SQQQ Options History — December 2010

In December 2010, SQQQ traded between $4881600.00 and $5432000.00. ATM implied volatility averaged 52.4%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 9.5% (HV 20d: 42.9%). Max pain ranged from $5440000.00 to $7040000.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2010-12-13: Largest IV spike — 26.2% change
  • 2010-12-01: Highest IV Rank — 35.3%
  • 2010-12-01: Largest Expected Move — 18.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5052218.18$4881600.00$5432000.00$5432000.00$4988800.00
Max Pain$5745454.55$5440000.00$7040000.00$7040000.00$5440000.00
ATM IV52.4%45.6%64.1%64.1%51.1%
Expected Move15.2%13.7%18.4%18.4%14.7%
HV 20d42.9%15.8%55.1%54.1%15.8%
HV 60d42.7%37.7%44.7%44.7%37.7%
IV Rank20.9%12.5%35.3%35.3%19.4%
IV Percentile25.3%9.6%59.2%59.2%24.5%
Term Structure6.1%-0.9%10.0%-0.9%4.9%
VWIV55.7%44.3%67.3%67.3%54.7%
Skew 25d-11.3%-14.4%-7.9%-12.0%-11.2%
Skew 10d-22.2%-33.1%-12.3%-20.1%-30.3%
Call IV 25d60.1%52.1%71.4%71.4%59.3%
Put IV 25d48.8%42.0%59.4%59.4%48.0%
Bid-Ask Spread %42.897.8974.6131.7026.46
Gamma HHI0.110.070.190.070.10
Net GEX-11.5K-43.9K63.4K-13.4K1.1K
Net DEX4.2M1.7M6.1M4.2M1.7M
Net VEX-13.6K-19.0K-10.1K-19.0K-11.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.002.632.390.53
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
2010-12-01$5432000.00$7040000.0064.1%18.4%54.1%35.3%67.3%-12.0%-0.9%-13.4K4.2M-19.0K2.3931.70N/AN/A0000
2010-12-02$5249600.00$7040000.0060.0%17.2%55.1%30.2%61.3%-10.2%0.8%-39.6K5.4M-18.7K0.597.89N/AN/A0000
2010-12-03$5204800.00$6880000.0055.5%15.9%53.7%24.7%55.0%-9.0%1.0%-41.3K5.7M-17.7K0.108.43N/AN/A0000
2010-12-06$5211200.00$5760000.0056.6%16.5%53.7%26.1%59.5%-13.1%7.9%-35.7K5.7M-16.7K0.0935.30N/AN/A0000
2010-12-07$5208000.00$5760000.0058.2%16.7%53.7%28.0%61.7%-12.7%7.6%-34.8K5.7M-16.5K1.1636.74N/AN/A0000
2010-12-08$5134400.00$5600000.0051.6%15.7%53.4%19.9%58.5%-14.4%8.0%-33.2K5.9M-16.0K0.2943.55N/AN/A0000
2010-12-09$5123200.00$5600000.0051.5%15.6%53.2%19.8%64.4%-13.5%7.3%-27.6K5.5M-14.9K0.0043.06N/AN/A0000
2010-12-10$5022400.00$5600000.0045.6%15.0%53.0%12.5%63.8%-11.5%7.5%-41.8K6.0M-13.3K0.4648.81N/AN/A0000
2010-12-13$5075200.00$5600000.0057.5%15.9%49.6%27.2%60.7%-12.2%6.5%4.4K5.7M-13.7K0.3847.12N/AN/A0000
2010-12-14$5056000.00$5600000.0055.5%15.6%49.3%24.7%60.4%-12.3%7.2%37.1K5.6M-13.8K0.5050.58N/AN/A0000
2010-12-15$5110400.00$5600000.0054.2%15.5%45.1%23.1%55.6%-12.1%6.4%63.4K5.5M-14.1K0.3448.03N/AN/A0000
2010-12-16$4998400.00$5600000.0052.2%15.0%45.4%20.7%53.5%-12.8%8.1%-2.3K6.1M-12.7K0.1152.72N/AN/A0000
2010-12-17$4984000.00$5600000.0049.5%14.2%42.9%17.3%51.2%-11.1%8.6%-43.9K6.0M-11.7K1.8052.65N/AN/A0000
2010-12-20$4971200.00$5600000.0048.1%13.8%43.0%15.6%51.6%-10.4%9.0%-8.1K2.1M-11.3K0.0949.89N/AN/A0000
2010-12-21$4883200.00$5440000.0047.9%13.7%42.7%15.4%49.5%-12.1%10.0%-4.1K2.2M-10.1K0.1174.61N/AN/A0000
2010-12-22$4881600.00$5440000.0047.6%13.7%38.4%15.0%44.3%-10.1%6.3%-2.4K2.2M-11.0K0.4947.91N/AN/A0000
2010-12-23$4920000.00$5440000.0048.5%13.9%33.1%16.1%47.2%-10.4%5.2%-4.1K2.1M-11.6K2.6352.92N/AN/A0000
2010-12-27$4910400.00$5440000.0050.6%14.5%31.6%18.7%51.2%-7.9%5.4%-6.1K2.1M-11.1K1.1148.91N/AN/A0000
2010-12-28$4936000.00$5440000.0049.7%14.2%31.8%17.6%52.4%-9.9%4.8%-8.2K2.1M-11.1K0.3849.68N/AN/A0000
2010-12-29$4907200.00$5440000.0048.7%14.0%27.3%16.4%50.7%-9.5%7.2%-7.7K2.2M-11.1K0.3844.83N/AN/A0000
2010-12-30$4940800.00$5440000.0048.6%13.9%18.7%16.2%49.9%-9.4%6.2%-5.6K2.1M-11.1K0.0641.72N/AN/A0000
2010-12-31$4988800.00$5440000.0051.1%14.7%15.8%19.4%54.7%-11.2%4.9%1.1K1.7M-11.8K0.5326.46N/AN/A0000