TQQQ Options History — May 2016

In May 2016, TQQQ traded between $1.88 and $2.18. ATM implied volatility averaged 45.8%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 8.7% (HV 20d: 37.1%). Max pain ranged from $1.94 to $2.10. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.90.

Notable Days

2016-05-16: Highest Volume — 967,488 contracts
2016-05-12: Largest IV spike — 13.8% change
2016-05-04: Highest IV Rank — 22.9%
2016-05-04: Largest Expected Move — 15.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.98	$1.88	$2.18	$1.98	$2.18
Max Pain	$1.98	$1.94	$2.10	$2.10	$1.98
ATM IV	45.8%	38.6%	51.9%	48.9%	41.2%
Expected Move	13.1%	10.1%	15.9%	14.2%	11.2%
HV 20d	37.1%	32.7%	42.8%	40.5%	38.5%
HV 60d	41.1%	37.4%	50.2%	50.2%	37.6%
IV Rank	14.7%	5.0%	22.9%	18.8%	8.5%
IV Percentile	34.8%	4.8%	58.3%	52.4%	11.9%
Term Structure	1.8%	-3.1%	7.2%	0.8%	-2.5%
VWIV	44.8%	36.3%	54.8%	47.6%	37.0%
Skew 25d	12.9%	4.7%	17.7%	14.7%	10.9%
Skew 10d	24.4%	18.5%	29.7%	23.5%	23.8%
Call IV 25d	39.9%	34.9%	45.4%	43.9%	35.9%
Put IV 25d	52.7%	44.0%	60.4%	58.6%	46.8%
Bid-Ask Spread %	62.05	50.82	70.43	50.82	65.88
Gamma HHI	0.06	0.03	0.23	0.03	0.07
Net GEX	2.2M	403.2K	6.2M	604.2K	4.2M
Net DEX	-44.9M	-147.7M	2.9M	-20.8M	-145.0M
Net VEX	-928.0K	-1.0M	-831.9K	-853.2K	-1.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.59	1.14	1.14	0.79
Total Volume	744,061.714	594,144	967,488	667,776	600,480
Total OI	3,129,492.571	2,670,768	3,480,816	2,670,768	3,275,472

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
2016-05-02	$1.98	$2.10	48.9%	14.2%	40.5%	18.8%	47.6%	14.7%	0.8%	604.2K	-20.8M	-853.2K	1.14	50.82	N/A	N/A	311,376	356,400	1,350,240	1,320,528
2016-05-03	$1.93	$2.08	51.7%	15.0%	40.6%	22.6%	47.0%	15.9%	-0.6%	799.8K	-10.3M	-863.8K	1.04	53.86	N/A	N/A	329,280	343,296	1,415,664	1,375,200
2016-05-04	$1.89	$2.08	51.9%	15.9%	35.6%	22.9%	50.9%	15.0%	0.7%	403.2K	2.9M	-859.5K	1.08	54.61	N/A	N/A	305,376	330,960	1,493,280	1,394,016
2016-05-05	$1.88	$1.94	49.9%	14.8%	32.7%	20.1%	54.8%	13.8%	4.1%	430.4K	1.4M	-849.7K	1.05	51.84	N/A	N/A	322,992	337,872	1,517,664	1,406,208
2016-05-06	$1.91	$1.94	49.1%	14.7%	33.6%	19.1%	50.1%	14.4%	-3.1%	938.4K	2.3M	-831.9K	1.08	55.38	N/A	N/A	336,864	363,792	1,559,664	1,410,528
2016-05-09	$1.93	$1.98	47.7%	13.4%	34.0%	17.2%	52.6%	14.6%	-1.0%	865.9K	-10.5M	-841.9K	1.06	61.32	N/A	N/A	300,192	317,232	1,432,656	1,370,304
2016-05-10	$2.01	$1.98	42.8%	13.3%	36.7%	10.6%	42.0%	13.7%	4.3%	2.1M	-36.1M	-845.8K	1.11	61.84	N/A	N/A	282,000	312,144	1,490,832	1,387,824
2016-05-11	$1.96	$1.98	40.7%	12.6%	34.2%	7.8%	43.8%	9.8%	5.0%	2.3M	-29.9M	-852.7K	0.75	65.11	N/A	N/A	471,408	351,792	1,520,832	1,398,816
2016-05-12	$1.93	$1.98	46.3%	13.6%	34.2%	15.3%	46.3%	13.0%	1.0%	1.7M	-15.3M	-947.3K	0.64	64.75	N/A	N/A	541,968	347,232	1,731,984	1,452,816
2016-05-13	$1.91	$1.96	46.6%	14.0%	34.2%	15.7%	47.0%	11.3%	3.5%	826.5K	-8.5M	-933.4K	0.67	65.69	N/A	N/A	521,568	349,824	1,768,800	1,462,848
2016-05-16	$1.98	$1.96	45.4%	12.9%	37.0%	14.1%	42.7%	14.5%	1.8%	1.5M	-32.0M	-936.4K	0.60	69.18	N/A	N/A	603,216	364,272	1,651,440	1,421,616
2016-05-17	$1.97	$1.96	46.3%	13.4%	36.6%	15.3%	45.0%	13.8%	1.0%	2.8M	-43.1M	-970.3K	0.63	63.56	N/A	N/A	570,336	361,488	1,816,992	1,452,432
2016-05-18	$1.92	$1.96	47.5%	13.6%	36.9%	16.9%	44.7%	13.4%	3.3%	2.0M	-16.6M	-936.1K	0.59	67.90	N/A	N/A	567,216	334,128	1,840,224	1,483,152
2016-05-19	$1.90	$1.96	49.0%	13.9%	36.9%	18.9%	46.2%	13.1%	4.8%	1.8M	-7.1M	-915.8K	1.06	65.73	N/A	N/A	337,728	357,072	1,894,896	1,499,040
2016-05-20	$1.96	$1.96	45.2%	12.6%	36.4%	13.9%	45.3%	12.6%	7.2%	6.2M	-39.5M	-966.1K	1.11	66.77	N/A	N/A	367,488	408,288	1,926,480	1,537,344
2016-05-23	$1.95	$1.96	47.4%	12.4%	36.4%	16.8%	45.7%	17.7%	0.5%	2.0M	-43.0M	-966.0K	0.92	60.74	N/A	N/A	353,568	324,864	1,724,208	1,395,648
2016-05-24	$2.07	$1.96	43.9%	12.7%	42.8%	12.1%	39.2%	4.7%	-0.1%	3.1M	-87.8M	-971.2K	0.80	63.08	N/A	N/A	464,256	369,504	1,786,368	1,434,528
2016-05-25	$2.12	$1.98	41.3%	11.1%	42.5%	8.5%	38.9%	13.6%	2.0%	3.6M	-121.7M	-1.0M	0.82	61.67	N/A	N/A	420,288	343,680	1,900,512	1,480,752
2016-05-26	$2.13	$1.98	40.7%	10.8%	39.7%	7.8%	37.3%	11.2%	3.3%	3.8M	-135.7M	-1.0M	0.95	62.93	N/A	N/A	342,816	327,024	1,970,592	1,510,224
2016-05-27	$2.16	$1.98	38.6%	10.1%	39.3%	5.0%	36.3%	8.3%	1.8%	4.3M	-147.7M	-1.0M	0.93	70.43	N/A	N/A	348,816	325,200	1,940,064	1,516,656
2016-05-31	$2.18	$1.98	41.2%	11.2%	38.5%	8.5%	37.0%	10.9%	-2.5%	4.2M	-145.0M	-1.0M	0.79	65.88	N/A	N/A	335,856	264,624	1,876,800	1,398,672