TQQQ Options History — July 2012

In July 2012, TQQQ traded between $0.48 and $0.54. ATM implied volatility averaged 50.1%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 10.4% (HV 20d: 60.5%). Max pain ranged from $0.47 to $0.49. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2012-07-10: Highest Volume — 352,896 contracts
  • 2012-07-27: Largest IV drop — 12.6% change
  • 2012-07-24: Highest IV Rank — 19.6%
  • 2012-07-24: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.51$0.48$0.54$0.52$0.53
Max Pain$0.48$0.47$0.49$0.48$0.49
ATM IV50.1%42.3%59.3%45.6%53.0%
Expected Move14.6%12.1%17.0%13.1%15.2%
HV 20d60.5%51.2%66.0%65.8%51.2%
HV 60d58.3%56.8%59.9%59.8%57.5%
IV Rank11.0%3.7%19.6%6.8%13.7%
IV Percentile27.5%5.2%50.8%15.9%37.3%
Term Structure3.3%0.2%7.0%6.7%2.5%
VWIV52.8%45.9%62.5%47.0%53.2%
Skew 25d12.2%8.6%15.9%9.4%10.6%
Skew 10d27.6%17.4%34.0%32.5%34.0%
Call IV 25d45.6%39.7%51.4%41.1%47.7%
Put IV 25d57.8%48.3%67.3%50.5%58.4%
Bid-Ask Spread %33.6919.5149.4544.2639.64
Gamma HHI0.250.050.910.370.06
Net GEX833.1K105.0K5.0M874.2K253.2K
Net DEX-8.1M-21.2M1.6M-15.6M-6.6M
Net VEX-52.3K-65.9K-41.5K-65.2K-54.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.112.600.410.95
Total Volume119,140.57127,840352,896157,53627,840
Total OI1,191,913.143736,2241,465,1521,257,216939,648

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$0.52$0.4845.6%13.1%65.8%6.8%47.0%9.4%6.7%874.2K-15.6M-65.2K0.4144.26N/AN/A111,36046,176857,184400,032
2012-07-03$0.54$0.4942.3%12.1%66.0%3.7%45.9%8.6%5.9%1.0M-20.4M-65.9K0.8131.18N/AN/A27,16821,888891,360393,408
2012-07-05$0.54$0.4944.0%12.6%62.4%5.3%49.2%9.2%5.6%1.0M-21.2M-64.7K1.7049.45N/AN/A54,81693,216896,352395,232
2012-07-06$0.52$0.4844.1%14.7%64.3%5.4%50.8%13.9%2.0%1.0M-13.9M-64.2K1.2519.83N/AN/A58,94473,728902,496470,016
2012-07-09$0.52$0.4848.2%15.0%63.6%9.2%56.0%14.5%1.9%1.0M-12.8M-60.5K0.2219.51N/AN/A40,9929,216907,008519,552
2012-07-10$0.50$0.4852.2%16.2%62.0%12.9%62.5%15.4%1.5%936.1K-8.2M-58.8K0.1123.67N/AN/A316,80036,096939,744525,408
2012-07-11$0.49$0.4851.5%15.9%61.4%12.3%56.7%11.8%2.0%421.9K-2.6M-50.5K0.2524.83N/AN/A105,40826,016779,232540,576
2012-07-12$0.48$0.4756.1%16.1%61.9%16.6%60.0%13.5%1.6%132.3K1.6M-45.5K2.6027.94N/AN/A50,016129,888779,136550,752
2012-07-13$0.50$0.4751.8%14.8%63.6%12.6%53.9%12.9%4.6%680.8K-4.7M-47.6K1.4831.64N/AN/A39,84059,136794,592507,648
2012-07-16$0.50$0.4753.0%15.2%62.4%13.7%54.6%11.8%2.0%515.9K-2.8M-44.8K0.5930.57N/AN/A39,93623,616810,432546,528
2012-07-17$0.50$0.4752.2%15.0%61.9%13.0%54.0%11.6%2.2%807.3K-4.9M-44.9K1.2037.06N/AN/A26,97632,448828,768554,784
2012-07-18$0.52$0.4749.6%14.2%62.5%10.6%49.5%11.1%3.8%1.6M-13.7M-46.8K0.5127.34N/AN/A74,68838,400836,928573,504
2012-07-19$0.54$0.4745.6%13.1%63.5%6.8%47.5%10.5%4.8%1.2M-19.1M-45.4K0.5938.59N/AN/A125,08873,728778,560559,776
2012-07-20$0.52$0.4847.1%13.5%58.4%8.2%46.6%11.5%3.6%5.0M-8.6M-46.3K0.6045.02N/AN/A73,34443,680798,240594,528
2012-07-23$0.50$0.4853.0%15.2%59.2%13.7%53.2%13.0%7.0%133.5K-1.7M-41.5K0.8729.66N/AN/A54,91247,808463,872272,352
2012-07-24$0.49$0.4859.3%17.0%55.4%19.6%60.7%15.9%0.2%124.4K-805.5K-45.4K1.1029.10N/AN/A44,92849,632491,808304,704
2012-07-25$0.48$0.4855.8%16.0%55.7%16.3%56.7%15.0%1.8%105.0K245.0K-45.2K0.6533.94N/AN/A72,57647,136512,544338,592
2012-07-26$0.50$0.4852.1%14.9%57.0%12.8%51.4%12.5%3.4%160.5K-2.0M-51.8K0.4232.68N/AN/A51,16821,408541,632371,520
2012-07-27$0.54$0.4845.5%13.0%60.7%6.7%49.8%11.5%2.9%263.7K-6.9M-55.4K0.4443.92N/AN/A105,40845,984559,104379,680
2012-07-30$0.53$0.4850.5%14.5%51.3%11.4%50.5%12.0%2.6%263.8K-6.4M-53.8K0.4047.67N/AN/A57,50423,040548,352374,592
2012-07-31$0.53$0.4953.0%15.2%51.2%13.7%53.2%10.6%2.5%253.2K-6.6M-54.8K0.9539.64N/AN/A14,30413,536555,936383,712