SQQQ Options History — June 2010

In June 2010, SQQQ traded between $8734400.00 and $11492800.00. ATM implied volatility averaged 80.9%. The 30-day expected move averaged 22.9%. IV traded below realized volatility by 6.9% (HV 20d: 87.8%). Max pain ranged from $9120000.00 to $11040000.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2010-06-04: Largest IV spike — 24.7% change
  • 2010-06-01: Largest Expected Move — 27.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9792872.73$8734400.00$11492800.00$10184000.00$11492800.00
Max Pain$9934545.45$9120000.00$11040000.00$9600000.00$9600000.00
ATM IV80.9%64.1%102.9%96.4%95.8%
Expected Move22.9%18.4%27.6%27.6%27.5%
HV 20d87.8%73.4%102.9%101.9%77.9%
HV 60d73.9%65.8%79.7%65.8%79.7%
Term Structure2.3%-4.4%8.4%-4.4%-2.1%
VWIV83.7%67.6%110.0%98.7%110.0%
Skew 25d-23.8%-31.5%-14.9%-27.6%-30.5%
Skew 10d-41.3%-51.5%-20.9%-50.8%-49.4%
Call IV 25d96.4%76.4%117.2%115.6%117.2%
Put IV 25d72.6%57.2%88.0%88.0%86.7%
Bid-Ask Spread %24.8011.7652.7125.2323.14
Gamma HHI0.070.030.320.050.06
Net GEX-5.9K-324.2K148.5K49.5K88.6K
Net DEX-2.8M-11.9M6.7M-6.4M-8.9M
Net VEX-47.8K-56.9K-36.5K-55.3K-54.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.231.491.490.62
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
2010-06-01$10184000.00$9600000.0096.4%27.6%101.9%0.0%98.7%-27.6%-4.4%49.5K-6.4M-55.3K1.4925.23N/AN/A0000
2010-06-02$9460800.00$9600000.0082.2%23.6%102.3%0.0%93.9%-23.7%1.5%-16.7K-1.5M-55.0K0.8716.28N/AN/A0000
2010-06-03$9177600.00$9760000.0074.8%21.4%102.9%0.0%79.8%-20.6%0.2%-49.0K467.1K-52.0K0.5623.26N/AN/A0000
2010-06-04$10099200.00$11040000.0093.2%25.8%102.7%0.0%81.7%-14.9%0.5%54.3K-6.2M-56.9K0.7322.37N/AN/A0000
2010-06-07$10656000.00$11040000.00102.9%26.7%102.0%0.0%84.2%-21.3%-2.6%97.3K-9.7M-55.3K0.5432.29N/AN/A0000
2010-06-08$10707200.00$11040000.0097.1%26.5%83.2%0.0%87.3%-19.9%-2.8%112.4K-10.0M-54.2K0.6012.03N/AN/A0000
2010-06-09$10992000.00$11040000.0096.7%26.4%83.3%0.0%94.0%-31.5%0.1%148.5K-11.9M-53.1K0.4327.19N/AN/A0000
2010-06-10$10032000.00$10400000.0082.9%23.8%87.8%0.0%103.5%-27.5%0.3%55.7K-5.2M-51.1K0.5531.21N/AN/A0000
2010-06-11$9768000.00$10400000.0078.7%22.6%87.6%0.0%81.7%-23.5%4.0%11.5K-2.9M-49.2K0.4028.72N/AN/A0000
2010-06-14$9792000.00$10240000.0077.6%22.2%85.6%0.0%80.0%-24.0%3.5%19.6K-2.5M-45.8K0.6214.93N/AN/A0000
2010-06-15$8993600.00$10240000.0069.8%20.0%91.1%0.0%69.3%-22.9%5.6%-163.0K3.9M-41.2K1.3334.93N/AN/A0000
2010-06-16$8851200.00$10080000.0070.2%20.1%90.0%0.0%73.2%-21.0%5.7%-211.5K5.4M-39.4K0.2334.66N/AN/A0000
2010-06-17$8739200.00$9760000.0068.2%19.6%89.4%0.0%71.4%-21.7%7.8%-194.2K5.5M-38.6K0.4622.77N/AN/A0000
2010-06-18$8734400.00$9760000.0064.1%18.4%81.5%0.0%71.2%-19.2%8.4%-324.2K6.7M-36.5K0.6240.80N/AN/A0000
2010-06-21$8961600.00$9600000.0068.0%19.5%82.5%0.0%67.6%-25.9%5.0%22.0K-1.1M-36.8K0.9119.16N/AN/A0000
2010-06-22$9179200.00$9120000.0069.1%19.8%83.3%0.0%70.0%-26.2%5.1%21.7K-1.5M-40.7K0.8816.89N/AN/A0000
2010-06-23$9289600.00$9120000.0070.4%20.2%83.4%0.0%75.7%-24.0%5.4%16.1K-1.4M-44.0K0.8019.10N/AN/A0000
2010-06-24$9761600.00$9280000.0078.1%22.4%84.9%0.0%82.5%-21.6%0.7%23.6K-2.2M-45.7K0.9052.71N/AN/A0000
2010-06-25$9752000.00$9280000.0074.6%21.4%73.6%0.0%81.3%-24.1%4.6%22.8K-2.4M-47.2K0.4918.71N/AN/A0000
2010-06-28$9864000.00$9280000.0076.4%21.9%73.4%0.0%86.5%-21.9%3.2%33.2K-3.0M-48.3K0.5011.76N/AN/A0000
2010-06-29$10955200.00$9280000.0092.6%26.6%81.9%0.0%98.5%-29.5%0.2%51.4K-7.1M-51.7K0.3417.47N/AN/A0000
2010-06-30$11492800.00$9600000.0095.8%27.5%77.9%0.0%110.0%-30.5%-2.1%88.6K-8.9M-54.6K0.6223.14N/AN/A0000