TQQQ Options History — October 2016

In October 2016, TQQQ traded between $2.55 and $2.72. ATM implied volatility averaged 43.4%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 9.6% (HV 20d: 33.8%). Max pain ranged from $2.29 to $2.40. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.07.

Notable Days

2016-10-11: Highest Volume — 565,632 contracts
2016-10-11: Largest IV spike — 14.3% change
2016-10-31: Highest IV Rank — 25.4%
2016-10-31: Largest Expected Move — 15.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.63	$2.55	$2.72	$2.67	$2.56
Max Pain	$2.34	$2.29	$2.40	$2.40	$2.40
ATM IV	43.4%	37.6%	48.8%	39.8%	48.8%
Expected Move	12.7%	10.4%	15.8%	10.4%	15.8%
HV 20d	33.8%	28.5%	44.9%	44.9%	28.5%
HV 60d	31.1%	30.2%	32.0%	30.5%	31.4%
IV Rank	16.3%	6.4%	25.4%	10.2%	25.4%
IV Percentile	34.8%	8.3%	62.7%	17.5%	62.7%
Term Structure	0.5%	-1.8%	4.2%	2.8%	-0.7%
VWIV	47.6%	38.9%	54.0%	40.3%	53.3%
Skew 25d	14.4%	6.0%	18.5%	15.5%	15.2%
Skew 10d	27.7%	16.4%	38.0%	30.1%	26.4%
Call IV 25d	37.6%	32.0%	44.7%	33.6%	41.9%
Put IV 25d	52.0%	45.7%	59.3%	49.1%	57.1%
Bid-Ask Spread %	53.79	39.72	66.40	62.66	63.09
Gamma HHI	0.10	0.07	0.13	0.08	0.13
Net GEX	2.7M	252.2K	4.9M	2.2M	1.8M
Net DEX	-130.1M	-165.7M	-85.9M	-139.6M	-95.3M
Net VEX	-848.0K	-908.6K	-767.8K	-907.5K	-784.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.07	1.57	2.52	2.10	2.33
Total Volume	502,100.571	440,160	565,632	488,544	477,216
Total OI	2,722,806.857	2,571,360	2,801,472	2,670,336	2,646,720

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
2016-10-03	$2.67	$2.40	39.8%	10.4%	44.9%	10.2%	40.3%	15.5%	2.8%	2.2M	-139.6M	-907.5K	2.10	62.66	N/A	N/A	157,824	330,720	1,317,552	1,352,784
2016-10-04	$2.66	$2.40	41.5%	11.5%	44.5%	13.1%	40.7%	16.1%	2.5%	1.9M	-137.5M	-908.6K	1.77	64.13	N/A	N/A	190,032	336,096	1,337,184	1,374,768
2016-10-05	$2.69	$2.40	40.0%	10.8%	44.7%	10.5%	38.9%	17.2%	3.3%	3.7M	-155.6M	-897.4K	2.12	65.94	N/A	N/A	147,792	313,872	1,376,736	1,378,176
2016-10-06	$2.68	$2.29	39.8%	12.4%	44.3%	10.1%	46.1%	14.9%	4.2%	4.0M	-151.9M	-897.4K	2.22	43.65	N/A	N/A	145,728	323,664	1,388,544	1,385,280
2016-10-07	$2.66	$2.29	41.2%	12.4%	35.6%	12.6%	47.9%	11.2%	3.3%	4.9M	-145.4M	-886.8K	1.57	48.80	N/A	N/A	206,592	324,720	1,394,064	1,387,296
2016-10-10	$2.72	$2.29	41.7%	12.1%	33.2%	13.4%	47.1%	16.3%	-0.4%	3.4M	-165.7M	-868.3K	2.20	41.96	N/A	N/A	139,776	307,008	1,344,816	1,332,864
2016-10-11	$2.59	$2.29	47.7%	13.5%	35.6%	23.5%	51.9%	6.0%	-1.2%	2.1M	-120.3M	-876.2K	1.88	58.39	N/A	N/A	196,128	369,504	1,350,432	1,350,768
2016-10-12	$2.60	$2.29	46.6%	13.1%	35.1%	21.7%	49.6%	17.3%	-1.1%	1.9M	-122.2M	-852.4K	2.00	58.15	N/A	N/A	178,032	355,728	1,373,472	1,384,176
2016-10-13	$2.57	$2.29	48.5%	13.8%	31.1%	24.9%	52.6%	18.5%	-0.6%	1.2M	-99.9M	-872.6K	1.83	40.87	N/A	N/A	187,776	344,256	1,387,872	1,393,680
2016-10-14	$2.59	$2.29	46.2%	13.2%	31.2%	21.1%	50.7%	16.6%	-0.7%	1.0M	-113.1M	-868.1K	1.86	39.72	N/A	N/A	191,328	356,832	1,394,496	1,406,976
2016-10-17	$2.55	$2.29	47.4%	13.6%	31.1%	23.1%	52.7%	17.2%	-0.5%	2.0M	-106.7M	-854.3K	2.30	40.82	N/A	N/A	138,624	318,192	1,352,928	1,341,552
2016-10-18	$2.63	$2.29	46.0%	13.2%	32.6%	20.7%	49.9%	15.1%	-1.8%	2.8M	-135.8M	-862.4K	1.64	45.07	N/A	N/A	182,112	298,992	1,363,200	1,351,536
2016-10-19	$2.62	$2.29	43.3%	12.4%	31.1%	16.1%	46.5%	16.5%	-0.9%	3.3M	-130.8M	-843.6K	1.81	52.80	N/A	N/A	165,168	299,376	1,389,696	1,372,992
2016-10-20	$2.61	$2.29	43.4%	12.5%	30.0%	16.3%	47.8%	14.6%	-1.0%	3.2M	-126.4M	-818.8K	1.97	48.42	N/A	N/A	148,032	292,128	1,394,400	1,379,376
2016-10-21	$2.63	$2.29	40.7%	11.8%	29.4%	11.8%	46.3%	14.9%	-1.2%	4.9M	-136.6M	-804.5K	1.79	49.45	N/A	N/A	174,528	312,672	1,389,888	1,388,400
2016-10-24	$2.72	$2.40	37.6%	11.0%	30.2%	6.4%	39.7%	13.8%	1.3%	3.3M	-159.0M	-767.8K	2.19	62.05	N/A	N/A	160,848	352,512	1,292,400	1,278,960
2016-10-25	$2.70	$2.40	39.4%	11.7%	28.8%	9.4%	41.4%	12.8%	2.0%	3.4M	-154.9M	-785.5K	2.52	62.41	N/A	N/A	153,456	387,120	1,320,720	1,314,912
2016-10-26	$2.66	$2.40	41.0%	12.6%	29.2%	12.3%	50.1%	13.6%	1.3%	3.3M	-131.5M	-812.0K	2.36	66.40	N/A	N/A	154,800	365,232	1,338,000	1,353,984
2016-10-27	$2.61	$2.40	44.0%	13.3%	29.3%	17.3%	54.0%	6.9%	0.8%	2.5M	-118.0M	-829.2K	2.41	62.98	N/A	N/A	148,464	358,272	1,363,344	1,372,560
2016-10-28	$2.56	$2.40	47.0%	14.7%	28.6%	22.4%	51.4%	11.5%	0.0%	252.2K	-85.9M	-808.8K	2.51	51.89	N/A	N/A	157,680	395,280	1,383,312	1,378,128
2016-10-31	$2.56	$2.40	48.8%	15.8%	28.5%	25.4%	53.3%	15.2%	-0.7%	1.8M	-95.3M	-784.8K	2.33	63.09	N/A	N/A	143,280	333,936	1,294,032	1,352,688