TQQQ Options History — August 2012 In August 2012, TQQQ traded between $0.52 and $0.62. ATM implied volatility averaged 41.2%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 0.0% (HV 20d: 41.2%). Max pain ranged from $0.49 to $0.52. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.69.
Notable Days 2012-08-03 : Highest Volume — 302,304 contracts2012-08-03 : Largest IV drop — 13.1% change2012-08-01 : Highest IV Rank — 12.9%2012-08-01 : Largest Expected Move — 14.9%Monthly Statistics Metric Avg Min Max Open Close Price $0.60 $0.52 $0.62 $0.53 $0.62 Max Pain $0.50 $0.49 $0.52 $0.49 $0.52 ATM IV 41.2% 35.0% 52.1% 52.1% 42.9% Expected Move 12.4% 10.8% 14.9% 14.9% 12.3% HV 20d 41.2% 24.6% 52.7% 50.6% 24.6% HV 60d 54.7% 49.1% 58.9% 57.5% 49.1% IV Rank 5.0% 0.0% 12.9% 12.9% 7.5% IV Percentile 9.0% 0.0% 34.5% 34.5% 14.3% Term Structure 7.3% 0.6% 13.9% 0.6% 8.4% VWIV 44.3% 39.9% 52.3% 52.3% 44.3% Skew 25d 9.9% 6.6% 13.2% 9.4% 12.0% Skew 10d 23.1% 18.4% 36.9% 28.0% 31.7% Call IV 25d 39.2% 34.3% 48.7% 48.7% 38.4% Put IV 25d 49.1% 43.4% 58.2% 58.2% 50.4% Bid-Ask Spread % 52.66 36.13 84.07 54.45 84.07 Gamma HHI 0.14 0.06 0.75 0.06 0.07 Net GEX 521.8K 219.5K 2.1M 303.3K 244.8K Net DEX -17.1M -31.0M -5.5M -6.5M -10.8M Net VEX -52.4K -59.2K -47.5K -54.1K -52.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.06 1.98 0.26 1.84 Total Volume 64,449.391 10,368 302,304 54,336 10,368 Total OI 1,030,902.261 789,600 1,265,760 961,920 885,216
Daily Data (23 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 2012-08-01 $0.53 $0.49 52.1% 14.9% 50.6% 12.9% 52.3% 9.4% 0.6% 303.3K -6.5M -54.1K 0.26 54.45 N/A N/A 43,296 11,040 579,936 381,984 2012-08-02 $0.52 $0.49 49.0% 14.0% 50.7% 10.0% 47.9% 10.0% 2.9% 304.0K -5.5M -53.3K 0.46 38.51 N/A N/A 44,832 20,544 578,784 385,728 2012-08-03 $0.55 $0.49 42.6% 12.2% 52.4% 4.0% 43.7% 6.6% 6.6% 428.4K -11.0M -54.3K 0.09 57.99 N/A N/A 276,384 25,920 601,248 392,736 2012-08-06 $0.56 $0.49 41.8% 13.2% 52.7% 3.2% 48.0% 10.6% 9.3% 884.0K -20.2M -59.2K 0.19 36.13 N/A N/A 72,384 14,016 786,432 398,016 2012-08-07 $0.58 $0.49 42.5% 13.6% 51.4% 3.9% 46.8% 10.3% 6.5% 850.3K -23.8M -57.5K 0.75 43.73 N/A N/A 70,176 52,416 803,808 399,936 2012-08-08 $0.58 $0.49 38.9% 13.2% 50.9% 0.5% 46.5% 10.2% 8.0% 860.0K -22.8M -58.7K 1.98 41.93 N/A N/A 13,440 26,592 805,248 433,536 2012-08-09 $0.58 $0.49 35.4% 12.8% 49.0% 0.0% 44.2% 9.6% 8.8% 843.0K -24.3M -56.9K 0.42 39.31 N/A N/A 19,008 8,064 802,080 445,344 2012-08-10 $0.58 $0.49 35.0% 12.6% 47.5% 0.0% 39.9% 8.7% 8.9% 798.6K -25.2M -53.3K 0.25 42.04 N/A N/A 19,488 4,800 802,176 445,248 2012-08-13 $0.59 $0.49 37.1% 12.6% 47.1% 2.0% 43.4% 10.0% 9.8% 754.4K -26.0M -50.4K 0.18 44.80 N/A N/A 35,136 6,240 797,280 445,824 2012-08-14 $0.59 $0.49 37.4% 12.1% 47.1% 2.3% 46.6% 10.8% 10.0% 702.4K -26.6M -49.1K 1.11 53.99 N/A N/A 18,048 19,968 788,832 442,464 2012-08-15 $0.59 $0.49 36.5% 12.0% 45.6% 1.4% 45.8% 9.4% 10.8% 462.3K -27.2M -49.0K 0.79 43.35 N/A N/A 14,112 11,136 788,448 448,704 2012-08-16 $0.61 $0.49 39.8% 11.4% 45.8% 4.6% 41.0% 8.5% 12.5% 322.7K -29.9M -48.0K 0.07 60.04 N/A N/A 101,280 7,488 774,240 450,432 2012-08-17 $0.62 $0.49 37.6% 10.8% 42.6% 2.5% 40.4% 9.1% 13.9% 2.1M -31.0M -48.1K 0.06 51.04 N/A N/A 245,760 14,112 811,200 454,560 2012-08-20 $0.62 $0.49 38.3% 11.0% 39.0% 3.1% 41.7% 9.9% 6.2% 241.3K -11.6M -47.5K 0.66 48.58 N/A N/A 33,216 21,792 461,376 328,224 2012-08-21 $0.62 $0.52 39.1% 11.2% 37.8% 3.9% 41.4% 9.6% 4.8% 256.7K -11.6M -49.4K 0.43 50.07 N/A N/A 32,544 14,016 476,736 335,904 2012-08-22 $0.62 $0.52 40.3% 11.5% 35.6% 5.0% 40.5% 8.5% 6.3% 257.0K -12.1M -51.1K 1.58 72.86 N/A N/A 14,688 23,232 482,976 341,952 2012-08-23 $0.61 $0.52 43.8% 12.6% 36.4% 8.3% 41.8% 11.1% 4.1% 224.3K -10.2M -51.3K 0.86 55.73 N/A N/A 13,440 11,616 479,808 346,752 2012-08-24 $0.62 $0.52 40.8% 11.7% 28.1% 5.4% 43.3% 9.6% 6.8% 242.6K -11.6M -50.2K 1.45 50.26 N/A N/A 16,320 23,616 486,816 348,576 2012-08-27 $0.62 $0.52 42.2% 12.1% 27.7% 6.8% 42.8% 10.8% 5.9% 241.4K -11.7M -51.7K 1.65 50.91 N/A N/A 9,984 16,512 491,232 366,336 2012-08-28 $0.62 $0.52 42.6% 12.2% 27.7% 7.2% 46.8% 9.9% 5.5% 229.2K -11.5M -52.8K 0.38 82.72 N/A N/A 9,024 3,456 494,784 379,776 2012-08-29 $0.62 $0.52 43.2% 12.4% 27.1% 7.7% 41.9% 10.8% 7.0% 230.2K -11.7M -53.6K 0.22 48.37 N/A N/A 16,320 3,552 497,568 380,160 2012-08-30 $0.61 $0.52 48.2% 13.8% 29.8% 12.4% 47.9% 13.2% 3.4% 219.5K -9.4M -54.4K 0.24 60.23 N/A N/A 10,464 2,496 500,928 381,408 2012-08-31 $0.62 $0.52 42.9% 12.3% 24.6% 7.5% 44.3% 12.0% 8.4% 244.8K -10.8M -52.3K 1.84 84.07 N/A N/A 3,648 6,720 502,752 382,464
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