TQQQ Options History — January 2012

In January 2012, TQQQ traded between $0.37 and $0.45. ATM implied volatility averaged 50.0%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 5.9% (HV 20d: 44.1%). Max pain ranged from $0.32 to $0.39. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2012-01-09: Highest Volume — 412,608 contracts
  • 2012-01-12: Largest IV spike — 12.5% change
  • 2012-01-13: Highest IV Rank — 19.8%
  • 2012-01-13: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.42$0.37$0.45$0.37$0.45
Max Pain$0.37$0.32$0.39$0.32$0.39
ATM IV50.0%44.8%56.8%56.5%49.8%
Expected Move14.9%13.1%16.3%16.2%14.3%
HV 20d44.1%28.6%59.2%59.2%28.6%
HV 60d69.3%62.7%75.0%75.0%62.7%
IV Rank13.7%8.9%19.8%19.5%13.4%
IV Percentile29.8%15.1%48.0%46.0%29.0%
Term Structure4.2%2.0%8.9%5.9%2.0%
VWIV54.6%46.9%63.2%59.4%50.9%
Skew 25d13.2%9.6%16.0%14.0%10.4%
Skew 10d28.1%20.6%35.4%25.7%30.4%
Call IV 25d45.7%40.9%50.1%50.1%44.4%
Put IV 25d58.9%52.8%65.3%64.1%54.8%
Bid-Ask Spread %31.0119.9653.0333.8053.03
Gamma HHI0.120.050.730.050.06
Net GEX646.5K227.5K1.9M373.6K356.9K
Net DEX-23.4M-45.8M-9.3M-11.1M-15.1M
Net VEX-53.3K-59.7K-47.1K-51.3K-59.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.122.220.190.66
Total Volume165,494.453,568412,608399,55253,568
Total OI1,662,249.6975,9362,328,9601,411,0081,392,960

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$0.37$0.3256.5%16.2%59.2%19.5%59.4%14.0%5.9%373.6K-11.1M-51.3K0.1933.80N/AN/A335,80863,744870,336540,672
2012-01-04$0.38$0.3353.4%15.3%58.2%16.8%55.7%11.8%8.4%666.9K-17.7M-58.3K0.1330.09N/AN/A117,88815,5521,128,960572,928
2012-01-05$0.39$0.3351.6%14.8%58.8%15.1%54.3%10.8%8.9%829.6K-24.0M-59.2K0.9330.34N/AN/A91,20084,4801,234,368567,168
2012-01-06$0.39$0.3745.6%16.0%58.9%9.6%63.2%15.2%3.1%899.5K-26.2M-58.4K0.8421.88N/AN/A58,94449,3441,253,184569,088
2012-01-09$0.39$0.3745.8%15.8%55.5%9.9%60.2%16.0%2.6%954.4K-25.5M-55.1K0.1222.41N/AN/A369,02443,5841,262,976565,056
2012-01-10$0.40$0.3744.8%15.7%53.6%8.9%53.8%15.0%2.3%878.4K-26.4M-52.8K1.5521.68N/AN/A52,41681,4081,205,952587,712
2012-01-11$0.40$0.3747.4%15.6%51.9%11.3%54.3%14.3%2.7%843.9K-27.7M-52.1K0.9622.67N/AN/A79,48876,6081,217,088599,040
2012-01-12$0.40$0.3853.3%15.3%49.8%16.7%57.6%14.5%4.2%824.1K-29.9M-51.2K0.8523.64N/AN/A99,26483,9041,248,000639,360
2012-01-13$0.40$0.3756.8%16.3%46.1%19.8%57.2%15.7%4.0%846.7K-28.2M-53.5K1.3319.96N/AN/A68,92891,3921,286,400684,288
2012-01-17$0.41$0.3756.3%16.1%46.0%19.4%60.0%15.9%2.8%814.9K-33.7M-48.4K1.2623.18N/AN/A96,384121,5361,310,784751,488
2012-01-18$0.43$0.3753.0%15.2%47.1%16.4%56.8%14.9%3.7%533.5K-40.6M-47.2K0.5525.40N/AN/A92,54451,0721,332,096813,696
2012-01-19$0.44$0.3850.0%14.3%44.8%13.6%56.2%14.1%4.1%478.7K-44.2M-47.8K0.4927.06N/AN/A129,60064,1281,360,512843,648
2012-01-20$0.43$0.3946.8%13.4%36.5%10.7%46.9%12.2%5.5%1.9M-45.8M-47.8K0.5426.18N/AN/A88,32047,8081,434,048894,912
2012-01-23$0.43$0.3947.4%13.6%31.2%11.4%50.0%12.2%5.0%227.5K-9.7M-47.1K1.3033.99N/AN/A66,04885,824557,568418,368
2012-01-24$0.43$0.3948.2%13.8%31.4%12.0%50.9%12.5%4.6%236.2K-9.3M-51.1K0.9934.69N/AN/A38,01637,824613,440488,064
2012-01-25$0.45$0.3945.8%13.1%32.4%9.8%47.6%12.8%4.0%280.0K-12.7M-52.5K0.6541.91N/AN/A94,65661,248642,048508,992
2012-01-26$0.44$0.3948.1%13.8%33.3%12.0%52.8%11.4%3.8%320.2K-12.6M-56.2K2.2239.37N/AN/A39,16886,784689,088533,376
2012-01-27$0.45$0.3947.7%13.7%29.2%11.6%51.6%9.6%4.1%315.9K-13.5M-57.7K1.4843.82N/AN/A25,92038,400703,872588,288
2012-01-30$0.45$0.3951.7%14.8%29.4%15.2%53.0%10.6%2.7%303.6K-13.4M-57.7K0.3745.21N/AN/A93,69634,368717,888617,280
2012-01-31$0.45$0.3949.8%14.3%28.6%13.4%50.9%10.4%2.0%356.9K-15.1M-59.7K0.6653.03N/AN/A32,25621,312769,536623,424