SQQQ Options History — May 2010

Name: SQQQ Options Analytics - May 2010
Creator: Options Analysis Suite

In May 2010, SQQQ traded between $8004800.00 and $10950400.00. ATM implied volatility averaged 84.9%. The 30-day expected move averaged 24.1%. IV traded below realized volatility by 1.2% (HV 20d: 86.1%). Max pain ranged from $8320000.00 to $9600000.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.73.

Notable Days

2010-05-04: Largest IV spike — 35.2% change
2010-05-20: Largest Expected Move — 32.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9578880.00	$8004800.00	$10950400.00	$8004800.00	$9899200.00
Max Pain	$9336000.00	$8320000.00	$9600000.00	$8320000.00	$9600000.00
ATM IV	84.9%	52.4%	116.8%	52.4%	81.7%
Expected Move	24.1%	15.0%	32.6%	15.0%	23.4%
HV 20d	86.1%	45.0%	105.0%	45.0%	103.6%
HV 60d	59.1%	41.0%	66.2%	41.0%	66.2%
Term Structure	-1.2%	-10.6%	6.5%	2.3%	-0.6%
VWIV	90.0%	53.2%	120.1%	53.2%	88.7%
Skew 25d	-29.7%	-40.9%	-11.1%	-11.1%	-25.0%
Skew 10d	-48.7%	-63.1%	-24.4%	-24.4%	-46.5%
Call IV 25d	105.8%	60.9%	142.3%	60.9%	100.5%
Put IV 25d	76.1%	49.8%	105.1%	49.8%	75.5%
Bid-Ask Spread %	29.42	10.43	74.43	15.66	16.09
Gamma HHI	0.06	0.04	0.13	0.13	0.04
Net GEX	27.4K	-106.5K	205.9K	-106.5K	23.9K
Net DEX	-6.3M	-21.0M	5.6M	5.6M	-4.9M
Net VEX	-54.4K	-61.8K	-34.4K	-34.4K	-57.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.22	2.28	0.56	1.37
Total Volume	0	0	0	0	0
Total OI	0	0	0	0	0

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
2010-05-03	$8004800.00	$8320000.00	52.4%	15.0%	45.0%	0.0%	53.2%	-11.1%	2.3%	-106.5K	5.6M	-34.4K	0.56	15.66	N/A	N/A
2010-05-04	$8729600.00	$8320000.00	70.9%	20.3%	55.4%	0.0%	72.1%	-17.8%	-5.4%	-49.4K	404.9K	-41.8K	0.68	10.43	N/A	N/A
2010-05-05	$8846400.00	$8320000.00	72.6%	20.8%	55.6%	0.0%	75.8%	-22.3%	-5.2%	-17.0K	-1.4M	-47.8K	1.03	13.49	N/A	N/A
2010-05-06	$9747200.00	$8800000.00	90.0%	25.8%	65.2%	0.0%	84.3%	-32.4%	-10.6%	-10.0K	-6.4M	-51.2K	0.46	74.43	N/A	N/A
2010-05-07	$10385600.00	$9440000.00	116.8%	29.6%	67.6%	0.0%	103.3%	-39.2%	-6.9%	37.4K	-11.4M	-58.8K	0.64	23.32	N/A	N/A
2010-05-10	$8876800.00	$9600000.00	80.0%	21.5%	89.9%	0.0%	73.4%	-30.8%	3.7%	-56.1K	-1.0M	-52.3K	0.52	25.42	N/A	N/A
2010-05-11	$8867200.00	$9600000.00	74.7%	21.5%	89.6%	0.0%	91.3%	-27.9%	3.8%	-39.8K	-1.2M	-54.0K	0.22	19.98	N/A	N/A
2010-05-12	$8384000.00	$9440000.00	63.5%	19.2%	91.1%	0.0%	76.3%	-25.1%	6.5%	-74.2K	2.3M	-51.6K	2.28	35.02	N/A	N/A
2010-05-13	$8772800.00	$9440000.00	71.4%	20.5%	92.2%	0.0%	96.5%	-25.7%	3.3%	-38.2K	-884.5K	-54.5K	0.64	27.35	N/A	N/A
2010-05-14	$9273600.00	$9440000.00	81.5%	23.4%	93.5%	0.0%	84.8%	-34.1%	-0.0%	18.6K	-5.6M	-59.0K	0.53	29.82	N/A	N/A
2010-05-17	$9203200.00	$9600000.00	82.7%	23.7%	93.7%	0.0%	81.9%	-31.3%	-0.0%	25.6K	-5.2M	-55.2K	0.94	31.66	N/A	N/A
2010-05-18	$9561600.00	$9600000.00	88.9%	25.5%	94.1%	0.0%	99.9%	-38.9%	-1.6%	83.7K	-9.4M	-57.4K	0.35	33.10	N/A	N/A
2010-05-19	$9790400.00	$9600000.00	95.3%	27.3%	93.7%	0.0%	107.3%	-40.9%	-2.4%	113.1K	-12.0M	-58.9K	0.63	16.08	N/A	N/A
2010-05-20	$10747200.00	$9600000.00	113.7%	32.6%	97.6%	0.0%	120.1%	-37.3%	-8.3%	197.5K	-21.0M	-61.8K	0.67	27.37	N/A	N/A
2010-05-21	$10628800.00	$9600000.00	103.7%	29.7%	97.6%	0.0%	111.1%	-38.3%	-2.2%	205.9K	-19.0M	-61.8K	0.26	45.16	N/A	N/A
2010-05-24	$10553600.00	$9600000.00	94.2%	27.0%	97.8%	0.0%	101.5%	-31.3%	2.5%	60.9K	-9.3M	-57.9K	0.71	54.32	N/A	N/A
2010-05-25	$10635200.00	$9600000.00	93.8%	26.9%	96.4%	0.0%	94.4%	-28.0%	1.0%	65.4K	-9.4M	-59.2K	0.87	21.83	N/A	N/A
2010-05-26	$10950400.00	$9600000.00	93.7%	26.9%	96.5%	0.0%	94.3%	-31.2%	-4.1%	89.6K	-11.1M	-57.8K	0.69	51.54	N/A	N/A
2010-05-27	$9720000.00	$9600000.00	75.9%	21.8%	105.0%	0.0%	89.5%	-25.1%	0.3%	17.6K	-4.4M	-55.8K	0.56	16.27	N/A	N/A
2010-05-28	$9899200.00	$9600000.00	81.7%	23.4%	103.6%	0.0%	88.7%	-25.0%	-0.6%	23.9K	-4.9M	-57.0K	1.37	16.09	N/A	N/A