TQQQ Options History — April 2012

In April 2012, TQQQ traded between $0.54 and $0.64. ATM implied volatility averaged 50.4%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 7.0% (HV 20d: 43.4%). Max pain ranged from $0.57 to $0.60. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.99.

Notable Days

  • 2012-04-13: Highest Volume — 1,099,584 contracts
  • 2012-04-10: Largest IV spike — 16.1% change
  • 2012-04-16: Highest IV Rank — 21.8%
  • 2012-04-16: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.60$0.54$0.64$0.64$0.60
Max Pain$0.59$0.57$0.60$0.57$0.57
ATM IV50.4%40.3%59.0%40.3%48.3%
Expected Move14.5%11.6%16.9%11.6%13.8%
HV 20d43.4%30.2%54.9%33.2%54.9%
HV 60d35.9%29.8%41.3%29.8%41.3%
IV Rank14.0%4.9%21.8%4.9%12.1%
IV Percentile35.5%3.6%56.0%3.6%31.3%
Term Structure1.8%-1.4%5.2%3.8%1.2%
VWIV51.8%42.7%61.6%42.7%54.1%
Skew 25d12.8%8.9%16.7%9.4%10.9%
Skew 10d25.9%18.2%34.4%19.9%21.2%
Call IV 25d45.2%35.9%51.7%35.9%43.4%
Put IV 25d58.0%45.3%68.3%45.3%54.3%
Bid-Ask Spread %31.8316.1152.5435.7338.15
Gamma HHI0.110.040.260.050.13
Net GEX503.8K-181.0K1.9M451.8K1.0M
Net DEX-12.2M-26.9M3.2M-26.9M-16.6M
Net VEX-83.1K-95.7K-72.3K-72.3K-90.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.062.262.230.94
Total Volume253,756.879,6801,099,584150,528124,032
Total OI2,303,011.21,430,7843,660,8641,615,2962,038,272

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$0.64$0.5740.3%11.6%33.2%4.9%42.7%9.4%3.8%451.8K-26.9M-72.3K2.2335.73N/AN/A46,656103,872802,368812,928
2012-04-03$0.64$0.5740.7%11.7%30.2%5.3%43.5%8.9%4.8%403.3K-26.3M-74.4K1.6939.00N/AN/A42,81672,192818,496882,624
2012-04-04$0.62$0.5744.2%12.7%35.1%8.4%45.8%9.1%3.8%250.5K-18.2M-78.5K1.9139.46N/AN/A67,584129,216834,432936,576
2012-04-05$0.63$0.5842.8%12.3%34.2%7.1%43.1%8.9%5.2%336.0K-21.8M-82.8K0.3133.88N/AN/A157,44048,960867,840996,288
2012-04-09$0.61$0.6048.6%14.6%35.7%12.4%60.8%14.0%0.9%525.1K-19.5M-81.7K1.3317.18N/AN/A92,352123,072981,1201,003,584
2012-04-10$0.58$0.6056.4%16.3%40.6%19.4%61.6%14.6%1.4%203.3K-6.3M-87.0K2.2624.53N/AN/A57,984131,1361,026,0481,068,672
2012-04-11$0.59$0.6052.0%15.7%36.0%15.5%56.1%15.5%0.7%292.5K-9.4M-87.9K1.1018.07N/AN/A62,59268,5441,048,7041,123,008
2012-04-12$0.61$0.6051.9%14.9%37.7%15.4%53.9%13.8%2.8%686.3K-19.7M-87.2K0.6316.11N/AN/A72,00045,5041,086,7201,159,488
2012-04-13$0.58$0.6056.3%16.2%41.2%19.4%53.9%14.6%1.5%165.1K-5.3M-87.9K0.0623.98N/AN/A1,034,11265,4721,104,1921,183,488
2012-04-16$0.57$0.6059.0%16.9%42.6%21.8%56.0%16.7%-1.4%128.6K3.2M-80.8K1.1432.57N/AN/A120,768137,6642,110,2721,210,560
2012-04-17$0.60$0.5953.8%15.4%47.0%17.1%53.7%14.2%0.9%1.9M-16.9M-87.2K0.8125.10N/AN/A95,61677,7602,140,6081,228,224
2012-04-18$0.59$0.5954.3%15.6%47.0%17.6%57.6%14.9%0.2%1.0M-10.9M-80.5K1.3126.42N/AN/A34,56045,1202,152,1281,265,088
2012-04-19$0.58$0.6055.1%15.8%48.3%18.3%53.4%15.2%0.8%-142.9K1.8M-72.3K0.9432.69N/AN/A314,880297,0242,160,7681,283,136
2012-04-20$0.57$0.5752.8%15.1%48.4%16.2%53.4%15.2%1.0%-181.0K2.8M-76.9K0.9936.31N/AN/A126,528124,8002,337,6001,323,264
2012-04-23$0.55$0.5757.0%16.3%49.0%20.0%51.8%14.7%0.4%99.3K-2.1M-72.6K0.3228.79N/AN/A376,128120,384713,472717,312
2012-04-24$0.54$0.5756.4%16.2%44.5%19.4%56.3%13.7%-0.1%218.1K-644.9K-81.1K0.6844.55N/AN/A53,95236,6721,034,304783,936
2012-04-25$0.59$0.5747.8%13.7%53.6%11.7%46.2%11.7%0.7%651.1K-12.4M-89.1K0.2252.54N/AN/A243,26453,7601,042,560798,336
2012-04-26$0.60$0.5745.8%13.1%54.1%9.8%48.5%10.8%2.5%977.1K-17.9M-95.7K0.5836.74N/AN/A94,27254,7201,160,640826,752
2012-04-27$0.61$0.5744.0%12.6%54.5%8.3%44.5%10.1%4.1%1.1M-21.6M-95.0K0.4334.71N/AN/A85,05636,6721,156,800839,616
2012-04-30$0.60$0.5748.3%13.8%54.9%12.1%54.1%10.9%1.2%1.0M-16.6M-90.4K0.9438.15N/AN/A63,93660,0961,190,784847,488