TQQQ Options History — June 2012

In June 2012, TQQQ traded between $0.44 and $0.53. ATM implied volatility averaged 58.0%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded below realized volatility by 3.0% (HV 20d: 61.0%). Max pain ranged from $0.46 to $0.49. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2012-06-15: Highest Volume — 436,704 contracts
  • 2012-06-11: Largest IV spike — 27.1% change
  • 2012-06-01: Highest IV Rank — 36.4%
  • 2012-06-01: Largest Expected Move — 22.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.49$0.44$0.53$0.44$0.52
Max Pain$0.48$0.46$0.49$0.49$0.48
ATM IV58.0%46.1%77.4%77.4%46.1%
Expected Move17.1%13.2%22.2%22.2%13.2%
HV 20d61.0%53.6%66.0%57.2%66.0%
HV 60d53.6%50.3%59.9%50.6%59.9%
IV Rank18.3%7.2%36.4%36.4%7.2%
IV Percentile42.5%17.9%71.8%71.8%17.9%
Term Structure3.5%-2.3%7.2%-2.3%6.2%
VWIV58.3%46.9%72.2%72.2%49.2%
Skew 25d16.5%9.6%21.2%18.9%9.6%
Skew 10d30.1%22.5%39.0%32.5%29.1%
Call IV 25d51.6%41.5%67.7%67.7%41.5%
Put IV 25d68.1%51.1%86.5%86.5%51.1%
Bid-Ask Spread %29.4616.2966.8766.8744.96
Gamma HHI0.300.040.960.400.36
Net GEX997.5K119.1K8.0M244.6K807.4K
Net DEX-5.3M-22.4M3.6M3.6M-14.3M
Net VEX-48.5K-65.8K-40.8K-49.5K-65.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.031.200.500.72
Total Volume129,641.14337,248436,70489,376123,168
Total OI1,312,882.286610,5601,908,6721,547,6161,223,136

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$0.44$0.4977.4%22.2%57.2%36.4%72.2%18.9%-2.3%244.6K3.6M-49.5K0.5066.87N/AN/A59,71229,664976,224571,392
2012-06-04$0.45$0.4774.8%20.9%53.6%34.0%65.9%18.1%0.2%307.4K2.8M-46.9K0.1921.62N/AN/A51,6489,792993,600578,592
2012-06-05$0.45$0.4770.4%20.2%54.1%30.0%68.3%18.6%1.5%396.3K1.4M-47.5K0.0320.55N/AN/A220,5125,9521,022,112574,560
2012-06-06$0.48$0.4656.7%18.4%60.3%17.2%64.4%18.2%6.1%1.1M-11.5M-57.5K0.2016.33N/AN/A76,99215,1681,213,248573,888
2012-06-07$0.48$0.4763.6%18.2%60.4%23.6%58.7%20.1%6.3%1.1M-9.5M-54.9K0.2525.73N/AN/A83,04020,9281,197,024574,560
2012-06-08$0.49$0.4751.3%17.5%61.5%12.2%57.5%16.9%3.0%1.4M-14.9M-57.0K0.2818.28N/AN/A28,9928,2561,247,424585,024
2012-06-11$0.47$0.4765.3%19.1%63.6%25.2%65.6%21.2%7.2%1.1M-5.2M-48.2K0.1223.23N/AN/A236,83227,2641,248,768591,168
2012-06-12$0.48$0.4756.9%18.7%64.3%17.3%64.8%18.9%2.1%1.6M-9.8M-47.6K0.3616.29N/AN/A32,44811,8081,244,736599,616
2012-06-13$0.47$0.4758.5%19.3%64.6%18.8%68.5%21.2%1.5%1.5M-5.1M-44.3K0.5521.52N/AN/A28,60815,7441,258,944603,360
2012-06-14$0.48$0.4765.2%18.7%64.4%25.0%66.7%19.6%2.4%1.9M-7.3M-44.3K1.1021.76N/AN/A38,01641,7601,273,248604,128
2012-06-15$0.50$0.4757.5%16.5%61.4%17.9%57.7%18.3%5.3%8.0M-22.4M-43.7K0.0722.99N/AN/A408,67228,0321,283,136625,536
2012-06-18$0.51$0.4753.0%15.2%59.6%13.7%50.9%15.9%2.5%119.1K-2.3M-40.8K0.3527.91N/AN/A79,48827,744371,712238,848
2012-06-19$0.53$0.4748.1%13.8%53.8%9.2%49.5%15.0%4.6%149.9K-3.9M-42.9K0.2823.47N/AN/A88,89625,152389,856243,936
2012-06-20$0.53$0.4847.3%13.6%53.7%8.4%47.2%14.4%3.5%184.1K-4.6M-45.5K0.1844.28N/AN/A85,53615,072426,432257,088
2012-06-21$0.49$0.4854.5%15.6%61.1%15.1%55.0%15.3%3.5%170.0K-1.9M-46.2K1.1841.02N/AN/A39,45646,368478,752266,592
2012-06-22$0.50$0.4950.4%14.5%61.6%11.3%46.9%12.6%4.9%198.3K-2.9M-47.4K0.1028.17N/AN/A88,8009,024485,088283,488
2012-06-25$0.47$0.4955.2%15.8%65.6%15.8%58.0%14.6%2.6%122.5K-157.2K-43.1K0.8536.89N/AN/A40,12834,272485,376287,616
2012-06-26$0.48$0.4955.9%16.0%64.6%16.4%55.1%13.5%4.2%136.3K-932.2K-45.4K1.2038.41N/AN/A34,65641,472493,632310,560
2012-06-27$0.49$0.4953.9%15.4%64.3%14.5%50.0%12.6%3.6%132.3K-1.4M-47.6K0.0325.87N/AN/A202,2726,624502,464343,392
2012-06-28$0.47$0.4955.8%16.0%65.5%16.3%52.6%13.0%4.7%319.4K-1.7M-51.5K0.1932.60N/AN/A213,60040,896697,152345,120
2012-06-29$0.52$0.4846.1%13.2%66.0%7.2%49.2%9.6%6.2%807.4K-14.3M-65.8K0.7244.96N/AN/A71,61651,552852,768370,368