TQQQ Options History — October 2012

In October 2012, TQQQ traded between $0.53 and $0.65. ATM implied volatility averaged 47.8%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 7.4% (HV 20d: 40.3%). Max pain ranged from $0.56 to $0.64. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2012-10-24: Highest Volume — 296,544 contracts
  • 2012-10-31: Largest IV spike — 15.5% change
  • 2012-10-25: Highest IV Rank — 38.8%
  • 2012-10-25: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.59$0.53$0.65$0.63$0.53
Max Pain$0.60$0.56$0.64$0.62$0.56
ATM IV47.8%38.7%58.5%45.3%57.4%
Expected Move13.9%11.4%16.8%13.0%16.5%
HV 20d40.3%33.8%47.6%41.4%43.0%
HV 60d39.6%37.8%41.5%40.5%37.8%
IV Rank20.2%5.5%38.8%9.7%37.1%
IV Percentile39.8%4.8%73.4%29.0%72.6%
Term Structure1.1%-4.5%3.9%1.6%-3.7%
VWIV47.9%40.2%57.3%45.1%54.2%
Skew 25d11.3%7.6%13.7%10.8%11.7%
Skew 10d22.7%14.5%26.6%20.9%24.3%
Call IV 25d43.6%37.1%51.0%40.3%51.0%
Put IV 25d54.9%44.7%64.1%51.1%62.6%
Bid-Ask Spread %34.6520.1862.6438.0140.43
Gamma HHI0.120.050.390.080.39
Net GEX201.0K-111.0K483.1K193.4K464.5K
Net DEX-1.4M-8.2M6.7M-4.1M-473.0K
Net VEX-53.6K-61.7K-44.5K-53.9K-54.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.091.560.730.12
Total Volume84,397.71426,784296,54451,840102,144
Total OI891,488718,3681,110,048718,3681,110,048

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$0.63$0.6245.3%13.0%41.4%9.7%45.1%10.8%1.6%193.4K-4.1M-53.9K0.7338.01N/AN/A29,95221,888387,744330,624
2012-10-02$0.63$0.6243.2%12.4%41.4%7.8%42.9%9.7%2.8%232.3K-5.2M-56.3K0.6135.56N/AN/A25,63215,744409,824340,704
2012-10-03$0.64$0.6241.2%11.8%41.8%7.4%41.4%8.1%3.1%297.3K-7.1M-57.1K0.3529.43N/AN/A19,8726,912417,888350,592
2012-10-04$0.65$0.6239.8%11.4%35.2%6.7%40.2%7.6%3.8%331.6K-8.2M-56.5K0.4531.29N/AN/A39,36017,856421,152356,736
2012-10-05$0.64$0.6438.7%12.6%35.7%5.5%42.6%11.3%3.9%335.0K-6.6M-57.6K0.1121.77N/AN/A43,7764,608444,672370,272
2012-10-08$0.62$0.6443.8%13.2%34.4%13.1%46.8%10.9%2.0%197.2K-3.7M-54.8K1.0622.53N/AN/A29,76031,680434,496372,576
2012-10-09$0.59$0.6448.4%14.6%39.2%22.2%48.9%12.4%0.5%31.4K1.1M-52.8K0.6929.66N/AN/A72,09650,016442,848393,024
2012-10-10$0.58$0.6147.8%14.3%39.1%21.2%49.5%11.7%1.0%44.4K1.7M-53.8K0.6020.18N/AN/A44,83226,784485,568404,640
2012-10-11$0.58$0.6148.2%13.8%35.7%21.9%47.5%11.3%2.2%39.0K2.1M-53.8K0.2026.50N/AN/A40,8007,968506,112421,056
2012-10-12$0.58$0.6047.6%13.7%33.8%20.9%46.1%10.8%2.5%86.3K2.0M-53.4K0.2239.16N/AN/A24,4805,472530,976424,032
2012-10-15$0.59$0.5946.5%13.3%35.0%19.0%47.1%10.8%2.3%124.0K323.7K-52.3K1.3828.60N/AN/A25,05634,560527,040424,800
2012-10-16$0.62$0.5944.5%12.8%39.1%15.8%44.4%10.8%2.0%264.9K-5.1M-53.0K0.1424.08N/AN/A105,02414,784539,520410,784
2012-10-17$0.62$0.5944.8%12.8%38.8%16.3%43.8%10.8%1.1%284.1K-4.3M-53.8K0.4622.91N/AN/A34,94416,032547,968418,464
2012-10-18$0.59$0.5946.4%13.3%40.2%18.9%44.4%11.1%1.4%218.8K689.2K-50.9K0.5038.77N/AN/A86,78443,104547,200419,712
2012-10-19$0.55$0.5950.2%14.4%46.9%25.1%49.2%13.1%2.6%-111.0K6.7M-44.5K0.7233.99N/AN/A129,79293,408578,976416,832
2012-10-22$0.56$0.5850.1%14.4%47.6%24.9%49.9%11.7%0.9%116.8K1.0M-49.6K0.9925.96N/AN/A28,12827,840434,112331,776
2012-10-23$0.54$0.5853.2%15.3%46.8%30.1%55.6%13.5%0.5%72.3K2.8M-47.7K0.8851.80N/AN/A28,80025,440444,192344,736
2012-10-24$0.54$0.5858.0%16.6%46.3%38.0%53.4%13.4%-3.4%66.0K3.1M-46.8K0.0962.64N/AN/A271,77624,768458,208349,920
2012-10-25$0.54$0.5658.5%16.8%42.7%38.8%57.3%13.7%-4.5%449.4K-2.2M-60.1K1.5645.92N/AN/A27,64843,008718,272357,024
2012-10-26$0.54$0.5649.7%14.3%42.9%24.3%54.7%12.7%0.8%483.1K-2.9M-61.7K0.5158.37N/AN/A32,92816,896723,648372,480
2012-10-31$0.53$0.5657.4%16.5%43.0%37.1%54.2%11.7%-3.7%464.5K-473.0K-54.7K0.1240.43N/AN/A91,48810,656736,224373,824