TQQQ Options History — June 2016

In June 2016, TQQQ traded between $1.73 and $2.19. ATM implied volatility averaged 49.0%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 9.3% (HV 20d: 39.6%). Max pain ranged from $1.98 to $2.19. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.88.

Notable Days

2016-06-17: Highest Volume — 729,936 contracts
2016-06-24: Largest IV spike — 29.3% change
2016-06-27: Highest IV Rank — 38.9%
2016-06-27: Largest Expected Move — 19.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.04	$1.73	$2.19	$2.17	$2.00
Max Pain	$2.09	$1.98	$2.19	$1.98	$2.10
ATM IV	49.0%	39.5%	64.0%	42.2%	45.0%
Expected Move	14.0%	11.4%	19.2%	11.4%	11.9%
HV 20d	39.6%	26.8%	64.8%	36.8%	64.8%
HV 60d	38.7%	35.3%	48.3%	37.3%	47.7%
IV Rank	18.8%	6.2%	38.9%	9.9%	13.3%
IV Percentile	41.0%	6.0%	75.8%	13.9%	23.0%
Term Structure	-0.2%	-5.1%	5.8%	0.7%	-2.1%
VWIV	48.6%	35.8%	63.9%	41.9%	45.6%
Skew 25d	16.4%	7.1%	26.9%	12.3%	21.5%
Skew 10d	27.2%	-17.4%	50.2%	23.1%	29.2%
Call IV 25d	42.0%	34.9%	55.9%	36.6%	36.7%
Put IV 25d	58.3%	44.7%	79.0%	48.9%	58.3%
Bid-Ask Spread %	47.23	32.66	70.01	70.01	62.76
Gamma HHI	0.07	0.04	0.14	0.06	0.05
Net GEX	2.7M	-5.2K	4.7M	4.1M	2.7M
Net DEX	-72.3M	-144.0M	21.9M	-137.1M	-54.2M
Net VEX	-957.0K	-1.0M	-787.9K	-1.0M	-918.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.73	1.13	0.77	0.87
Total Volume	592,197.818	516,336	729,936	600,672	570,576
Total OI	3,182,709.818	2,719,248	3,550,128	3,296,400	3,101,184

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
2016-06-01	$2.17	$1.98	42.2%	11.4%	36.8%	9.9%	41.9%	12.3%	0.7%	4.1M	-137.1M	-1.0M	0.77	70.01	N/A	N/A	338,976	261,696	1,881,888	1,414,512
2016-06-02	$2.19	$2.06	42.8%	12.2%	35.7%	10.6%	41.9%	12.9%	-2.4%	4.4M	-144.0M	-1.0M	0.95	34.38	N/A	N/A	278,352	264,288	1,897,728	1,427,232
2016-06-03	$2.17	$2.06	40.9%	11.4%	35.9%	8.0%	35.8%	10.2%	0.9%	4.7M	-133.7M	-1.0M	0.73	34.63	N/A	N/A	382,416	278,064	1,898,496	1,445,328
2016-06-06	$2.19	$2.06	40.8%	11.5%	35.7%	7.9%	40.8%	13.1%	-0.1%	4.1M	-140.7M	-1.0M	0.86	34.19	N/A	N/A	288,960	249,840	1,868,208	1,401,888
2016-06-07	$2.17	$2.10	41.6%	11.4%	36.1%	9.1%	44.5%	7.1%	-2.3%	4.5M	-137.4M	-1.0M	1.08	37.80	N/A	N/A	263,568	283,440	1,892,928	1,426,656
2016-06-08	$2.18	$2.08	39.5%	11.6%	33.7%	6.2%	46.4%	11.4%	1.7%	4.6M	-137.0M	-996.2K	1.02	37.13	N/A	N/A	260,448	266,256	1,898,640	1,457,616
2016-06-09	$2.17	$2.08	40.4%	11.7%	31.9%	7.4%	45.4%	11.9%	2.8%	4.6M	-130.4M	-983.0K	0.88	40.04	N/A	N/A	305,616	267,648	1,900,224	1,473,984
2016-06-10	$2.09	$2.08	46.8%	13.3%	34.9%	15.9%	49.9%	12.9%	0.3%	4.1M	-92.6M	-984.4K	0.95	34.94	N/A	N/A	310,560	296,496	1,949,616	1,487,376
2016-06-13	$2.03	$2.08	52.8%	15.1%	36.2%	24.0%	54.6%	21.1%	2.0%	2.7M	-65.3M	-976.6K	0.85	32.66	N/A	N/A	315,264	266,976	1,823,760	1,476,816
2016-06-14	$2.04	$2.06	55.0%	15.7%	34.0%	27.0%	58.7%	19.9%	0.3%	2.4M	-56.3M	-979.2K	0.84	33.03	N/A	N/A	310,704	262,416	1,858,848	1,503,792
2016-06-15	$2.02	$2.06	55.4%	15.9%	34.1%	27.5%	53.4%	15.5%	-1.7%	2.7M	-64.1M	-987.2K	0.84	48.69	N/A	N/A	297,312	248,688	1,914,192	1,524,624
2016-06-16	$2.04	$2.06	49.9%	14.1%	32.9%	20.1%	53.9%	20.5%	2.1%	2.7M	-55.0M	-964.5K	0.87	38.94	N/A	N/A	327,360	284,304	1,947,504	1,539,648
2016-06-17	$1.97	$2.06	52.9%	15.5%	35.5%	24.2%	48.3%	15.7%	-4.9%	1.6M	-34.6M	-961.2K	0.94	44.08	N/A	N/A	375,408	354,528	1,983,456	1,566,672
2016-06-20	$2.00	$2.19	48.9%	13.4%	34.6%	18.9%	43.8%	17.1%	-5.1%	1.4M	-46.9M	-951.3K	0.78	45.90	N/A	N/A	304,320	238,848	1,528,896	1,190,352
2016-06-21	$2.03	$2.15	50.8%	14.7%	34.7%	21.3%	46.9%	19.8%	-1.7%	1.8M	-47.6M	-958.8K	0.82	43.78	N/A	N/A	283,296	233,040	1,591,536	1,212,864
2016-06-22	$2.01	$2.13	52.3%	15.8%	26.8%	23.4%	49.9%	26.9%	3.7%	1.8M	-49.5M	-952.1K	0.81	47.32	N/A	N/A	318,864	256,800	1,607,040	1,225,536
2016-06-23	$2.09	$2.13	48.2%	14.3%	29.4%	17.6%	45.1%	21.1%	2.4%	2.9M	-67.3M	-946.2K	0.76	59.45	N/A	N/A	319,248	242,112	1,660,416	1,256,256
2016-06-24	$1.87	$2.10	62.3%	19.0%	49.9%	36.6%	63.9%	21.2%	-2.0%	-5.2K	2.6M	-865.8K	0.91	60.82	N/A	N/A	350,064	317,040	1,695,888	1,267,056
2016-06-27	$1.73	$2.10	64.0%	19.2%	54.7%	38.9%	61.2%	23.7%	5.8%	226.1K	21.9M	-787.9K	1.13	66.78	N/A	N/A	327,168	370,656	1,584,336	1,219,920
2016-06-28	$1.84	$2.10	53.7%	15.7%	60.1%	25.0%	51.6%	10.5%	-0.7%	628.4K	5.7M	-851.2K	0.90	68.95	N/A	N/A	319,584	288,528	1,640,592	1,341,792
2016-06-29	$1.94	$2.10	50.7%	13.3%	63.6%	21.0%	46.3%	14.3%	-3.5%	1.5M	-27.5M	-889.2K	0.80	62.88	N/A	N/A	360,576	288,048	1,672,128	1,362,192
2016-06-30	$2.00	$2.10	45.0%	11.9%	64.8%	13.3%	45.6%	21.5%	-2.1%	2.7M	-54.2M	-918.4K	0.87	62.76	N/A	N/A	304,656	265,920	1,731,072	1,370,112