TQQQ Options History — August 2013

In August 2013, TQQQ traded between $0.80 and $0.87. ATM implied volatility averaged 37.6%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 7.7% (HV 20d: 29.9%). Max pain ranged from $0.78 to $0.79. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.37.

Notable Days

2013-08-15: Highest Volume — 240,480 contracts
2013-08-15: Largest IV spike — 27.9% change
2013-08-27: Highest IV Rank — 49.9%
2013-08-27: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.84	$0.80	$0.87	$0.86	$0.82
Max Pain	$0.78	$0.78	$0.79	$0.79	$0.78
ATM IV	37.6%	30.3%	46.2%	34.9%	45.6%
Expected Move	11.2%	9.9%	13.2%	10.0%	13.1%
HV 20d	29.9%	23.7%	37.9%	30.1%	36.9%
HV 60d	37.2%	36.1%	39.6%	36.2%	39.0%
IV Rank	22.6%	0.0%	49.9%	13.0%	48.1%
IV Percentile	33.3%	0.0%	77.0%	11.1%	73.8%
Term Structure	4.4%	-0.2%	7.6%	3.5%	3.1%
VWIV	40.3%	33.2%	49.0%	38.0%	44.6%
Skew 25d	8.5%	3.6%	11.2%	4.9%	10.3%
Skew 10d	17.8%	8.0%	32.7%	11.2%	22.7%
Call IV 25d	35.3%	29.2%	41.3%	33.3%	41.3%
Put IV 25d	43.8%	32.9%	52.5%	38.1%	51.6%
Bid-Ask Spread %	49.26	24.56	66.41	66.41	55.96
Gamma HHI	0.08	0.04	0.21	0.08	0.08
Net GEX	117.9K	-59.3K	372.9K	122.1K	-59.3K
Net DEX	-12.9M	-23.9M	-2.2M	-17.4M	-5.3M
Net VEX	-70.8K	-84.5K	-61.8K	-72.6K	-84.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.37	0.31	5.93	1.47	0.92
Total Volume	85,819.636	16,416	240,480	77,856	46,176
Total OI	997,108.364	786,144	1,175,520	954,144	1,104,864

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
2013-08-01	$0.86	$0.79	34.9%	10.0%	30.1%	13.0%	38.0%	4.9%	3.5%	122.1K	-17.4M	-72.6K	1.47	66.41	N/A	N/A	31,584	46,272	429,312	524,832
2013-08-02	$0.87	$0.79	38.0%	10.9%	29.8%	22.6%	33.2%	3.6%	3.6%	154.0K	-20.5M	-66.0K	1.56	65.42	N/A	N/A	21,120	33,024	433,056	535,776
2013-08-05	$0.87	$0.78	30.3%	9.9%	29.9%	0.0%	37.1%	6.9%	6.4%	230.1K	-21.1M	-63.9K	1.22	63.33	N/A	N/A	33,024	40,224	438,048	546,336
2013-08-06	$0.86	$0.78	31.9%	10.7%	31.1%	4.9%	36.6%	7.4%	6.5%	99.2K	-17.9M	-68.4K	0.70	61.45	N/A	N/A	44,448	31,296	454,752	565,920
2013-08-07	$0.85	$0.78	31.5%	10.6%	31.1%	3.8%	35.8%	7.4%	6.3%	73.5K	-17.0M	-71.2K	1.16	56.99	N/A	N/A	31,584	36,768	469,920	581,568
2013-08-08	$0.86	$0.78	31.0%	9.9%	23.7%	2.0%	37.3%	7.5%	7.6%	130.5K	-19.9M	-70.2K	1.37	63.50	N/A	N/A	38,304	52,608	475,680	600,960
2013-08-09	$0.85	$0.78	31.9%	10.5%	24.1%	5.0%	39.7%	8.2%	7.1%	75.0K	-17.3M	-69.8K	2.33	41.69	N/A	N/A	14,496	33,792	475,392	591,648
2013-08-12	$0.86	$0.78	34.4%	10.7%	24.0%	12.7%	38.4%	8.4%	7.2%	221.4K	-19.7M	-63.5K	1.65	35.46	N/A	N/A	21,216	34,944	477,216	583,296
2013-08-13	$0.87	$0.78	30.5%	10.2%	24.4%	0.6%	37.7%	7.8%	7.1%	372.9K	-23.9M	-61.8K	0.51	31.66	N/A	N/A	50,592	25,824	489,600	605,856
2013-08-14	$0.86	$0.78	31.6%	10.5%	24.9%	3.8%	36.5%	8.2%	6.5%	257.5K	-19.9M	-63.1K	0.31	43.40	N/A	N/A	52,608	16,224	472,128	609,120
2013-08-15	$0.82	$0.78	40.3%	11.6%	31.3%	31.5%	41.1%	10.3%	5.4%	-32.6K	-5.3M	-62.8K	1.62	29.78	N/A	N/A	91,776	148,704	473,664	589,536
2013-08-16	$0.82	$0.78	40.5%	11.6%	29.1%	32.0%	41.2%	10.0%	4.8%	15.8K	-2.2M	-65.5K	1.93	41.11	N/A	N/A	61,824	119,040	513,408	662,112
2013-08-19	$0.81	$0.78	41.6%	11.9%	29.1%	35.5%	41.1%	10.4%	2.2%	51.1K	-5.8M	-67.1K	0.48	24.56	N/A	N/A	78,144	37,632	365,952	420,192
2013-08-20	$0.83	$0.78	40.4%	11.6%	28.1%	31.6%	40.2%	8.7%	2.5%	110.8K	-7.7M	-73.7K	0.43	64.99	N/A	N/A	15,264	6,528	398,112	445,920
2013-08-21	$0.82	$0.78	42.0%	12.0%	28.3%	36.7%	44.1%	10.2%	-0.2%	97.8K	-6.7M	-73.7K	0.97	39.58	N/A	N/A	44,256	43,008	407,136	451,008
2013-08-22	$0.84	$0.78	38.0%	10.9%	29.3%	24.0%	42.9%	9.7%	6.9%	146.2K	-10.4M	-76.1K	1.14	60.82	N/A	N/A	7,680	8,736	422,496	482,304
2013-08-23	$0.86	$0.78	37.8%	10.8%	29.6%	23.4%	39.1%	8.2%	3.4%	196.6K	-13.5M	-73.8K	0.81	50.65	N/A	N/A	18,624	15,072	423,936	486,720
2013-08-26	$0.86	$0.78	39.6%	11.4%	29.5%	29.1%	42.0%	8.6%	1.8%	184.8K	-13.5M	-71.9K	2.05	50.22	N/A	N/A	22,464	46,080	425,472	495,648
2013-08-27	$0.80	$0.78	46.2%	13.2%	37.6%	49.9%	45.1%	11.2%	0.8%	-5.8K	-3.6M	-75.3K	0.37	44.91	N/A	N/A	90,816	33,312	430,560	512,352
2013-08-28	$0.82	$0.78	44.1%	12.6%	37.9%	43.2%	49.0%	10.0%	2.2%	106.6K	-6.9M	-79.0K	5.93	41.46	N/A	N/A	28,704	170,304	473,184	516,576
2013-08-29	$0.83	$0.78	44.3%	12.7%	37.0%	44.0%	46.3%	9.8%	2.6%	44.9K	-9.1M	-82.9K	1.20	50.32	N/A	N/A	29,088	34,848	481,056	593,760
2013-08-30	$0.82	$0.78	45.6%	13.1%	36.9%	48.1%	44.6%	10.3%	3.1%	-59.3K	-5.3M	-84.5K	0.92	55.96	N/A	N/A	24,000	22,176	488,064	616,800