SQQQ Options History — November 2010

In November 2010, SQQQ traded between $5329600.00 and $6046400.00. ATM implied volatility averaged 58.3%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 20.3% (HV 20d: 38.0%). Max pain ranged from $5920000.00 to $8160000.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2010-11-11: Largest IV spike — 16.3% change
  • 2010-11-30: Highest IV Rank — 42.5%
  • 2010-11-30: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5611047.62$5329600.00$6046400.00$5816000.00$5784000.00
Max Pain$7466666.67$5920000.00$8160000.00$6080000.00$7200000.00
ATM IV58.3%46.4%70.0%66.4%70.0%
Expected Move17.0%15.1%20.1%19.0%20.1%
HV 20d38.0%31.5%50.4%40.8%50.4%
HV 60d46.0%43.5%49.6%49.4%43.6%
IV Rank28.1%13.5%42.5%38.1%42.5%
IV Percentile40.5%12.4%70.0%60.6%70.0%
Term Structure4.9%-2.5%12.0%-0.7%-2.2%
VWIV60.9%49.3%72.4%69.1%72.4%
Skew 25d-13.7%-18.3%-11.5%-12.3%-13.9%
Skew 10d-24.0%-29.0%-19.1%-28.7%-25.0%
Call IV 25d68.1%61.4%79.6%74.7%79.6%
Put IV 25d54.3%48.7%65.8%62.4%65.8%
Bid-Ask Spread %28.649.1075.5557.7320.97
Gamma HHI0.080.060.140.080.06
Net GEX11.1K-24.8K78.1K-24.8K11.9K
Net DEX3.9M322.3K5.6M3.7M2.7M
Net VEX-20.9K-27.7K-15.7K-27.7K-22.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.073.030.070.80
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
2010-11-01$5816000.00$6080000.0066.4%19.0%40.8%38.1%69.1%-12.3%-0.7%-24.8K3.7M-27.7K0.0757.73N/AN/A0000
2010-11-02$5638400.00$6080000.0064.6%18.5%33.6%35.9%67.3%-11.6%-0.2%-22.4K4.4M-25.1K0.1516.17N/AN/A0000
2010-11-03$5555200.00$5920000.0059.0%16.9%31.5%29.0%61.4%-11.5%-0.2%-17.3K4.6M-23.4K0.3365.26N/AN/A0000
2010-11-04$5352000.00$5920000.0054.2%15.5%32.7%23.1%59.1%-11.9%2.0%-12.0K5.3M-20.9K0.2611.50N/AN/A0000
2010-11-05$5348800.00$8160000.0048.9%15.3%32.7%16.6%49.3%-15.0%8.9%7.4K5.2M-20.8K0.5317.79N/AN/A0000
2010-11-08$5329600.00$8160000.0048.7%15.1%32.5%16.4%54.4%-13.7%9.3%-2.2K5.6M-19.6K0.6617.02N/AN/A0000
2010-11-09$5422400.00$8160000.0050.4%15.6%33.7%18.5%52.6%-13.4%9.1%7.7K5.1M-20.0K0.5717.37N/AN/A0000
2010-11-10$5332800.00$8160000.0046.4%15.2%33.5%13.5%53.7%-13.0%10.2%7895.6M-18.7K0.4912.64N/AN/A0000
2010-11-11$5425600.00$8160000.0053.9%15.5%34.4%22.8%55.5%-13.9%9.7%18.8K5.2M-19.4K0.5814.46N/AN/A0000
2010-11-12$5697600.00$8160000.0062.3%17.9%33.3%33.1%65.4%-14.7%7.1%43.6K3.1M-23.7K0.1465.52N/AN/A0000
2010-11-15$5753600.00$8000000.0060.3%17.3%33.5%30.6%63.3%-12.9%7.0%62.1K2.9M-22.2K0.4275.55N/AN/A0000
2010-11-16$6046400.00$8000000.0065.3%18.7%35.8%36.8%63.0%-18.3%7.5%78.1K322.3K-24.0K0.2273.35N/AN/A0000
2010-11-17$5990400.00$8000000.0062.6%18.0%35.3%33.4%66.4%-16.4%7.7%72.8K1.3M-23.4K0.2023.58N/AN/A0000
2010-11-18$5705600.00$8000000.0056.6%16.2%39.0%26.0%57.5%-14.4%10.7%18.2K4.7M-19.1K0.2216.17N/AN/A0000
2010-11-19$5688000.00$7680000.0053.8%15.4%38.5%22.7%57.6%-12.7%12.0%-615.0M-17.7K0.7515.73N/AN/A0000
2010-11-22$5552000.00$7680000.0054.4%15.6%39.0%23.4%58.5%-13.0%3.9%-14.7K3.8M-15.7K0.4627.40N/AN/A0000
2010-11-23$5803200.00$7360000.0060.1%17.2%42.5%30.4%63.0%-14.9%1.4%12.8K2.5M-20.1K0.4411.38N/AN/A0000
2010-11-24$5452800.00$7360000.0056.5%16.2%47.7%25.9%58.4%-12.3%1.0%-4.9K3.6M-17.4K0.909.10N/AN/A0000
2010-11-26$5568000.00$7200000.0062.9%18.0%48.5%33.8%63.1%-13.4%0.5%-7853.4M-18.0K3.0314.61N/AN/A0000
2010-11-29$5569600.00$7360000.0065.8%18.9%48.4%37.3%68.0%-15.8%-2.5%-2.1K3.5M-18.9K0.6318.13N/AN/A0000
2010-11-30$5784000.00$7200000.0070.0%20.1%50.4%42.5%72.4%-13.9%-2.2%11.9K2.7M-22.4K0.8020.97N/AN/A0000