TQQQ Options History — July 2013

In July 2013, TQQQ traded between $0.71 and $0.83. ATM implied volatility averaged 36.6%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 2.8% (HV 20d: 39.4%). Max pain ranged from $0.68 to $0.79. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.29.

Notable Days

2013-07-19: Highest Volume — 184,320 contracts
2013-07-09: Largest IV drop — 10.2% change
2013-07-01: Highest IV Rank — 32.3%
2013-07-05: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.79	$0.71	$0.83	$0.71	$0.83
Max Pain	$0.74	$0.68	$0.79	$0.68	$0.79
ATM IV	36.6%	33.0%	41.0%	41.0%	36.6%
Expected Move	10.7%	9.5%	11.9%	11.7%	10.5%
HV 20d	39.4%	29.1%	49.0%	49.0%	29.1%
HV 60d	38.9%	35.8%	43.8%	43.8%	35.8%
IV Rank	18.4%	6.8%	32.3%	32.3%	18.2%
IV Percentile	19.4%	3.2%	43.3%	43.3%	18.7%
Term Structure	2.7%	1.1%	4.7%	2.2%	1.6%
VWIV	39.0%	34.6%	44.5%	42.9%	40.5%
Skew 25d	7.6%	5.9%	10.3%	9.0%	7.4%
Skew 10d	14.5%	9.8%	19.7%	18.6%	12.6%
Call IV 25d	34.3%	30.3%	37.5%	37.3%	33.9%
Put IV 25d	41.8%	36.1%	47.0%	46.3%	41.3%
Bid-Ask Spread %	39.19	13.61	63.69	60.58	52.85
Gamma HHI	0.09	0.06	0.19	0.06	0.09
Net GEX	216.7K	-241.3K	632.2K	244.1K	96.3K
Net DEX	-13.4M	-26.4M	-4.6M	-4.7M	-12.8M
Net VEX	-63.0K	-74.1K	-53.9K	-61.4K	-74.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.29	0.47	3.18	1.06	2.46
Total Volume	89,829.818	19,296	184,320	114,528	93,024
Total OI	934,053.818	715,968	1,105,632	838,848	909,696

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
2013-07-01	$0.71	$0.68	41.0%	11.7%	49.0%	32.3%	42.9%	9.0%	2.2%	244.1K	-4.7M	-61.4K	1.06	60.58	N/A	N/A	55,584	58,944	436,032	402,816
2013-07-02	$0.71	$0.69	40.3%	11.5%	48.9%	30.0%	41.1%	9.1%	4.0%	207.5K	-4.6M	-63.5K	1.32	59.75	N/A	N/A	33,888	44,832	448,512	431,520
2013-07-03	$0.72	$0.69	39.6%	11.3%	47.2%	27.7%	40.8%	8.0%	3.8%	265.0K	-6.4M	-64.1K	0.69	58.59	N/A	N/A	11,424	7,872	460,320	438,528
2013-07-05	$0.73	$0.68	36.5%	11.9%	47.6%	17.9%	42.4%	9.5%	2.1%	378.5K	-9.7M	-60.9K	0.55	13.61	N/A	N/A	75,840	42,048	467,424	438,528
2013-07-08	$0.73	$0.68	38.2%	11.7%	45.2%	23.4%	44.5%	10.3%	1.8%	515.3K	-10.7M	-60.7K	1.36	15.84	N/A	N/A	67,296	91,392	508,320	458,208
2013-07-09	$0.75	$0.68	34.3%	11.2%	45.7%	10.9%	41.4%	8.4%	3.9%	632.2K	-14.0M	-60.6K	1.20	14.58	N/A	N/A	54,912	66,048	513,504	466,080
2013-07-10	$0.76	$0.71	34.4%	11.1%	44.8%	11.3%	40.0%	8.2%	2.0%	621.7K	-16.3M	-59.7K	0.96	26.51	N/A	N/A	36,576	35,136	512,064	495,456
2013-07-11	$0.81	$0.71	36.7%	10.5%	47.1%	18.5%	38.8%	8.2%	2.4%	586.0K	-26.4M	-53.9K	1.65	22.46	N/A	N/A	59,616	98,592	514,848	510,720
2013-07-12	$0.82	$0.73	37.7%	10.8%	45.9%	21.9%	42.9%	8.1%	2.8%	353.0K	-26.3M	-55.3K	3.18	35.71	N/A	N/A	31,200	99,360	511,776	548,352
2013-07-15	$0.82	$0.75	37.9%	10.9%	45.1%	22.6%	40.9%	7.6%	1.7%	287.2K	-25.0M	-54.1K	1.04	26.21	N/A	N/A	50,112	52,224	491,136	576,672
2013-07-16	$0.82	$0.76	39.4%	11.3%	44.6%	27.1%	39.8%	6.9%	1.1%	243.5K	-23.3M	-59.7K	1.66	31.22	N/A	N/A	30,720	50,880	498,240	606,912
2013-07-17	$0.83	$0.76	37.4%	10.7%	44.1%	21.0%	38.3%	7.0%	1.6%	190.0K	-22.7M	-58.3K	0.85	31.66	N/A	N/A	40,416	34,272	481,440	624,192
2013-07-18	$0.82	$0.79	36.8%	10.5%	42.2%	18.9%	39.5%	6.7%	2.5%	119.4K	-19.8M	-58.6K	1.67	35.23	N/A	N/A	32,064	53,472	472,320	588,960
2013-07-19	$0.79	$0.79	36.4%	10.4%	32.4%	17.6%	35.4%	6.6%	3.5%	-241.3K	-12.3M	-58.9K	0.58	44.28	N/A	N/A	116,832	67,488	485,184	614,880
2013-07-22	$0.80	$0.78	34.7%	9.9%	31.3%	12.1%	35.8%	6.3%	4.7%	26.5K	-7.5M	-62.8K	1.77	37.49	N/A	N/A	12,288	21,696	343,584	372,384
2013-07-23	$0.78	$0.78	36.4%	10.4%	30.0%	17.5%	35.8%	6.8%	2.1%	842	-5.4M	-64.3K	0.79	62.26	N/A	N/A	37,536	29,472	353,856	384,192
2013-07-24	$0.79	$0.77	35.2%	10.1%	29.6%	13.8%	35.8%	6.8%	3.8%	4.5K	-6.3M	-68.2K	0.47	42.30	N/A	N/A	43,776	20,448	366,912	410,880
2013-07-25	$0.80	$0.77	34.3%	9.8%	29.1%	10.9%	35.6%	6.5%	4.7%	59.6K	-8.6M	-72.2K	2.52	56.73	N/A	N/A	11,136	28,032	386,880	428,448
2013-07-26	$0.82	$0.78	33.0%	9.5%	29.2%	6.8%	34.9%	5.9%	2.8%	53.6K	-10.2M	-70.7K	1.10	63.69	N/A	N/A	34,656	38,112	387,936	444,096
2013-07-29	$0.81	$0.78	34.4%	9.8%	29.5%	11.1%	34.6%	6.4%	2.8%	39.8K	-9.5M	-72.8K	0.57	37.27	N/A	N/A	18,528	10,560	403,488	472,704
2013-07-30	$0.83	$0.78	35.2%	10.1%	29.2%	13.9%	37.0%	6.7%	1.3%	84.3K	-11.7M	-71.7K	0.91	33.44	N/A	N/A	40,800	37,152	405,696	475,488
2013-07-31	$0.83	$0.79	36.6%	10.5%	29.1%	18.2%	40.5%	7.4%	1.6%	96.3K	-12.8M	-74.1K	2.46	52.85	N/A	N/A	26,880	66,144	422,880	486,816