TQQQ Options History — March 2013

In March 2013, TQQQ traded between $0.59 and $0.63. ATM implied volatility averaged 34.7%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 0.3% (HV 20d: 34.3%). Max pain ranged from $0.52 to $0.58. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2013-03-12: Highest Volume — 434,592 contracts
  • 2013-03-18: Largest IV spike — 12.2% change
  • 2013-03-21: Highest IV Rank — 15.8%
  • 2013-03-04: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.62$0.59$0.63$0.59$0.63
Max Pain$0.56$0.52$0.58$0.58$0.57
ATM IV34.7%30.9%38.5%38.5%33.4%
Expected Move10.4%9.4%11.8%11.0%9.6%
HV 20d34.3%25.6%43.3%43.3%25.6%
HV 60d40.0%36.2%42.0%41.7%36.2%
IV Rank6.8%0.0%15.8%11.4%5.3%
IV Percentile5.5%0.0%17.1%13.1%2.4%
Term Structure4.4%2.4%7.8%2.6%4.5%
VWIV37.8%33.8%45.8%40.3%33.8%
Skew 25d9.2%7.9%12.2%11.4%8.7%
Skew 10d18.6%15.5%23.8%23.8%15.5%
Call IV 25d32.5%29.7%34.9%34.1%29.7%
Put IV 25d41.7%38.0%47.0%45.6%38.4%
Bid-Ask Spread %21.859.8659.1959.1929.87
Gamma HHI0.210.080.520.330.14
Net GEX748.6K253.6K1.2M827.7K679.0K
Net DEX-22.1M-39.0M-9.0M-14.0M-16.9M
Net VEX-74.2K-90.2K-64.2K-90.2K-73.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.172.240.920.49
Total Volume134,95245,120434,59298,97654,624
Total OI1,374,681.6789,2161,822,7521,649,0881,057,056

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$0.59$0.5838.5%11.0%43.3%11.4%40.3%11.4%2.6%827.7K-14.0M-90.2K0.9259.19N/AN/A51,55247,424987,936661,152
2013-03-04$0.60$0.5738.5%11.8%41.9%11.5%45.8%12.2%4.9%942.9K-18.0M-85.4K0.3320.49N/AN/A54,62418,048988,992670,944
2013-03-05$0.62$0.5634.0%11.1%39.8%1.1%38.4%10.6%5.0%973.4K-33.0M-78.2K0.6815.58N/AN/A176,160120,0001,002,624673,728
2013-03-06$0.62$0.5734.0%11.0%37.3%1.3%40.6%10.4%4.2%1.2M-34.2M-85.0K1.5213.21N/AN/A33,88851,3601,095,456708,576
2013-03-07$0.63$0.5832.9%10.9%37.1%0.0%38.5%9.6%3.6%1.2M-37.3M-82.2K2.2412.33N/AN/A17,76039,8401,106,208716,544
2013-03-08$0.63$0.5830.9%10.6%37.1%0.0%38.4%9.0%4.7%1.2M-39.0M-78.4K0.179.86N/AN/A277,44046,0801,107,648714,048
2013-03-11$0.63$0.5831.2%10.2%35.8%0.7%35.5%9.3%4.5%857.8K-36.8M-65.0K0.9718.87N/AN/A61,82460,096973,056722,112
2013-03-12$0.62$0.5732.4%10.3%36.2%3.2%40.0%8.8%4.9%785.8K-31.6M-66.6K0.2015.26N/AN/A362,49672,096959,520740,544
2013-03-13$0.62$0.5432.0%10.3%35.9%2.5%42.2%9.0%5.3%634.8K-29.7M-70.1K0.4917.26N/AN/A58,94428,704953,568770,592
2013-03-14$0.63$0.5234.1%9.8%35.9%6.9%34.0%7.9%6.2%677.1K-29.5M-65.7K0.6716.19N/AN/A63,16842,240894,144744,576
2013-03-15$0.62$0.5332.9%9.4%36.1%4.3%34.5%8.0%7.8%1.1M-24.2M-64.2K0.4118.37N/AN/A106,36843,200871,392749,376
2013-03-18$0.62$0.5336.9%10.6%36.0%12.9%37.5%8.3%3.7%253.6K-9.0M-65.2K0.4520.27N/AN/A67,58430,240458,976330,240
2013-03-19$0.62$0.5437.4%10.7%35.2%14.0%37.8%9.3%2.8%271.9K-9.1M-67.4K0.9920.71N/AN/A40,03239,744481,920350,976
2013-03-20$0.63$0.5435.1%10.1%31.1%9.1%34.6%8.9%3.4%331.0K-11.4M-67.6K0.3023.30N/AN/A157,24847,808497,952354,336
2013-03-21$0.61$0.5738.2%11.0%31.0%15.8%37.4%9.6%2.4%476.6K-9.8M-78.4K0.9715.85N/AN/A60,67258,656632,448393,888
2013-03-22$0.62$0.5736.1%10.3%30.9%11.2%36.9%9.1%3.5%578.3K-13.9M-77.2K0.3819.56N/AN/A46,56017,568629,664381,696
2013-03-25$0.62$0.5736.8%10.5%27.3%12.7%37.2%7.9%3.8%601.3K-12.7M-75.6K0.6728.09N/AN/A68,16045,600639,744383,712
2013-03-26$0.63$0.5634.2%9.8%27.4%7.0%36.6%8.3%5.6%675.8K-15.5M-75.9K0.7730.23N/AN/A25,53619,584653,856392,256
2013-03-27$0.63$0.5633.7%9.7%25.8%6.0%35.5%8.0%4.6%673.4K-16.1M-72.7K0.3932.52N/AN/A61,82424,288648,672393,504
2013-03-28$0.63$0.5733.4%9.6%25.6%5.3%33.8%8.7%4.5%679.0K-16.9M-73.9K0.4929.87N/AN/A36,67217,952648,480408,576