SQQQ Options History — March 2011 In March 2011, SQQQ traded between $3969600.00 and $4891200.00. ATM implied volatility averaged 59.8%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 6.1% (HV 20d: 53.7%). Max pain ranged from $4000000.00 to $4480000.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.46.
Notable Days 2011-03-07 : Largest IV spike — 23.9% change2011-03-16 : Highest IV Rank — 60.5%2011-03-16 : Largest Expected Move — 24.3%Monthly Statistics Metric Avg Min Max Open Close Price $4336347.83 $3969600.00 $4891200.00 $4283200.00 $4064000.00 Max Pain $4194782.61 $4000000.00 $4480000.00 $4320000.00 $4320000.00 ATM IV 59.8% 46.9% 84.7% 58.5% 46.9% Expected Move 17.4% 13.4% 24.3% 16.8% 13.4% HV 20d 53.7% 43.6% 62.9% 48.0% 51.1% HV 60d 43.6% 37.4% 48.1% 37.4% 47.4% IV Rank 30.0% 14.2% 60.5% 28.4% 14.2% IV Percentile 49.9% 13.1% 92.5% 50.8% 13.1% Term Structure 3.2% -5.7% 9.7% 2.3% 7.1% VWIV 63.0% 53.9% 81.5% 59.0% 53.9% Skew 25d -17.5% -24.1% -12.6% -12.6% -15.1% Skew 10d -35.9% -51.0% -23.6% -31.8% -45.4% Call IV 25d 71.8% 57.0% 97.8% 65.4% 58.5% Put IV 25d 54.3% 43.4% 74.0% 52.7% 43.4% Bid-Ask Spread % 21.91 12.82 63.26 17.76 18.01 Gamma HHI 0.12 0.05 0.24 0.11 0.10 Net GEX 250.0K -2.9K 535.9K 122.3K 194.0K Net DEX -5.5M -18.4M 2.8M -1.1M -1.1M Net VEX -45.0K -56.4K -33.4K -33.6K -47.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.46 0.05 1.22 0.43 0.09 Total Volume 0 0 0 0 0 Total OI 0 0 0 0 0
Daily Data (23 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 Call Vol Put Vol Call OI Put OI 2011-03-01 $4283200.00 $4320000.00 58.5% 16.8% 48.0% 28.4% 59.0% -12.6% 2.3% 122.3K -1.1M -33.6K 0.43 17.76 N/A N/A 0 0 0 0 2011-03-02 $4216000.00 $4320000.00 56.3% 16.1% 43.6% 25.7% 59.2% -12.6% 2.7% 128.0K -759.4K -34.4K 0.31 15.53 N/A N/A 0 0 0 0 2011-03-03 $3969600.00 $4320000.00 49.0% 14.1% 48.4% 16.8% 56.4% -12.7% 8.8% -2.9K 2.8M -33.4K 0.22 13.03 N/A N/A 0 0 0 0 2011-03-04 $4027200.00 $4000000.00 48.5% 15.8% 48.8% 16.2% 55.0% -17.1% 5.3% 72.9K 1.2M -34.4K 0.45 18.20 N/A N/A 0 0 0 0 2011-03-07 $4188800.00 $4000000.00 60.1% 17.8% 50.7% 30.4% 63.9% -17.0% 2.7% 180.1K -1.8M -36.7K 0.57 13.87 N/A N/A 0 0 0 0 2011-03-08 $4140800.00 $4000000.00 56.1% 17.3% 50.6% 25.5% 60.7% -18.6% 3.3% 180.9K -1.2M -37.7K 0.30 17.13 N/A N/A 0 0 0 0 2011-03-09 $4225600.00 $4000000.00 56.4% 17.7% 50.3% 25.8% 65.8% -18.7% 2.7% 229.6K -2.8M -40.2K 0.36 12.82 N/A N/A 0 0 0 0 2011-03-10 $4419200.00 $4000000.00 68.2% 19.6% 52.5% 40.3% 66.5% -19.4% 2.0% 386.0K -7.6M -43.9K 0.59 13.40 N/A N/A 0 0 0 0 2011-03-11 $4344000.00 $4000000.00 60.1% 17.2% 53.0% 30.3% 61.1% -17.8% 9.7% 360.8K -6.4M -45.9K 0.90 30.70 N/A N/A 0 0 0 0 2011-03-14 $4385600.00 $4000000.00 64.7% 18.5% 52.3% 36.0% 68.5% -18.3% 3.1% 409.5K -6.7M -44.5K 0.65 14.96 N/A N/A 0 0 0 0 2011-03-15 $4564800.00 $4000000.00 71.2% 20.4% 53.5% 43.9% 72.4% -20.3% 1.2% 535.9K -11.5M -45.4K 0.77 15.10 N/A N/A 0 0 0 0 2011-03-16 $4891200.00 $4160000.00 84.7% 24.3% 57.8% 60.5% 81.5% -23.8% -5.7% 464.5K -18.4M -46.8K 1.22 25.16 N/A N/A 0 0 0 0 2011-03-17 $4764800.00 $4160000.00 78.4% 22.5% 58.3% 52.9% 73.1% -24.1% -5.7% 432.4K -14.0M -48.1K 0.54 21.69 N/A N/A 0 0 0 0 2011-03-18 $4792000.00 $4160000.00 76.0% 21.8% 58.2% 49.9% 76.7% -23.5% 0.4% 373.5K -15.0M -46.0K 0.52 27.42 N/A N/A 0 0 0 0 2011-03-21 $4526400.00 $4160000.00 60.8% 17.4% 62.9% 31.3% 64.0% -18.1% 3.9% 144.9K -7.0M -44.3K 0.29 17.86 N/A N/A 0 0 0 0 2011-03-22 $4544000.00 $4160000.00 59.3% 17.0% 55.8% 29.4% 60.0% -15.2% 3.0% 207.8K -8.6M -48.7K 0.86 15.62 N/A N/A 0 0 0 0 2011-03-23 $4467200.00 $4480000.00 58.5% 16.8% 55.7% 28.5% 59.1% -13.8% 1.4% 201.9K -8.2M -56.4K 0.22 43.58 N/A N/A 0 0 0 0 2011-03-24 $4227200.00 $4480000.00 51.5% 14.8% 59.0% 19.8% 60.4% -15.1% 4.9% 183.4K -4.0M -54.9K 0.09 63.26 N/A N/A 0 0 0 0 2011-03-25 $4201600.00 $4480000.00 51.6% 14.8% 56.9% 20.0% 57.2% -19.4% 5.1% 204.8K -3.4M -54.5K 0.30 33.10 N/A N/A 0 0 0 0 2011-03-28 $4265600.00 $4320000.00 57.5% 16.5% 57.1% 27.2% 57.6% -16.6% 1.3% 276.7K -5.6M -55.2K 0.44 18.69 N/A N/A 0 0 0 0 2011-03-29 $4147200.00 $4320000.00 53.8% 15.4% 55.6% 22.6% 58.8% -17.3% 5.1% 243.7K -3.3M -52.6K 0.34 19.26 N/A N/A 0 0 0 0 2011-03-30 $4080000.00 $4320000.00 48.0% 13.8% 55.6% 15.5% 57.2% -15.3% 8.0% 218.4K -1.7M -50.4K 0.05 17.82 N/A N/A 0 0 0 0 2011-03-31 $4064000.00 $4320000.00 46.9% 13.4% 51.1% 14.2% 53.9% -15.1% 7.1% 194.0K -1.1M -47.9K 0.09 18.01 N/A N/A 0 0 0 0
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