TQQQ Options History — June 2013

In June 2013, TQQQ traded between $0.65 and $0.76. ATM implied volatility averaged 46.4%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 8.5% (HV 20d: 37.9%). Max pain ranged from $0.67 to $0.75. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2013-06-20: Highest Volume — 292,320 contracts
  • 2013-06-20: Largest IV spike — 28.7% change
  • 2013-06-24: Highest IV Rank — 73.7%
  • 2013-06-24: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.72$0.65$0.76$0.76$0.69
Max Pain$0.71$0.67$0.75$0.67$0.69
ATM IV46.4%38.9%53.9%44.0%44.2%
Expected Move13.3%12.0%15.5%12.6%12.7%
HV 20d37.9%23.6%49.3%23.6%48.3%
HV 60d40.7%36.7%44.3%36.7%43.9%
IV Rank44.7%20.2%73.7%28.1%42.6%
IV Percentile64.9%31.7%90.5%54.8%58.3%
Term Structure0.7%-2.0%2.7%-0.1%2.4%
VWIV46.5%40.7%54.4%44.2%42.7%
Skew 25d11.2%8.4%15.7%9.7%9.7%
Skew 10d23.9%17.6%39.1%19.5%17.6%
Call IV 25d41.3%37.6%47.6%39.8%38.0%
Put IV 25d52.6%47.4%60.8%49.5%47.7%
Bid-Ask Spread %47.3228.1669.1047.8861.63
Gamma HHI0.080.050.200.120.05
Net GEX106.7K-264.6K339.2K160.1K159.7K
Net DEX-9.9M-24.6M5.4M-17.6M-2.5M
Net VEX-69.0K-83.3K-54.4K-79.0K-62.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.301.380.370.74
Total Volume98,419.232,352292,32054,24058,080
Total OI1,225,219.2692,1601,460,9281,231,776826,272

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$0.76$0.6744.0%12.6%23.6%28.1%44.2%9.7%-0.1%160.1K-17.6M-79.0K0.3747.88N/AN/A39,64814,592630,432601,344
2013-06-04$0.74$0.6745.6%13.1%24.1%31.7%45.3%9.5%-0.6%135.1K-15.7M-79.0K1.1240.44N/AN/A16,70418,720648,576605,856
2013-06-05$0.72$0.6747.8%13.7%28.0%36.3%48.3%11.4%-0.3%29.9K-9.5M-79.5K0.7341.54N/AN/A60,96044,448656,736619,584
2013-06-06$0.72$0.6746.8%13.4%27.7%36.2%48.8%10.7%-1.0%76.5K-11.7M-83.3K0.8832.10N/AN/A39,36034,752693,792647,040
2013-06-07$0.76$0.7338.9%12.0%31.4%20.2%44.3%10.5%2.3%185.6K-19.6M-78.5K0.4329.64N/AN/A71,52030,720691,488649,824
2013-06-10$0.76$0.7540.6%12.1%30.9%28.2%40.7%10.2%1.5%170.7K-20.1M-74.4K0.5428.16N/AN/A34,36818,432697,344666,048
2013-06-11$0.73$0.7546.9%13.3%32.6%46.5%46.4%15.7%0.4%94.5K-14.4M-76.0K0.3137.52N/AN/A43,48813,536721,344668,160
2013-06-12$0.71$0.7351.5%14.3%34.2%59.9%48.3%12.1%-0.1%24.4K-8.3M-76.7K0.4230.86N/AN/A67,00828,128750,816674,208
2013-06-13$0.73$0.7344.8%12.8%36.7%40.4%44.3%11.0%2.5%129.3K-16.1M-74.7K0.4338.99N/AN/A57,02424,768750,048678,144
2013-06-14$0.72$0.7346.2%13.2%37.1%44.7%45.4%11.1%2.2%82.1K-13.1M-72.9K0.5237.90N/AN/A21,31211,040765,504678,816
2013-06-17$0.74$0.7345.8%13.1%37.1%43.3%46.3%8.4%2.3%226.7K-19.4M-68.0K0.5144.14N/AN/A64,70433,024769,920685,344
2013-06-18$0.76$0.7344.4%12.7%38.2%39.4%45.9%11.9%0.7%339.2K-24.6M-66.2K0.8342.02N/AN/A29,76024,576767,520693,408
2013-06-19$0.73$0.7341.7%12.0%39.6%34.6%41.1%9.9%2.7%126.9K-11.8M-62.7K0.3066.50N/AN/A106,46431,680711,168702,336
2013-06-20$0.68$0.7353.6%15.4%47.0%72.9%52.2%13.1%-2.0%-264.6K3.4M-55.6K0.5769.10N/AN/A186,528105,792702,144657,408
2013-06-21$0.67$0.7151.2%14.7%47.0%65.0%50.4%13.1%0.1%-170.0K5.4M-55.7K0.6359.13N/AN/A143,90490,144774,720674,016
2013-06-24$0.65$0.6953.9%15.5%47.8%73.7%54.4%12.7%-1.0%120.0K1.8M-54.4K0.8559.72N/AN/A69,98459,616385,536306,624
2013-06-25$0.66$0.6848.8%14.0%47.9%57.5%48.8%12.6%-0.4%144.8K408.3K-58.7K1.1160.76N/AN/A30,72034,176411,936354,912
2013-06-26$0.68$0.6746.4%13.3%49.3%49.5%48.9%11.1%0.7%186.1K-1.7M-61.1K1.3861.31N/AN/A44,92862,208417,408374,208
2013-06-27$0.69$0.6844.5%12.8%49.0%43.6%43.7%10.5%2.2%177.2K-2.3M-61.4K0.5157.15N/AN/A67,10434,464412,992381,408
2013-06-28$0.69$0.6944.2%12.7%48.3%42.6%42.7%9.7%2.4%159.7K-2.5M-62.6K0.7461.63N/AN/A33,40824,672422,976403,296