TQQQ Options History — November 2011

In November 2011, TQQQ traded between $0.30 and $0.42. ATM implied volatility averaged 81.9%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 23.6%. IV traded above realized volatility by 1.1% (HV 20d: 80.8%). Max pain ranged from $0.36 to $0.39. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.23.

Notable Days

2011-11-29: Highest Volume — 449,088 contracts
2011-11-09: Largest IV spike — 47.2% change
2011-11-09: Highest IV Rank — 54.8%
2011-11-25: Largest Expected Move — 25.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.37	$0.30	$0.42	$0.37	$0.36
Max Pain	$0.38	$0.36	$0.39	$0.39	$0.36
ATM IV	81.9%	64.9%	95.5%	88.0%	71.4%
Expected Move	23.6%	20.5%	25.9%	25.2%	20.5%
HV 20d	80.8%	72.1%	89.2%	81.8%	89.2%
HV 60d	84.8%	79.2%	96.5%	96.5%	84.3%
IV Rank	42.5%	27.1%	54.8%	48.0%	33.0%
IV Percentile	79.7%	67.5%	89.3%	85.3%	67.5%
Term Structure	1.4%	-4.7%	7.8%	-1.3%	7.8%
VWIV	83.6%	71.3%	99.6%	85.9%	71.3%
Skew 25d	23.3%	18.0%	28.0%	26.7%	18.0%
Skew 10d	49.4%	33.4%	69.8%	54.4%	37.9%
Call IV 25d	71.5%	61.2%	81.9%	80.9%	62.7%
Put IV 25d	94.8%	80.7%	107.6%	107.6%	80.7%
Bid-Ask Spread %	48.01	32.56	64.57	36.68	62.01
Gamma HHI	0.11	0.08	0.25	0.10	0.25
Net GEX	71.0K	-469.9K	599.6K	61.3K	312.5K
Net DEX	-150.8K	-13.3M	10.6M	-67.1K	-6.6M
Net VEX	-53.3K	-66.7K	-36.6K	-66.0K	-58.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.23	0.03	3.93	0.32	0.45
Total Volume	177,142.857	45,504	449,088	267,840	250,752
Total OI	1,869,595.429	1,295,808	2,332,992	1,879,104	1,917,888

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
2011-11-01	$0.37	$0.39	88.0%	25.2%	81.8%	48.0%	85.9%	26.7%	-1.3%	61.3K	-67.1K	-66.0K	0.32	36.68	N/A	N/A	202,176	65,664	912,000	967,104
2011-11-02	$0.38	$0.39	85.2%	24.4%	78.6%	45.5%	89.8%	23.3%	0.8%	105.0K	-2.0M	-66.2K	0.87	32.56	N/A	N/A	28,800	24,960	942,912	985,920
2011-11-03	$0.41	$0.39	75.5%	21.7%	79.3%	36.7%	80.2%	21.3%	3.3%	233.9K	-8.1M	-66.7K	0.86	40.78	N/A	N/A	39,168	33,600	942,144	992,064
2011-11-04	$0.40	$0.38	76.4%	22.2%	79.1%	37.5%	87.1%	24.1%	-2.8%	227.7K	-6.6M	-66.1K	3.27	38.04	N/A	N/A	15,360	50,304	949,056	1,009,728
2011-11-07	$0.41	$0.38	72.0%	22.1%	72.1%	33.6%	80.8%	23.4%	-1.7%	283.2K	-8.7M	-60.6K	3.93	39.17	N/A	N/A	10,944	43,008	949,824	1,017,792
2011-11-08	$0.42	$0.38	64.9%	21.3%	72.5%	27.1%	78.1%	22.7%	2.5%	418.9K	-13.3M	-59.8K	2.58	38.60	N/A	N/A	67,776	174,912	950,784	1,028,928
2011-11-09	$0.38	$0.38	95.5%	25.7%	83.0%	54.8%	92.0%	27.6%	-4.7%	50.5K	176.7K	-60.8K	0.85	49.23	N/A	N/A	139,008	118,080	953,088	1,051,776
2011-11-10	$0.38	$0.38	84.3%	24.2%	82.4%	44.7%	83.4%	28.0%	-0.3%	36.9K	1.1M	-59.8K	0.36	51.03	N/A	N/A	178,752	63,744	981,888	1,067,328
2011-11-11	$0.40	$0.38	77.0%	22.1%	82.5%	38.1%	75.5%	25.6%	2.1%	382.2K	-6.6M	-60.4K	0.37	42.16	N/A	N/A	137,664	51,264	1,045,056	1,078,272
2011-11-14	$0.39	$0.38	80.9%	23.2%	81.0%	41.6%	81.3%	23.1%	1.1%	290.0K	-3.8M	-55.1K	1.24	38.92	N/A	N/A	34,944	43,200	1,044,480	1,092,480
2011-11-15	$0.40	$0.38	77.0%	22.1%	80.8%	38.1%	85.0%	26.9%	2.5%	599.6K	-8.5M	-55.3K	1.57	34.16	N/A	N/A	65,856	103,296	1,050,816	1,103,616
2011-11-16	$0.38	$0.38	81.0%	23.2%	80.0%	41.7%	87.3%	23.4%	5.8%	119.1K	-32.2K	-54.1K	1.00	39.77	N/A	N/A	49,152	48,960	1,069,632	1,152,384
2011-11-17	$0.36	$0.38	88.4%	25.4%	83.8%	48.4%	99.6%	26.8%	0.8%	-469.9K	8.8M	-47.7K	2.86	43.56	N/A	N/A	104,256	297,984	1,094,592	1,163,712
2011-11-18	$0.35	$0.38	88.1%	25.3%	82.9%	48.1%	76.2%	23.2%	0.7%	-460.2K	10.6M	-44.7K	0.63	52.72	N/A	N/A	110,016	68,928	1,156,416	1,176,576
2011-11-21	$0.33	$0.38	86.3%	24.7%	81.1%	46.4%	86.0%	22.7%	4.7%	-118.5K	6.2M	-40.4K	0.95	64.57	N/A	N/A	119,040	112,896	620,928	674,880
2011-11-22	$0.33	$0.38	82.3%	23.6%	79.4%	42.9%	80.8%	21.2%	2.5%	-114.5K	5.9M	-40.7K	0.61	56.57	N/A	N/A	75,648	46,464	655,680	682,176
2011-11-23	$0.31	$0.38	89.6%	25.7%	82.2%	49.4%	82.2%	22.4%	0.9%	-120.2K	8.0M	-38.1K	0.39	61.79	N/A	N/A	85,824	33,600	689,664	708,864
2011-11-25	$0.30	$0.37	90.4%	25.9%	75.2%	50.1%	91.5%	21.0%	-0.3%	-112.5K	8.3M	-36.6K	1.42	61.96	N/A	N/A	18,816	26,688	721,344	709,056
2011-11-28	$0.33	$0.37	83.1%	23.8%	85.4%	43.6%	86.4%	19.9%	1.1%	-106.6K	5.6M	-40.9K	1.37	62.36	N/A	N/A	54,528	74,880	730,560	717,888
2011-11-29	$0.33	$0.37	82.1%	23.5%	84.2%	42.7%	76.1%	18.3%	3.5%	-127.1K	6.3M	-40.7K	0.03	61.64	N/A	N/A	434,496	14,592	748,992	753,216
2011-11-30	$0.36	$0.36	71.4%	20.5%	89.2%	33.0%	71.3%	18.0%	7.8%	312.5K	-6.6M	-58.1K	0.45	62.01	N/A	N/A	172,608	78,144	1,155,648	762,240