TQQQ Options History — January 2013

In January 2013, TQQQ traded between $0.57 and $0.60. ATM implied volatility averaged 38.8%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 8.9% (HV 20d: 47.7%). Max pain ranged from $0.50 to $0.55. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2013-01-02: Highest Volume — 582,912 contracts
  • 2013-01-10: Largest IV spike — 24.7% change
  • 2013-01-15: Highest IV Rank — 21.6%
  • 2013-01-04: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.58$0.57$0.60$0.59$0.58
Max Pain$0.54$0.50$0.55$0.50$0.55
ATM IV38.8%34.8%44.0%42.0%38.1%
Expected Move11.6%10.1%13.1%12.0%10.9%
HV 20d47.7%22.5%54.9%54.6%22.5%
HV 60d47.4%44.0%50.4%50.4%44.0%
IV Rank9.5%0.0%21.6%16.5%7.9%
IV Percentile9.4%0.0%31.0%13.9%7.9%
Term Structure3.4%2.1%6.4%4.0%2.7%
VWIV41.5%35.1%48.6%42.9%38.4%
Skew 25d8.0%5.7%10.2%7.2%6.7%
Skew 10d16.7%12.8%23.4%23.4%12.8%
Call IV 25d37.2%32.7%41.5%37.0%35.2%
Put IV 25d45.1%39.4%51.1%44.2%41.8%
Bid-Ask Spread %24.079.5546.3746.3742.96
Gamma HHI0.150.070.480.110.17
Net GEX644.7K336.5K1.4M614.8K909.4K
Net DEX-16.5M-26.3M-6.3M-23.0M-14.4M
Net VEX-66.8K-82.1K-55.1K-55.1K-82.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.102.340.341.38
Total Volume172,557.71451,072582,912582,91298,976
Total OI1,344,621.714958,4641,634,5921,110,4321,446,048

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$0.59$0.5042.0%12.0%54.6%16.5%42.9%7.2%4.0%614.8K-23.0M-55.1K0.3446.37N/AN/A435,264147,648685,440424,992
2013-01-03$0.58$0.5140.0%11.5%54.9%11.8%42.6%5.7%6.4%592.0K-17.4M-59.8K1.3324.06N/AN/A95,712127,200693,792474,720
2013-01-04$0.58$0.5337.2%13.1%53.6%5.3%44.0%9.6%2.3%588.3K-16.3M-62.1K1.449.55N/AN/A38,97656,256727,872526,080
2013-01-07$0.58$0.5536.8%13.1%53.4%4.4%46.2%9.6%2.4%618.2K-16.1M-61.6K1.2412.52N/AN/A44,44854,912743,904562,944
2013-01-08$0.57$0.5335.7%12.8%52.9%1.8%41.5%9.6%3.2%603.2K-14.9M-64.0K0.7419.85N/AN/A75,07255,488754,752599,616
2013-01-09$0.58$0.5334.8%12.6%53.0%0.0%43.5%10.0%3.5%632.6K-17.2M-62.6K0.9013.86N/AN/A45,02440,416771,168613,056
2013-01-10$0.59$0.5543.3%12.4%51.7%20.1%45.1%8.9%3.1%701.3K-20.4M-61.5K0.9113.39N/AN/A142,656129,408780,288623,904
2013-01-11$0.59$0.5442.5%12.2%51.6%18.3%45.0%8.8%3.4%672.2K-24.3M-67.0K2.3415.76N/AN/A24,86458,080854,784670,464
2013-01-14$0.58$0.5443.7%12.5%51.0%21.1%46.5%10.2%2.8%502.6K-21.6M-64.5K1.4016.02N/AN/A37,05651,936863,520695,328
2013-01-15$0.57$0.5444.0%12.6%50.1%21.6%46.2%9.3%3.3%409.1K-18.6M-64.0K0.5919.19N/AN/A110,78465,088865,440712,704
2013-01-16$0.58$0.5441.5%11.9%48.6%15.8%48.6%8.3%4.3%607.1K-22.7M-64.3K0.4317.16N/AN/A85,53636,768903,840730,752
2013-01-17$0.59$0.5139.3%11.3%46.3%10.6%41.9%7.7%3.0%733.3K-26.3M-62.0K0.3719.52N/AN/A286,272105,408896,928709,344
2013-01-18$0.59$0.5237.9%10.9%46.0%7.5%37.1%7.4%4.4%1.4M-16.9M-65.0K0.3221.47N/AN/A94,36829,856777,504736,320
2013-01-22$0.59$0.5237.3%10.7%46.0%5.9%39.3%7.7%3.9%348.4K-8.4M-61.9K0.7928.16N/AN/A67,39253,472535,584422,880
2013-01-23$0.60$0.5338.5%11.0%44.3%8.8%39.6%7.0%2.9%448.9K-12.0M-66.8K0.7522.44N/AN/A89,28067,104588,384455,232
2013-01-24$0.57$0.5436.4%10.4%47.0%3.9%35.1%7.1%3.7%336.5K-6.3M-68.6K0.4330.16N/AN/A176,64076,320620,064486,432
2013-01-25$0.58$0.5535.1%10.1%46.0%0.8%35.7%6.7%4.3%404.0K-8.2M-73.6K0.4930.95N/AN/A69,02433,600658,368529,728
2013-01-28$0.59$0.5537.5%10.8%45.8%6.5%38.6%6.8%2.5%460.9K-9.5M-72.8K0.1445.19N/AN/A246,33634,848680,928543,648
2013-01-29$0.59$0.5536.8%10.5%44.0%4.7%36.7%6.5%2.1%971.4K-16.5M-81.4K0.1022.14N/AN/A77,3767,776874,368552,480
2013-01-30$0.58$0.5537.3%10.7%38.9%5.9%37.4%6.5%2.8%945.1K-15.9M-82.1K0.8434.73N/AN/A27,74423,328890,496552,960
2013-01-31$0.58$0.5538.1%10.9%22.5%7.9%38.4%6.7%2.7%909.4K-14.4M-82.1K1.3842.96N/AN/A41,56857,408891,936554,112