SQQQ Options History — September 2010

In September 2010, SQQQ traded between $6888000.00 and $9569600.00. ATM implied volatility averaged 60.1%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 5.2% (HV 20d: 54.9%). Max pain ranged from $7360000.00 to $10240000.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2010-09-07: Largest IV spike — 20.8% change
  • 2010-09-10: Highest IV Rank — 36.8%
  • 2010-09-07: Largest Expected Move — 19.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7876038.10$6888000.00$9569600.00$9569600.00$7104000.00
Max Pain$8617142.86$7360000.00$10240000.00$10240000.00$7360000.00
ATM IV60.1%51.2%65.3%64.9%61.8%
Expected Move17.5%15.9%19.6%18.6%17.7%
HV 20d54.9%38.1%66.1%59.7%38.1%
HV 60d59.5%52.4%64.1%64.1%52.4%
IV Rank30.4%19.4%36.8%36.3%32.4%
IV Percentile39.8%27.7%49.7%46.1%45.3%
Term Structure9.4%4.1%20.7%20.7%8.1%
VWIV66.9%60.6%74.1%68.2%64.3%
Skew 25d-17.6%-26.4%-7.0%-26.4%-17.1%
Skew 10d-27.2%-37.0%-13.4%-32.3%-29.5%
Call IV 25d74.5%65.5%92.6%92.6%72.8%
Put IV 25d56.9%49.6%66.2%66.2%55.8%
Bid-Ask Spread %30.3310.3080.0280.0225.62
Gamma HHI0.060.050.080.050.06
Net GEX30.4K-4.5K64.8K31.2K64.8K
Net DEX3.8M134.2K9.2M200.2K134.2K
Net VEX-32.1K-47.8K-24.3K-47.8K-31.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.071.810.230.53
Total Volume00000
Total OI00000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$9569600.00$10240000.0064.9%18.6%59.7%36.3%68.2%-26.4%20.7%31.2K200.2K-47.8K0.2380.02N/AN/A0000
2010-09-02$9260800.00$10240000.0059.4%17.0%61.2%29.4%74.1%-24.5%16.4%24.4K2.1M-44.9K0.8364.80N/AN/A0000
2010-09-03$8784000.00$9600000.0051.2%17.9%64.5%19.4%71.0%-21.2%13.7%8.7K4.9M-39.5K0.2410.30N/AN/A0000
2010-09-07$8944000.00$9600000.0061.8%19.6%64.8%32.4%68.8%-21.8%8.4%12.9K4.3M-38.2K0.1511.64N/AN/A0000
2010-09-08$8628800.00$9280000.0060.2%18.5%66.1%30.5%69.8%-22.7%10.7%8.5K5.9M-36.1K0.5814.17N/AN/A0000
2010-09-09$8526400.00$8960000.0064.1%18.4%59.1%35.3%70.4%-23.9%10.1%16.6K5.9M-36.2K0.2815.85N/AN/A0000
2010-09-10$8448000.00$8800000.0065.3%18.7%58.2%36.8%67.8%-19.5%8.8%23.4K6.3M-34.6K0.1317.40N/AN/A0000
2010-09-13$8062400.00$8800000.0059.4%17.0%58.9%29.5%66.9%-15.1%10.0%-4.5K8.0M-30.0K0.4112.23N/AN/A0000
2010-09-14$7976000.00$8800000.0058.5%16.8%58.9%28.4%71.4%-14.6%10.9%18.4K8.4M-28.9K0.0710.88N/AN/A0000
2010-09-15$7824000.00$8800000.0059.8%17.1%57.8%30.0%61.2%-12.5%9.6%28.6K8.6M-28.6K0.3816.33N/AN/A0000
2010-09-16$7720000.00$8640000.0057.6%16.5%57.8%27.4%61.8%-11.8%9.8%20.5K8.9M-28.4K1.8116.38N/AN/A0000
2010-09-17$7630400.00$8640000.0057.6%16.5%54.5%27.2%60.6%-10.8%10.8%25.3K9.2M-27.4K0.7523.35N/AN/A0000
2010-09-20$7241600.00$8480000.0058.5%16.8%56.2%28.4%62.7%-7.0%4.1%15.1K1.4M-24.3K0.1630.38N/AN/A0000
2010-09-21$7276800.00$8160000.0059.2%17.0%54.5%29.3%66.7%-12.6%6.1%33.2K830.5K-26.3K0.1343.41N/AN/A0000
2010-09-22$7288000.00$8000000.0061.3%17.6%48.5%31.8%69.9%-17.9%6.6%43.4K432.5K-27.9K0.8620.54N/AN/A0000
2010-09-23$7305600.00$8000000.0064.5%18.5%48.9%35.7%65.5%-20.2%4.1%48.1K241.6K-30.5K0.5554.55N/AN/A0000
2010-09-24$6888000.00$7840000.0055.4%15.9%47.3%24.6%60.9%-16.3%8.3%34.3K1.6M-26.6K0.3927.75N/AN/A0000
2010-09-27$6972800.00$7520000.0059.8%17.1%48.1%29.9%66.7%-17.5%6.9%61.5K1.0M-28.9K0.1466.89N/AN/A0000
2010-09-28$6945600.00$7680000.0058.8%16.9%44.8%28.8%66.3%-17.0%8.0%63.6K904.1K-29.0K0.3250.84N/AN/A0000
2010-09-29$7000000.00$7520000.0063.5%18.2%44.6%34.5%69.5%-18.3%5.8%61.4K522.1K-29.9K0.6423.62N/AN/A0000
2010-09-30$7104000.00$7360000.0061.8%17.7%38.1%32.4%64.3%-17.1%8.1%64.8K134.2K-31.0K0.5325.62N/AN/A0000