TQQQ Options History — December 2016

In December 2016, TQQQ traded between $2.43 and $2.82. ATM implied volatility averaged 40.2%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 0.7% (HV 20d: 40.9%). Max pain ranged from $2.19 to $2.29. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.09.

Notable Days

2016-12-30: Highest Volume — 640,176 contracts
2016-12-05: Largest IV drop — 9.7% change
2016-12-30: Highest IV Rank — 22.2%
2016-12-01: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.68	$2.43	$2.82	$2.43	$2.64
Max Pain	$2.21	$2.19	$2.29	$2.29	$2.25
ATM IV	40.2%	35.4%	46.9%	44.6%	46.9%
Expected Move	11.5%	10.1%	14.0%	14.0%	12.3%
HV 20d	40.9%	33.2%	49.9%	49.9%	33.2%
HV 60d	38.5%	37.4%	41.8%	41.8%	38.4%
IV Rank	10.8%	2.7%	22.2%	18.3%	22.2%
IV Percentile	23.5%	2.0%	58.3%	40.9%	58.3%
Term Structure	1.0%	-4.1%	3.3%	0.3%	-4.1%
VWIV	42.4%	37.6%	49.4%	49.4%	45.4%
Skew 25d	9.7%	6.6%	15.6%	11.6%	15.6%
Skew 10d	18.6%	12.7%	25.8%	18.8%	25.6%
Call IV 25d	36.3%	32.9%	39.7%	39.7%	38.5%
Put IV 25d	46.0%	40.5%	54.1%	51.3%	54.1%
Bid-Ask Spread %	53.95	38.70	69.18	69.18	61.69
Gamma HHI	0.13	0.04	0.27	0.15	0.08
Net GEX	3.6M	661.3K	8.2M	1.8M	661.3K
Net DEX	-142.3M	-232.5M	-39.2M	-41.7M	-86.7M
Net VEX	-670.6K	-759.3K	-613.6K	-754.1K	-645.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.72	1.26	1.15	0.72
Total Volume	475,193.143	400,080	640,176	556,416	640,176
Total OI	2,855,234.286	2,443,824	3,199,152	3,118,128	2,587,200

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
2016-12-01	$2.43	$2.29	44.6%	14.0%	49.9%	18.3%	49.4%	11.6%	0.3%	1.8M	-41.7M	-754.1K	1.15	69.18	N/A	N/A	258,720	297,696	1,479,216	1,638,912
2016-12-02	$2.45	$2.29	46.1%	13.7%	48.1%	20.8%	47.3%	12.6%	0.5%	2.1M	-39.2M	-759.3K	1.26	62.75	N/A	N/A	244,656	307,056	1,508,880	1,656,000
2016-12-05	$2.51	$2.19	41.6%	12.7%	48.6%	13.2%	45.5%	12.0%	1.4%	3.4M	-85.8M	-740.8K	1.15	48.92	N/A	N/A	244,080	281,184	1,448,304	1,564,128
2016-12-06	$2.52	$2.19	40.0%	12.0%	42.6%	10.5%	43.4%	10.8%	1.3%	4.2M	-94.7M	-746.7K	1.23	46.06	N/A	N/A	215,424	265,248	1,492,896	1,583,472
2016-12-07	$2.62	$2.19	39.7%	11.4%	43.7%	10.0%	41.8%	11.7%	1.2%	5.8M	-153.7M	-676.1K	1.10	57.97	N/A	N/A	238,848	262,896	1,502,400	1,590,672
2016-12-08	$2.63	$2.19	39.5%	11.8%	43.7%	9.6%	44.9%	8.7%	0.7%	6.6M	-164.0M	-718.8K	1.15	38.70	N/A	N/A	226,272	259,872	1,522,800	1,599,744
2016-12-09	$2.69	$2.19	37.2%	11.1%	40.4%	5.8%	41.8%	12.4%	0.7%	8.2M	-202.4M	-700.9K	1.02	40.99	N/A	N/A	262,176	268,320	1,555,632	1,613,760
2016-12-12	$2.65	$2.19	39.9%	11.6%	40.9%	10.4%	43.6%	9.5%	0.6%	6.3M	-165.5M	-686.9K	1.06	40.62	N/A	N/A	221,664	233,952	1,483,440	1,540,992
2016-12-13	$2.79	$2.19	42.2%	12.1%	41.5%	14.2%	45.3%	8.6%	0.1%	4.9M	-222.5M	-678.7K	1.01	41.14	N/A	N/A	251,712	253,440	1,516,896	1,559,328
2016-12-14	$2.77	$2.19	41.1%	11.8%	38.8%	12.4%	44.1%	7.0%	-0.2%	5.7M	-225.6M	-674.7K	1.25	61.68	N/A	N/A	207,120	259,920	1,559,952	1,591,200
2016-12-15	$2.77	$2.19	40.1%	11.5%	38.8%	10.7%	43.1%	8.8%	0.0%	4.4M	-232.5M	-670.4K	1.23	48.91	N/A	N/A	202,368	249,120	1,574,064	1,605,696
2016-12-16	$2.72	$2.19	38.3%	11.0%	39.0%	7.6%	40.1%	8.8%	1.3%	4.6M	-215.5M	-657.1K	1.08	50.11	N/A	N/A	217,536	235,920	1,581,168	1,617,984
2016-12-19	$2.75	$2.19	37.4%	10.8%	39.0%	6.1%	39.5%	7.3%	2.9%	1.6M	-131.6M	-631.3K	1.07	47.96	N/A	N/A	200,352	214,800	1,105,296	1,338,528
2016-12-20	$2.79	$2.19	35.8%	10.3%	38.3%	3.5%	38.8%	6.8%	2.5%	2.0M	-141.2M	-623.8K	1.13	51.22	N/A	N/A	187,920	212,160	1,113,648	1,361,184
2016-12-21	$2.79	$2.23	35.4%	10.1%	38.2%	2.7%	38.4%	7.6%	3.0%	2.2M	-139.3M	-620.8K	1.03	56.89	N/A	N/A	210,480	216,144	1,115,184	1,370,784
2016-12-22	$2.75	$2.23	36.9%	10.4%	38.1%	5.2%	39.7%	8.5%	3.3%	1.9M	-125.7M	-628.0K	1.17	56.85	N/A	N/A	186,528	218,688	1,126,128	1,389,504
2016-12-23	$2.76	$2.23	37.4%	10.5%	38.0%	6.1%	37.6%	7.6%	2.5%	2.3M	-128.3M	-613.6K	1.05	60.46	N/A	N/A	213,888	224,064	1,143,360	1,399,728
2016-12-27	$2.82	$2.23	39.1%	10.5%	38.4%	9.0%	38.3%	9.3%	1.0%	2.7M	-148.3M	-613.8K	1.05	61.82	N/A	N/A	202,080	211,440	1,116,624	1,347,312
2016-12-28	$2.74	$2.25	41.4%	11.0%	40.1%	12.9%	41.2%	6.6%	1.4%	2.7M	-129.2M	-614.7K	1.10	68.89	N/A	N/A	197,280	216,768	1,144,944	1,367,184
2016-12-29	$2.73	$2.25	43.3%	11.5%	38.6%	16.0%	41.8%	11.5%	1.0%	2.5M	-115.2M	-625.9K	0.93	60.05	N/A	N/A	239,424	221,664	1,164,288	1,381,488
2016-12-30	$2.64	$2.25	46.9%	12.3%	33.2%	22.2%	45.4%	15.6%	-4.1%	661.3K	-86.7M	-645.6K	0.72	61.69	N/A	N/A	372,528	267,648	1,192,368	1,394,832