TQQQ Options History — November 2010

In November 2010, TQQQ traded between $0.32 and $0.37. ATM implied volatility averaged 56.5%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 19.0% (HV 20d: 37.5%). Max pain ranged from $0.30 to $0.33. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.19.

Notable Days

2010-11-12: Highest Volume — 581,760 contracts
2010-11-18: Largest IV drop — 18.2% change
2010-11-02: Highest IV Rank — 38.8%
2010-11-02: Largest Expected Move — 18.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.35	$0.32	$0.37	$0.34	$0.34
Max Pain	$0.31	$0.30	$0.33	$0.33	$0.33
ATM IV	56.5%	47.2%	65.9%	65.6%	64.1%
Expected Move	16.4%	14.7%	18.9%	18.8%	18.4%
HV 20d	37.5%	30.5%	49.7%	39.4%	49.7%
HV 60d	44.7%	42.6%	48.8%	48.6%	42.7%
IV Rank	26.4%	14.1%	38.8%	38.4%	36.3%
IV Percentile	36.5%	16.9%	59.6%	58.2%	58.4%
Term Structure	3.2%	-5.8%	11.4%	-5.8%	-2.0%
VWIV	59.7%	52.1%	68.6%	64.1%	62.9%
Skew 25d	12.7%	8.9%	16.0%	13.9%	13.4%
Skew 10d	25.6%	-0.1%	40.5%	15.5%	36.7%
Call IV 25d	51.0%	45.1%	58.6%	58.6%	58.6%
Put IV 25d	63.7%	56.2%	72.6%	72.6%	72.0%
Bid-Ask Spread %	60.80	50.16	89.62	70.82	63.26
Gamma HHI	0.14	0.07	0.46	0.10	0.08
Net GEX	83.2K	-301.4K	294.0K	88.6K	78.9K
Net DEX	-6.8M	-11.8M	2.6M	-5.9M	-4.7M
Net VEX	-36.1K	-44.5K	-30.8K	-34.5K	-44.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.19	0.19	2.72	0.62	0.19
Total Volume	237,001.143	56,064	581,760	89,088	82,560
Total OI	1,530,276.571	1,012,608	1,970,688	1,286,784	1,613,952

Daily Data (21 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
2010-11-01	$0.34	$0.33	65.6%	18.8%	39.4%	38.4%	64.1%	13.9%	-5.8%	88.6K	-5.9M	-34.5K	0.62	70.82	N/A	N/A	54,912	34,176	554,880	731,904
2010-11-02	$0.35	$0.33	65.9%	18.9%	33.1%	38.8%	67.5%	10.3%	-3.6%	152.3K	-7.7M	-36.6K	1.61	68.97	N/A	N/A	44,928	72,192	593,280	746,880
2010-11-03	$0.36	$0.33	60.8%	17.4%	30.5%	32.1%	63.5%	14.4%	-1.1%	204.6K	-8.6M	-34.6K	2.50	89.62	N/A	N/A	26,112	65,280	612,480	758,016
2010-11-04	$0.37	$0.33	53.6%	15.4%	31.6%	22.6%	58.2%	9.7%	1.2%	294.0K	-11.8M	-35.0K	2.72	70.14	N/A	N/A	120,576	327,936	632,448	786,048
2010-11-05	$0.37	$0.30	49.8%	15.4%	31.7%	17.6%	59.9%	10.8%	6.9%	162.3K	-10.4M	-34.8K	1.94	55.10	N/A	N/A	23,808	46,080	604,800	831,360
2010-11-08	$0.37	$0.30	49.2%	15.0%	31.7%	16.7%	57.2%	10.5%	8.8%	214.7K	-11.2M	-32.0K	0.60	50.16	N/A	N/A	40,704	24,576	620,160	835,200
2010-11-09	$0.36	$0.30	48.9%	15.1%	32.9%	16.5%	53.1%	10.6%	6.8%	160.4K	-10.0M	-32.0K	1.07	58.54	N/A	N/A	97,536	104,064	628,992	849,024
2010-11-10	$0.37	$0.30	47.2%	15.2%	32.6%	14.1%	54.3%	11.2%	6.2%	217.4K	-10.4M	-35.6K	0.61	52.54	N/A	N/A	77,184	46,848	655,104	868,992
2010-11-11	$0.36	$0.30	52.6%	15.1%	33.5%	21.3%	57.0%	12.6%	7.1%	110.9K	-9.2M	-33.1K	0.82	55.33	N/A	N/A	223,488	183,936	657,024	886,656
2010-11-12	$0.35	$0.30	59.8%	17.1%	33.8%	30.7%	62.6%	14.9%	3.2%	-25.3K	-4.5M	-38.5K	1.02	54.00	N/A	N/A	288,000	293,760	728,064	942,336
2010-11-15	$0.34	$0.31	59.8%	17.1%	34.1%	30.7%	59.9%	13.2%	5.4%	5.7K	-4.2M	-36.1K	0.66	59.47	N/A	N/A	83,712	54,912	777,984	974,208
2010-11-16	$0.32	$0.31	64.6%	18.5%	36.0%	37.1%	64.7%	15.8%	2.3%	-215.4K	2.6M	-33.9K	0.71	57.41	N/A	N/A	302,592	214,656	789,888	977,280
2010-11-17	$0.33	$0.31	64.5%	18.5%	35.4%	36.9%	68.6%	16.0%	2.5%	-62.2K	135.4K	-33.9K	1.87	57.74	N/A	N/A	77,184	144,000	876,288	1,002,624
2010-11-18	$0.34	$0.31	52.7%	15.1%	38.7%	21.4%	52.1%	13.6%	10.4%	126.7K	-7.1M	-31.6K	1.74	59.54	N/A	N/A	163,584	284,928	872,448	1,018,752
2010-11-19	$0.34	$0.32	51.7%	14.8%	38.3%	20.0%	52.9%	12.2%	11.4%	-301.4K	-4.9M	-33.4K	0.63	54.38	N/A	N/A	163,584	103,680	869,376	1,101,312
2010-11-22	$0.35	$0.32	51.1%	14.7%	38.9%	19.3%	53.4%	12.1%	3.5%	51.6K	-5.8M	-30.8K	0.87	54.30	N/A	N/A	183,168	158,592	492,672	519,936
2010-11-23	$0.34	$0.32	56.1%	16.1%	42.9%	25.8%	59.1%	12.7%	3.8%	72.1K	-3.9M	-38.6K	1.29	52.68	N/A	N/A	129,024	166,656	645,504	654,720
2010-11-24	$0.36	$0.32	52.8%	15.2%	47.3%	21.6%	52.4%	8.9%	2.3%	167.2K	-9.3M	-41.4K	0.53	65.61	N/A	N/A	145,920	76,800	710,784	707,712
2010-11-26	$0.35	$0.33	56.9%	16.3%	47.4%	26.9%	63.0%	15.7%	-1.6%	127.9K	-8.2M	-44.3K	1.70	66.23	N/A	N/A	20,736	35,328	731,904	758,784
2010-11-29	$0.35	$0.33	59.5%	17.1%	47.7%	30.3%	66.6%	15.3%	-1.5%	116.2K	-7.1M	-43.4K	1.37	60.95	N/A	N/A	79,872	109,440	743,808	772,224
2010-11-30	$0.34	$0.33	64.1%	18.4%	49.7%	36.3%	62.9%	13.4%	-2.0%	78.9K	-4.7M	-44.5K	0.19	63.26	N/A	N/A	69,504	13,056	800,256	813,696