TQQQ Options History — September 2011

In September 2011, TQQQ traded between $0.31 and $0.39. ATM implied volatility averaged 96.9%, placing in the 56.1% IV rank vs the trailing year. The 30-day expected move averaged 27.1%. IV traded above realized volatility by 2.4% (HV 20d: 94.5%). Max pain ranged from $0.32 to $0.38. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.08.

Notable Days

2011-09-15: Highest Volume — 186,432 contracts
2011-09-22: Largest IV spike — 30.5% change
2011-09-30: Highest IV Rank — 87.3%
2011-09-30: Largest Expected Move — 37.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.35	$0.31	$0.39	$0.35	$0.31
Max Pain	$0.34	$0.32	$0.38	$0.38	$0.34
ATM IV	96.9%	76.3%	131.5%	78.4%	131.5%
Expected Move	27.1%	21.9%	37.7%	22.5%	37.7%
HV 20d	94.5%	72.8%	140.9%	138.8%	79.8%
HV 60d	99.0%	96.5%	101.0%	96.5%	101.0%
IV Rank	56.1%	37.4%	87.3%	39.4%	87.3%
IV Percentile	94.6%	87.7%	99.2%	91.7%	99.2%
Term Structure	-2.4%	-14.2%	11.4%	10.5%	-14.2%
VWIV	94.2%	73.3%	110.2%	73.3%	110.2%
Skew 25d	27.7%	17.0%	38.7%	26.9%	37.5%
Skew 10d	53.4%	33.9%	77.6%	33.9%	51.9%
Call IV 25d	79.8%	67.6%	103.5%	68.2%	103.5%
Put IV 25d	107.5%	89.4%	140.9%	95.0%	140.9%
Bid-Ask Spread %	42.55	22.10	85.67	76.38	41.34
Gamma HHI	0.05	0.03	0.20	0.05	0.03
Net GEX	92.9K	-42.9K	260.1K	118.6K	-42.9K
Net DEX	-482.0K	-9.2M	6.0M	-691.3K	4.7M
Net VEX	-45.7K	-55.1K	-39.4K	-51.4K	-53.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.31	6.08	0.74	0.52
Total Volume	107,693.714	44,160	186,432	89,280	72,192
Total OI	1,671,021.714	867,456	2,364,288	1,984,320	1,444,032

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
2011-09-01	$0.35	$0.38	78.4%	22.5%	138.8%	39.4%	73.3%	26.9%	10.5%	118.6K	-691.3K	-51.4K	0.74	76.38	N/A	N/A	51,264	38,016	1,218,432	765,888
2011-09-02	$0.33	$0.38	91.2%	26.1%	140.9%	50.9%	81.7%	24.0%	-6.6%	47.8K	5.6M	-44.6K	0.47	85.67	N/A	N/A	116,352	54,528	1,240,896	794,496
2011-09-06	$0.33	$0.32	103.5%	25.6%	122.0%	62.0%	92.0%	38.7%	-2.9%	55.0K	6.0M	-40.6K	0.31	62.94	N/A	N/A	33,600	10,560	1,268,736	799,680
2011-09-07	$0.35	$0.32	91.4%	23.5%	116.0%	51.0%	77.6%	26.6%	-1.0%	121.5K	1.7M	-43.6K	0.62	30.61	N/A	N/A	55,104	33,984	1,269,888	804,864
2011-09-08	$0.34	$0.32	97.3%	25.1%	106.0%	56.4%	86.3%	26.5%	-6.3%	125.9K	1.2M	-43.4K	0.73	30.27	N/A	N/A	72,768	53,184	1,267,392	806,016
2011-09-09	$0.32	$0.34	110.8%	28.4%	100.5%	68.6%	100.6%	31.9%	-1.2%	54.3K	5.9M	-41.1K	0.44	34.47	N/A	N/A	115,200	50,880	1,299,648	824,448
2011-09-12	$0.33	$0.32	102.5%	27.9%	100.9%	61.1%	109.2%	32.1%	-4.4%	83.5K	4.8M	-39.4K	1.04	41.98	N/A	N/A	32,832	34,176	1,360,704	851,712
2011-09-13	$0.35	$0.32	94.7%	26.8%	100.7%	54.1%	91.6%	26.0%	-3.1%	185.6K	970.3K	-41.3K	0.87	26.92	N/A	N/A	42,048	36,480	1,366,080	868,608
2011-09-14	$0.36	$0.32	93.2%	27.2%	101.4%	52.7%	99.0%	33.1%	-7.6%	260.1K	-3.4M	-42.8K	1.12	30.93	N/A	N/A	78,912	88,128	1,376,064	883,008
2011-09-15	$0.38	$0.32	81.9%	23.5%	102.1%	42.5%	83.9%	20.1%	-1.2%	256.2K	-6.6M	-42.0K	0.69	28.98	N/A	N/A	110,208	76,224	1,375,680	924,288
2011-09-16	$0.39	$0.33	76.3%	21.9%	82.3%	37.4%	79.3%	23.4%	0.6%	248.1K	-9.2M	-43.1K	0.66	22.10	N/A	N/A	48,384	31,872	1,402,752	961,536
2011-09-19	$0.39	$0.33	82.5%	23.6%	77.9%	43.0%	83.9%	31.2%	-1.3%	68.5K	-4.8M	-42.2K	0.51	39.00	N/A	N/A	60,096	30,528	479,424	388,032
2011-09-20	$0.38	$0.33	82.6%	23.7%	78.7%	43.1%	89.6%	21.0%	-1.8%	87.3K	-5.4M	-44.3K	1.16	36.12	N/A	N/A	47,040	54,336	515,712	409,152
2011-09-21	$0.36	$0.34	82.7%	23.7%	72.8%	43.3%	87.6%	25.0%	11.4%	65.3K	-4.1M	-45.7K	0.72	43.51	N/A	N/A	98,304	71,232	541,248	452,928
2011-09-22	$0.33	$0.34	108.0%	30.9%	82.4%	66.0%	104.8%	25.8%	-6.9%	23.3K	156.9K	-46.6K	1.08	47.56	N/A	N/A	26,496	28,608	605,760	497,280
2011-09-23	$0.34	$0.34	103.9%	29.8%	80.7%	62.4%	101.9%	27.5%	-5.4%	32.6K	-646.3K	-47.8K	0.35	38.74	N/A	N/A	72,576	25,152	614,016	504,192
2011-09-26	$0.35	$0.34	104.5%	30.0%	77.9%	62.9%	105.8%	30.2%	2.7%	43.3K	-1.7M	-48.0K	0.99	38.17	N/A	N/A	30,720	30,336	624,000	512,640
2011-09-27	$0.36	$0.34	100.6%	28.8%	73.0%	59.4%	106.0%	28.3%	-8.6%	74.4K	-3.8M	-51.7K	1.59	41.29	N/A	N/A	31,680	50,304	646,272	537,024
2011-09-28	$0.34	$0.34	108.4%	31.1%	74.8%	66.4%	109.3%	29.2%	-6.6%	56.5K	-2.6M	-50.9K	6.08	43.77	N/A	N/A	22,464	136,512	663,552	562,176
2011-09-29	$0.33	$0.34	110.1%	31.6%	75.3%	68.0%	105.0%	17.0%	3.2%	-14.7K	1.9M	-55.1K	1.97	52.88	N/A	N/A	36,480	71,808	677,184	686,016
2011-09-30	$0.31	$0.34	131.5%	37.7%	79.8%	87.3%	110.2%	37.5%	-14.2%	-42.9K	4.7M	-53.8K	0.52	41.34	N/A	N/A	47,424	24,768	694,656	749,376