SQQQ Options History — June 2011 In June 2011, SQQQ traded between $3971200.00 and $4779200.00. ATM implied volatility averaged 53.9%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 3.6% (HV 20d: 50.3%). Max pain ranged from $3680000.00 to $4320000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.39.
Notable Days 2011-06-24 : Largest IV spike — 28.4% change2011-06-16 : Highest IV Rank — 57.6%2011-06-16 : Largest Expected Move — 20.4%Monthly Statistics Metric Avg Min Max Open Close Price $4402472.73 $3971200.00 $4779200.00 $4057600.00 $3971200.00 Max Pain $4021818.18 $3680000.00 $4320000.00 $3840000.00 $4320000.00 ATM IV 53.9% 42.5% 71.1% 45.7% 42.5% Expected Move 15.7% 12.2% 20.4% 13.1% 12.2% HV 20d 50.3% 45.6% 59.1% 45.6% 56.8% HV 60d 42.2% 39.1% 45.7% 42.7% 45.7% IV Rank 28.3% 9.5% 57.6% 13.4% 9.5% IV Percentile 43.1% 6.0% 88.9% 12.3% 6.0% Term Structure 4.9% -0.7% 9.6% 7.7% 8.5% VWIV 57.9% 47.7% 71.7% 48.0% 47.7% Skew 25d -15.7% -20.2% -10.0% -10.0% -13.8% Skew 10d -30.6% -51.8% 6.1% 6.1% -38.1% Call IV 25d 64.4% 50.8% 78.0% 54.8% 50.8% Put IV 25d 48.7% 37.0% 60.3% 44.8% 37.0% Bid-Ask Spread % 39.05 23.87 70.94 51.53 24.48 Gamma HHI 0.17 0.08 0.43 0.19 0.09 Net GEX 345.5K 98.3K 707.5K 356.6K 99.8K Net DEX -11.7M -26.4M 538.0K -7.0M 538.0K Net VEX -32.8K -37.3K -27.3K -33.6K -34.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.39 0.11 1.05 0.15 0.11 Total Volume 0 0 0 0 0 Total OI 0 0 0 0 0
Daily Data (22 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 2011-06-01 $4057600.00 $3840000.00 45.7% 13.1% 45.6% 13.4% 48.0% -10.0% 7.7% 356.6K -7.0M -33.6K 0.15 51.53 N/A N/A 0 0 0 0 2011-06-02 $4027200.00 $3840000.00 47.6% 13.6% 45.8% 16.3% 48.7% -13.4% 4.4% 359.5K -7.3M -35.4K 0.17 57.13 N/A N/A 0 0 0 0 2011-06-03 $4206400.00 $3680000.00 47.0% 15.1% 47.9% 15.4% 55.5% -15.3% 5.5% 447.7K -11.1M -33.2K 0.52 68.65 N/A N/A 0 0 0 0 2011-06-06 $4310400.00 $3840000.00 51.6% 15.9% 48.1% 22.3% 58.4% -15.7% 3.6% 453.2K -13.0M -33.3K 0.49 32.65 N/A N/A 0 0 0 0 2011-06-07 $4334400.00 $3840000.00 49.3% 15.3% 47.7% 20.6% 55.3% -13.7% 6.1% 485.2K -13.8M -34.8K 0.57 43.76 N/A N/A 0 0 0 0 2011-06-08 $4428800.00 $3840000.00 53.1% 16.2% 46.3% 27.2% 56.3% -14.1% 4.6% 495.3K -16.7M -33.3K 1.05 29.69 N/A N/A 0 0 0 0 2011-06-09 $4406400.00 $3840000.00 54.8% 15.7% 46.4% 30.2% 54.3% -16.9% 5.0% 500.1K -16.0M -32.2K 0.45 23.87 N/A N/A 0 0 0 0 2011-06-10 $4609600.00 $3840000.00 60.0% 17.2% 47.1% 38.9% 60.1% -17.6% 1.3% 453.2K -20.7M -29.1K 0.32 34.86 N/A N/A 0 0 0 0 2011-06-13 $4611200.00 $3840000.00 57.1% 16.4% 46.5% 34.1% 52.5% -17.1% 5.6% 632.6K -21.7M -29.5K 0.60 28.23 N/A N/A 0 0 0 0 2011-06-14 $4436800.00 $3840000.00 52.2% 15.0% 46.7% 25.8% 60.3% -16.1% 7.2% 707.5K -16.0M -29.1K 0.23 28.25 N/A N/A 0 0 0 0 2011-06-15 $4678400.00 $3840000.00 63.0% 18.1% 49.4% 44.1% 67.0% -19.0% -0.7% 673.8K -23.3M -28.5K 0.51 33.15 N/A N/A 0 0 0 0 2011-06-16 $4740800.00 $3840000.00 71.1% 20.4% 47.8% 57.6% 71.7% -17.7% -0.7% 589.0K -25.0M -28.6K 0.50 35.04 N/A N/A 0 0 0 0 2011-06-17 $4779200.00 $3840000.00 64.2% 18.4% 47.3% 46.0% 69.3% -20.2% 3.0% 271.8K -26.4M -27.3K 0.18 26.00 N/A N/A 0 0 0 0 2011-06-20 $4705600.00 $4160000.00 58.6% 16.8% 48.0% 36.5% 61.5% -18.7% 6.9% 136.6K -7.1M -31.2K 0.62 29.33 N/A N/A 0 0 0 0 2011-06-21 $4400000.00 $4320000.00 49.4% 14.2% 53.2% 21.1% 56.4% -15.1% 9.1% 98.3K -4.5M -31.8K 0.34 70.94 N/A N/A 0 0 0 0 2011-06-22 $4491200.00 $4320000.00 53.6% 15.4% 53.3% 28.2% 57.7% -16.7% 3.6% 121.0K -5.5M -35.1K 0.32 29.15 N/A N/A 0 0 0 0 2011-06-23 $4369600.00 $4320000.00 49.1% 14.1% 54.2% 20.6% 57.2% -12.5% 8.4% 135.8K -5.0M -35.7K 0.15 48.22 N/A N/A 0 0 0 0 2011-06-24 $4600000.00 $4320000.00 63.0% 18.1% 56.2% 44.0% 62.7% -12.3% 1.4% 178.4K -7.3M -37.3K 0.26 28.01 N/A N/A 0 0 0 0 2011-06-27 $4379200.00 $4320000.00 56.8% 16.3% 59.1% 33.7% 60.9% -20.0% 1.0% 146.3K -5.0M -37.1K 0.20 65.67 N/A N/A 0 0 0 0 2011-06-28 $4182400.00 $4320000.00 50.0% 14.3% 58.9% 22.2% 60.6% -15.2% 7.7% 130.6K -3.0M -35.8K 0.15 41.04 N/A N/A 0 0 0 0 2011-06-29 $4128000.00 $4320000.00 45.8% 13.1% 55.1% 15.1% 52.6% -14.5% 9.6% 128.3K -1.6M -34.5K 0.70 29.47 N/A N/A 0 0 0 0 2011-06-30 $3971200.00 $4320000.00 42.5% 12.2% 56.8% 9.5% 47.7% -13.8% 8.5% 99.8K 538.0K -34.4K 0.11 24.48 N/A N/A 0 0 0 0
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