SQQQ Options History — October 2010

In October 2010, SQQQ traded between $5795200.00 and $7377600.00. ATM implied volatility averaged 58.1%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 13.1% (HV 20d: 45.0%). Max pain ranged from $6080000.00 to $7360000.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2010-10-14: Largest IV spike — 26.0% change
  • 2010-10-04: Highest IV Rank — 35.3%
  • 2010-10-04: Largest Expected Move — 20.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6405333.33$5795200.00$7377600.00$7118400.00$5832000.00
Max Pain$6666666.67$6080000.00$7360000.00$7360000.00$6080000.00
ATM IV58.1%48.5%64.1%58.4%61.5%
Expected Move17.7%16.7%20.2%16.7%17.6%
HV 20d45.0%37.9%49.3%37.9%44.1%
HV 60d51.8%49.4%54.9%52.4%49.4%
IV Rank27.9%16.2%35.3%28.2%32.1%
IV Percentile37.9%18.5%50.7%34.2%49.1%
Term Structure3.9%1.0%9.9%9.9%1.0%
VWIV64.4%55.9%73.2%59.9%63.7%
Skew 25d-15.6%-23.9%-12.0%-15.3%-12.1%
Skew 10d-25.0%-34.5%-19.1%-27.0%-19.9%
Call IV 25d71.7%65.5%87.1%68.5%69.8%
Put IV 25d56.1%52.3%63.2%53.2%57.6%
Bid-Ask Spread %20.578.5135.0615.1931.46
Gamma HHI0.070.060.090.080.07
Net GEX27.2K-36.9K105.8K57.7K-31.6K
Net DEX1.9M-1.2M4.0M69.5K3.9M
Net VEX-31.0K-35.8K-26.3K-32.2K-27.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.063.730.630.29
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
2010-10-01$7118400.00$7360000.0058.4%16.7%37.9%28.2%59.9%-15.3%9.9%57.7K69.5K-32.2K0.6315.19N/AN/A0000
2010-10-04$7377600.00$6880000.0064.1%20.2%38.6%35.3%73.1%-23.9%3.8%105.8K-1.2M-35.4K0.2610.43N/AN/A0000
2010-10-05$6827200.00$7040000.0057.1%18.8%44.3%26.7%72.4%-20.8%4.8%62.1K843.7K-33.2K0.268.51N/AN/A0000
2010-10-06$6976000.00$7040000.0057.3%19.3%45.2%26.9%62.3%-19.5%3.9%97.5K21.6K-35.3K0.699.12N/AN/A0000
2010-10-07$6932800.00$7040000.0055.3%18.8%45.2%24.4%72.6%-18.4%4.6%90.7K234.5K-35.8K0.1216.59N/AN/A0000
2010-10-08$6763200.00$6880000.0051.2%17.8%45.5%19.5%66.4%-17.5%4.7%90.2K738.5K-35.3K0.1018.61N/AN/A0000
2010-10-11$6774400.00$6880000.0054.1%17.8%43.7%23.0%67.5%-16.6%4.8%105.2K865.7K-34.1K0.1220.60N/AN/A0000
2010-10-12$6611200.00$6880000.0051.1%17.4%44.0%19.3%73.2%-16.6%5.1%62.2K1.6M-32.5K0.0630.03N/AN/A0000
2010-10-13$6465600.00$6880000.0048.5%16.9%44.1%16.2%55.9%-15.7%4.3%29.8K2.5M-30.1K0.8235.06N/AN/A0000
2010-10-14$6505600.00$6880000.0061.2%17.5%44.4%31.7%61.3%-15.0%9.1%59.7K1.9M-32.0K0.2028.32N/AN/A0000
2010-10-15$6088000.00$6880000.0058.3%16.7%49.0%28.2%60.0%-15.6%3.4%-6.3K3.7M-27.3K0.6021.65N/AN/A0000
2010-10-18$6096000.00$6720000.0060.2%17.2%46.6%30.4%64.8%-14.5%2.9%-15.4K2.6M-26.9K0.4218.80N/AN/A0000
2010-10-19$6323200.00$6560000.0062.7%18.0%49.2%33.6%65.8%-15.3%4.8%7.4K1.4M-32.3K0.2130.83N/AN/A0000
2010-10-20$6195200.00$6400000.0061.6%17.7%49.3%32.2%62.3%-13.5%2.7%-4441.9M-32.0K0.7726.29N/AN/A0000
2010-10-21$6150400.00$6400000.0058.8%16.9%49.1%28.8%64.4%-13.8%3.9%-7.1K2.2M-30.6K0.2527.11N/AN/A0000
2010-10-22$6020800.00$6400000.0058.1%16.7%45.7%27.9%57.9%-13.2%2.5%-13.0K2.8M-29.0K0.8415.87N/AN/A0000
2010-10-25$5939200.00$6240000.0058.9%16.9%45.2%28.9%60.8%-12.4%1.4%-20.2K3.2M-27.4K3.7317.15N/AN/A0000
2010-10-26$5889600.00$6240000.0061.0%17.5%45.2%31.4%61.8%-12.8%2.4%-33.6K3.5M-27.9K0.8817.03N/AN/A0000
2010-10-27$5830400.00$6240000.0060.9%17.5%44.8%31.4%63.8%-13.2%1.4%-31.9K3.6M-27.1K0.9314.45N/AN/A0000
2010-10-28$5795200.00$6080000.0060.1%17.2%43.9%30.4%62.8%-12.0%1.5%-36.9K4.0M-26.3K0.6318.94N/AN/A0000
2010-10-29$5832000.00$6080000.0061.5%17.6%44.1%32.1%63.7%-12.1%1.0%-31.6K3.9M-27.4K0.2931.46N/AN/A0000