TQQQ Options History — October 2017

In October 2017, TQQQ traded between $4.77 and $5.41. ATM implied volatility averaged 36.4%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 10.9% (HV 20d: 25.5%). Max pain ranged from $4.38 to $4.58. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.75.

Notable Days

2017-10-20: Highest Volume — 598,584 contracts
2017-10-27: Largest IV drop — 11.0% change
2017-10-26: Highest IV Rank — 22.4%
2017-10-26: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.02	$4.77	$5.41	$4.77	$5.41
Max Pain	$4.43	$4.38	$4.58	$4.58	$4.54
ATM IV	36.4%	33.0%	41.9%	36.6%	39.2%
Expected Move	10.5%	8.9%	12.5%	9.6%	11.7%
HV 20d	25.5%	18.4%	32.2%	29.5%	32.1%
HV 60d	31.8%	30.8%	34.9%	32.4%	34.7%
IV Rank	15.0%	10.5%	22.4%	15.3%	18.8%
IV Percentile	43.7%	26.6%	78.6%	40.1%	63.5%
Term Structure	0.1%	-1.4%	1.9%	0.3%	0.5%
VWIV	41.7%	33.0%	46.8%	34.4%	46.6%
Skew 25d	12.1%	9.7%	15.5%	12.9%	11.1%
Skew 10d	26.3%	19.5%	31.9%	25.5%	22.4%
Call IV 25d	31.5%	28.8%	35.3%	31.4%	34.6%
Put IV 25d	43.6%	39.7%	50.8%	44.2%	45.8%
Bid-Ask Spread %	19.74	11.78	27.50	15.61	26.43
Gamma HHI	0.05	0.03	0.09	0.05	0.07
Net GEX	5.1M	2.6M	7.5M	4.0M	7.5M
Net DEX	-294.2M	-439.8M	-213.7M	-213.7M	-412.2M
Net VEX	-1.3M	-1.3M	-1.2M	-1.3M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.57	0.90	0.75	0.69
Total Volume	440,426.182	356,112	598,584	399,096	409,896
Total OI	2,506,737.818	2,373,504	2,690,208	2,404,920	2,596,896

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
2017-10-02	$4.77	$4.58	36.6%	9.6%	29.5%	15.3%	34.4%	12.9%	0.3%	4.0M	-213.7M	-1.3M	0.75	15.61	N/A	N/A	228,576	170,520	1,136,352	1,268,568
2017-10-03	$4.80	$4.58	35.9%	9.3%	27.4%	14.4%	33.4%	12.3%	0.3%	5.3M	-225.6M	-1.3M	0.78	17.91	N/A	N/A	206,544	161,616	1,163,088	1,298,064
2017-10-04	$4.81	$4.58	35.4%	8.9%	27.3%	13.7%	33.0%	11.6%	0.6%	6.3M	-234.3M	-1.3M	0.74	18.21	N/A	N/A	213,360	158,160	1,174,200	1,302,648
2017-10-05	$4.95	$4.38	34.0%	10.2%	29.0%	11.8%	40.4%	11.1%	0.9%	7.5M	-295.3M	-1.3M	0.79	20.49	N/A	N/A	236,784	188,208	1,180,824	1,312,776
2017-10-06	$4.97	$4.38	33.0%	10.1%	27.2%	10.5%	40.6%	10.9%	0.6%	3.4M	-308.1M	-1.3M	0.82	13.75	N/A	N/A	230,328	189,912	1,192,488	1,329,360
2017-10-09	$4.96	$4.38	35.7%	10.5%	25.2%	14.1%	42.3%	11.6%	0.2%	4.8M	-262.7M	-1.3M	0.90	15.08	N/A	N/A	205,704	185,544	1,115,568	1,257,936
2017-10-10	$4.96	$4.38	36.1%	10.5%	25.2%	14.6%	40.6%	12.2%	0.5%	4.1M	-265.6M	-1.3M	0.86	11.78	N/A	N/A	205,440	176,616	1,140,408	1,295,064
2017-10-11	$5.01	$4.38	34.9%	10.1%	25.3%	13.0%	42.8%	11.5%	0.5%	4.0M	-287.6M	-1.3M	0.81	16.51	N/A	N/A	198,624	161,424	1,154,376	1,330,800
2017-10-12	$4.98	$4.38	34.9%	10.4%	24.4%	13.1%	41.6%	11.6%	1.9%	3.6M	-279.4M	-1.3M	0.83	19.62	N/A	N/A	227,568	187,944	1,164,144	1,333,464
2017-10-13	$5.03	$4.38	34.2%	10.0%	24.5%	12.1%	39.8%	11.3%	0.5%	6.6M	-308.8M	-1.3M	0.85	18.57	N/A	N/A	209,352	177,984	1,184,232	1,338,624
2017-10-16	$5.09	$4.38	35.4%	10.2%	24.7%	13.7%	43.4%	12.8%	-1.0%	5.1M	-306.5M	-1.2M	0.73	17.21	N/A	N/A	221,712	162,288	1,137,000	1,263,336
2017-10-17	$5.11	$4.38	34.8%	10.0%	24.7%	13.0%	43.2%	12.2%	-1.1%	6.4M	-323.0M	-1.2M	0.82	18.78	N/A	N/A	196,176	159,936	1,176,960	1,281,216
2017-10-18	$5.09	$4.38	34.6%	9.9%	24.6%	12.6%	42.9%	11.3%	-0.7%	7.1M	-320.1M	-1.2M	0.62	21.51	N/A	N/A	277,704	171,288	1,185,624	1,296,168
2017-10-19	$5.03	$4.38	36.1%	10.4%	23.6%	14.6%	43.8%	13.3%	-0.9%	6.0M	-291.3M	-1.3M	0.70	19.38	N/A	N/A	257,760	179,616	1,252,224	1,308,984
2017-10-20	$5.06	$4.38	35.0%	10.2%	23.6%	13.2%	42.0%	11.9%	-1.4%	3.8M	-312.1M	-1.2M	0.72	19.48	N/A	N/A	347,064	251,520	1,264,584	1,332,600
2017-10-23	$4.97	$4.38	37.9%	11.1%	20.4%	17.1%	43.7%	13.6%	-0.2%	3.5M	-258.8M	-1.3M	0.62	23.66	N/A	N/A	318,120	197,544	1,212,600	1,210,632
2017-10-24	$4.99	$4.42	37.8%	11.2%	20.4%	16.9%	43.4%	13.7%	0.3%	4.4M	-268.1M	-1.3M	0.64	20.68	N/A	N/A	301,416	193,368	1,262,112	1,251,912
2017-10-25	$4.94	$4.42	40.2%	12.2%	18.6%	20.1%	45.7%	14.6%	1.1%	4.2M	-243.4M	-1.3M	0.72	22.79	N/A	N/A	325,272	235,680	1,294,032	1,280,880
2017-10-26	$4.91	$4.46	41.9%	12.5%	18.4%	22.4%	46.8%	15.5%	-0.1%	2.6M	-227.5M	-1.3M	0.77	22.15	N/A	N/A	288,576	221,472	1,338,408	1,340,664
2017-10-27	$5.32	$4.46	37.3%	11.2%	32.2%	16.2%	43.1%	9.7%	0.9%	5.1M	-439.8M	-1.3M	0.57	27.50	N/A	N/A	368,184	209,328	1,344,648	1,345,560
2017-10-30	$5.37	$4.54	38.8%	11.7%	32.1%	18.2%	44.8%	10.3%	-0.8%	6.4M	-389.3M	-1.3M	0.70	27.10	N/A	N/A	280,128	195,120	1,243,560	1,254,648
2017-10-31	$5.41	$4.54	39.2%	11.7%	32.1%	18.8%	46.6%	11.1%	0.5%	7.5M	-412.2M	-1.3M	0.69	26.43	N/A	N/A	242,856	167,040	1,297,320	1,299,576