SQQQ Options History — March 2010

In March 2010, SQQQ traded between $8916800.00 and $10784000.00. ATM implied volatility averaged 47.7%. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 23.4% (HV 20d: 24.3%). Max pain ranged from $9600000.00 to $12000000.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.42.

Notable Days

  • 2010-03-11: Largest IV spike — 15.8% change
  • 2010-03-15: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9591418.18$8916800.00$10784000.00$10784000.00$9014400.00
Max Pain$10589090.91$9600000.00$12000000.00$11200000.00$10400000.00
ATM IV47.7%44.1%52.0%51.9%44.1%
Expected Move13.9%12.6%14.9%14.9%12.6%
HV 20d24.3%23.2%25.2%24.1%24.1%
Term Structure5.9%2.6%9.2%3.4%6.8%
VWIV51.9%43.3%65.9%65.9%54.3%
Skew 25d-9.5%-13.4%4.9%4.9%-8.1%
Skew 10d-20.1%-30.3%0.3%0.3%-16.4%
Call IV 25d56.3%51.0%68.8%68.8%51.1%
Put IV 25d46.8%42.2%73.7%73.7%43.0%
Bid-Ask Spread %28.5512.49118.2635.9838.29
Gamma HHI0.170.071.001.000.07
Net GEX-19.5K-41.4K8.8K246-32.5K
Net DEX1.1M-255.5K2.3M-2.5K2.2M
Net VEX-9.0K-13.2K-6-6-13.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.009.000.980.00
Total Volume00000
Total OI00000

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-02$10784000.00$11200000.0051.9%14.9%0.0%0.0%0.0%0.0%3.4%246-2.5K-60.0035.98N/AN/A0000
2010-03-03$10784000.00$11200000.0047.1%13.5%0.0%0.0%65.9%4.9%5.3%160-3.0K-60.98118.26N/AN/A0000
2010-03-04$10649600.00$11200000.0044.9%12.9%0.0%0.0%51.6%-13.4%3.9%8.8K-255.5K-4.4K0.0030.14N/AN/A0000
2010-03-05$10177600.00$12000000.0044.4%14.3%0.0%0.0%43.3%-11.9%6.6%3.6K-99.5K-4.2K1.3621.77N/AN/A0000
2010-03-08$10094400.00$9600000.0045.2%14.3%0.0%0.0%57.0%-11.9%6.8%-1.5K28.9K-5.9K1.9317.18N/AN/A0000
2010-03-09$9920000.00$11200000.0044.8%14.2%0.0%0.0%50.8%-12.4%7.1%-4.6K407.9K-7.2K0.7515.55N/AN/A0000
2010-03-10$9681600.00$9920000.0044.5%14.4%0.0%0.0%51.8%-11.4%6.0%-8.6K532.7K-8.2K0.4813.29N/AN/A0000
2010-03-11$9587200.00$9920000.0051.6%14.8%0.0%0.0%54.5%-11.4%6.7%-4.7K442.9K-8.8K4.8415.95N/AN/A0000
2010-03-12$9572800.00$10720000.0051.6%14.8%0.0%0.0%57.4%-11.2%6.8%-36.5K1.3M-11.7K0.3314.02N/AN/A0000
2010-03-15$9630400.00$10720000.0052.0%14.9%0.0%0.0%52.0%-12.2%7.0%-35.1K1.2M-11.2K0.0412.49N/AN/A0000
2010-03-16$9444800.00$10720000.0051.0%14.6%0.0%0.0%54.7%-11.5%7.3%-34.3K1.5M-11.0K0.2415.74N/AN/A0000
2010-03-17$9400000.00$10560000.0050.3%14.4%0.0%0.0%48.1%-11.1%7.6%-41.4K1.6M-10.8K0.1317.18N/AN/A0000
2010-03-18$9288000.00$10400000.0047.3%13.6%0.0%0.0%47.3%-10.8%9.2%-18.9K1.6M-11.3K0.4822.35N/AN/A0000
2010-03-19$9456000.00$10400000.0048.9%14.0%0.0%0.0%49.3%-10.8%8.1%-26.5K1.4M-11.6K0.7518.32N/AN/A0000
2010-03-22$9190400.00$10400000.0048.2%13.8%0.0%0.0%48.4%-9.5%3.4%-26.5K1.4M-10.9K0.0023.65N/AN/A0000
2010-03-23$9008000.00$10400000.0044.9%12.9%24.1%0.0%49.3%-8.3%5.3%-26.8K1.7M-10.4K9.0028.27N/AN/A0000
2010-03-24$9104000.00$10400000.0047.8%13.7%25.0%0.0%51.1%-7.6%4.1%-29.4K1.6M-10.9K3.7528.91N/AN/A0000
2010-03-25$9179200.00$10400000.0049.2%14.1%25.2%0.0%55.3%-7.2%2.6%-30.8K1.6M-11.2K0.1642.13N/AN/A0000
2010-03-26$9123200.00$10400000.0048.1%13.8%24.5%0.0%46.2%-8.2%3.8%-25.5K1.6M-11.3K1.2332.16N/AN/A0000
2010-03-29$9004800.00$10400000.0046.1%13.2%23.9%0.0%49.8%-8.0%5.2%-26.5K1.8M-11.8K2.4129.15N/AN/A0000
2010-03-30$8916800.00$10400000.0045.0%12.9%23.2%0.0%54.3%-7.1%6.6%-32.0K2.3M-12.9K0.8837.31N/AN/A0000
2010-03-31$9014400.00$10400000.0044.1%12.6%24.1%0.0%0.0%-8.1%6.8%-32.5K2.2M-13.2K0.0038.29N/AN/A0000