TQQQ Options History — December 2010

In December 2010, TQQQ traded between $0.36 and $0.39. ATM implied volatility averaged 49.7%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 7.6% (HV 20d: 42.1%). Max pain ranged from $0.33 to $0.35. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 3.24.

Notable Days

2010-12-17: Highest Volume — 326,400 contracts
2010-12-06: Largest IV spike — 11.1% change
2010-12-01: Highest IV Rank — 30.9%
2010-12-01: Largest Expected Move — 17.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.38	$0.36	$0.39	$0.36	$0.39
Max Pain	$0.35	$0.33	$0.35	$0.33	$0.35
ATM IV	49.7%	45.7%	59.9%	59.9%	50.0%
Expected Move	14.4%	13.1%	17.2%	17.2%	14.3%
HV 20d	42.1%	15.5%	54.3%	53.5%	15.5%
HV 60d	41.7%	37.0%	43.7%	43.7%	37.0%
IV Rank	17.5%	12.1%	30.9%	30.9%	17.9%
IV Percentile	21.2%	9.2%	46.1%	46.1%	25.9%
Term Structure	4.1%	-2.3%	6.6%	-2.3%	4.7%
VWIV	53.6%	36.0%	64.8%	62.5%	54.4%
Skew 25d	11.2%	6.2%	16.2%	12.3%	11.9%
Skew 10d	15.9%	-10.6%	34.7%	15.1%	25.0%
Call IV 25d	44.6%	39.1%	51.2%	50.1%	45.3%
Put IV 25d	55.8%	50.3%	62.4%	62.4%	57.2%
Bid-Ask Spread %	55.08	31.49	76.44	74.07	42.18
Gamma HHI	0.09	0.04	0.17	0.09	0.04
Net GEX	302.3K	169.3K	559.6K	209.4K	169.3K
Net DEX	-12.6M	-20.5M	-5.5M	-10.8M	-5.5M
Net VEX	-36.1K	-43.7K	-28.1K	-43.7K	-37.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.24	0.00	18.25	1.08	1.62
Total Volume	115,444.364	15,360	326,400	193,920	45,312
Total OI	1,576,250.182	1,074,432	2,063,616	1,647,360	1,352,064

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
2010-12-01	$0.36	$0.33	59.9%	17.2%	53.5%	30.9%	62.5%	12.3%	-2.3%	209.4K	-10.8M	-43.7K	1.08	74.07	N/A	N/A	93,312	100,608	822,528	824,832
2010-12-02	$0.37	$0.33	54.6%	15.6%	54.3%	23.9%	61.4%	12.9%	0.7%	275.6K	-14.0M	-43.1K	2.78	72.93	N/A	N/A	69,120	192,384	848,640	885,120
2010-12-03	$0.37	$0.33	49.7%	14.2%	52.9%	17.4%	50.7%	9.7%	4.7%	299.9K	-15.2M	-41.4K	1.23	76.44	N/A	N/A	21,504	26,496	865,536	921,984
2010-12-06	$0.37	$0.35	55.2%	15.5%	52.9%	24.7%	52.9%	6.2%	5.9%	300.6K	-14.6M	-40.2K	4.75	36.71	N/A	N/A	27,264	129,408	866,304	933,120
2010-12-07	$0.37	$0.35	51.2%	15.3%	52.9%	19.4%	55.4%	11.7%	5.6%	356.5K	-15.9M	-37.9K	1.53	43.49	N/A	N/A	76,032	116,352	879,744	926,976
2010-12-08	$0.38	$0.35	48.9%	14.6%	52.8%	16.4%	54.5%	11.8%	4.6%	377.0K	-17.2M	-35.5K	4.38	46.46	N/A	N/A	11,136	48,768	902,016	940,032
2010-12-09	$0.38	$0.35	47.3%	14.5%	52.5%	14.2%	55.5%	7.4%	4.6%	372.3K	-15.5M	-35.5K	1.24	45.19	N/A	N/A	47,232	58,368	857,856	923,136
2010-12-10	$0.38	$0.35	50.0%	14.4%	52.5%	17.9%	64.8%	9.7%	4.8%	411.9K	-18.5M	-33.4K	0.95	44.32	N/A	N/A	50,304	47,616	851,712	924,288
2010-12-13	$0.38	$0.35	52.2%	14.8%	48.8%	20.8%	52.5%	11.4%	2.9%	406.1K	-18.0M	-29.9K	0.76	48.07	N/A	N/A	48,384	36,864	843,648	923,904
2010-12-14	$0.38	$0.35	48.6%	14.7%	48.4%	16.1%	50.5%	8.1%	3.8%	413.9K	-18.0M	-28.1K	0.28	54.38	N/A	N/A	46,080	12,672	844,416	932,352
2010-12-15	$0.38	$0.35	50.2%	14.4%	44.1%	18.1%	53.0%	10.3%	4.5%	351.2K	-16.9M	-28.8K	0.74	31.49	N/A	N/A	145,536	107,904	860,928	940,032
2010-12-16	$0.38	$0.35	49.8%	14.3%	44.4%	17.6%	45.2%	9.9%	4.5%	559.6K	-19.8M	-30.6K	0.75	49.68	N/A	N/A	129,408	96,768	948,864	991,104
2010-12-17	$0.39	$0.35	48.2%	13.8%	42.1%	15.5%	56.8%	16.0%	5.0%	227.8K	-20.5M	-32.9K	2.31	46.71	N/A	N/A	98,688	227,712	1,011,072	1,052,544
2010-12-20	$0.39	$0.35	46.9%	13.4%	42.1%	13.8%	58.4%	14.7%	5.0%	226.1K	-6.5M	-34.0K	1.85	54.36	N/A	N/A	31,488	58,368	564,480	509,952
2010-12-21	$0.39	$0.35	45.7%	13.1%	41.6%	12.2%	47.5%	11.8%	4.2%	301.7K	-8.1M	-35.5K	3.64	67.11	N/A	N/A	14,976	54,528	588,672	567,936
2010-12-22	$0.39	$0.35	46.3%	13.3%	36.6%	12.9%	46.0%	9.2%	2.6%	289.1K	-8.3M	-37.7K	18.25	67.48	N/A	N/A	4,608	84,096	595,200	573,312
2010-12-23	$0.39	$0.35	45.7%	13.1%	32.0%	12.1%	56.6%	12.0%	3.6%	254.9K	-7.5M	-38.4K	11.00	68.71	N/A	N/A	3,072	33,792	598,272	619,008
2010-12-27	$0.39	$0.35	49.2%	14.1%	31.8%	16.8%	60.2%	16.2%	4.5%	213.1K	-7.0M	-35.5K	4.64	64.79	N/A	N/A	12,672	58,752	600,576	639,744
2010-12-28	$0.39	$0.35	49.4%	14.2%	31.2%	17.1%	58.5%	11.6%	5.4%	209.8K	-6.4M	-38.6K	6.38	62.18	N/A	N/A	4,992	31,872	611,328	680,832
2010-12-29	$0.39	$0.35	47.3%	13.6%	26.5%	14.4%	46.1%	11.6%	6.6%	217.8K	-6.7M	-38.8K	1.11	57.56	N/A	N/A	7,296	8,064	616,320	705,024
2010-12-30	$0.39	$0.35	48.1%	13.8%	17.7%	15.3%	36.0%	10.3%	5.2%	207.7K	-6.4M	-37.7K	0.00	57.33	N/A	N/A	19,968	0	619,008	713,088
2010-12-31	$0.39	$0.35	50.0%	14.3%	15.5%	17.9%	54.4%	11.9%	4.7%	169.3K	-5.5M	-37.3K	1.62	42.18	N/A	N/A	17,280	28,032	638,976	713,088