TQQQ Options History — June 2011

In June 2011, TQQQ traded between $0.36 and $0.43. ATM implied volatility averaged 54.0%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 2.8% (HV 20d: 51.2%). Max pain ranged from $0.39 to $0.43. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.26.

Notable Days

2011-06-17: Highest Volume — 263,040 contracts
2011-06-15: Largest IV spike — 22.4% change
2011-06-16: Highest IV Rank — 52.5%
2011-06-16: Largest Expected Move — 18.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.39	$0.36	$0.43	$0.43	$0.43
Max Pain	$0.40	$0.39	$0.43	$0.42	$0.39
ATM IV	54.0%	44.2%	63.8%	48.8%	44.2%
Expected Move	15.5%	12.7%	18.3%	14.0%	12.7%
HV 20d	51.2%	46.7%	59.7%	46.7%	57.0%
HV 60d	42.5%	39.4%	45.9%	43.2%	45.9%
IV Rank	33.7%	17.3%	52.5%	21.9%	17.3%
IV Percentile	47.9%	11.5%	77.8%	30.2%	11.5%
Term Structure	1.5%	-7.5%	7.8%	1.3%	7.8%
VWIV	53.7%	44.1%	72.7%	47.8%	44.1%
Skew 25d	13.6%	4.3%	20.3%	12.1%	9.2%
Skew 10d	24.0%	3.3%	39.1%	22.3%	33.4%
Call IV 25d	47.1%	38.6%	54.8%	43.3%	38.6%
Put IV 25d	60.7%	47.7%	71.7%	55.4%	47.7%
Bid-Ask Spread %	69.12	50.21	87.57	86.43	74.03
Gamma HHI	0.08	0.04	0.34	0.06	0.05
Net GEX	-77.7K	-419.9K	268.9K	188.0K	268.9K
Net DEX	2.7M	-7.6M	12.0M	-4.8M	-7.6M
Net VEX	-45.8K	-56.6K	-37.5K	-53.4K	-56.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.26	0.22	5.43	1.21	2.10
Total Volume	115,697.455	42,816	263,040	183,744	170,112
Total OI	1,530,432	954,048	1,958,976	1,583,040	1,416,960

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
2011-06-01	$0.43	$0.42	48.8%	14.0%	46.7%	21.9%	47.8%	12.1%	1.3%	188.0K	-4.8M	-53.4K	1.21	86.43	N/A	N/A	83,136	100,608	820,992	762,048
2011-06-02	$0.43	$0.43	48.2%	13.8%	46.8%	21.1%	52.5%	11.0%	1.2%	133.2K	-3.8M	-53.5K	2.80	79.22	N/A	N/A	23,040	64,512	841,152	792,768
2011-06-03	$0.41	$0.42	48.7%	14.7%	49.1%	21.7%	53.6%	13.7%	5.0%	-31.9K	752.4K	-50.6K	1.03	61.64	N/A	N/A	54,528	56,064	840,192	828,672
2011-06-06	$0.40	$0.42	51.2%	15.1%	49.2%	25.7%	50.1%	14.4%	3.2%	-99.3K	2.7M	-47.0K	0.63	50.21	N/A	N/A	48,192	30,144	847,872	844,416
2011-06-07	$0.40	$0.42	51.2%	15.0%	48.8%	25.8%	48.0%	12.4%	4.0%	-127.5K	3.5M	-46.6K	0.94	55.53	N/A	N/A	53,568	50,112	866,112	856,512
2011-06-08	$0.39	$0.42	54.7%	15.0%	47.4%	31.3%	51.9%	12.9%	4.6%	-197.5K	5.6M	-43.4K	1.15	55.22	N/A	N/A	83,136	95,424	874,752	864,768
2011-06-09	$0.39	$0.42	50.8%	14.6%	47.4%	29.0%	50.4%	13.7%	4.5%	-181.6K	5.2M	-43.7K	0.34	56.10	N/A	N/A	39,552	13,632	900,288	838,848
2011-06-10	$0.38	$0.40	57.4%	16.4%	48.2%	40.8%	52.0%	15.6%	-0.6%	-260.8K	7.9M	-39.6K	0.95	60.81	N/A	N/A	60,864	57,984	923,328	840,768
2011-06-13	$0.38	$0.40	53.4%	15.3%	47.5%	33.6%	52.2%	13.9%	7.1%	-317.1K	8.7M	-38.4K	0.90	59.56	N/A	N/A	41,856	37,824	938,880	875,904
2011-06-14	$0.39	$0.40	50.8%	14.6%	47.4%	28.9%	52.6%	12.6%	4.0%	-257.1K	6.3M	-39.4K	1.47	66.18	N/A	N/A	46,464	68,160	950,016	888,192
2011-06-15	$0.37	$0.40	62.2%	17.8%	50.3%	49.6%	58.6%	10.7%	-1.9%	-408.6K	10.4M	-41.0K	0.63	68.69	N/A	N/A	37,248	23,616	959,232	921,600
2011-06-16	$0.36	$0.40	63.8%	18.3%	48.8%	52.5%	64.3%	16.1%	-2.4%	-419.9K	11.8M	-37.5K	0.49	72.92	N/A	N/A	86,784	42,624	977,472	933,312
2011-06-17	$0.36	$0.40	63.3%	18.2%	48.3%	51.6%	72.7%	4.3%	-2.8%	-376.8K	12.0M	-38.6K	5.43	75.86	N/A	N/A	40,896	222,144	1,006,080	952,896
2011-06-20	$0.37	$0.40	59.5%	17.1%	48.9%	44.7%	58.0%	20.0%	-5.4%	-50.2K	3.4M	-38.5K	1.57	71.54	N/A	N/A	40,704	63,936	553,536	400,512
2011-06-21	$0.39	$0.39	51.4%	14.7%	53.8%	30.1%	48.3%	12.0%	0.5%	-28.5K	1.3M	-42.6K	0.22	82.67	N/A	N/A	90,048	19,584	587,712	457,152
2011-06-22	$0.38	$0.39	54.5%	15.6%	53.9%	35.5%	49.5%	12.6%	3.2%	52.5K	447.6K	-46.2K	0.47	77.06	N/A	N/A	83,712	38,976	640,896	457,536
2011-06-23	$0.39	$0.39	56.5%	16.2%	54.9%	39.3%	54.6%	20.3%	-7.5%	30.6K	547.4K	-44.9K	0.77	87.57	N/A	N/A	51,648	39,936	652,800	473,856
2011-06-24	$0.37	$0.39	59.1%	16.9%	56.9%	44.0%	59.8%	16.1%	1.1%	12.6K	1.8M	-47.2K	1.16	69.59	N/A	N/A	46,272	53,568	673,920	490,752
2011-06-27	$0.39	$0.39	56.1%	16.1%	59.7%	38.5%	57.7%	15.9%	0.8%	78.8K	304.7K	-49.5K	1.54	72.33	N/A	N/A	33,024	50,880	703,488	533,568
2011-06-28	$0.41	$0.39	52.1%	14.9%	59.4%	31.2%	54.4%	14.5%	1.1%	100.4K	-2.4M	-52.5K	1.26	65.24	N/A	N/A	69,888	88,128	708,864	576,960
2011-06-29	$0.41	$0.39	49.5%	14.2%	55.3%	27.0%	49.1%	15.3%	3.1%	182.4K	-3.9M	-56.4K	0.72	72.20	N/A	N/A	24,960	17,856	754,368	639,552
2011-06-30	$0.43	$0.39	44.2%	12.7%	57.0%	17.3%	44.1%	9.2%	7.8%	268.9K	-7.6M	-56.6K	2.10	74.03	N/A	N/A	54,912	115,200	766,656	650,304