TQQQ Options History — May 2011

In May 2011, TQQQ traded between $0.42 and $0.48. ATM implied volatility averaged 44.3%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 9.4% (HV 20d: 34.9%). Max pain ranged from $0.42 to $0.44. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.17.

Notable Days

2011-05-16: Highest Volume — 358,080 contracts
2011-05-10: Largest IV drop — 21.4% change
2011-05-24: Highest IV Rank — 25.2%
2011-05-24: Largest Expected Move — 14.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.46	$0.42	$0.48	$0.48	$0.46
Max Pain	$0.42	$0.42	$0.44	$0.44	$0.43
ATM IV	44.3%	34.9%	50.8%	45.4%	40.5%
Expected Move	13.0%	11.5%	14.6%	13.0%	11.6%
HV 20d	34.9%	31.8%	40.9%	31.8%	40.9%
HV 60d	44.2%	40.8%	47.0%	45.0%	41.8%
IV Rank	12.7%	0.0%	25.2%	12.4%	8.8%
IV Percentile	12.7%	0.0%	37.7%	10.7%	2.8%
Term Structure	5.9%	0.6%	11.9%	2.0%	3.6%
VWIV	47.0%	34.5%	58.2%	42.2%	43.0%
Skew 25d	13.3%	9.9%	16.5%	9.9%	10.8%
Skew 10d	26.7%	-3.9%	38.9%	32.7%	20.5%
Call IV 25d	39.6%	31.2%	44.0%	40.6%	35.3%
Put IV 25d	53.0%	43.0%	60.0%	50.5%	46.2%
Bid-Ask Spread %	69.65	55.84	89.44	61.01	82.12
Gamma HHI	0.06	0.04	0.10	0.05	0.10
Net GEX	434.3K	104.8K	848.2K	547.2K	243.5K
Net DEX	-9.4M	-18.0M	-2.1M	-15.5M	-7.6M
Net VEX	-62.6K	-78.0K	-47.1K	-73.7K	-49.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.24	4.05	1.50	1.17
Total Volume	132,836.571	20,736	358,080	145,728	138,240
Total OI	2,002,660.571	1,191,744	2,449,728	2,025,792	1,392,960

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
2011-05-02	$0.48	$0.44	45.4%	13.0%	31.8%	12.4%	42.2%	9.9%	2.0%	547.2K	-15.5M	-73.7K	1.50	61.01	N/A	N/A	58,176	87,552	946,944	1,078,848
2011-05-03	$0.47	$0.44	44.0%	12.6%	32.2%	10.7%	43.0%	11.6%	5.1%	521.6K	-13.2M	-74.0K	0.45	63.56	N/A	N/A	73,344	32,640	981,120	1,161,408
2011-05-04	$0.47	$0.44	42.3%	12.1%	31.9%	8.3%	44.3%	10.8%	5.3%	469.6K	-12.2M	-72.5K	0.25	65.09	N/A	N/A	76,224	19,008	956,352	1,095,168
2011-05-05	$0.46	$0.44	42.2%	12.1%	32.6%	8.2%	34.5%	13.8%	6.4%	449.2K	-11.0M	-73.7K	0.91	70.63	N/A	N/A	91,008	83,136	1,001,664	1,100,160
2011-05-06	$0.47	$0.42	46.4%	14.2%	32.6%	13.8%	52.0%	15.8%	7.4%	402.0K	-10.9M	-78.0K	1.21	79.98	N/A	N/A	54,528	66,048	1,054,656	1,161,600
2011-05-09	$0.47	$0.42	44.4%	13.7%	32.0%	11.1%	52.2%	14.6%	4.3%	500.4K	-12.5M	-75.1K	0.37	70.06	N/A	N/A	29,952	11,136	1,075,200	1,163,136
2011-05-10	$0.48	$0.42	34.9%	12.0%	32.4%	0.0%	40.7%	11.8%	7.9%	691.3K	-18.0M	-70.2K	1.46	89.44	N/A	N/A	37,248	54,528	1,090,176	1,162,752
2011-05-11	$0.47	$0.42	40.5%	13.4%	32.6%	7.3%	47.8%	12.6%	5.7%	516.1K	-12.9M	-72.0K	0.65	67.25	N/A	N/A	46,848	30,336	1,092,480	1,173,504
2011-05-12	$0.48	$0.42	44.7%	12.8%	32.2%	12.7%	50.3%	13.9%	7.6%	690.4K	-16.4M	-70.8K	0.95	66.30	N/A	N/A	86,784	82,368	1,119,552	1,165,824
2011-05-13	$0.46	$0.42	46.5%	13.3%	35.3%	15.0%	46.8%	16.5%	7.7%	627.1K	-12.3M	-69.8K	0.61	77.96	N/A	N/A	12,864	7,872	1,110,720	1,180,416
2011-05-16	$0.44	$0.42	47.6%	13.7%	40.7%	16.4%	47.3%	15.8%	6.3%	177.1K	-2.1M	-59.0K	0.93	83.19	N/A	N/A	185,664	172,416	1,118,976	1,185,600
2011-05-17	$0.44	$0.42	50.8%	14.6%	40.0%	20.5%	50.8%	16.0%	7.4%	453.4K	-4.6M	-60.4K	0.34	56.92	N/A	N/A	111,552	38,400	1,218,816	1,191,744
2011-05-18	$0.45	$0.42	45.5%	13.0%	40.3%	13.7%	44.5%	14.7%	7.5%	763.2K	-10.8M	-57.9K	0.24	67.41	N/A	N/A	115,968	27,840	1,231,296	1,218,432
2011-05-19	$0.46	$0.42	41.1%	11.8%	33.4%	7.9%	46.8%	13.2%	11.9%	848.2K	-12.3M	-55.4K	0.58	67.24	N/A	N/A	79,872	46,656	1,206,912	1,220,928
2011-05-20	$0.45	$0.42	43.8%	12.6%	33.1%	13.2%	45.1%	16.1%	10.8%	425.0K	-6.0M	-53.7K	0.97	64.32	N/A	N/A	84,480	81,984	1,192,896	1,217,472
2011-05-23	$0.43	$0.42	48.7%	14.0%	36.1%	21.6%	58.2%	14.0%	3.0%	129.8K	-3.1M	-47.7K	1.57	55.84	N/A	N/A	57,216	89,664	686,016	505,728
2011-05-24	$0.42	$0.42	50.8%	14.6%	35.6%	25.2%	56.4%	14.2%	0.6%	104.8K	-2.6M	-47.1K	1.76	62.13	N/A	N/A	67,200	118,272	710,400	562,368
2011-05-25	$0.42	$0.42	46.5%	13.3%	34.8%	18.4%	49.6%	11.7%	2.8%	154.1K	-3.7M	-50.0K	2.64	63.84	N/A	N/A	26,496	69,888	758,784	624,768
2011-05-26	$0.43	$0.42	43.3%	12.4%	35.9%	13.2%	47.2%	10.8%	4.2%	184.8K	-4.5M	-52.2K	1.99	68.10	N/A	N/A	37,056	73,920	770,880	681,792
2011-05-27	$0.44	$0.42	40.0%	11.5%	36.6%	8.1%	44.0%	10.9%	5.7%	221.2K	-5.8M	-52.4K	4.05	80.23	N/A	N/A	24,768	100,416	776,448	710,976
2011-05-31	$0.46	$0.43	40.5%	11.6%	40.9%	8.8%	43.0%	10.8%	3.6%	243.5K	-7.6M	-49.0K	1.17	82.12	N/A	N/A	63,744	74,496	708,288	684,672