TQQQ Options History — March 2016

In March 2016, TQQQ traded between $1.84 and $2.15. ATM implied volatility averaged 52.0%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 1.7% (HV 20d: 50.3%). Max pain ranged from $1.77 to $1.90. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.04.

Notable Days

2016-03-11: Highest Volume — 919,200 contracts
2016-03-29: Largest IV drop — 8.2% change
2016-03-08: Highest IV Rank — 37.1%
2016-03-08: Largest Expected Move — 17.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.99	$1.84	$2.15	$1.92	$2.14
Max Pain	$1.82	$1.77	$1.90	$1.87	$1.90
ATM IV	52.0%	44.3%	62.6%	54.9%	44.4%
Expected Move	14.8%	11.2%	17.8%	16.8%	11.4%
HV 20d	50.3%	31.4%	75.0%	75.0%	31.6%
HV 60d	70.1%	66.7%	73.9%	73.9%	66.7%
IV Rank	22.9%	12.6%	37.1%	26.9%	12.7%
IV Percentile	56.6%	31.7%	73.4%	66.3%	32.5%
Term Structure	0.9%	-3.0%	6.4%	6.4%	-1.3%
VWIV	54.0%	44.3%	62.9%	56.5%	44.4%
Skew 25d	15.6%	12.3%	21.5%	21.5%	13.9%
Skew 10d	29.1%	23.4%	38.1%	32.0%	25.2%
Call IV 25d	44.5%	36.4%	55.0%	46.2%	37.8%
Put IV 25d	60.0%	50.6%	70.4%	67.7%	51.6%
Bid-Ask Spread %	42.38	16.70	73.73	73.73	67.97
Gamma HHI	0.08	0.05	0.28	0.06	0.07
Net GEX	2.2M	-144.7K	7.3M	2.4M	2.7M
Net DEX	-78.2M	-117.7M	-37.8M	-71.1M	-112.6M
Net VEX	-855.2K	-914.1K	-804.4K	-804.4K	-914.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.81	1.30	0.92	1.30
Total Volume	749,764.364	592,944	919,200	805,632	602,016
Total OI	2,756,295.273	2,261,184	3,127,728	2,762,592	2,599,632

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
2016-03-01	$1.92	$1.87	54.9%	16.8%	75.0%	26.9%	56.5%	21.5%	6.4%	2.4M	-71.1M	-804.4K	0.92	73.73	N/A	N/A	419,808	385,824	1,586,304	1,176,288
2016-03-02	$1.93	$1.87	56.7%	16.8%	70.5%	29.2%	56.7%	15.5%	-1.2%	2.8M	-79.1M	-824.6K	1.01	61.28	N/A	N/A	374,208	376,800	1,649,472	1,210,464
2016-03-03	$1.92	$1.77	57.4%	16.1%	70.3%	30.2%	59.5%	17.3%	1.4%	2.7M	-77.5M	-816.9K	0.92	29.17	N/A	N/A	385,536	354,960	1,669,056	1,237,872
2016-03-04	$1.93	$1.77	56.0%	16.4%	70.2%	28.3%	59.5%	16.9%	0.4%	1.7M	-84.3M	-826.0K	0.81	31.58	N/A	N/A	482,688	392,496	1,690,464	1,253,664
2016-03-07	$1.88	$1.77	59.5%	16.8%	55.2%	32.9%	60.6%	17.2%	-3.0%	1.6M	-52.7M	-806.1K	1.12	32.04	N/A	N/A	361,296	403,392	1,566,768	1,146,816
2016-03-08	$1.84	$1.77	62.6%	17.8%	53.8%	37.1%	62.9%	15.4%	-0.5%	1.3M	-39.2M	-827.5K	1.03	30.17	N/A	N/A	393,264	405,648	1,608,000	1,262,544
2016-03-09	$1.87	$1.77	60.5%	17.5%	53.4%	34.3%	61.2%	16.6%	1.2%	1.4M	-39.9M	-835.7K	1.09	23.23	N/A	N/A	373,008	406,464	1,648,656	1,310,352
2016-03-10	$1.86	$1.77	58.0%	16.8%	53.7%	31.0%	59.8%	14.0%	3.7%	1.6M	-37.8M	-831.7K	1.04	37.62	N/A	N/A	412,800	427,824	1,667,040	1,330,368
2016-03-11	$1.96	$1.77	54.1%	15.8%	55.6%	25.8%	58.5%	16.7%	1.5%	1.8M	-82.5M	-862.6K	1.00	26.17	N/A	N/A	459,936	459,264	1,668,048	1,391,952
2016-03-14	$1.98	$1.77	53.3%	15.4%	55.2%	24.7%	59.3%	15.9%	-0.3%	2.2M	-75.4M	-865.4K	0.96	17.52	N/A	N/A	383,328	368,736	1,603,488	1,320,384
2016-03-15	$1.97	$1.77	52.7%	15.1%	52.3%	23.9%	59.0%	16.1%	1.9%	2.3M	-70.4M	-861.1K	1.03	16.70	N/A	N/A	369,696	382,128	1,632,384	1,352,928
2016-03-16	$2.02	$1.77	49.6%	14.2%	47.5%	19.7%	56.2%	13.0%	3.6%	2.7M	-91.3M	-872.6K	1.11	68.41	N/A	N/A	378,096	421,440	1,655,952	1,383,792
2016-03-17	$2.02	$1.77	47.9%	13.8%	45.1%	17.5%	51.5%	12.8%	-1.3%	3.2M	-93.6M	-870.6K	1.15	37.15	N/A	N/A	351,312	403,728	1,671,216	1,409,040
2016-03-18	$2.03	$1.77	47.1%	13.4%	45.1%	16.4%	50.6%	14.0%	0.3%	7.3M	-98.0M	-866.4K	0.92	39.95	N/A	N/A	425,856	391,440	1,695,024	1,432,704
2016-03-21	$2.06	$1.79	46.6%	13.1%	43.1%	15.6%	48.3%	14.8%	2.0%	1.4M	-85.3M	-864.0K	1.00	40.80	N/A	N/A	309,312	308,016	1,256,352	1,004,832
2016-03-22	$2.07	$1.87	47.7%	13.2%	38.6%	17.2%	47.3%	14.3%	-1.2%	2.0M	-92.9M	-873.4K	0.92	42.83	N/A	N/A	352,272	325,200	1,299,360	1,041,696
2016-03-23	$2.03	$1.87	47.2%	12.6%	39.7%	16.5%	47.5%	12.3%	6.0%	1.4M	-80.6M	-885.4K	1.02	44.71	N/A	N/A	340,752	347,904	1,351,344	1,090,032
2016-03-24	$2.02	$1.87	48.0%	13.5%	39.2%	17.6%	47.5%	16.6%	-0.4%	-144.7K	-71.4M	-868.9K	1.07	44.90	N/A	N/A	353,520	378,432	1,370,928	1,141,824
2016-03-28	$2.02	$1.87	49.4%	13.7%	39.3%	19.4%	51.8%	17.6%	2.8%	1.1M	-71.0M	-870.0K	1.03	47.07	N/A	N/A	292,560	300,384	1,259,520	1,067,664
2016-03-29	$2.11	$1.87	45.3%	13.3%	40.6%	14.0%	44.3%	15.6%	-0.5%	2.2M	-96.2M	-854.3K	1.20	62.07	N/A	N/A	340,608	410,256	1,299,312	1,089,504
2016-03-30	$2.15	$1.87	44.3%	11.2%	31.4%	12.6%	45.1%	14.2%	-1.1%	2.4M	-117.7M	-912.7K	1.20	57.31	N/A	N/A	309,648	372,960	1,355,472	1,179,984
2016-03-31	$2.14	$1.90	44.4%	11.4%	31.6%	12.7%	44.4%	13.9%	-1.3%	2.7M	-112.6M	-914.1K	1.30	67.97	N/A	N/A	261,840	340,176	1,394,736	1,204,896