TQQQ Options History — May 2012

In May 2012, TQQQ traded between $0.45 and $0.60. ATM implied volatility averaged 60.8%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded above realized volatility by 7.9% (HV 20d: 52.9%). Max pain ranged from $0.47 to $0.57. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.45.

Notable Days

2012-05-09: Highest Volume — 407,232 contracts
2012-05-04: Largest IV spike — 15.7% change
2012-05-18: Highest IV Rank — 32.0%
2012-05-18: Largest Expected Move — 20.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.51	$0.45	$0.60	$0.60	$0.47
Max Pain	$0.52	$0.47	$0.57	$0.57	$0.47
ATM IV	60.8%	46.1%	72.7%	46.1%	69.4%
Expected Move	17.3%	13.2%	20.8%	13.2%	19.9%
HV 20d	52.9%	45.7%	59.9%	53.6%	51.9%
HV 60d	45.1%	40.7%	48.5%	40.7%	48.1%
IV Rank	21.8%	10.1%	32.0%	10.1%	29.0%
IV Percentile	53.0%	23.4%	66.7%	23.4%	63.1%
Term Structure	1.5%	-3.0%	4.3%	3.7%	-3.0%
VWIV	59.7%	41.9%	68.5%	41.9%	68.5%
Skew 25d	15.8%	10.4%	19.9%	10.4%	19.9%
Skew 10d	29.4%	4.8%	41.1%	19.9%	30.6%
Call IV 25d	52.8%	41.8%	62.7%	41.8%	55.4%
Put IV 25d	68.6%	52.1%	81.7%	52.1%	75.3%
Bid-Ask Spread %	42.55	28.46	85.47	46.51	39.63
Gamma HHI	0.21	0.03	0.49	0.14	0.40
Net GEX	290.8K	-421.8K	1.7M	1.1M	588.0K
Net DEX	1.6M	-22.1M	21.9M	-18.1M	-5.9M
Net VEX	-64.7K	-101.8K	-34.4K	-90.9K	-60.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.04	1.08	0.17	0.19
Total Volume	173,450.182	32,448	407,232	402,432	156,000
Total OI	1,984,128	1,120,224	2,620,512	2,058,816	1,607,904

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
2012-05-01	$0.60	$0.57	46.1%	13.2%	53.6%	10.1%	41.9%	10.4%	3.7%	1.1M	-18.1M	-90.9K	0.17	46.51	N/A	N/A	343,488	58,944	1,218,048	840,768
2012-05-02	$0.60	$0.57	46.6%	13.3%	53.7%	10.5%	50.8%	10.5%	2.5%	1.7M	-22.1M	-101.8K	0.56	47.37	N/A	N/A	124,416	69,696	1,484,352	869,760
2012-05-03	$0.58	$0.57	48.5%	13.9%	52.9%	12.3%	48.5%	12.0%	3.3%	751.2K	-9.8M	-87.3K	0.41	39.21	N/A	N/A	82,368	34,176	1,207,680	923,136
2012-05-04	$0.54	$0.52	56.2%	15.8%	58.3%	19.2%	49.8%	15.4%	4.3%	61.2K	5.0M	-74.2K	0.55	36.36	N/A	N/A	176,640	97,728	1,247,808	937,344
2012-05-07	$0.54	$0.52	57.4%	15.8%	58.1%	20.3%	54.0%	14.9%	1.8%	37.4K	5.6M	-69.4K	0.48	41.82	N/A	N/A	106,944	50,880	1,271,424	954,816
2012-05-08	$0.54	$0.52	58.5%	15.8%	55.8%	21.3%	56.3%	15.2%	2.9%	-16.4K	6.9M	-72.3K	0.63	29.03	N/A	N/A	137,280	86,784	1,323,072	975,936
2012-05-09	$0.53	$0.52	60.0%	17.2%	55.4%	22.7%	57.1%	16.0%	0.7%	9.9K	6.7M	-71.9K	0.32	38.46	N/A	N/A	307,968	99,264	1,372,992	971,520
2012-05-10	$0.53	$0.52	59.0%	16.9%	53.6%	19.3%	61.6%	15.0%	1.3%	410.5K	4.4M	-77.7K	0.56	28.46	N/A	N/A	50,304	28,224	1,616,640	984,576
2012-05-11	$0.53	$0.55	62.4%	17.9%	51.6%	22.4%	63.5%	18.9%	-2.0%	240.1K	4.0M	-34.4K	0.44	85.47	N/A	N/A	29,664	13,152	794,496	511,104
2012-05-14	$0.51	$0.52	62.4%	17.9%	51.3%	22.4%	63.7%	15.7%	0.4%	162.8K	10.4M	-63.3K	0.35	31.81	N/A	N/A	127,104	44,544	1,630,368	990,144
2012-05-15	$0.51	$0.52	62.6%	17.9%	45.7%	22.6%	62.4%	16.7%	1.9%	78.6K	12.1M	-59.3K	0.78	39.72	N/A	N/A	41,088	32,160	1,629,312	978,528
2012-05-16	$0.50	$0.52	65.0%	18.6%	46.0%	24.9%	62.3%	17.0%	3.9%	-310.0K	16.0M	-54.1K	1.07	38.97	N/A	N/A	52,416	56,160	1,540,224	984,288
2012-05-17	$0.47	$0.52	71.1%	20.4%	49.3%	30.6%	67.5%	18.1%	0.6%	-421.8K	20.4M	-49.0K	1.08	41.59	N/A	N/A	87,456	94,176	1,555,776	974,496
2012-05-18	$0.45	$0.52	72.7%	20.8%	50.5%	32.0%	66.8%	19.0%	0.3%	-318.5K	21.9M	-44.6K	0.91	41.20	N/A	N/A	201,984	183,744	1,608,096	946,944
2012-05-21	$0.49	$0.49	61.6%	17.7%	59.9%	21.8%	62.1%	17.9%	1.3%	25.2K	2.1M	-48.3K	0.11	35.13	N/A	N/A	177,024	20,256	596,352	523,872
2012-05-22	$0.48	$0.49	62.6%	18.0%	59.8%	22.7%	62.8%	16.6%	2.7%	142.1K	-278.2K	-55.3K	0.33	38.10	N/A	N/A	51,936	17,280	707,616	534,528
2012-05-23	$0.49	$0.49	60.3%	17.3%	51.5%	20.5%	60.5%	15.3%	3.5%	181.8K	-1.2M	-56.0K	0.04	31.32	N/A	N/A	253,440	10,944	729,696	537,696
2012-05-24	$0.48	$0.49	65.6%	18.8%	50.6%	25.4%	64.6%	16.4%	0.1%	397.1K	-4.1M	-64.6K	0.24	33.44	N/A	N/A	44,736	10,560	928,992	543,456
2012-05-25	$0.48	$0.49	62.4%	17.9%	49.5%	22.4%	61.5%	14.9%	0.9%	444.3K	-3.6M	-62.7K	0.33	55.98	N/A	N/A	42,816	14,016	948,384	547,968
2012-05-29	$0.49	$0.49	58.8%	16.9%	52.3%	19.1%	63.1%	15.4%	3.4%	546.1K	-7.3M	-61.8K	0.07	61.05	N/A	N/A	155,040	10,656	951,168	549,120
2012-05-30	$0.48	$0.47	67.7%	19.4%	52.3%	27.4%	63.9%	15.9%	-1.9%	595.0K	-7.5M	-63.4K	0.19	55.50	N/A	N/A	27,360	5,088	1,047,936	552,480
2012-05-31	$0.47	$0.47	69.4%	19.9%	51.9%	29.0%	68.5%	19.9%	-3.0%	588.0K	-5.9M	-60.8K	0.19	39.63	N/A	N/A	130,752	25,248	1,052,736	555,168