TQQQ Options History — January 2017

In January 2017, TQQQ traded between $2.70 and $3.15. ATM implied volatility averaged 40.7%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 12.5% (HV 20d: 28.2%). Max pain ranged from $2.25 to $5.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.03.

Notable Days

2017-01-06: Highest Volume — 550,608 contracts
2017-01-19: Largest IV spike — 171.2% change
2017-01-19: Highest IV Rank — 100.0%
2017-01-19: Largest Expected Move — 29.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.96	$2.70	$3.15	$2.70	$3.07
Max Pain	$2.88	$2.25	$5.50	$2.25	$2.90
ATM IV	40.7%	31.4%	100.0%	44.4%	35.4%
Expected Move	11.4%	8.9%	29.5%	11.6%	10.1%
HV 20d	28.2%	21.0%	34.0%	33.9%	21.0%
HV 60d	37.5%	36.4%	39.0%	38.7%	36.4%
IV Rank	11.9%	0.0%	100.0%	18.0%	6.0%
IV Percentile	19.0%	0.0%	100.0%	46.4%	5.6%
Term Structure	-1.3%	-37.3%	2.3%	0.1%	1.9%
VWIV	37.3%	28.1%	45.0%	45.0%	36.9%
Skew 25d	3.6%	-113.8%	12.8%	12.8%	8.7%
Skew 10d	8.4%	-187.2%	25.7%	22.0%	20.8%
Call IV 25d	41.3%	27.9%	200.0%	40.0%	32.3%
Put IV 25d	44.9%	36.6%	86.1%	52.8%	41.0%
Bid-Ask Spread %	46.70	19.19	81.62	60.12	79.06
Gamma HHI	0.07	0.04	0.16	0.06	0.04
Net GEX	1.5M	-364.6K	4.6M	2.7M	896.7K
Net DEX	-114.4M	-207.3M	73.0M	-125.8M	-81.7M
Net VEX	186245137959834025984.00B	-182847003864.70B	3.72490275936428e+21B	-660.8K	-667.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.83	1.31	0.98	0.92
Total Volume	334,093.2	131,376	550,608	429,408	181,944
Total OI	2,354,800.8	1,295,424	3,729,744	2,562,240	1,366,800

Daily Data (20 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
2017-01-03	$2.70	$2.25	44.4%	11.6%	33.9%	18.0%	45.0%	12.8%	0.1%	2.7M	-125.8M	-660.8K	0.98	60.12	N/A	N/A	217,104	212,304	1,199,136	1,363,104
2017-01-04	$2.77	$2.25	41.6%	10.4%	33.8%	13.2%	39.8%	12.5%	0.1%	3.9M	-154.3M	-653.2K	0.94	64.21	N/A	N/A	234,144	220,032	1,237,056	1,390,176
2017-01-05	$2.81	$2.50	38.5%	11.7%	34.0%	7.9%	43.3%	11.9%	1.2%	4.6M	-178.1M	-625.5K	1.15	31.17	N/A	N/A	205,200	236,640	1,264,224	1,407,744
2017-01-06	$2.89	$2.73	38.1%	11.3%	32.5%	7.3%	42.1%	11.6%	0.3%	2.2M	-207.3M	-622.1K	1.26	34.26	N/A	N/A	243,648	306,960	1,281,072	1,430,544
2017-01-09	$2.92	$2.79	37.8%	11.2%	32.5%	6.8%	42.0%	10.3%	1.1%	2.2M	-187.4M	-621.7K	1.31	19.19	N/A	N/A	211,392	276,144	1,196,208	1,439,280
2017-01-10	$2.93	$2.79	37.7%	11.1%	31.9%	6.6%	42.4%	10.3%	1.6%	2.0M	-192.9M	-610.9K	1.22	19.59	N/A	N/A	241,056	293,568	1,201,584	1,475,040
2017-01-11	$2.95	$2.71	37.7%	11.0%	31.1%	6.7%	42.7%	10.7%	0.9%	2.6M	-194.2M	-645.5K	1.14	23.39	N/A	N/A	256,224	291,600	1,234,368	1,517,808
2017-01-12	$2.93	$5.50	38.7%	11.1%	26.8%	8.3%	39.7%	7.0%	-0.5%	-242.5K	73.0M	-446.8K	1.19	35.25	N/A	N/A	148,632	176,880	604,464	773,424
2017-01-13	$2.97	$2.83	36.9%	10.7%	26.8%	5.3%	39.0%	9.7%	1.0%	2.4M	-178.9M	-825.8K	1.01	26.93	N/A	N/A	169,392	171,600	1,724,664	2,005,080
2017-01-17	$2.93	$2.85	53.2%	11.1%	27.4%	32.9%	40.7%	9.0%	-37.3%	705.9K	-89.7M	15247729934.89B	1.20	27.92	N/A	N/A	149,376	179,904	1,609,032	1,903,632
2017-01-18	$2.95	$2.85	36.9%	10.6%	26.3%	5.2%	40.2%	10.4%	-0.5%	-364.6K	-89.2M	-691.0K	1.05	29.79	N/A	N/A	156,000	164,232	1,595,280	1,927,344
2017-01-19	$2.95	$2.87	100.0%	29.5%	26.3%	100.0%	29.4%	-113.8%	-0.4%	720.1K	-82.5M	3.72490275936428e+21B	0.87	29.77	N/A	N/A	205,632	177,936	1,538,664	1,929,792
2017-01-20	$2.96	$2.85	35.8%	10.3%	26.0%	3.1%	35.2%	9.8%	-1.1%	785.8K	-50.8M	-182847003864.70B	0.90	28.66	N/A	N/A	194,088	173,760	1,472,904	1,935,720
2017-01-23	$2.98	$2.79	35.1%	10.3%	26.0%	1.9%	31.4%	9.6%	0.7%	635.3K	-70.6M	-651.4K	0.87	67.07	N/A	N/A	70,104	61,272	637,056	658,368
2017-01-24	$3.05	$2.81	33.8%	9.4%	25.9%	0.0%	28.1%	10.2%	-0.7%	877.4K	-82.4M	-644.5K	0.83	73.73	N/A	N/A	75,312	62,832	649,848	670,752
2017-01-25	$3.13	$2.81	31.4%	9.3%	27.0%	0.0%	31.0%	8.0%	1.7%	814.1K	-98.8M	-654.4K	0.97	58.41	N/A	N/A	87,144	84,648	661,776	682,056
2017-01-26	$3.14	$2.83	32.6%	9.4%	26.4%	1.8%	32.0%	6.6%	2.3%	679.8K	-103.1M	-667.9K	0.95	66.34	N/A	N/A	93,072	88,296	672,648	706,464
2017-01-27	$3.15	$2.83	32.1%	8.9%	23.2%	1.1%	30.1%	8.9%	1.2%	626.7K	-106.0M	-672.8K	0.98	77.51	N/A	N/A	91,488	89,592	684,384	717,072
2017-01-30	$3.08	$2.85	35.9%	10.1%	25.2%	6.6%	35.7%	7.3%	1.2%	662.3K	-86.9M	-664.6K	0.84	81.62	N/A	N/A	99,264	83,448	654,096	677,352
2017-01-31	$3.07	$2.90	35.4%	10.1%	21.0%	6.0%	36.9%	8.7%	1.9%	896.7K	-81.7M	-667.0K	0.92	79.06	N/A	N/A	94,632	87,312	673,704	693,096