SQQQ Options History — February 2011

In February 2011, SQQQ traded between $3891200.00 and $4361600.00. ATM implied volatility averaged 48.3%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 3.3% (HV 20d: 45.1%). Max pain ranged from $4320000.00 to $5600000.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.51.

Notable Days

2011-02-22: Largest IV spike — 45.7% change
2011-02-23: Highest IV Rank — 33.9%
2011-02-23: Largest Expected Move — 18.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4113263.16	$3891200.00	$4361600.00	$4284800.00	$4091200.00
Max Pain	$5002105.26	$4320000.00	$5600000.00	$4640000.00	$4320000.00
ATM IV	48.3%	38.1%	63.0%	52.2%	52.6%
Expected Move	14.3%	12.2%	18.1%	15.0%	15.1%
HV 20d	45.1%	39.7%	52.5%	44.1%	44.5%
HV 60d	39.1%	35.7%	41.5%	41.5%	36.5%
IV Rank	15.9%	3.4%	33.9%	20.7%	21.2%
IV Percentile	21.8%	0.8%	64.9%	33.5%	37.8%
Term Structure	5.9%	0.7%	11.9%	1.8%	3.9%
VWIV	52.4%	46.6%	63.8%	55.4%	53.5%
Skew 25d	-13.1%	-17.5%	-9.7%	-12.3%	-13.4%
Skew 10d	-24.9%	-37.0%	-17.9%	-20.7%	-21.7%
Call IV 25d	57.8%	50.5%	73.1%	58.9%	58.1%
Put IV 25d	44.8%	39.1%	55.7%	46.6%	44.7%
Bid-Ask Spread %	27.16	13.02	81.97	32.52	13.02
Gamma HHI	0.17	0.09	0.33	0.10	0.14
Net GEX	34.4K	-47.8K	185.9K	20.1K	23.9K
Net DEX	3.4M	-1.2M	6.6M	2.1M	1.8M
Net VEX	-21.9K	-30.2K	-17.1K	-21.9K	-30.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.12	1.51	0.57	0.58
Total Volume	0	0	0	0	0
Total OI	0	0	0	0	0

Daily Data (19 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
2011-02-01	$4284800.00	$4640000.00	52.2%	15.0%	44.1%	20.7%	55.4%	-12.3%	1.8%	20.1K	2.1M	-21.9K	0.57	32.52	N/A	N/A
2011-02-02	$4302400.00	$4480000.00	50.0%	14.3%	44.2%	18.0%	53.7%	-14.4%	3.9%	39.8K	2.2M	-23.3K	0.54	24.15	N/A	N/A
2011-02-03	$4286400.00	$4480000.00	47.6%	13.7%	43.6%	15.0%	48.4%	-10.2%	5.4%	42.8K	2.3M	-22.9K	0.78	20.87	N/A	N/A
2011-02-04	$4209600.00	$5600000.00	41.5%	13.8%	43.8%	7.5%	49.5%	-13.5%	6.2%	22.3K	3.1M	-21.9K	0.48	21.46	N/A	N/A
2011-02-07	$4150400.00	$5600000.00	41.2%	13.8%	43.9%	7.1%	48.7%	-11.3%	6.5%	6.5K	3.8M	-19.8K	1.51	18.27	N/A	N/A
2011-02-08	$4054400.00	$5600000.00	38.1%	13.0%	44.3%	3.4%	50.8%	-13.0%	8.4%	-47.8K	4.5M	-20.1K	0.41	16.28	N/A	N/A
2011-02-09	$4083200.00	$5600000.00	40.3%	14.3%	44.6%	6.1%	51.3%	-12.8%	6.2%	-41.1K	4.3M	-20.7K	0.28	22.45	N/A	N/A
2011-02-10	$4064000.00	$5600000.00	46.6%	13.4%	44.1%	13.8%	50.9%	-13.1%	8.2%	-23.0K	4.2M	-21.0K	0.12	21.96	N/A	N/A
2011-02-11	$3984000.00	$5440000.00	45.2%	12.9%	44.5%	12.0%	48.2%	-10.0%	7.4%	-44.1K	5.6M	-19.8K	0.12	18.80	N/A	N/A
2011-02-14	$3952000.00	$5280000.00	46.8%	13.4%	44.0%	14.0%	52.5%	-14.3%	7.0%	6.3K	5.7M	-18.4K	0.28	19.62	N/A	N/A
2011-02-15	$3969600.00	$5280000.00	46.7%	13.4%	44.1%	13.9%	47.3%	-11.6%	7.6%	44.4K	5.3M	-18.1K	0.66	21.29	N/A	N/A
2011-02-16	$3891200.00	$5120000.00	44.3%	12.7%	42.2%	11.0%	49.2%	-9.7%	8.5%	63.3K	6.6M	-17.1K	0.41	18.01	N/A	N/A
2011-02-17	$3891200.00	$5120000.00	44.1%	12.6%	41.0%	10.7%	48.7%	-10.7%	9.0%	185.9K	6.5M	-17.4K	0.27	18.04	N/A	N/A
2011-02-18	$3913600.00	$4960000.00	42.4%	12.2%	39.7%	8.7%	46.6%	-13.9%	11.9%	113.8K	5.9M	-18.0K	0.55	17.00	N/A	N/A
2011-02-22	$4260800.00	$4480000.00	61.8%	17.7%	49.8%	32.4%	61.9%	-15.7%	0.7%	66.8K	568.7K	-20.9K	0.41	35.51	N/A	N/A
2011-02-23	$4361600.00	$4480000.00	63.0%	18.1%	50.6%	33.9%	63.8%	-17.4%	3.4%	92.1K	-1.2M	-26.9K	0.69	77.53	N/A	N/A
2011-02-24	$4291200.00	$4480000.00	61.1%	17.5%	50.6%	31.5%	62.2%	-17.5%	2.7%	66.7K	-450.7K	-29.5K	0.52	81.97	N/A	N/A
2011-02-25	$4110400.00	$4480000.00	53.1%	15.2%	52.5%	21.8%	53.4%	-13.3%	3.1%	14.4K	1.7M	-28.6K	0.56	17.25	N/A	N/A
2011-02-28	$4091200.00	$4320000.00	52.6%	15.1%	44.5%	21.2%	53.5%	-13.4%	3.9%	23.9K	1.8M	-30.2K	0.58	13.02	N/A	N/A