TQQQ Options History — November 2016

In November 2016, TQQQ traded between $2.34 and $2.67. ATM implied volatility averaged 46.0%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 4.8% (HV 20d: 41.1%). Max pain ranged from $2.19 to $2.40. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.56.

Notable Days

2016-11-15: Highest Volume — 620,400 contracts
2016-11-07: Largest IV drop — 15.8% change
2016-11-04: Highest IV Rank — 44.7%
2016-11-02: Largest Expected Move — 17.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.54	$2.34	$2.67	$2.50	$2.59
Max Pain	$2.26	$2.19	$2.40	$2.40	$2.29
ATM IV	46.0%	36.9%	60.2%	53.4%	39.8%
Expected Move	13.5%	10.8%	17.6%	17.4%	11.7%
HV 20d	41.1%	29.7%	46.1%	29.7%	45.0%
HV 60d	37.2%	31.8%	39.8%	31.8%	39.8%
IV Rank	20.7%	5.3%	44.7%	33.3%	10.2%
IV Percentile	43.8%	7.1%	82.5%	75.8%	21.8%
Term Structure	0.0%	-4.0%	1.8%	-0.6%	-0.0%
VWIV	50.1%	38.6%	62.0%	61.0%	42.8%
Skew 25d	14.9%	10.1%	22.1%	14.4%	10.6%
Skew 10d	29.0%	16.2%	44.8%	34.1%	16.2%
Call IV 25d	39.4%	32.9%	50.9%	48.5%	34.0%
Put IV 25d	54.3%	43.2%	68.9%	62.8%	44.6%
Bid-Ask Spread %	50.00	32.01	72.65	67.41	69.68
Gamma HHI	0.14	0.10	0.18	0.12	0.15
Net GEX	3.1M	1.1M	5.1M	1.5M	3.4M
Net DEX	-94.8M	-150.4M	-16.9M	-62.3M	-110.9M
Net VEX	-783.3K	-822.2K	-759.3K	-793.1K	-759.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.56	1.20	2.01	1.80	1.46
Total Volume	545,421.714	481,728	620,400	481,728	516,432
Total OI	2,940,660.571	2,682,192	3,149,328	2,682,192	3,072,576

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
2016-11-01	$2.50	$2.40	53.4%	17.4%	29.7%	33.3%	61.0%	14.4%	-0.6%	1.5M	-62.3M	-793.1K	1.80	67.41	N/A	N/A	171,840	309,888	1,316,496	1,365,696
2016-11-02	$2.45	$2.40	53.8%	17.6%	29.7%	33.8%	62.0%	17.6%	-0.7%	1.5M	-49.1M	-804.5K	2.01	63.21	N/A	N/A	163,104	328,080	1,349,952	1,396,608
2016-11-03	$2.36	$2.19	57.7%	16.1%	31.7%	40.5%	58.7%	18.5%	-4.0%	1.2M	-32.3M	-793.9K	1.85	42.92	N/A	N/A	174,528	322,224	1,362,912	1,404,048
2016-11-04	$2.34	$2.19	60.2%	16.7%	31.7%	44.7%	60.8%	18.0%	-3.2%	1.1M	-16.9M	-764.9K	1.53	37.84	N/A	N/A	220,608	337,296	1,382,256	1,419,600
2016-11-07	$2.50	$2.19	50.7%	14.3%	40.0%	28.6%	57.7%	17.2%	1.8%	2.1M	-73.6M	-779.7K	1.60	35.05	N/A	N/A	212,304	339,552	1,342,560	1,367,088
2016-11-08	$2.58	$2.19	48.1%	13.8%	38.3%	24.3%	54.1%	21.7%	0.1%	2.6M	-102.2M	-789.7K	1.48	32.01	N/A	N/A	228,288	336,768	1,394,448	1,419,312
2016-11-09	$2.58	$2.19	43.7%	12.9%	38.3%	16.9%	50.0%	12.7%	1.6%	3.5M	-109.7M	-773.5K	1.72	45.07	N/A	N/A	220,128	377,568	1,431,408	1,457,088
2016-11-10	$2.46	$2.19	49.7%	14.7%	41.6%	27.0%	57.3%	22.1%	1.8%	3.0M	-70.5M	-777.2K	1.68	55.64	N/A	N/A	222,960	374,736	1,471,632	1,459,248
2016-11-11	$2.47	$2.25	48.7%	14.3%	41.5%	25.2%	54.8%	16.6%	1.5%	2.1M	-57.1M	-797.5K	1.60	41.52	N/A	N/A	213,456	340,944	1,498,608	1,511,904
2016-11-14	$2.39	$2.25	50.3%	14.5%	42.7%	28.1%	57.4%	16.6%	1.3%	1.7M	-42.1M	-781.4K	1.66	40.57	N/A	N/A	204,864	340,560	1,403,520	1,465,776
2016-11-15	$2.51	$2.25	46.0%	13.3%	45.2%	20.8%	50.0%	15.6%	-0.7%	2.8M	-82.0M	-785.6K	1.20	37.02	N/A	N/A	282,480	337,920	1,435,728	1,505,712
2016-11-16	$2.54	$2.25	45.9%	13.1%	45.5%	20.5%	49.2%	14.6%	-0.9%	3.4M	-96.2M	-774.3K	1.58	35.74	N/A	N/A	219,744	346,512	1,486,464	1,552,608
2016-11-17	$2.59	$2.25	43.4%	12.5%	46.1%	16.3%	48.2%	14.1%	-0.4%	4.2M	-121.0M	-773.2K	1.34	39.88	N/A	N/A	230,592	307,920	1,496,112	1,592,544
2016-11-18	$2.57	$2.25	42.3%	12.1%	46.0%	14.4%	43.6%	11.9%	1.1%	4.4M	-124.3M	-822.2K	1.36	46.57	N/A	N/A	253,584	344,544	1,534,944	1,614,384
2016-11-21	$2.64	$2.25	39.2%	11.3%	45.4%	9.2%	39.4%	13.2%	1.4%	4.0M	-132.1M	-783.5K	1.44	56.69	N/A	N/A	222,912	320,400	1,438,464	1,532,880
2016-11-22	$2.67	$2.27	38.6%	11.0%	45.5%	8.2%	38.6%	12.2%	0.1%	4.3M	-150.4M	-793.9K	1.44	54.05	N/A	N/A	237,600	341,664	1,467,504	1,569,552
2016-11-23	$2.63	$2.27	37.8%	11.2%	45.5%	6.8%	40.9%	10.5%	0.4%	4.8M	-129.5M	-798.0K	1.52	57.75	N/A	N/A	216,480	328,896	1,479,744	1,599,600
2016-11-25	$2.66	$2.29	36.9%	10.8%	45.2%	5.3%	40.1%	10.1%	0.4%	5.1M	-147.1M	-774.6K	1.57	55.53	N/A	N/A	203,616	319,872	1,488,336	1,614,432
2016-11-28	$2.64	$2.29	39.5%	11.7%	44.7%	9.7%	42.7%	11.0%	0.2%	3.9M	-137.1M	-765.0K	1.47	63.17	N/A	N/A	201,120	295,104	1,429,296	1,579,056
2016-11-29	$2.66	$2.29	39.8%	11.6%	44.7%	10.2%	43.8%	12.9%	-0.5%	4.1M	-144.6M	-765.1K	1.56	72.65	N/A	N/A	189,888	296,880	1,443,552	1,600,224
2016-11-30	$2.59	$2.29	39.8%	11.7%	45.0%	10.2%	42.8%	10.6%	-0.0%	3.4M	-110.9M	-759.3K	1.46	69.68	N/A	N/A	209,520	306,912	1,456,848	1,615,728