TQQQ Options History — February 2013

In February 2013, TQQQ traded between $0.56 and $0.61. ATM implied volatility averaged 39.7%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 2.9% (HV 20d: 36.7%). Max pain ranged from $0.54 to $0.58. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.02.

Notable Days

  • 2013-02-14: Highest Volume — 707,040 contracts
  • 2013-02-25: Largest IV spike — 33.3% change
  • 2013-02-25: Highest IV Rank — 45.5%
  • 2013-02-25: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.59$0.56$0.61$0.60$0.58
Max Pain$0.56$0.54$0.58$0.56$0.58
ATM IV39.7%33.5%53.4%33.5%42.7%
Expected Move11.6%9.7%15.3%11.1%12.2%
HV 20d36.7%24.7%43.2%24.7%43.2%
HV 60d41.9%39.4%45.5%44.2%41.6%
IV Rank14.1%0.0%45.5%0.0%21.1%
IV Percentile18.2%0.0%74.2%0.0%31.0%
Term Structure3.2%-3.5%7.6%5.8%-0.3%
VWIV41.1%34.9%48.8%42.5%43.0%
Skew 25d9.7%8.1%14.0%8.1%10.7%
Skew 10d20.9%16.9%30.3%22.0%19.3%
Call IV 25d36.1%30.4%47.3%34.7%37.6%
Put IV 25d45.8%38.8%61.4%42.9%48.3%
Bid-Ask Spread %26.8013.3040.7440.7438.83
Gamma HHI0.260.140.390.140.32
Net GEX1.1M589.1K1.5M1.1M742.1K
Net DEX-20.7M-33.2M-5.7M-22.3M-12.4M
Net VEX-81.5K-92.8K-66.6K-80.7K-92.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.045.230.770.87
Total Volume193,813.89561,152707,040276,672101,376
Total OI1,565,517.4741,208,0641,836,6721,464,5761,635,072

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$0.60$0.5633.5%11.1%24.7%0.0%42.5%8.1%5.8%1.1M-22.3M-80.7K0.7740.74N/AN/A156,288120,384905,856558,720
2013-02-04$0.57$0.5640.7%12.2%31.1%16.6%42.8%9.5%2.7%1.1M-11.8M-82.2K0.4013.30N/AN/A119,90447,9041,005,216584,832
2013-02-05$0.59$0.5636.0%11.3%34.7%5.8%40.7%8.2%4.4%1.5M-25.4M-83.0K0.3623.92N/AN/A109,15239,6481,053,792581,760
2013-02-06$0.59$0.5637.0%11.6%34.8%8.0%39.9%8.8%4.0%1.5M-21.5M-81.4K0.9119.68N/AN/A61,15255,7761,029,888588,672
2013-02-07$0.59$0.5639.2%11.2%34.7%13.0%39.9%8.4%6.0%1.5M-23.1M-80.2K0.6336.52N/AN/A58,94437,0561,045,344591,936
2013-02-08$0.61$0.5638.5%11.0%35.7%11.5%43.1%8.9%5.0%1.5M-32.1M-79.0K1.3236.28N/AN/A124,032163,3921,049,568604,032
2013-02-11$0.61$0.5538.1%10.9%35.7%10.5%34.9%8.6%5.7%1.4M-31.2M-74.2K0.8737.85N/AN/A40,99235,8081,049,280630,336
2013-02-12$0.60$0.5537.7%10.8%35.7%9.7%40.0%9.0%5.0%1.5M-27.3M-72.2K1.7530.35N/AN/A22,27238,8801,032,096635,040
2013-02-13$0.61$0.5537.3%10.7%35.3%8.7%37.7%8.6%5.7%1.4M-32.6M-67.0K1.4524.72N/AN/A70,464101,9521,035,360636,480
2013-02-14$0.61$0.5436.8%10.6%35.2%7.6%38.0%9.2%6.6%1.2M-32.6M-66.6K0.0426.53N/AN/A681,40825,6321,035,168621,024
2013-02-15$0.60$0.5534.7%9.9%35.0%2.7%36.8%8.9%7.6%1.5M-33.2M-82.7K1.0617.77N/AN/A89,37694,7521,219,008617,664
2013-02-19$0.61$0.5533.8%9.7%35.7%0.9%35.2%8.4%4.1%1.0M-22.9M-79.2K0.7619.34N/AN/A82,75262,688795,072412,992
2013-02-20$0.59$0.5540.2%11.5%39.7%15.3%40.5%9.9%-0.4%917.9K-14.6M-84.9K0.9926.52N/AN/A63,93663,168841,728449,664
2013-02-21$0.57$0.5644.1%12.6%40.8%24.2%43.1%11.4%0.6%727.4K-8.1M-83.6K0.4218.11N/AN/A165,69668,832868,896486,048
2013-02-22$0.58$0.5640.1%11.5%39.7%15.1%43.3%10.7%2.8%947.2K-15.1M-90.3K0.2924.77N/AN/A65,95219,200947,136505,824
2013-02-25$0.56$0.5653.4%15.3%41.6%45.5%48.8%14.0%-3.5%719.5K-8.9M-85.8K5.2314.09N/AN/A79,392414,912956,832509,856
2013-02-26$0.57$0.5846.9%13.5%41.8%30.7%47.5%12.5%-0.8%589.1K-5.7M-90.8K0.6422.95N/AN/A57,21636,672970,176637,440
2013-02-27$0.59$0.5842.8%12.3%43.2%21.4%42.4%10.0%-0.0%733.5K-13.0M-92.5K0.5536.93N/AN/A68,06437,440974,688642,336
2013-02-28$0.58$0.5842.7%12.2%43.2%21.1%43.0%10.7%-0.3%742.1K-12.4M-92.8K0.8738.83N/AN/A54,33647,040982,464652,608