TQQQ Options History — August 2011

In August 2011, TQQQ traded between $0.27 and $0.44. ATM implied volatility averaged 96.3%, placing in the 65.2% IV rank vs the trailing year. The 30-day expected move averaged 26.6%. IV traded below realized volatility by 21.7% (HV 20d: 118.0%). Max pain ranged from $0.36 to $0.42. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.76.

Notable Days

2011-08-08: Highest Volume — 378,624 contracts
2011-08-18: Largest IV spike — 42.3% change
2011-08-04: Highest IV Rank — 100.0%
2011-08-19: Largest Expected Move — 34.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.34	$0.27	$0.44	$0.44	$0.36
Max Pain	$0.40	$0.36	$0.42	$0.42	$0.38
ATM IV	96.3%	67.4%	145.5%	69.0%	79.8%
Expected Move	26.6%	19.3%	34.5%	19.8%	22.9%
HV 20d	118.0%	53.5%	150.0%	53.5%	147.8%
HV 60d	82.1%	52.6%	96.5%	52.6%	96.5%
IV Rank	65.2%	40.4%	100.0%	72.4%	40.6%
IV Percentile	96.9%	90.9%	100.0%	93.7%	92.5%
Term Structure	-10.0%	-26.8%	-2.2%	-3.5%	-2.4%
VWIV	88.6%	61.9%	113.9%	66.6%	82.4%
Skew 25d	27.6%	11.1%	46.5%	11.1%	16.8%
Skew 10d	55.7%	1.7%	101.4%	20.9%	47.9%
Call IV 25d	78.2%	60.9%	97.7%	60.9%	73.6%
Put IV 25d	105.9%	72.0%	130.8%	72.0%	90.4%
Bid-Ask Spread %	66.89	43.59	88.59	43.59	65.89
Gamma HHI	0.05	0.04	0.05	0.05	0.05
Net GEX	-6.6K	-100.5K	175.8K	175.8K	115.5K
Net DEX	9.3M	-6.1M	22.4M	-6.1M	-1.7M
Net VEX	-45.0K	-67.0K	-24.5K	-67.0K	-52.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.18	2.26	0.52	0.61
Total Volume	193,945.043	86,400	378,624	143,232	212,928
Total OI	2,107,976.348	1,522,176	2,767,872	1,766,784	1,941,120

Daily Data (23 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
2011-08-01	$0.44	$0.42	69.0%	19.8%	53.5%	72.4%	66.6%	11.1%	-3.5%	175.8K	-6.1M	-67.0K	0.52	43.59	N/A	N/A	94,272	48,960	973,248	793,536
2011-08-02	$0.41	$0.42	74.9%	21.5%	59.9%	84.8%	63.4%	11.3%	-10.9%	60.9K	-15.3K	-64.9K	0.57	52.31	N/A	N/A	137,472	78,912	1,020,096	815,616
2011-08-03	$0.42	$0.42	67.4%	19.3%	60.6%	68.9%	61.9%	20.1%	-2.2%	52.0K	1.2M	-65.5K	0.67	52.24	N/A	N/A	194,112	130,944	1,062,528	864,768
2011-08-04	$0.36	$0.42	90.4%	25.9%	76.4%	100.0%	78.6%	28.3%	-13.2%	-94.4K	11.1M	-57.9K	1.27	60.78	N/A	N/A	102,144	129,792	1,083,648	919,488
2011-08-05	$0.35	$0.42	101.6%	26.0%	76.5%	100.0%	91.7%	26.9%	-12.3%	-95.7K	13.1M	-54.2K	0.49	55.55	N/A	N/A	205,056	99,840	1,128,768	908,544
2011-08-08	$0.29	$0.42	142.6%	33.7%	98.6%	100.0%	100.4%	35.5%	-22.7%	-99.6K	17.7M	-36.1K	0.28	62.69	N/A	N/A	296,256	82,368	1,197,120	950,208
2011-08-09	$0.33	$0.42	105.4%	26.8%	112.1%	65.4%	92.4%	46.5%	-9.8%	-100.5K	17.2M	-42.0K	0.36	82.34	N/A	N/A	183,936	65,472	1,314,240	940,032
2011-08-10	$0.29	$0.41	145.5%	31.2%	118.2%	100.0%	103.7%	31.0%	-16.6%	-53.1K	17.1M	-37.5K	0.68	75.22	N/A	N/A	51,456	34,944	1,375,488	963,072
2011-08-11	$0.33	$0.41	99.5%	28.5%	128.3%	58.4%	95.0%	43.6%	-12.7%	-39.7K	14.1M	-46.6K	0.27	67.42	N/A	N/A	111,744	29,952	1,396,992	972,480
2011-08-12	$0.34	$0.41	90.0%	25.8%	127.6%	49.8%	88.3%	29.8%	-9.0%	-15.4K	12.5M	-48.9K	0.92	47.72	N/A	N/A	95,616	87,936	1,446,528	993,216
2011-08-15	$0.35	$0.41	81.3%	23.3%	129.2%	41.9%	78.9%	21.6%	-4.4%	479	10.9M	-47.7K	1.04	49.82	N/A	N/A	77,568	80,640	1,513,920	1,037,952
2011-08-16	$0.34	$0.41	85.2%	24.4%	125.8%	45.5%	83.1%	26.9%	-6.9%	-28.6K	12.8M	-45.3K	1.10	54.72	N/A	N/A	77,376	85,056	1,556,928	1,064,448
2011-08-17	$0.34	$0.41	79.6%	22.8%	125.8%	40.4%	78.0%	26.1%	-4.3%	-82.8K	15.1M	-41.1K	1.52	56.35	N/A	N/A	74,112	112,512	1,592,064	1,077,312
2011-08-18	$0.29	$0.41	113.3%	32.5%	134.5%	70.8%	112.3%	35.3%	-26.8%	-88.7K	22.3M	-28.6K	0.99	80.68	N/A	N/A	78,528	77,568	1,602,432	1,141,056
2011-08-19	$0.27	$0.40	120.3%	34.5%	133.3%	77.3%	113.9%	25.1%	-23.1%	-44.5K	22.4M	-24.5K	2.26	78.58	N/A	N/A	88,512	200,256	1,617,216	1,150,656
2011-08-22	$0.28	$0.39	112.7%	32.3%	133.8%	70.3%	98.2%	28.4%	-5.7%	-32.9K	8.9M	-28.0K	0.18	81.94	N/A	N/A	115,776	20,352	890,304	631,872
2011-08-23	$0.31	$0.39	98.1%	28.1%	143.0%	57.2%	87.9%	32.1%	-12.6%	-15.6K	7.8M	-32.4K	0.32	88.59	N/A	N/A	87,360	28,224	965,760	643,584
2011-08-24	$0.32	$0.39	95.3%	27.3%	142.3%	54.6%	94.5%	35.5%	-4.8%	5.6K	6.5M	-36.8K	0.25	78.61	N/A	N/A	116,928	28,800	1,014,528	654,912
2011-08-25	$0.30	$0.36	101.4%	29.1%	142.4%	60.1%	100.5%	29.6%	-8.1%	30.1K	6.1M	-38.2K	0.96	79.13	N/A	N/A	49,728	47,808	1,078,272	668,928
2011-08-26	$0.32	$0.36	96.6%	27.7%	145.9%	55.8%	92.7%	27.2%	-8.7%	36.4K	5.0M	-42.8K	0.56	84.37	N/A	N/A	128,448	72,000	1,098,432	709,440
2011-08-29	$0.35	$0.38	81.5%	23.4%	150.0%	42.1%	90.9%	24.7%	-3.5%	71.5K	1.1M	-46.9K	1.15	69.70	N/A	N/A	76,608	87,936	1,114,560	727,488
2011-08-30	$0.36	$0.36	83.7%	24.0%	148.2%	44.2%	82.5%	22.2%	-5.8%	92.4K	-848.7K	-50.2K	0.50	70.13	N/A	N/A	116,736	57,792	1,138,368	732,288
2011-08-31	$0.36	$0.38	79.8%	22.9%	147.8%	40.6%	82.4%	16.8%	-2.4%	115.5K	-1.7M	-52.7K	0.61	65.89	N/A	N/A	132,096	80,832	1,186,560	754,560