2011-12-02$0.37$0.3671.9%20.6%86.2%33.5%73.2%18.1%7.5%360.1K-8.7M-61.2K0.8667.89N/AN/A93,88881,0241,209,408776,064
2011-12-05$0.38$0.3273.8%20.9%87.1%35.2%75.9%21.5%4.9%403.7K-12.4M-59.8K0.4619.31N/AN/A89,66441,2801,237,440830,592
2011-12-06$0.38$0.3273.3%20.8%86.6%34.7%71.6%21.9%7.0%410.0K-11.7M-59.7K1.8317.89N/AN/A33,02460,2881,255,488844,416
2011-12-07$0.38$0.3276.7%21.3%85.6%37.8%68.5%20.3%4.4%424.6K-11.6M-58.0K0.3310.81N/AN/A287,42494,8481,263,168833,088
2011-12-08$0.36$0.3284.9%23.0%78.5%45.2%76.7%23.0%6.2%286.9K-4.2M-57.2K0.1421.17N/AN/A259,77637,6321,296,384882,624
2011-12-09$0.38$0.3470.0%21.3%80.4%31.8%70.2%18.6%4.9%450.6K-11.3M-57.0K0.7424.48N/AN/A93,50469,3121,325,184889,536
2011-12-12$0.36$0.3471.8%20.8%78.5%33.3%78.6%19.0%3.8%485.4K-5.3M-50.7K1.1027.25N/AN/A70,84878,1441,365,888871,104
2011-12-13$0.35$0.3477.4%21.3%79.1%38.5%79.1%21.9%-1.4%440.3K690.9K-46.0K0.6825.16N/AN/A105,60072,1921,382,976893,376
2011-12-14$0.34$0.3471.8%21.3%79.2%33.3%70.5%21.2%6.0%141.2K8.2M-37.4K0.8623.21N/AN/A165,888142,0801,424,640902,400
2011-12-15$0.33$0.3669.4%19.9%77.7%31.2%79.3%20.4%8.0%-23.3K9.7M-39.0K1.1724.60N/AN/A56,25665,8561,495,296978,816
2011-12-16$0.34$0.3565.9%18.9%74.1%28.1%67.0%18.3%9.7%-330.4K9.5M-37.9K0.7029.19N/AN/A134,40094,0801,500,480995,136
2011-12-19$0.33$0.3566.0%18.9%74.3%28.1%65.5%18.5%6.3%30.5K1.2M-36.3K0.2727.27N/AN/A80,64021,696491,712370,752
2011-12-20$0.36$0.3560.2%17.3%77.4%22.9%67.5%16.8%6.7%116.1K-2.5M-43.5K0.1827.02N/AN/A184,12832,832548,736388,416
2011-12-21$0.34$0.3160.7%17.4%79.1%23.3%62.6%15.6%7.7%172.9K-3.6M-45.8K0.5534.64N/AN/A67,77637,440710,400389,568
2011-12-22$0.35$0.3158.6%16.8%74.9%21.5%57.7%15.2%6.4%198.4K-5.0M-47.6K0.4132.69N/AN/A77,76032,064722,304414,144
2011-12-23$0.36$0.3154.5%15.6%74.4%17.7%56.3%13.3%8.2%257.7K-6.8M-50.8K0.8131.51N/AN/A88,89672,192770,496431,424
2011-12-27$0.36$0.3156.3%16.1%66.4%19.4%59.9%12.8%5.5%306.6K-7.8M-53.2K0.3035.73N/AN/A134,59239,936838,656491,904
2011-12-28$0.35$0.3159.0%16.9%67.3%21.8%64.7%14.8%6.6%339.9K-7.2M-54.9K0.1831.57N/AN/A116,73620,928950,400514,560
2011-12-29$0.36$0.3256.1%16.1%56.2%19.2%60.5%14.0%7.4%375.7K-8.8M-55.7K0.1616.39N/AN/A105,60016,896959,232527,616
2011-12-30$0.35$0.3256.7%16.3%55.6%19.7%58.2%13.5%7.0%372.2K-8.2M-54.7K1.5313.74N/AN/A11,90418,240966,144534,720