TQQQ Options History — December 2012

In December 2012, TQQQ traded between $0.51 and $0.57. ATM implied volatility averaged 51.6%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 10.7% (HV 20d: 40.9%). Max pain ranged from $0.52 to $0.52. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2012-12-21: Highest Volume — 497,280 contracts
  • 2012-12-13: Largest IV spike — 17.7% change
  • 2012-12-28: Highest IV Rank — 64.0%
  • 2012-12-28: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.54$0.51$0.57$0.55$0.54
Max Pain$0.52$0.52$0.52$0.52$0.52
ATM IV51.6%45.6%62.1%47.0%55.1%
Expected Move15.1%13.5%17.8%13.5%15.8%
HV 20d40.9%36.8%50.3%49.9%44.3%
HV 60d45.0%43.8%47.0%46.2%47.0%
IV Rank37.7%21.2%64.0%24.2%47.6%
IV Percentile62.2%36.5%93.3%43.7%76.6%
Term Structure1.5%-1.6%4.0%1.3%-0.4%
VWIV53.4%47.0%63.2%47.0%58.8%
Skew 25d10.5%8.3%13.9%10.0%11.5%
Skew 10d22.0%15.2%36.2%16.8%23.1%
Call IV 25d47.9%42.6%55.8%42.6%50.6%
Put IV 25d58.4%52.7%69.7%52.7%62.0%
Bid-Ask Spread %28.8312.2251.2642.7421.20
Gamma HHI0.170.080.270.180.10
Net GEX529.1K-174.7K1.1M496.5K348.1K
Net DEX-10.4M-28.9M-851.6K-10.7M-5.9M
Net VEX-53.6K-58.4K-45.7K-56.8K-52.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.201.680.570.45
Total Volume166,713.651,840497,28068,352297,792
Total OI1,353,475.2728,5441,785,6961,245,024918,240

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$0.55$0.5247.0%13.5%49.9%24.2%47.0%10.0%1.3%496.5K-10.7M-56.8K0.5742.74N/AN/A43,58424,768806,400438,624
2012-12-04$0.54$0.5247.6%13.6%49.2%25.3%47.8%9.7%3.0%499.3K-9.9M-58.4K0.3524.35N/AN/A55,48819,584825,408459,936
2012-12-05$0.53$0.5248.8%14.0%50.3%27.7%49.5%9.9%3.3%498.3K-5.1M-56.3K0.2051.26N/AN/A146,49629,664838,944468,864
2012-12-06$0.54$0.5247.9%13.7%42.9%26.0%49.8%8.5%4.0%492.2K-7.5M-57.5K0.3634.08N/AN/A120,67243,776835,584482,016
2012-12-07$0.53$0.5247.3%14.6%39.4%24.7%51.4%9.9%1.0%666.5K-7.1M-58.4K1.6819.41N/AN/A24,76841,664921,984498,432
2012-12-10$0.53$0.5248.3%15.2%39.4%26.7%53.9%9.8%2.2%724.2K-8.2M-55.8K0.3327.79N/AN/A39,16812,960937,632511,584
2012-12-11$0.55$0.5245.6%14.6%41.2%21.2%51.0%9.4%2.0%736.8K-16.8M-56.6K0.4134.55N/AN/A68,06428,032957,408517,056
2012-12-12$0.55$0.5246.0%14.5%40.2%25.9%50.3%9.8%2.0%744.6K-15.9M-56.2K0.7442.24N/AN/A81,88860,960973,440528,384
2012-12-13$0.54$0.5254.1%15.5%38.5%45.1%54.0%10.6%0.6%729.3K-9.9M-56.5K0.4520.30N/AN/A88,60839,456993,888566,208
2012-12-14$0.52$0.5255.1%15.8%40.2%47.4%54.7%9.6%0.7%782.0K-3.5M-54.3K0.2517.78N/AN/A246,33661,6321,023,840576,864
2012-12-17$0.54$0.5253.8%15.4%41.8%44.3%54.8%8.7%2.0%1.1M-17.0M-58.3K0.2926.39N/AN/A128,54437,4401,163,136604,992
2012-12-18$0.57$0.5253.1%15.2%37.7%42.7%52.3%8.3%1.5%821.5K-28.9M-52.4K0.7133.86N/AN/A152,448108,7681,133,184615,072
2012-12-19$0.56$0.5250.4%14.5%38.3%36.5%52.7%8.6%1.6%745.0K-22.8M-53.2K1.2331.86N/AN/A95,328117,6961,108,416660,000
2012-12-20$0.56$0.5251.9%14.9%38.3%39.9%56.3%10.1%0.5%479.0K-19.8M-51.7K0.2927.68N/AN/A198,33658,4641,066,464690,048
2012-12-21$0.54$0.5253.7%15.4%37.4%44.2%55.2%13.0%2.0%-174.7K-10.5M-45.7K0.4635.16N/AN/A341,280156,0001,083,072702,624
2012-12-24$0.54$0.5252.6%15.1%37.3%41.7%54.7%12.9%0.7%232.1K-3.9M-47.6K0.4012.22N/AN/A53,95221,696432,384296,160
2012-12-26$0.52$0.5255.7%16.0%38.1%48.9%56.2%13.5%0.6%215.5K-2.5M-47.5K0.9124.63N/AN/A27,07224,768455,040313,728
2012-12-27$0.52$0.5256.4%16.2%36.8%50.6%54.8%12.2%3.5%206.5K-2.0M-48.3K0.2520.04N/AN/A105,40826,784467,136331,488
2012-12-28$0.51$0.5262.1%17.8%37.3%64.0%63.2%13.9%-1.6%199.3K-851.6K-49.3K1.0629.14N/AN/A50,88054,048514,560351,264
2012-12-31$0.54$0.5255.1%15.8%44.3%47.6%58.8%11.5%-0.4%348.1K-5.9M-52.2K0.4521.20N/AN/A205,53692,256539,136379,104