SQQQ Options History — July 2011

In July 2011, SQQQ traded between $3424000.00 and $3928000.00. ATM implied volatility averaged 54.2%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded below realized volatility by 1.6% (HV 20d: 55.8%). Max pain ranged from $3520000.00 to $4160000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.26.

Notable Days

2011-07-11: Largest IV spike — 37.9% change
2011-07-29: Highest IV Rank — 69.7%
2011-07-29: Largest Expected Move — 20.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3666880.00	$3424000.00	$3928000.00	$3784000.00	$3705600.00
Max Pain	$3704000.00	$3520000.00	$4160000.00	$4160000.00	$3520000.00
ATM IV	54.2%	38.6%	70.2%	40.2%	70.2%
Expected Move	16.2%	11.5%	20.1%	11.5%	20.1%
HV 20d	55.8%	49.8%	59.8%	56.7%	55.5%
HV 60d	49.1%	46.7%	52.3%	46.7%	52.2%
IV Rank	36.3%	3.6%	69.7%	6.7%	69.7%
IV Percentile	49.1%	1.2%	92.9%	2.0%	92.9%
Term Structure	2.8%	-1.2%	6.7%	6.4%	-1.2%
VWIV	59.8%	42.8%	73.6%	42.8%	73.6%
Skew 25d	-17.8%	-24.3%	-13.1%	-16.1%	-23.5%
Skew 10d	-37.0%	-52.5%	-23.6%	-29.6%	-37.5%
Call IV 25d	66.9%	45.0%	85.7%	45.0%	85.7%
Put IV 25d	49.1%	28.9%	62.3%	28.9%	62.3%
Bid-Ask Spread %	30.38	19.45	52.35	52.35	33.74
Gamma HHI	0.17	0.11	0.25	0.16	0.12
Net GEX	224.0K	107.7K	400.0K	107.7K	227.7K
Net DEX	-421.3K	-4.8M	4.2M	2.7M	-4.7M
Net VEX	-36.4K	-44.9K	-26.7K	-29.6K	-44.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.26	0.05	0.47	0.05	0.23
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
2011-07-01	$3784000.00	$4160000.00	40.2%	11.5%	56.7%	6.7%	42.8%	-16.1%	6.4%	107.7K	2.7M	-29.6K	0.05	52.35	N/A	N/A
2011-07-05	$3731200.00	$4000000.00	38.6%	13.8%	55.6%	3.6%	52.6%	-16.0%	3.4%	256.1K	1.5M	-32.6K	0.33	37.70	N/A	N/A
2011-07-06	$3691200.00	$4000000.00	40.0%	14.0%	55.5%	6.6%	49.2%	-16.4%	6.4%	253.8K	2.3M	-30.3K	0.25	28.16	N/A	N/A
2011-07-07	$3537600.00	$4000000.00	43.3%	13.3%	55.6%	13.4%	53.2%	-15.7%	4.1%	176.4K	4.2M	-26.7K	0.14	20.87	N/A	N/A
2011-07-08	$3569600.00	$3680000.00	40.0%	14.3%	56.0%	6.7%	51.5%	-13.7%	3.1%	305.4K	2.8M	-31.4K	0.20	32.62	N/A	N/A
2011-07-11	$3756800.00	$3680000.00	55.2%	16.4%	56.8%	38.4%	59.1%	-16.6%	3.6%	395.8K	-1.2M	-36.8K	0.27	35.32	N/A	N/A
2011-07-12	$3846400.00	$3680000.00	54.1%	17.7%	58.0%	36.0%	67.5%	-19.5%	-0.1%	400.0K	-2.9M	-38.2K	0.25	31.94	N/A	N/A
2011-07-13	$3798400.00	$3680000.00	55.3%	17.6%	57.0%	38.6%	64.0%	-17.2%	-0.7%	356.6K	-1.9M	-37.4K	0.47	32.44	N/A	N/A
2011-07-14	$3928000.00	$3680000.00	63.2%	18.1%	54.6%	55.2%	71.1%	-17.4%	-0.6%	334.3K	-4.8M	-37.8K	0.45	32.26	N/A	N/A
2011-07-15	$3769600.00	$3680000.00	59.0%	16.9%	55.1%	46.2%	57.9%	-17.9%	5.2%	295.9K	-694.7K	-36.3K	0.44	29.12	N/A	N/A
2011-07-18	$3836800.00	$3680000.00	59.6%	17.1%	55.6%	47.5%	61.9%	-16.2%	6.7%	135.3K	-2.7M	-40.1K	0.24	28.09	N/A	N/A
2011-07-19	$3568000.00	$3680000.00	53.3%	15.3%	59.8%	34.5%	58.4%	-17.2%	3.6%	116.7K	215.8K	-37.0K	0.19	31.35	N/A	N/A
2011-07-20	$3616000.00	$3680000.00	59.0%	16.9%	57.0%	46.3%	59.1%	-18.1%	2.5%	133.0K	-116.4K	-37.6K	0.22	42.92	N/A	N/A
2011-07-21	$3536000.00	$3680000.00	55.0%	15.8%	56.0%	38.0%	59.3%	-18.7%	5.9%	132.2K	596.6K	-37.3K	0.24	20.24	N/A	N/A
2011-07-22	$3430400.00	$3520000.00	50.2%	14.4%	56.2%	27.9%	55.1%	-13.1%	0.7%	138.3K	2.2M	-32.9K	0.23	23.41	N/A	N/A
2011-07-25	$3449600.00	$3520000.00	58.7%	16.8%	51.5%	45.8%	58.9%	-19.7%	2.7%	157.8K	550.4K	-37.0K	0.15	23.73	N/A	N/A
2011-07-26	$3424000.00	$3520000.00	53.7%	15.4%	49.8%	35.2%	59.5%	-18.4%	2.6%	164.5K	711.7K	-36.7K	0.27	30.14	N/A	N/A
2011-07-27	$3686400.00	$3520000.00	66.4%	19.0%	56.7%	61.8%	67.9%	-20.8%	0.8%	192.5K	-3.7M	-43.5K	0.32	19.45	N/A	N/A
2011-07-28	$3672000.00	$3520000.00	69.5%	19.9%	56.7%	68.3%	73.3%	-24.3%	1.1%	200.4K	-3.5M	-43.1K	0.16	21.69	N/A	N/A
2011-07-29	$3705600.00	$3520000.00	70.2%	20.1%	55.5%	69.7%	73.6%	-23.5%	-1.2%	227.7K	-4.7M	-44.9K	0.23	33.74	N/A	N/A