TQQQ Options History — November 2012

In November 2012, TQQQ traded between $0.46 and $0.56. ATM implied volatility averaged 51.0%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 0.5% (HV 20d: 51.5%). Max pain ranged from $0.52 to $0.56. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2012-11-08: Highest Volume — 314,112 contracts
  • 2012-11-19: Largest IV drop — 11.8% change
  • 2012-11-12: Highest IV Rank — 42.3%
  • 2012-11-08: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.51$0.46$0.56$0.56$0.55
Max Pain$0.54$0.52$0.56$0.56$0.52
ATM IV51.0%42.6%60.6%49.5%44.3%
Expected Move14.2%12.2%16.0%14.2%12.7%
HV 20d51.5%46.3%56.9%46.3%51.7%
HV 60d43.4%38.5%46.3%38.5%46.2%
IV Rank27.9%15.3%42.3%23.9%18.7%
IV Percentile52.4%18.7%81.3%49.2%29.8%
Term Structure3.0%-4.2%5.5%-0.6%4.2%
VWIV49.5%43.2%55.4%50.1%47.4%
Skew 25d10.5%8.3%13.7%9.1%8.4%
Skew 10d19.8%11.8%26.5%19.8%17.8%
Call IV 25d44.8%39.3%50.6%46.5%41.2%
Put IV 25d55.3%47.6%62.9%55.6%49.7%
Bid-Ask Spread %31.1414.2583.5683.5624.39
Gamma HHI0.220.100.480.370.18
Net GEX364.9K-27.3K931.2K728.6K481.7K
Net DEX-156.9K-12.3M10.6M-7.1M-11.6M
Net VEX-47.2K-63.0K-31.6K-63.0K-59.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.050.960.180.57
Total Volume109,065.14332,352314,112112,89668,640
Total OI1,211,606.857966,2401,400,2561,180,6081,238,400

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$0.56$0.5649.5%14.2%46.3%23.9%50.1%9.1%-0.6%728.6K-7.1M-63.0K0.1883.56N/AN/A95,32817,568804,288376,320
2012-11-02$0.54$0.5654.8%15.7%46.5%32.8%50.4%11.7%-4.2%731.1K-3.9M-60.5K0.2937.12N/AN/A27,3607,872865,536374,880
2012-11-05$0.55$0.5653.8%14.5%47.5%31.1%49.9%12.7%3.2%841.6K-6.5M-60.6K0.2321.83N/AN/A45,69610,464878,496379,008
2012-11-06$0.55$0.5653.4%14.4%47.7%30.4%54.1%12.2%4.1%931.2K-7.9M-61.4K0.7214.25N/AN/A46,75233,792895,104380,832
2012-11-07$0.51$0.5656.8%15.3%52.9%36.0%53.6%13.7%3.7%489.6K3.3M-48.0K0.2032.43N/AN/A95,61618,720905,184401,856
2012-11-08$0.49$0.5559.0%16.0%52.4%39.6%53.1%13.2%4.3%143.6K7.9M-38.1K0.0521.52N/AN/A299,61614,496906,624409,728
2012-11-09$0.49$0.5559.2%15.7%52.9%40.1%55.4%12.7%4.0%184.2K7.0M-40.8K0.9626.42N/AN/A52,22450,304892,704418,176
2012-11-12$0.49$0.5460.6%15.2%53.0%42.3%51.5%11.0%5.0%61.8K7.9M-38.7K0.2522.97N/AN/A25,8246,528915,744443,136
2012-11-13$0.48$0.5455.6%14.8%53.2%37.2%51.7%10.6%5.5%-12.0K9.3M-35.0K0.2228.57N/AN/A49,53611,136919,872444,864
2012-11-14$0.47$0.5358.1%15.9%52.9%41.8%52.3%10.4%2.9%-27.3K10.6M-32.7K0.3920.33N/AN/A75,93629,664952,512447,744
2012-11-15$0.46$0.5354.8%15.7%48.8%35.8%54.3%11.2%5.2%-17.4K10.4M-31.6K0.3743.59N/AN/A122,59245,600871,008438,144
2012-11-16$0.47$0.5351.3%14.7%49.5%29.4%50.2%10.3%5.2%365.5K10.0M-33.1K0.1739.00N/AN/A167,90428,800919,008444,768
2012-11-19$0.50$0.5245.3%13.0%56.9%18.6%45.1%10.2%2.6%246.2K1.4M-41.4K0.2656.75N/AN/A114,14429,952610,944355,296
2012-11-20$0.50$0.5246.2%13.2%51.3%20.2%47.1%9.9%3.0%281.3K301.4K-44.0K0.2027.01N/AN/A67,58413,248651,840363,648
2012-11-21$0.50$0.5246.5%13.3%50.9%20.7%45.6%9.8%2.4%282.0K235.4K-45.4K0.3618.48N/AN/A40,03214,592656,544374,880
2012-11-23$0.53$0.5244.3%12.7%53.0%16.9%45.3%9.0%1.8%344.2K-4.2M-49.7K0.3222.40N/AN/A58,08018,336675,744380,352
2012-11-26$0.53$0.5244.2%12.7%53.1%16.6%44.9%8.8%2.9%357.7K-5.4M-49.3K0.2445.31N/AN/A49,44011,904677,664388,128
2012-11-27$0.53$0.5245.8%13.1%53.2%19.6%45.8%8.4%1.3%372.5K-4.9M-49.7K0.4619.75N/AN/A40,60818,624695,232390,816
2012-11-28$0.54$0.5245.3%13.0%54.0%18.6%47.3%9.6%2.9%382.5K-7.9M-52.0K0.1224.29N/AN/A197,47222,848706,080399,936
2012-11-29$0.55$0.5242.6%12.2%53.8%15.3%43.2%8.3%3.6%493.3K-12.3M-56.8K0.4424.08N/AN/A101,18444,352777,696415,008
2012-11-30$0.55$0.5244.3%12.7%51.7%18.7%47.4%8.4%4.2%481.7K-11.6M-59.2K0.5724.39N/AN/A43,58425,056798,624439,776