TQQQ Options History — September 2012

In September 2012, TQQQ traded between $0.61 and $0.68. ATM implied volatility averaged 41.5%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 6.3% (HV 20d: 35.2%). Max pain ranged from $0.52 to $0.64. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.73.

Notable Days

  • 2012-09-13: Highest Volume — 345,888 contracts
  • 2012-09-10: Largest IV spike — 17.0% change
  • 2012-09-04: Highest IV Rank — 10.4%
  • 2012-09-11: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.65$0.61$0.68$0.62$0.63
Max Pain$0.61$0.52$0.64$0.52$0.62
ATM IV41.5%36.0%46.0%46.0%42.4%
Expected Move12.1%10.3%13.5%13.2%12.2%
HV 20d35.2%23.0%42.6%24.0%42.0%
HV 60d45.7%40.0%49.4%48.8%41.4%
IV Rank6.1%1.0%10.4%10.4%7.0%
IV Percentile12.1%0.8%26.2%26.2%15.1%
Term Structure5.7%2.6%9.6%6.3%2.6%
VWIV42.7%36.9%48.4%47.0%42.1%
Skew 25d10.6%8.1%17.5%10.3%9.3%
Skew 10d22.0%16.0%33.9%30.0%19.5%
Call IV 25d37.5%28.0%41.9%41.9%38.6%
Put IV 25d48.0%40.8%54.1%52.2%47.8%
Bid-Ask Spread %34.4921.0391.2463.2036.96
Gamma HHI0.170.040.860.070.08
Net GEX524.5K64.2K3.1M244.0K187.4K
Net DEX-15.8M-32.4M-2.4M-10.5M-4.3M
Net VEX-51.9K-57.6K-47.6K-50.3K-55.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.042.162.160.31
Total Volume84,813.47422,080345,88862,40037,824
Total OI974,834.526562,1761,305,600890,496708,192

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$0.62$0.5246.0%13.2%24.0%10.4%47.0%10.3%6.3%244.0K-10.5M-50.3K2.1663.20N/AN/A19,77642,624504,864385,632
2012-09-05$0.61$0.5245.0%12.9%23.0%9.4%45.9%12.2%5.1%219.5K-10.2M-53.2K1.2056.10N/AN/A12,96015,552509,664417,312
2012-09-06$0.65$0.5239.8%11.4%31.5%4.6%41.6%17.5%6.4%257.3K-15.5M-49.0K1.5691.24N/AN/A33,60052,512509,568416,640
2012-09-07$0.65$0.6136.8%12.4%31.7%1.7%42.5%11.6%8.5%230.8K-14.3M-50.7K0.5826.16N/AN/A54,81631,584502,272457,440
2012-09-10$0.63$0.6143.1%13.1%35.2%7.6%44.6%11.9%5.6%203.7K-11.5M-51.3K1.2632.26N/AN/A28,41635,712527,712463,776
2012-09-11$0.62$0.6145.4%13.5%35.3%9.8%46.9%13.1%4.5%188.3K-10.8M-54.1K0.8721.03N/AN/A32,35228,032531,072479,328
2012-09-12$0.63$0.6143.8%13.3%35.3%8.3%45.5%14.8%3.8%188.8K-11.5M-53.3K0.2725.52N/AN/A58,75215,840537,216490,464
2012-09-13$0.65$0.6142.5%12.2%37.5%7.1%43.8%10.8%5.6%359.6K-17.6M-53.5K0.0929.66N/AN/A316,22429,664581,376493,248
2012-09-14$0.67$0.6242.8%12.3%36.6%7.4%41.9%8.6%4.4%907.4K-31.6M-57.6K0.8532.88N/AN/A72,48061,536794,496506,592
2012-09-17$0.67$0.6241.9%12.0%36.5%6.5%48.4%9.0%5.9%932.0K-32.4M-53.9K0.1333.47N/AN/A115,39215,456797,088508,512
2012-09-18$0.67$0.6239.8%11.4%36.5%4.6%40.1%8.6%7.6%819.3K-29.6M-52.3K0.0424.61N/AN/A122,6884,608747,360516,864
2012-09-19$0.68$0.6239.1%11.2%36.0%3.9%43.1%8.1%7.4%774.6K-30.9M-51.1K0.1225.61N/AN/A19,6802,400749,664518,592
2012-09-20$0.68$0.6237.6%10.8%36.1%2.4%37.7%8.1%8.3%887.9K-30.7M-49.9K2.1026.05N/AN/A22,75247,808750,912519,456
2012-09-21$0.68$0.6236.0%10.3%34.7%1.0%36.9%8.2%9.6%3.1M-20.2M-49.5K0.2324.68N/AN/A40,0329,216609,792540,672
2012-09-24$0.66$0.6238.1%10.9%35.4%3.0%39.3%9.2%5.1%88.8K-6.2M-47.6K0.3129.28N/AN/A29,2809,024273,792288,384
2012-09-25$0.64$0.6242.4%12.2%38.7%7.0%41.0%9.3%4.1%85.5K-4.2M-48.9K0.9023.98N/AN/A31,39228,224295,200292,320
2012-09-26$0.62$0.6444.4%12.7%39.9%8.9%42.2%11.1%3.2%64.2K-2.4M-50.2K0.1727.30N/AN/A69,98412,192312,672304,704
2012-09-27$0.65$0.6241.0%11.8%42.6%5.7%41.1%9.1%3.7%238.0K-6.3M-54.5K0.7425.36N/AN/A29,28021,792364,608314,400
2012-09-28$0.63$0.6242.4%12.2%42.0%7.0%42.1%9.3%2.6%187.4K-4.3M-55.0K0.3136.96N/AN/A28,8009,024376,800331,392