SQQQ Options History — July 2010

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

In July 2010, SQQQ traded between $8760000.00 and $11697600.00. ATM implied volatility averaged 71.1%. The 30-day expected move averaged 21.0%. IV traded above realized volatility by 1.3% (HV 20d: 69.8%). Max pain ranged from $9600000.00 to $10720000.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.62.

Notable Days

2010-07-15: Largest IV spike — 20.4% change
2010-07-01: Largest Expected Move — 27.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9827580.95	$8760000.00	$11697600.00	$11601600.00	$9116800.00
Max Pain	$10247619.05	$9600000.00	$10720000.00	$9600000.00	$9760000.00
ATM IV	71.1%	60.2%	96.3%	96.3%	66.7%
Expected Move	21.0%	18.1%	27.6%	27.6%	19.1%
HV 20d	69.8%	59.8%	77.1%	76.5%	59.8%
HV 60d	82.8%	79.6%	85.3%	79.7%	81.8%
Term Structure	3.2%	-2.7%	5.6%	-2.7%	5.5%
VWIV	74.8%	62.9%	94.0%	94.0%	75.3%
Skew 25d	-18.5%	-27.6%	-10.1%	-27.6%	-18.6%
Skew 10d	-26.4%	-44.5%	-14.9%	-44.5%	-31.0%
Call IV 25d	85.1%	74.3%	114.1%	114.1%	77.6%
Put IV 25d	66.6%	57.4%	86.5%	86.5%	59.0%
Bid-Ask Spread %	12.22	5.85	25.90	18.45	18.68
Gamma HHI	0.05	0.03	0.11	0.06	0.03
Net GEX	9.0K	-20.8K	98.6K	98.6K	2.4K
Net DEX	90.9K	-9.5M	4.0M	-9.5M	2.7M
Net VEX	-53.2K	-57.9K	-47.6K	-55.5K	-53.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.04	2.72	2.72	0.56
Total Volume	0	0	0	0	0
Total OI	0	0	0	0	0

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
2010-07-01	$11601600.00	$9600000.00	96.3%	27.6%	76.5%	0.0%	94.0%	-27.6%	-2.7%	98.6K	-9.5M	-55.5K	2.72	18.45	N/A	N/A
2010-07-02	$11697600.00	$10400000.00	85.1%	24.4%	69.7%	0.0%	84.8%	-20.3%	5.6%	81.5K	-9.0M	-57.2K	1.63	25.90	N/A	N/A
2010-07-06	$11588800.00	$10400000.00	87.4%	25.4%	67.7%	0.0%	82.7%	-10.1%	-0.6%	72.1K	-8.5M	-57.5K	0.76	10.41	N/A	N/A
2010-07-07	$10492800.00	$10720000.00	76.1%	22.8%	77.1%	0.0%	78.8%	-14.6%	1.8%	13.4K	-2.5M	-57.3K	0.61	11.64	N/A	N/A
2010-07-08	$10336000.00	$10720000.00	69.3%	22.1%	76.5%	0.0%	77.9%	-16.3%	2.2%	-2.7K	-1.1M	-55.7K	0.53	7.04	N/A	N/A
2010-07-09	$10008000.00	$10720000.00	61.8%	21.0%	70.1%	0.0%	79.2%	-17.8%	3.3%	-9.5K	643.1K	-54.1K	0.21	6.38	N/A	N/A
2010-07-12	$9921600.00	$10720000.00	69.9%	21.1%	69.5%	0.0%	74.0%	-19.5%	3.3%	-9.9K	1.1M	-51.7K	0.41	7.93	N/A	N/A
2010-07-13	$9580800.00	$10720000.00	66.3%	20.7%	70.6%	0.0%	74.3%	-19.7%	3.0%	-7.0K	3.1M	-49.1K	0.11	8.19	N/A	N/A
2010-07-14	$9392000.00	$10560000.00	60.2%	20.6%	63.8%	0.0%	74.5%	-20.0%	3.1%	1.7K	4.0M	-47.6K	0.22	6.32	N/A	N/A
2010-07-15	$9342400.00	$10400000.00	72.4%	20.8%	63.5%	0.0%	73.0%	-20.6%	3.8%	39.5K	4.0M	-48.7K	0.35	8.40	N/A	N/A
2010-07-16	$10094400.00	$10400000.00	76.5%	21.9%	68.4%	0.0%	77.5%	-17.3%	4.2%	-20.1K	-719.4K	-54.6K	0.85	12.27	N/A	N/A
2010-07-19	$9889600.00	$10400000.00	73.2%	21.0%	69.1%	0.0%	75.0%	-21.0%	4.9%	-7.2K	-383.2K	-54.4K	0.88	5.85	N/A	N/A
2010-07-20	$9512000.00	$10400000.00	68.6%	19.7%	70.5%	0.0%	72.3%	-19.8%	4.5%	-10.4K	761.7K	-53.4K	0.32	9.74	N/A	N/A
2010-07-21	$9900800.00	$10080000.00	73.7%	21.1%	71.4%	0.0%	74.1%	-18.3%	3.1%	4.5K	-1.1M	-57.9K	0.36	10.28	N/A	N/A
2010-07-22	$9228800.00	$10080000.00	69.1%	19.8%	75.9%	0.0%	74.1%	-20.0%	3.0%	-9.9K	2.0M	-54.2K	0.41	13.36	N/A	N/A
2010-07-23	$8988800.00	$9920000.00	66.2%	19.0%	74.1%	0.0%	64.3%	-18.5%	3.9%	-6.6K	2.7M	-52.5K	0.51	14.99	N/A	N/A
2010-07-26	$8784000.00	$9920000.00	63.7%	18.3%	74.4%	0.0%	65.8%	-17.0%	3.6%	-20.8K	4.0M	-49.9K	0.30	12.85	N/A	N/A
2010-07-27	$8760000.00	$9760000.00	63.3%	18.1%	74.1%	0.0%	67.1%	-16.9%	4.2%	-14.0K	4.0M	-50.4K	0.31	8.94	N/A	N/A
2010-07-28	$8956800.00	$9760000.00	64.6%	18.5%	62.6%	0.0%	68.2%	-18.1%	4.7%	-3.9K	2.6M	-52.3K	0.04	15.76	N/A	N/A
2010-07-29	$9185600.00	$9760000.00	63.5%	18.2%	60.3%	0.0%	62.9%	-16.0%	2.3%	-2.5K	3.0M	-49.3K	0.92	23.18	N/A	N/A
2010-07-30	$9116800.00	$9760000.00	66.7%	19.1%	59.8%	0.0%	75.3%	-18.6%	5.5%	2.4K	2.7M	-53.0K	0.56	18.68	N/A	N/A