SQQQ Options History — May 2011

In May 2011, SQQQ traded between $3681600.00 and $4187200.00. ATM implied volatility averaged 46.5%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 11.3% (HV 20d: 35.2%). Max pain ranged from $3840000.00 to $4000000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2011-05-10: Largest IV drop — 22.7% change
  • 2011-05-16: Highest IV Rank — 24.6%
  • 2011-05-16: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3890361.90$3681600.00$4187200.00$3726400.00$3814400.00
Max Pain$3923809.52$3840000.00$4000000.00$3840000.00$4000000.00
ATM IV46.5%36.8%55.7%44.8%38.2%
Expected Move13.6%11.0%16.0%12.8%11.0%
HV 20d35.2%32.3%41.0%33.0%40.4%
HV 60d43.7%40.5%46.2%44.3%41.5%
IV Rank12.6%0.0%24.6%8.4%2.1%
IV Percentile16.4%0.0%42.1%6.7%0.8%
Term Structure6.8%-19.8%13.8%5.6%6.6%
VWIV51.2%42.7%58.5%43.3%42.7%
Skew 25d-14.0%-17.7%-10.9%-12.9%-11.8%
Skew 10d-28.9%-43.2%-3.6%-25.5%-33.0%
Call IV 25d56.7%44.1%67.8%56.1%44.1%
Put IV 25d42.7%32.3%50.1%43.2%32.3%
Bid-Ask Spread %58.8934.9698.2544.2355.42
Gamma HHI0.170.110.370.130.11
Net GEX217.1K56.7K445.4K137.3K56.7K
Net DEX-3.3M-7.6M1.1M-263.5K-1.6M
Net VEX-37.4K-44.7K-25.0K-40.5K-25.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.040.900.120.12
Total Volume00000
Total OI00000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$3726400.00$3840000.0044.8%12.8%33.0%8.4%43.3%-12.9%5.6%137.3K-263.5K-40.5K0.1244.23N/AN/A0000
2011-05-03$3776000.00$3840000.0048.0%13.8%33.2%12.5%46.7%-12.6%5.1%176.5K-1.7M-42.5K0.6534.96N/AN/A0000
2011-05-04$3798400.00$3840000.0045.1%12.9%33.2%8.9%46.3%-12.7%5.4%174.2K-1.8M-42.4K0.9040.48N/AN/A0000
2011-05-05$3854400.00$3840000.0050.3%14.4%33.8%15.5%52.0%-16.4%2.8%186.2K-3.2M-44.7K0.1654.14N/AN/A0000
2011-05-06$3819200.00$4000000.0050.6%14.9%33.9%15.9%53.9%-14.4%6.9%158.7K-1.8M-42.7K0.4769.65N/AN/A0000
2011-05-09$3777600.00$4000000.0047.6%14.7%33.2%12.6%57.4%-17.1%9.3%147.6K-1.1M-41.1K0.5362.01N/AN/A0000
2011-05-10$3681600.00$4000000.0036.8%13.1%33.6%0.0%52.3%-16.9%11.6%102.1K1.1M-37.3K0.1598.25N/AN/A0000
2011-05-11$3760000.00$4000000.0039.5%13.3%33.8%3.4%57.1%-14.5%13.8%173.4K-678.2K-38.2K0.5654.95N/AN/A0000
2011-05-12$3694400.00$4000000.0046.9%13.5%33.4%13.2%56.2%-16.4%13.0%125.3K918.7K-36.3K0.2470.57N/AN/A0000
2011-05-13$3819200.00$4000000.0049.5%14.2%36.1%16.5%56.1%-12.3%12.0%194.1K-1.8M-37.3K0.0780.16N/AN/A0000
2011-05-16$4019200.00$4000000.0055.7%16.0%41.0%24.6%58.4%-17.7%0.8%301.6K-7.6M-37.9K0.8184.42N/AN/A0000
2011-05-17$3985600.00$4000000.0053.4%15.3%40.3%21.6%58.5%-15.0%9.1%235.6K-6.8M-38.0K0.6365.53N/AN/A0000
2011-05-18$3884800.00$4000000.0048.4%13.9%40.7%15.1%55.3%-14.7%8.9%280.5K-2.8M-35.5K0.0457.72N/AN/A0000
2011-05-19$3849600.00$4000000.0045.0%12.9%32.5%10.6%49.3%-14.1%13.6%445.4K-1.9M-33.7K0.1651.15N/AN/A0000
2011-05-20$3934400.00$3840000.0047.5%13.6%32.3%15.9%46.7%-12.1%11.5%349.3K-5.4M-33.8K0.3348.81N/AN/A0000
2011-05-23$4110400.00$3840000.0050.2%14.4%35.5%20.2%54.4%-14.2%-19.8%203.7K-6.2M-34.6K0.2049.01N/AN/A0000
2011-05-24$4187200.00$3840000.0048.6%13.9%35.0%17.8%47.9%-13.4%5.3%267.8K-7.4M-37.9K0.0744.98N/AN/A0000
2011-05-25$4140800.00$3840000.0046.0%13.2%34.2%13.8%48.7%-13.1%7.7%257.3K-7.4M-35.4K0.1661.80N/AN/A0000
2011-05-26$4062400.00$3840000.0042.7%12.2%35.3%8.9%48.9%-11.4%5.9%286.0K-6.7M-35.6K0.2353.65N/AN/A0000
2011-05-27$4001600.00$3840000.0041.9%12.0%36.0%7.6%42.8%-10.9%6.7%299.0K-5.6M-35.1K0.3254.75N/AN/A0000
2011-05-31$3814400.00$4000000.0038.2%11.0%40.4%2.1%42.7%-11.8%6.6%56.7K-1.6M-25.0K0.1255.42N/AN/A0000