SQQQ Options History — August 2010

In August 2010, SQQQ traded between $8473600.00 and $10464000.00. ATM implied volatility averaged 69.4%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded above realized volatility by 15.9% (HV 20d: 53.5%). Max pain ranged from $9600000.00 to $10560000.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2010-08-11: Largest IV spike — 24.0% change
  • 2010-08-31: Highest IV Rank — 52.2%
  • 2010-08-25: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9430036.36$8473600.00$10464000.00$8624000.00$10459200.00
Max Pain$10232727.27$9600000.00$10560000.00$9760000.00$10240000.00
ATM IV69.4%53.5%79.1%60.4%77.9%
Expected Move20.2%16.7%22.7%17.3%22.3%
HV 20d53.5%47.0%62.0%61.2%50.1%
HV 60d69.5%61.5%80.1%80.1%61.5%
IV Rank51.1%49.9%52.2%49.9%52.2%
IV Percentile73.1%70.6%75.6%70.6%75.6%
Term Structure8.1%0.6%15.1%5.6%10.2%
VWIV76.9%61.6%91.8%70.5%81.3%
Skew 25d-18.2%-27.5%-4.9%-19.0%-26.4%
Skew 10d-30.5%-50.6%-10.6%-28.8%-39.6%
Call IV 25d83.4%62.4%102.4%74.2%102.4%
Put IV 25d65.2%52.4%75.9%55.3%75.9%
Bid-Ask Spread %47.7620.8180.3320.8171.40
Gamma HHI0.050.040.100.040.04
Net GEX48.4K-33.8K106.9K-46278.1K
Net DEX858.1K-5.6M8.3M5.2M-5.6M
Net VEX-47.6K-54.2K-32.3K-46.1K-54.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.041.471.471.28
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
2010-08-02$8624000.00$9760000.0060.4%17.3%61.2%0.0%70.5%-19.0%5.6%-4625.2M-46.1K1.4720.81N/AN/A0000
2010-08-03$8728000.00$9600000.0060.5%17.3%62.0%0.0%68.4%-16.4%4.9%3785.4M-44.3K0.1920.84N/AN/A0000
2010-08-04$8473600.00$9600000.0059.2%17.0%53.7%0.0%62.0%-10.0%3.5%-10.2K6.9M-40.6K0.2746.51N/AN/A0000
2010-08-05$8505600.00$9600000.0058.5%16.8%53.9%0.0%72.8%-10.0%4.7%7.8K6.3M-42.0K0.3639.24N/AN/A0000
2010-08-06$8544000.00$10560000.0054.8%17.9%53.4%0.0%65.0%-16.6%10.5%5.6K6.2M-42.1K1.0641.77N/AN/A0000
2010-08-09$8588800.00$10560000.0053.5%16.7%53.6%0.0%74.3%-6.7%13.8%-33.8K8.3M-32.3K0.0480.33N/AN/A0000
2010-08-10$8563200.00$10560000.0057.8%18.2%52.6%0.0%61.6%-4.9%9.2%-18.1K7.7M-35.8K0.4478.38N/AN/A0000
2010-08-11$9276800.00$10400000.0071.7%21.3%60.4%0.0%78.8%-18.3%0.6%41.0K2.0M-48.3K0.1847.01N/AN/A0000
2010-08-12$9507200.00$10400000.0074.2%21.3%61.0%0.0%75.3%-20.6%6.7%65.9K339.9K-51.0K0.7240.10N/AN/A0000
2010-08-13$9723200.00$10400000.0079.0%22.7%54.7%0.0%88.2%-20.3%4.9%77.9K-1.5M-53.0K0.2941.85N/AN/A0000
2010-08-16$9665600.00$10400000.0077.3%22.2%54.2%0.0%86.7%-17.6%5.4%96.0K-1.8M-51.5K0.3329.38N/AN/A0000
2010-08-17$9276800.00$10400000.0072.0%20.6%54.4%0.0%81.9%-19.5%10.7%88.5K1.9M-47.4K0.3749.91N/AN/A0000
2010-08-18$9168000.00$10400000.0070.4%20.2%52.3%0.0%78.7%-27.5%12.4%76.4K2.5M-46.8K0.4551.87N/AN/A0000
2010-08-19$9569600.00$10400000.0079.0%22.6%48.5%0.0%83.9%-23.6%7.5%106.9K-834.2K-50.8K0.2157.94N/AN/A0000
2010-08-20$9579200.00$10400000.0070.6%20.2%47.4%0.0%79.6%-22.0%15.1%80.2K-121.3K-49.1K0.3451.77N/AN/A0000
2010-08-23$9846400.00$10240000.0070.1%20.1%47.0%0.0%74.7%-9.7%14.5%39.2K-1.1M-47.1K0.2953.75N/AN/A0000
2010-08-24$10393600.00$10240000.0078.6%22.5%49.9%0.0%77.1%-22.5%6.3%76.3K-5.2M-52.4K1.1339.98N/AN/A0000
2010-08-25$10113600.00$10240000.0079.1%22.7%51.2%0.0%81.7%-25.4%5.2%66.4K-3.9M-52.7K0.4547.36N/AN/A0000
2010-08-26$10464000.00$10240000.0077.6%22.3%51.7%0.0%91.8%-16.1%7.9%77.5K-5.5M-53.5K0.3537.30N/AN/A0000
2010-08-27$10036800.00$10240000.0068.6%19.7%54.3%0.0%77.7%-25.4%13.2%67.0K-3.5M-53.6K0.3270.36N/AN/A0000
2010-08-30$10353600.00$10240000.0076.0%21.8%50.1%49.9%80.6%-21.1%5.9%75.6K-4.7M-51.8K1.0732.95N/AN/A0000
2010-08-31$10459200.00$10240000.0077.9%22.3%50.1%52.2%81.3%-26.4%10.2%78.1K-5.6M-54.2K1.2871.40N/AN/A0000