SQQQ Options History — January 2011

In January 2011, SQQQ traded between $4284800.00 and $4768000.00. ATM implied volatility averaged 48.1%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 21.1% (HV 20d: 27.1%). Max pain ranged from $4480000.00 to $5440000.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.56.

Notable Days

2011-01-28: Largest IV spike — 23.2% change
2011-01-28: Highest IV Rank — 25.9%
2011-01-28: Largest Expected Move — 16.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4518080.00	$4284800.00	$4768000.00	$4761600.00	$4544000.00
Max Pain	$4776000.00	$4480000.00	$5440000.00	$5440000.00	$4480000.00
ATM IV	48.1%	42.4%	56.4%	48.5%	55.7%
Expected Move	14.2%	13.1%	16.2%	13.9%	16.0%
HV 20d	27.1%	21.8%	42.5%	22.2%	42.4%
HV 60d	37.5%	35.2%	40.5%	38.6%	40.5%
IV Rank	15.7%	8.6%	25.9%	16.1%	24.9%
IV Percentile	17.6%	0.9%	41.1%	16.0%	40.9%
Term Structure	3.9%	-0.3%	7.3%	5.5%	-0.3%
VWIV	51.6%	46.1%	58.4%	49.4%	57.4%
Skew 25d	-11.5%	-15.1%	-8.3%	-8.3%	-14.5%
Skew 10d	-22.8%	-30.6%	-18.1%	-24.5%	-23.7%
Call IV 25d	56.8%	50.4%	64.5%	53.2%	63.6%
Put IV 25d	45.3%	41.9%	51.5%	44.9%	49.1%
Bid-Ask Spread %	27.98	16.33	63.61	34.94	21.84
Gamma HHI	0.26	0.08	0.61	0.09	0.10
Net GEX	94.1K	-3.4K	317.4K	-3.4K	62.8K
Net DEX	1.4M	-1.9M	3.2M	2.4M	-46.8K
Net VEX	-14.3K	-23.3K	-10.3K	-10.3K	-23.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.03	1.51	0.50	0.45
Total Volume	0	0	0	0	0
Total OI	0	0	0	0	0

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall
2011-01-03	$4761600.00	$5440000.00	48.5%	13.9%	22.2%	16.1%	49.4%	-8.3%	5.5%	-3.4K	2.4M	-10.3K	0.50	34.94	N/A	N/A
2011-01-04	$4768000.00	$5280000.00	48.4%	13.9%	22.2%	16.1%	48.4%	-9.9%	7.2%	5.8K	2.1M	-11.3K	0.75	39.20	N/A	N/A
2011-01-05	$4651200.00	$5280000.00	46.0%	13.2%	23.3%	13.0%	46.2%	-11.3%	7.0%	2.1K	2.5M	-10.9K	0.33	29.87	N/A	N/A
2011-01-06	$4604800.00	$4800000.00	47.0%	13.5%	23.1%	14.3%	46.1%	-8.9%	7.3%	51.9K	1.7M	-13.0K	0.17	29.68	N/A	N/A
2011-01-07	$4609600.00	$4640000.00	44.8%	15.3%	23.2%	11.5%	58.4%	-15.1%	2.7%	100.2K	1.2M	-13.9K	0.26	40.71	N/A	N/A
2011-01-10	$4560000.00	$4640000.00	44.2%	14.7%	22.7%	10.9%	56.6%	-14.1%	3.8%	112.9K	1.3M	-12.7K	0.29	22.97	N/A	N/A
2011-01-11	$4548800.00	$4480000.00	42.7%	14.6%	22.0%	9.0%	54.5%	-12.6%	3.4%	113.3K	1.6M	-12.7K	0.38	24.01	N/A	N/A
2011-01-12	$4451200.00	$4480000.00	42.4%	14.2%	22.7%	8.6%	51.7%	-11.5%	3.4%	123.7K	2.2M	-12.2K	0.80	27.74	N/A	N/A
2011-01-13	$4436800.00	$4480000.00	49.3%	14.1%	21.8%	17.1%	49.6%	-12.0%	3.8%	132.7K	2.1M	-12.6K	0.19	26.32	N/A	N/A
2011-01-14	$4339200.00	$4480000.00	47.2%	13.5%	21.8%	14.5%	54.9%	-11.0%	3.6%	236.3K	2.3M	-13.3K	0.03	22.25	N/A	N/A
2011-01-18	$4300800.00	$4640000.00	47.1%	13.5%	21.8%	14.4%	51.2%	-9.4%	4.3%	128.2K	3.2M	-10.9K	1.51	20.65	N/A	N/A
2011-01-19	$4443200.00	$5280000.00	50.4%	14.4%	26.0%	18.4%	50.0%	-11.1%	3.1%	232.6K	1.7M	-13.5K	0.15	22.47	N/A	N/A
2011-01-20	$4542400.00	$5120000.00	51.4%	14.7%	27.3%	19.7%	51.6%	-13.6%	3.3%	317.4K	246.2K	-14.5K	0.21	23.87	N/A	N/A
2011-01-21	$4648000.00	$4800000.00	52.5%	15.0%	28.9%	21.0%	51.4%	-12.7%	3.6%	124.5K	-1.9M	-15.9K	0.73	25.10	N/A	N/A
2011-01-24	$4457600.00	$4800000.00	48.3%	13.8%	31.8%	15.8%	53.1%	-11.2%	4.6%	36.6K	1.2M	-14.3K	1.19	17.24	N/A	N/A
2011-01-25	$4438400.00	$4640000.00	49.2%	14.1%	31.8%	17.0%	48.8%	-10.2%	3.8%	31.5K	1.0M	-16.4K	0.46	23.62	N/A	N/A
2011-01-26	$4364800.00	$4640000.00	45.8%	13.1%	31.8%	12.8%	48.8%	-11.2%	4.3%	25.4K	1.4M	-16.4K	1.39	63.61	N/A	N/A
2011-01-27	$4284800.00	$4640000.00	45.8%	13.1%	32.1%	12.8%	46.8%	-8.4%	3.8%	10.5K	2.0M	-16.6K	1.01	16.33	N/A	N/A
2011-01-28	$4606400.00	$4480000.00	56.4%	16.2%	42.5%	25.9%	57.0%	-13.0%	0.0%	37.4K	-174.2K	-21.9K	0.44	27.10	N/A	N/A
2011-01-31	$4544000.00	$4480000.00	55.7%	16.0%	42.4%	24.9%	57.4%	-14.5%	-0.3%	62.8K	-46.8K	-23.3K	0.45	21.84	N/A	N/A