SQQQ Options History — April 2011

In April 2011, SQQQ traded between $3683200.00 and $4313600.00. ATM implied volatility averaged 45.8%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 7.1% (HV 20d: 38.7%). Max pain ranged from $3840000.00 to $4320000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.38.

Notable Days

2011-04-04: Largest IV spike — 13.5% change
2011-04-04: Highest IV Rank — 19.8%
2011-04-04: Largest Expected Move — 16.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4039920.00	$3683200.00	$4313600.00	$4059200.00	$3702400.00
Max Pain	$4104000.00	$3840000.00	$4320000.00	$4320000.00	$3840000.00
ATM IV	45.8%	40.0%	51.5%	45.4%	40.8%
Expected Move	13.8%	11.5%	16.3%	13.0%	11.7%
HV 20d	38.7%	29.2%	50.9%	50.9%	32.8%
HV 60d	46.7%	44.2%	48.2%	47.1%	44.2%
IV Rank	10.9%	2.3%	19.8%	12.3%	3.5%
IV Percentile	11.3%	0.4%	27.8%	8.3%	1.6%
Term Structure	5.4%	2.0%	8.6%	8.6%	6.0%
VWIV	51.5%	45.0%	57.5%	51.7%	45.0%
Skew 25d	-13.5%	-18.1%	-10.6%	-18.1%	-11.4%
Skew 10d	-27.7%	-45.1%	-21.2%	-45.1%	-22.7%
Call IV 25d	57.0%	48.8%	65.4%	58.7%	50.6%
Put IV 25d	43.4%	34.9%	50.8%	40.6%	39.2%
Bid-Ask Spread %	33.86	12.79	60.26	27.48	47.80
Gamma HHI	0.12	0.09	0.17	0.10	0.13
Net GEX	211.5K	69.4K	365.6K	210.3K	119.7K
Net DEX	-2.0M	-7.5M	1.6M	-1.2M	411.3K
Net VEX	-42.6K	-47.5K	-37.5K	-47.5K	-40.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.38	0.09	1.01	0.09	0.26
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
2011-04-01	$4059200.00	$4320000.00	45.4%	13.0%	50.9%	12.3%	51.7%	-18.1%	8.6%	210.3K	-1.2M	-47.5K	0.09	27.48	N/A	N/A
2011-04-04	$4096000.00	$4160000.00	51.5%	16.3%	48.9%	19.8%	56.4%	-14.8%	2.0%	231.2K	-1.7M	-45.7K	0.33	26.09	N/A	N/A
2011-04-05	$4126400.00	$4160000.00	50.0%	15.9%	48.8%	17.9%	54.0%	-12.2%	2.6%	261.1K	-2.3M	-45.5K	0.87	50.19	N/A	N/A
2011-04-06	$4105600.00	$4160000.00	46.7%	15.5%	48.2%	13.9%	52.9%	-13.9%	3.6%	266.0K	-1.6M	-45.8K	0.44	21.88	N/A	N/A
2011-04-07	$4105600.00	$4160000.00	47.1%	15.6%	45.1%	14.4%	57.5%	-12.4%	3.5%	307.2K	-2.1M	-46.2K	0.19	26.90	N/A	N/A
2011-04-08	$4168000.00	$4160000.00	47.9%	15.5%	45.2%	15.4%	55.9%	-12.1%	2.9%	338.8K	-3.3M	-45.2K	0.27	31.47	N/A	N/A
2011-04-11	$4204800.00	$4160000.00	51.1%	15.2%	45.2%	19.3%	56.0%	-10.6%	5.3%	365.6K	-4.3M	-43.2K	0.28	30.68	N/A	N/A
2011-04-12	$4286400.00	$4160000.00	49.4%	16.1%	43.2%	17.3%	56.0%	-13.8%	2.1%	360.1K	-5.8M	-43.2K	0.60	25.88	N/A	N/A
2011-04-13	$4184000.00	$4160000.00	45.7%	14.9%	34.3%	9.6%	53.5%	-13.4%	6.2%	293.7K	-1.6M	-40.7K	0.45	26.59	N/A	N/A
2011-04-14	$4204800.00	$4160000.00	49.2%	14.1%	33.9%	14.1%	54.6%	-13.0%	6.8%	303.6K	-1.5M	-39.1K	0.44	29.80	N/A	N/A
2011-04-15	$4232000.00	$4160000.00	46.6%	13.4%	33.9%	10.7%	49.3%	-11.4%	6.5%	283.4K	-2.4M	-40.1K	1.01	35.35	N/A	N/A
2011-04-18	$4313600.00	$4000000.00	49.5%	14.2%	29.2%	14.4%	50.0%	-15.8%	6.5%	202.3K	-7.5M	-42.8K	0.55	28.86	N/A	N/A
2011-04-19	$4235200.00	$4160000.00	44.3%	12.7%	29.6%	7.9%	53.0%	-15.0%	7.5%	175.1K	-6.1M	-47.5K	0.33	57.91	N/A	N/A
2011-04-20	$3947200.00	$4160000.00	44.8%	12.8%	37.8%	8.5%	48.7%	-14.2%	5.3%	83.7K	-1.5M	-43.0K	0.26	12.79	N/A	N/A
2011-04-21	$3854400.00	$4000000.00	40.0%	11.5%	33.8%	2.3%	45.0%	-13.4%	7.6%	81.1K	-542.4K	-40.0K	0.32	25.64	N/A	N/A
2011-04-25	$3824000.00	$4000000.00	42.6%	12.2%	33.8%	5.7%	46.9%	-13.3%	6.3%	81.2K	-166.2K	-39.9K	0.35	41.60	N/A	N/A
2011-04-26	$3760000.00	$4000000.00	40.9%	11.7%	33.3%	3.6%	49.3%	-13.4%	5.5%	79.3K	242.6K	-39.3K	0.09	60.26	N/A	N/A
2011-04-27	$3683200.00	$4000000.00	41.4%	11.9%	32.7%	4.2%	45.3%	-14.5%	6.1%	69.4K	1.6M	-37.5K	0.22	24.84	N/A	N/A
2011-04-28	$3705600.00	$4000000.00	40.4%	11.6%	32.7%	3.0%	49.2%	-14.1%	6.5%	116.5K	526.9K	-40.4K	0.21	45.23	N/A	N/A
2011-04-29	$3702400.00	$3840000.00	40.8%	11.7%	32.8%	3.5%	45.0%	-11.4%	6.0%	119.7K	411.3K	-40.3K	0.26	47.80	N/A	N/A