TQQQ Options History — March 2012 In March 2012, TQQQ traded between $0.52 and $0.64. ATM implied volatility averaged 43.0%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 9.5% (HV 20d: 33.6%). Max pain ranged from $0.47 to $0.57. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.02.
Notable Days 2012-03-13 : Highest Volume — 346,176 contracts2012-03-06 : Largest IV spike — 15.6% change2012-03-06 : Highest IV Rank — 14.1%2012-03-06 : Largest Expected Move — 15.0%Monthly Statistics Metric Avg Min Max Open Close Price $0.59 $0.52 $0.64 $0.55 $0.62 Max Pain $0.54 $0.47 $0.57 $0.48 $0.57 ATM IV 43.0% 38.3% 50.4% 43.4% 43.1% Expected Move 12.8% 11.5% 15.0% 12.4% 12.4% HV 20d 33.6% 29.5% 36.6% 29.5% 35.2% HV 60d 35.1% 29.5% 41.5% 40.5% 29.7% IV Rank 7.4% 3.1% 14.1% 7.7% 7.5% IV Percentile 10.9% 0.4% 32.5% 8.7% 12.7% Term Structure 5.0% 2.7% 7.7% 4.3% 2.7% VWIV 47.1% 41.7% 55.6% 45.3% 42.7% Skew 25d 12.0% 8.5% 16.8% 9.0% 10.7% Skew 10d 24.8% 17.2% 35.3% 20.6% 23.0% Call IV 25d 39.7% 36.3% 45.8% 39.5% 38.7% Put IV 25d 51.7% 46.3% 62.6% 48.6% 49.5% Bid-Ask Spread % 30.38 17.71 67.28 67.28 36.32 Gamma HHI 0.07 0.04 0.19 0.12 0.05 Net GEX 195.9K -205.5K 421.6K -51.4K 314.5K Net DEX -22.5M -37.1M -11.9M -20.5M -20.7M Net VEX -69.7K -80.1K -62.0K -68.4K -80.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.02 0.18 2.37 1.35 0.80 Total Volume 154,010.182 53,568 346,176 177,024 53,568 Total OI 1,709,044.364 1,143,168 2,304,576 1,769,088 1,602,816
Daily Data (22 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 2012-03-01 $0.55 $0.48 43.4% 12.4% 29.5% 7.7% 45.3% 9.0% 4.3% -51.4K -20.5M -68.4K 1.35 67.28 N/A N/A 75,264 101,760 752,256 1,016,832 2012-03-02 $0.55 $0.47 40.9% 11.7% 29.8% 5.4% 41.7% 8.5% 5.7% 149.9K -23.1M -66.0K 0.63 61.46 N/A N/A 59,136 37,056 791,424 984,768 2012-03-05 $0.53 $0.53 43.6% 14.1% 30.8% 7.9% 49.5% 14.6% 5.2% 47.2K -17.1M -66.0K 1.60 28.35 N/A N/A 45,504 72,768 772,416 1,002,816 2012-03-06 $0.52 $0.53 50.4% 15.0% 33.0% 14.1% 55.6% 16.8% 5.4% -7.0K -11.9M -68.8K 2.37 29.47 N/A N/A 42,240 100,224 795,264 1,028,928 2012-03-07 $0.53 $0.53 48.1% 14.5% 33.7% 11.9% 52.7% 15.5% 6.4% 21.7K -15.7M -67.2K 0.59 24.68 N/A N/A 104,064 61,248 806,592 1,052,352 2012-03-08 $0.55 $0.53 43.7% 13.7% 34.8% 7.9% 49.8% 14.4% 6.0% 137.3K -20.4M -70.4K 0.78 22.46 N/A N/A 111,168 86,208 859,776 1,089,792 2012-03-09 $0.55 $0.52 40.3% 13.3% 34.3% 4.8% 48.3% 13.8% 7.1% 141.8K -23.1M -70.6K 0.95 28.22 N/A N/A 92,928 88,512 901,824 1,137,024 2012-03-12 $0.55 $0.52 42.3% 13.2% 32.9% 6.7% 51.5% 13.8% 7.6% 243.6K -24.8M -65.7K 0.72 23.46 N/A N/A 93,120 67,200 934,464 1,155,840 2012-03-13 $0.59 $0.52 38.3% 12.5% 36.6% 3.1% 48.8% 12.9% 5.0% 320.3K -33.9M -62.3K 1.50 23.56 N/A N/A 138,624 207,552 882,048 1,210,176 2012-03-14 $0.59 $0.53 41.3% 13.3% 36.6% 5.8% 47.0% 12.2% 5.3% 279.6K -34.3M -62.0K 0.49 17.71 N/A N/A 159,360 77,952 875,136 1,273,536 2012-03-15 $0.60 $0.54 45.4% 13.0% 34.9% 9.5% 49.5% 12.0% 6.8% 329.0K -37.1M -63.6K 1.72 18.93 N/A N/A 68,160 117,312 943,296 1,307,520 2012-03-16 $0.60 $0.54 43.5% 12.5% 32.9% 7.8% 43.1% 11.5% 7.7% -205.5K -33.2M -65.5K 0.37 23.18 N/A N/A 226,368 83,136 917,952 1,386,624 2012-03-19 $0.61 $0.54 42.9% 12.3% 32.8% 7.2% 43.7% 11.6% 5.0% 192.3K -16.3M -65.9K 0.44 23.84 N/A N/A 97,152 43,008 567,744 575,424 2012-03-20 $0.61 $0.55 42.3% 12.1% 32.8% 6.7% 45.7% 11.1% 4.5% 216.8K -16.5M -70.2K 1.03 25.01 N/A N/A 38,208 39,360 588,288 602,880 2012-03-21 $0.61 $0.55 42.0% 12.0% 32.0% 6.4% 47.7% 11.4% 3.9% 236.2K -17.2M -69.5K 1.23 27.43 N/A N/A 70,080 86,208 604,416 618,048 2012-03-22 $0.61 $0.55 44.1% 12.6% 32.2% 8.3% 47.9% 11.8% 3.8% 243.1K -16.8M -74.9K 0.90 26.33 N/A N/A 70,656 63,936 654,144 659,712 2012-03-23 $0.61 $0.56 42.5% 12.2% 32.3% 6.9% 43.8% 10.8% 3.7% 286.8K -17.2M -77.6K 0.72 33.06 N/A N/A 40,896 29,568 694,848 675,264 2012-03-26 $0.64 $0.56 39.9% 11.5% 35.9% 4.6% 42.9% 10.0% 3.5% 421.6K -25.5M -70.4K 1.10 31.16 N/A N/A 48,000 52,800 715,776 688,512 2012-03-27 $0.64 $0.57 42.2% 12.1% 35.1% 6.6% 46.9% 10.6% 3.3% 372.8K -25.2M -72.5K 1.28 33.45 N/A N/A 48,384 61,824 714,816 715,968 2012-03-28 $0.63 $0.57 43.6% 12.5% 35.0% 7.9% 48.5% 10.9% 3.2% 328.4K -23.0M -76.2K 1.70 33.53 N/A N/A 52,416 89,280 727,680 748,416 2012-03-29 $0.63 $0.57 43.3% 12.4% 35.0% 7.6% 43.4% 10.3% 3.1% 291.2K -21.4M -79.6K 0.18 29.60 N/A N/A 72,768 13,248 753,984 811,584 2012-03-30 $0.62 $0.57 43.1% 12.4% 35.2% 7.5% 42.7% 10.7% 2.7% 314.5K -20.7M -80.1K 0.80 36.32 N/A N/A 29,760 23,808 788,736 814,080
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