TQQQ Options History — October 2011

In October 2011, TQQQ traded between $0.28 and $0.43. ATM implied volatility averaged 88.4%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 25.5%. IV traded above realized volatility by 3.1% (HV 20d: 85.4%). Max pain ranged from $0.32 to $0.40. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.11.

Notable Days

2011-10-21: Highest Volume — 587,520 contracts
2011-10-04: Largest IV drop — 15.9% change
2011-10-03: Highest IV Rank — 96.0%
2011-10-03: Largest Expected Move — 40.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.38	$0.28	$0.43	$0.28	$0.41
Max Pain	$0.35	$0.32	$0.40	$0.34	$0.39
ATM IV	88.4%	66.8%	141.1%	141.1%	74.7%
Expected Move	25.5%	19.1%	40.5%	40.5%	21.4%
HV 20d	85.4%	75.9%	91.0%	80.9%	75.9%
HV 60d	105.2%	102.2%	107.4%	102.2%	103.3%
IV Rank	48.4%	28.8%	96.0%	96.0%	36.0%
IV Percentile	84.7%	72.2%	99.2%	99.2%	75.4%
Term Structure	-2.1%	-17.2%	4.9%	-17.2%	4.9%
VWIV	90.7%	72.6%	123.9%	123.9%	81.3%
Skew 25d	24.8%	17.0%	34.1%	34.1%	22.8%
Skew 10d	59.2%	35.4%	80.8%	53.6%	40.6%
Call IV 25d	75.7%	59.2%	112.3%	112.3%	65.1%
Put IV 25d	100.5%	76.1%	146.4%	146.4%	87.9%
Bid-Ask Spread %	32.31	18.30	58.51	54.55	40.27
Gamma HHI	0.09	0.03	0.21	0.03	0.11
Net GEX	290.5K	-69.3K	1.0M	-69.3K	209.9K
Net DEX	-8.9M	-28.3M	7.1M	7.1M	-7.9M
Net VEX	-63.7K	-74.2K	-47.4K	-47.4K	-68.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.17	7.82	0.91	0.39
Total Volume	230,363.429	19,968	587,520	154,560	52,416
Total OI	1,968,118.857	1,496,640	2,728,320	1,496,640	1,850,496

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
2011-10-03	$0.28	$0.34	141.1%	40.5%	80.9%	96.0%	123.9%	34.1%	-17.2%	-69.3K	7.1M	-47.4K	0.91	54.55	N/A	N/A	80,832	73,728	723,456	773,184
2011-10-04	$0.30	$0.33	118.7%	34.0%	84.2%	75.7%	111.7%	19.6%	-9.1%	-46.7K	5.3M	-52.0K	0.85	58.51	N/A	N/A	109,824	93,888	763,200	774,528
2011-10-05	$0.32	$0.32	107.7%	30.9%	84.2%	65.8%	111.3%	20.6%	-3.5%	-10.1K	2.3M	-58.0K	0.56	49.65	N/A	N/A	79,488	44,736	812,352	831,168
2011-10-06	$0.34	$0.32	103.3%	29.6%	86.2%	61.9%	104.5%	22.2%	-2.5%	30.7K	-202.0K	-61.5K	0.42	42.77	N/A	N/A	86,592	36,672	837,888	859,776
2011-10-07	$0.33	$0.33	102.0%	28.6%	82.9%	60.6%	100.0%	27.5%	-7.7%	15.8K	717.6K	-61.3K	0.28	26.36	N/A	N/A	15,552	4,416	863,040	882,048
2011-10-10	$0.37	$0.33	90.0%	27.1%	88.9%	49.8%	92.6%	23.8%	-3.5%	110.0K	-4.8M	-60.2K	1.10	23.78	N/A	N/A	90,816	99,648	864,960	882,624
2011-10-11	$0.38	$0.33	85.1%	26.4%	88.2%	45.4%	103.6%	25.6%	-2.3%	134.9K	-6.5M	-63.2K	1.83	26.09	N/A	N/A	47,808	87,360	890,688	959,232
2011-10-12	$0.38	$0.33	78.5%	23.5%	87.2%	39.4%	80.0%	27.9%	0.6%	176.5K	-8.0M	-63.7K	0.71	21.89	N/A	N/A	117,696	83,136	906,816	1,006,272
2011-10-13	$0.39	$0.34	81.9%	23.5%	86.3%	42.5%	87.7%	27.4%	-1.3%	240.2K	-10.7M	-63.7K	0.20	20.59	N/A	N/A	467,520	93,312	956,928	1,012,608
2011-10-14	$0.41	$0.34	77.2%	22.1%	87.9%	38.3%	76.5%	27.3%	0.4%	780.5K	-28.3M	-70.7K	0.20	21.36	N/A	N/A	474,432	93,888	1,353,408	1,032,384
2011-10-17	$0.39	$0.34	82.8%	23.8%	89.7%	43.3%	93.8%	28.2%	-1.1%	803.8K	-18.2M	-69.3K	0.76	18.30	N/A	N/A	139,200	105,792	1,386,240	1,071,936
2011-10-18	$0.41	$0.34	82.9%	23.8%	90.3%	43.4%	87.1%	25.2%	-3.7%	1.0M	-25.2M	-68.8K	1.75	21.95	N/A	N/A	93,120	162,624	1,418,880	1,103,232
2011-10-19	$0.39	$0.35	89.4%	25.6%	91.0%	49.3%	97.1%	29.2%	-3.4%	659.3K	-13.1M	-65.9K	0.86	20.24	N/A	N/A	122,880	105,408	1,411,584	1,168,128
2011-10-20	$0.38	$0.36	90.3%	25.9%	82.4%	50.1%	96.2%	25.5%	-2.0%	646.6K	-10.1M	-62.3K	1.10	20.25	N/A	N/A	129,792	143,232	1,462,656	1,198,080
2011-10-21	$0.39	$0.36	82.8%	23.7%	82.6%	43.3%	79.9%	28.3%	1.0%	69.9K	-19.2M	-58.6K	0.17	26.62	N/A	N/A	502,848	84,672	1,485,120	1,243,200
2011-10-24	$0.42	$0.36	77.3%	22.2%	84.2%	38.4%	78.1%	22.5%	-1.6%	264.5K	-11.1M	-64.9K	1.06	35.34	N/A	N/A	167,424	176,832	811,008	708,096
2011-10-25	$0.40	$0.40	79.9%	22.9%	87.1%	40.7%	77.0%	24.4%	2.0%	255.6K	-7.4M	-74.2K	0.81	29.80	N/A	N/A	32,640	26,304	943,296	842,688
2011-10-26	$0.39	$0.40	75.4%	21.6%	84.9%	36.6%	74.8%	23.6%	2.1%	173.2K	-5.2M	-67.0K	0.27	40.01	N/A	N/A	72,384	19,392	857,280	852,864
2011-10-27	$0.43	$0.39	66.8%	19.1%	87.3%	28.8%	72.6%	17.5%	2.5%	324.0K	-13.2M	-69.0K	1.32	37.53	N/A	N/A	133,440	175,872	898,176	861,504
2011-10-28	$0.43	$0.39	68.8%	19.7%	80.2%	30.7%	74.2%	17.0%	0.1%	313.5K	-13.0M	-67.7K	7.82	42.73	N/A	N/A	12,480	97,536	889,344	880,128
2011-10-31	$0.41	$0.39	74.7%	21.4%	75.9%	36.0%	81.3%	22.8%	4.9%	209.9K	-7.9M	-68.0K	0.39	40.27	N/A	N/A	37,632	14,784	893,184	957,312