TQQQ Options History — February 2012 In February 2012, TQQQ traded between $0.46 and $0.55. ATM implied volatility averaged 46.5%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 19.2% (HV 20d: 27.3%). Max pain ranged from $0.40 to $0.48. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.31.
Notable Days 2012-02-15 : Highest Volume — 593,280 contracts2012-02-09 : Largest IV spike — 11.5% change2012-02-15 : Highest IV Rank — 18.7%2012-02-15 : Largest Expected Move — 15.9%Monthly Statistics Metric Avg Min Max Open Close Price $0.51 $0.46 $0.55 $0.46 $0.54 Max Pain $0.43 $0.40 $0.48 $0.40 $0.48 ATM IV 46.5% 40.1% 55.6% 45.7% 45.4% Expected Move 13.7% 12.5% 15.9% 13.1% 13.0% HV 20d 27.3% 24.1% 30.1% 24.1% 29.5% HV 60d 53.2% 40.4% 62.0% 61.7% 40.5% IV Rank 10.5% 4.7% 18.7% 9.8% 9.5% IV Percentile 18.5% 2.4% 42.9% 15.5% 14.3% Term Structure 5.9% 2.8% 9.1% 4.4% 4.0% VWIV 50.8% 45.3% 57.6% 52.2% 49.8% Skew 25d 12.6% 9.4% 16.7% 9.9% 11.3% Skew 10d 26.9% 19.4% 43.0% 19.4% 23.6% Call IV 25d 42.3% 34.6% 48.7% 41.8% 42.0% Put IV 25d 54.9% 48.4% 65.4% 51.7% 53.3% Bid-Ask Spread % 39.55 24.90 61.58 50.90 59.23 Gamma HHI 0.11 0.05 0.47 0.06 0.18 Net GEX 149.6K -462.2K 374.6K 374.6K -140.2K Net DEX -22.0M -29.9M -15.9M -17.8M -16.5M Net VEX -60.9K -68.4K -56.4K -59.7K -66.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.31 0.17 4.52 1.41 0.87 Total Volume 162,729.6 68,928 593,280 153,408 235,392 Total OI 1,650,355.2 1,283,904 2,442,048 1,418,304 1,609,728
Daily Data (20 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 2012-02-01 $0.46 $0.40 45.7% 13.1% 24.1% 9.8% 52.2% 9.9% 4.4% 374.6K -17.8M -59.7K 1.41 50.90 N/A N/A 63,552 89,856 780,480 637,824 2012-02-02 $0.46 $0.40 45.2% 13.0% 24.1% 9.4% 48.6% 9.9% 5.0% 367.3K -18.7M -60.6K 2.09 53.63 N/A N/A 35,136 73,344 790,080 684,096 2012-02-03 $0.48 $0.41 40.1% 13.7% 25.8% 4.7% 52.3% 12.1% 6.7% 355.2K -23.0M -59.1K 1.16 27.72 N/A N/A 60,672 70,080 799,488 723,456 2012-02-06 $0.48 $0.41 42.2% 14.1% 26.1% 6.6% 50.7% 12.3% 5.2% 326.1K -21.9M -58.0K 0.17 26.93 N/A N/A 77,760 13,248 789,120 760,320 2012-02-07 $0.49 $0.41 41.7% 13.9% 25.3% 6.1% 50.5% 12.9% 5.6% 357.6K -23.9M -57.5K 0.84 28.48 N/A N/A 63,936 53,568 821,184 764,544 2012-02-08 $0.49 $0.42 42.8% 13.9% 25.1% 7.2% 51.7% 12.3% 6.4% 328.6K -25.9M -59.4K 0.45 27.04 N/A N/A 89,472 40,704 860,928 800,256 2012-02-09 $0.50 $0.42 47.7% 13.7% 25.4% 11.6% 49.7% 12.4% 6.7% 230.5K -28.8M -56.4K 0.84 29.82 N/A N/A 78,912 66,432 857,472 819,072 2012-02-10 $0.49 $0.42 51.5% 14.8% 28.0% 15.0% 56.4% 14.1% 5.2% 225.0K -23.9M -65.2K 0.95 24.90 N/A N/A 48,192 45,696 873,408 868,416 2012-02-13 $0.51 $0.42 50.2% 14.4% 27.4% 13.8% 49.5% 13.2% 7.6% 168.1K -28.5M -59.8K 0.32 31.75 N/A N/A 102,336 32,640 886,848 880,320 2012-02-14 $0.51 $0.42 51.0% 14.6% 26.8% 14.6% 56.8% 14.0% 7.8% 246.3K -29.9M -58.2K 1.78 29.44 N/A N/A 83,712 148,800 902,400 894,144 2012-02-15 $0.50 $0.43 55.6% 15.9% 27.2% 18.7% 57.6% 16.7% 5.3% 344.6K -24.5M -63.6K 1.78 32.39 N/A N/A 213,120 380,160 960,000 989,760 2012-02-16 $0.52 $0.43 50.5% 14.5% 29.4% 14.1% 53.0% 15.1% 8.0% -293.0K -25.6M -68.4K 0.50 32.22 N/A N/A 177,984 89,280 1,115,520 1,326,528 2012-02-17 $0.52 $0.44 47.8% 13.7% 29.6% 11.7% 49.3% 13.6% 9.1% -462.2K -24.6M -64.7K 1.49 39.53 N/A N/A 51,648 77,184 1,122,048 1,247,232 2012-02-21 $0.52 $0.44 47.3% 13.6% 29.5% 11.3% 52.6% 12.9% 4.8% 135.1K -16.7M -56.5K 0.52 36.98 N/A N/A 83,136 42,816 606,720 677,184 2012-02-22 $0.51 $0.44 46.2% 13.3% 30.1% 10.3% 51.0% 12.4% 7.0% 123.5K -15.9M -62.0K 4.52 41.43 N/A N/A 12,480 56,448 640,512 704,832 2012-02-23 $0.52 $0.45 43.7% 12.5% 28.4% 8.0% 46.1% 10.3% 5.9% 118.1K -17.6M -58.1K 0.83 46.82 N/A N/A 40,704 33,600 643,008 746,304 2012-02-24 $0.53 $0.45 43.5% 12.5% 27.6% 7.8% 45.3% 9.8% 5.2% 113.3K -18.2M -60.8K 1.50 54.09 N/A N/A 29,376 44,160 652,032 762,048 2012-02-27 $0.53 $0.45 46.4% 13.3% 27.6% 10.4% 45.7% 9.4% 2.8% 102.6K -18.6M -59.8K 2.86 56.10 N/A N/A 46,464 132,864 662,208 781,824 2012-02-28 $0.55 $0.47 45.0% 12.9% 28.4% 9.2% 46.2% 16.7% 4.6% -29.4K -19.6M -62.9K 1.39 61.58 N/A N/A 71,040 98,688 667,392 898,368 2012-02-29 $0.54 $0.48 45.4% 13.0% 29.5% 9.5% 49.8% 11.3% 4.0% -140.2K -16.5M -66.8K 0.87 59.23 N/A N/A 125,568 109,824 659,904 949,824
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