TQQQ Options History — August 2010

In August 2010, TQQQ traded between $0.20 and $0.25. ATM implied volatility averaged 69.1%, placing in the 54.9% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded above realized volatility by 15.7% (HV 20d: 53.4%). Max pain ranged from $0.22 to $0.25. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.65.

Notable Days

2010-08-11: Highest Volume — 152,064 contracts
2010-08-11: Largest IV spike — 21.7% change
2010-08-30: Highest IV Rank — 57.0%
2010-08-26: Largest Expected Move — 23.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.22	$0.20	$0.25	$0.25	$0.20
Max Pain	$0.24	$0.22	$0.25	$0.22	$0.23
ATM IV	69.1%	56.7%	80.6%	56.7%	76.6%
Expected Move	19.9%	16.3%	23.1%	16.3%	22.0%
HV 20d	53.4%	47.4%	61.8%	59.0%	50.8%
HV 60d	68.4%	60.3%	78.3%	78.3%	60.3%
IV Rank	54.9%	52.8%	57.0%	57.0%	52.8%
IV Percentile	75.1%	72.4%	77.8%	77.8%	72.4%
Term Structure	2.7%	-4.0%	11.6%	11.6%	0.3%
VWIV	70.5%	38.9%	94.7%	65.1%	38.9%
Skew 25d	18.6%	4.3%	33.3%	13.6%	21.9%
Skew 10d	36.8%	12.3%	70.5%	29.0%	35.4%
Call IV 25d	58.4%	42.0%	76.8%	53.0%	61.7%
Put IV 25d	77.1%	62.7%	89.6%	66.7%	83.6%
Bid-Ask Spread %	78.50	60.07	92.01	60.07	84.80
Gamma HHI	0.11	0.06	0.26	0.06	0.14
Net GEX	2.4K	-69.8K	62.9K	62.9K	-14.6K
Net DEX	1.7M	-1.3M	3.9M	-1.0M	3.3M
Net VEX	-20.5K	-27.4K	-14.3K	-27.2K	-14.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.65	0.05	7.89	3.09	0.12
Total Volume	67,950.545	20,352	152,064	50,304	41,856
Total OI	1,115,048.727	845,568	1,286,400	1,031,808	1,053,696

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-08-02	$0.25	$0.22	56.7%	16.3%	59.0%	0.0%	65.1%	13.6%	11.6%	62.9K	-1.0M	-27.2K	3.09	60.07	N/A	N/A	12,288	38,016	519,552	512,256
2010-08-03	$0.24	$0.23	59.9%	17.2%	59.5%	0.0%	65.5%	17.7%	4.0%	50.1K	-549.1K	-26.6K	1.35	73.28	N/A	N/A	8,832	11,904	531,072	541,440
2010-08-04	$0.25	$0.23	58.4%	16.7%	52.4%	0.0%	64.6%	15.1%	4.3%	56.0K	-1.2M	-26.3K	2.96	69.39	N/A	N/A	10,752	31,872	530,688	553,344
2010-08-05	$0.25	$0.23	58.1%	16.6%	52.6%	0.0%	60.1%	7.4%	7.8%	44.2K	-1.1M	-27.4K	5.59	74.30	N/A	N/A	6,528	36,480	536,448	581,376
2010-08-06	$0.25	$0.25	56.7%	18.1%	52.3%	0.0%	78.7%	18.5%	3.6%	22.8K	-556.7K	-26.8K	7.89	66.73	N/A	N/A	6,912	54,528	536,832	602,496
2010-08-09	$0.25	$0.25	62.5%	17.7%	52.4%	0.0%	67.1%	16.9%	3.8%	41.2K	-1.3M	-26.3K	1.02	87.47	N/A	N/A	22,656	23,040	537,216	624,000
2010-08-10	$0.25	$0.25	62.8%	18.2%	52.3%	0.0%	0.0%	32.8%	3.5%	30.3K	-714.0K	-26.0K	1.03	88.41	N/A	N/A	11,136	11,520	546,816	638,976
2010-08-11	$0.23	$0.25	76.5%	21.5%	61.0%	0.0%	63.8%	20.8%	-1.8%	-28.0K	2.3M	-24.0K	1.26	68.55	N/A	N/A	67,200	84,864	553,728	638,976
2010-08-12	$0.22	$0.25	74.1%	21.2%	61.8%	0.0%	85.5%	28.0%	1.4%	-15.5K	2.8M	-21.2K	0.82	70.26	N/A	N/A	21,504	17,664	593,280	604,032
2010-08-13	$0.22	$0.25	74.3%	21.3%	54.3%	0.0%	83.5%	24.8%	0.3%	-27.6K	3.2M	-20.2K	0.23	73.02	N/A	N/A	122,496	28,416	608,640	611,328
2010-08-16	$0.22	$0.25	72.5%	20.8%	53.8%	0.0%	69.1%	19.8%	0.4%	-6.4K	3.0M	-19.5K	0.18	78.58	N/A	N/A	62,592	11,520	627,072	615,168
2010-08-17	$0.23	$0.25	74.0%	21.2%	54.3%	0.0%	94.7%	21.7%	0.5%	-4.3K	2.0M	-20.0K	0.62	73.36	N/A	N/A	42,240	26,112	603,264	624,384
2010-08-18	$0.23	$0.25	66.5%	19.1%	52.7%	0.0%	89.2%	21.5%	4.1%	-10.9K	2.0M	-18.4K	3.13	76.60	N/A	N/A	28,800	90,240	587,904	634,752
2010-08-19	$0.22	$0.25	68.5%	19.7%	48.9%	0.0%	70.9%	18.9%	3.7%	-69.8K	3.7M	-17.6K	0.62	92.01	N/A	N/A	65,664	40,704	595,200	683,136
2010-08-20	$0.22	$0.25	67.3%	19.3%	47.7%	0.0%	68.6%	13.5%	6.9%	-41.6K	3.9M	-16.0K	1.92	78.72	N/A	N/A	35,712	68,736	600,192	686,208
2010-08-23	$0.21	$0.25	69.4%	19.9%	47.4%	0.0%	61.8%	4.3%	7.2%	16.5K	2.1M	-15.1K	2.15	88.52	N/A	N/A	38,016	81,792	419,712	425,856
2010-08-24	$0.20	$0.25	79.0%	22.7%	50.8%	0.0%	76.5%	10.7%	2.3%	-15.4K	3.2M	-15.2K	1.31	81.95	N/A	N/A	22,656	29,568	446,976	501,888
2010-08-25	$0.21	$0.25	75.3%	21.6%	52.5%	0.0%	72.4%	23.6%	-1.3%	-13.7K	3.1M	-15.8K	0.05	83.36	N/A	N/A	47,616	2,304	463,488	510,720
2010-08-26	$0.20	$0.23	80.6%	23.1%	53.0%	0.0%	69.7%	12.8%	-2.6%	-8.1K	2.9M	-16.3K	0.33	84.00	N/A	N/A	15,360	4,992	497,280	511,104
2010-08-27	$0.21	$0.23	70.6%	20.2%	54.6%	0.0%	65.9%	33.3%	4.2%	-6.1K	3.0M	-15.4K	0.06	90.97	N/A	N/A	68,736	4,224	501,120	511,488
2010-08-30	$0.20	$0.23	79.8%	22.9%	50.7%	57.0%	68.5%	11.9%	-4.0%	-9.4K	3.0M	-14.5K	0.48	82.70	N/A	N/A	24,960	11,904	512,256	515,712
2010-08-31	$0.20	$0.23	76.6%	22.0%	50.8%	52.8%	38.9%	21.9%	0.3%	-14.6K	3.3M	-14.3K	0.12	84.80	N/A	N/A	37,248	4,608	528,384	525,312