TQQQ Options History — January 2018

In January 2018, TQQQ traded between $6.08 and $7.56. ATM implied volatility averaged 42.5%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 13.5% (HV 20d: 28.9%). Max pain ranged from $5.00 to $6.67. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.90.

Notable Days

2018-01-03: Highest Volume — 573,096 contracts
2018-01-16: Largest IV spike — 13.9% change
2018-01-30: Highest IV Rank — 100.0%
2018-01-30: Largest Expected Move — 16.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.89	$6.08	$7.56	$6.08	$7.35
Max Pain	$5.93	$5.00	$6.67	$5.00	$6.67
ATM IV	42.5%	34.7%	53.1%	35.5%	52.1%
Expected Move	12.4%	9.2%	16.3%	9.7%	16.1%
HV 20d	28.9%	27.2%	31.9%	30.1%	28.7%
HV 60d	31.1%	28.6%	32.3%	30.6%	30.2%
IV Rank	43.1%	12.8%	100.0%	13.8%	96.3%
IV Percentile	77.8%	38.9%	100.0%	48.0%	98.8%
Term Structure	0.2%	-1.8%	1.6%	1.6%	1.2%
VWIV	46.4%	37.5%	59.1%	37.5%	57.5%
Skew 25d	8.3%	4.8%	16.4%	11.2%	7.1%
Skew 10d	18.6%	12.2%	31.1%	24.1%	23.9%
Call IV 25d	39.2%	28.9%	51.9%	32.1%	47.9%
Put IV 25d	47.5%	39.9%	58.9%	43.2%	55.0%
Bid-Ask Spread %	33.77	13.86	64.41	49.25	64.16
Gamma HHI	0.13	0.03	0.57	0.06	0.04
Net GEX	6.2M	2.6M	15.2M	3.3M	4.0M
Net DEX	-471.7M	-551.7M	-379.0M	-379.0M	-424.8M
Net VEX	-1.3M	-1.6M	-1.1M	-1.1M	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.66	1.22	0.76	0.77
Total Volume	466,330.286	392,208	573,096	483,624	392,208
Total OI	2,116,161.143	1,421,640	2,495,856	2,261,496	1,752,240

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
2018-01-02	$6.08	$5.00	35.5%	9.7%	30.1%	13.8%	37.5%	11.2%	1.6%	3.3M	-379.0M	-1.1M	0.76	49.25	N/A	N/A	274,704	208,920	997,896	1,263,600
2018-01-03	$6.26	$5.00	34.9%	9.2%	27.6%	13.0%	38.2%	8.5%	0.6%	6.2M	-459.4M	-1.2M	0.66	64.41	N/A	N/A	345,144	227,952	1,084,152	1,276,416
2018-01-04	$6.30	$5.62	34.7%	10.4%	27.5%	12.8%	39.4%	8.9%	0.9%	7.9M	-475.6M	-1.2M	0.93	19.33	N/A	N/A	265,200	245,952	1,137,096	1,307,736
2018-01-05	$6.48	$5.62	36.4%	10.4%	28.5%	15.0%	41.0%	8.2%	0.7%	6.4M	-538.8M	-1.2M	0.98	28.14	N/A	N/A	255,744	250,992	1,162,344	1,333,512
2018-01-08	$6.55	$5.62	36.2%	10.8%	28.4%	14.7%	39.6%	7.5%	1.2%	7.5M	-486.8M	-1.2M	1.07	24.58	N/A	N/A	222,552	237,096	1,059,120	1,279,056
2018-01-09	$6.56	$5.71	37.1%	10.1%	28.5%	16.0%	41.2%	16.4%	-0.0%	6.9M	-478.4M	-1.2M	1.00	63.92	N/A	N/A	209,184	210,240	1,069,824	1,316,640
2018-01-10	$6.51	$5.71	39.1%	11.6%	28.4%	18.6%	43.3%	8.7%	1.4%	6.7M	-452.5M	-1.2M	1.18	21.43	N/A	N/A	192,168	227,328	1,071,672	1,334,160
2018-01-11	$6.64	$5.71	38.3%	11.0%	28.5%	17.5%	44.0%	7.6%	-0.3%	9.0M	-499.9M	-1.2M	1.22	24.18	N/A	N/A	200,952	244,512	1,085,952	1,347,936
2018-01-12	$6.78	$5.75	38.4%	10.9%	28.9%	17.7%	43.1%	7.3%	-0.3%	8.8M	-551.7M	-1.2M	1.00	30.11	N/A	N/A	253,032	253,368	1,086,960	1,348,176
2018-01-16	$6.74	$5.83	43.7%	12.5%	29.2%	24.8%	46.5%	8.3%	-0.9%	7.5M	-473.5M	-1.2M	0.97	27.82	N/A	N/A	286,560	278,592	1,008,672	1,308,096
2018-01-17	$6.94	$6.04	43.4%	12.4%	29.2%	24.4%	46.7%	7.2%	-0.5%	8.1M	-521.8M	-1.3M	0.95	34.79	N/A	N/A	233,256	222,696	1,034,736	1,373,064
2018-01-18	$6.95	$6.04	45.3%	13.1%	28.4%	26.9%	50.4%	7.9%	-1.8%	8.7M	-517.3M	-1.3M	1.07	25.60	N/A	N/A	210,480	225,984	1,042,944	1,392,144
2018-01-19	$7.00	$6.04	42.3%	12.2%	27.2%	22.9%	48.6%	8.4%	-0.6%	15.2M	-528.1M	-1.3M	1.08	22.92	N/A	N/A	212,064	228,384	1,052,400	1,420,944
2018-01-22	$7.23	$6.04	41.5%	12.1%	28.3%	59.0%	44.6%	7.0%	0.9%	3.2M	-411.2M	-1.2M	0.84	13.86	N/A	N/A	221,832	186,960	770,136	651,504
2018-01-23	$7.42	$6.08	44.8%	13.2%	28.5%	70.9%	47.0%	6.5%	-0.9%	3.3M	-461.2M	-1.3M	0.79	24.45	N/A	N/A	277,368	219,528	825,888	703,776
2018-01-24	$7.29	$6.25	47.7%	14.2%	29.8%	81.2%	51.5%	8.5%	0.3%	3.3M	-426.7M	-1.4M	0.75	28.80	N/A	N/A	269,448	203,304	880,536	754,968
2018-01-25	$7.27	$6.42	48.8%	14.6%	28.7%	85.2%	50.8%	7.7%	0.3%	2.6M	-416.3M	-1.4M	0.70	34.67	N/A	N/A	240,864	168,600	918,768	795,264
2018-01-26	$7.56	$6.46	46.3%	13.4%	30.3%	76.2%	49.2%	5.4%	0.6%	3.8M	-541.9M	-1.6M	0.74	33.24	N/A	N/A	288,936	214,680	995,904	911,496
2018-01-29	$7.51	$6.46	52.2%	16.0%	30.9%	97.6%	55.4%	4.8%	-0.8%	4.0M	-451.7M	-1.4M	0.75	39.46	N/A	N/A	261,072	194,688	883,200	705,192
2018-01-30	$7.32	$6.48	53.1%	16.3%	31.9%	100.0%	59.1%	11.5%	0.8%	3.4M	-408.8M	-1.5M	0.71	34.06	N/A	N/A	251,400	178,992	930,384	764,880
2018-01-31	$7.35	$6.67	52.1%	16.1%	28.7%	96.3%	57.5%	7.1%	1.2%	4.0M	-424.8M	-1.4M	0.77	64.16	N/A	N/A	221,232	170,976	961,632	790,608