SQQQ Options History — August 2011 In August 2011, SQQQ traded between $3755200.00 and $5376000.00. ATM implied volatility averaged 98.6%, placing in the 60.4% IV rank vs the trailing year. The 30-day expected move averaged 27.2%. IV traded below realized volatility by 15.8% (HV 20d: 114.4%). Max pain ranged from $3520000.00 to $4320000.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.37.
Notable Days 2011-08-08 : Largest IV spike — 54.6% change2011-08-04 : Highest IV Rank — 100.0%2011-08-19 : Largest Expected Move — 35.4%Monthly Statistics Metric Avg Min Max Open Close Price $4458782.61 $3755200.00 $5376000.00 $3755200.00 $3857600.00 Max Pain $4111304.35 $3520000.00 $4320000.00 $3520000.00 $4320000.00 ATM IV 98.6% 68.0% 158.1% 68.0% 83.3% Expected Move 27.2% 19.5% 35.4% 19.5% 23.9% HV 20d 114.4% 53.2% 146.8% 53.2% 144.3% HV 60d 79.9% 52.2% 94.4% 52.2% 94.3% IV Rank 60.4% 37.5% 100.0% 65.1% 38.3% IV Percentile 96.7% 90.5% 100.0% 90.5% 92.5% Term Structure -5.1% -17.5% 20.8% -2.7% -4.3% VWIV 101.8% 67.8% 132.1% 71.7% 87.3% Skew 25d -36.9% -68.8% -13.2% -19.8% -43.4% Skew 10d -52.4% -80.4% -29.0% -32.7% -66.5% Call IV 25d 116.1% 77.4% 139.4% 84.1% 106.6% Put IV 25d 79.3% 42.4% 110.3% 64.3% 63.3% Bid-Ask Spread % 39.18 19.42 81.86 36.36 76.85 Gamma HHI 0.09 0.06 0.14 0.12 0.09 Net GEX 282.6K 97.0K 501.5K 246.6K 120.8K Net DEX -15.9M -37.6M 3.8M -6.2M 3.5M Net VEX -62.6K -81.6K -42.4K -46.4K -51.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.37 0.08 0.89 0.33 0.08 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 2011-08-01 $3755200.00 $3520000.00 68.0% 19.5% 53.2% 65.1% 71.7% -19.8% -2.7% 246.6K -6.2M -46.4K 0.33 36.36 N/A N/A 0 0 0 0 2011-08-02 $4038400.00 $3520000.00 74.1% 21.2% 58.9% 77.8% 74.7% -18.1% -9.8% 298.4K -10.7M -42.4K 0.68 34.09 N/A N/A 0 0 0 0 2011-08-03 $3929600.00 $3680000.00 69.4% 19.9% 59.7% 68.1% 67.8% -13.2% -5.0% 277.0K -9.0M -44.5K 0.66 34.74 N/A N/A 0 0 0 0 2011-08-04 $4464000.00 $3680000.00 103.0% 29.5% 71.7% 100.0% 101.2% -30.0% -17.5% 280.9K -19.0M -48.1K 0.40 43.61 N/A N/A 0 0 0 0 2011-08-05 $4552000.00 $3840000.00 102.3% 26.6% 71.8% 98.8% 109.7% -46.3% -1.9% 278.2K -20.2M -58.0K 0.46 19.42 N/A N/A 0 0 0 0 2011-08-08 $5376000.00 $4160000.00 158.1% 35.1% 89.6% 100.0% 132.1% -29.1% -13.8% 292.5K -37.6M -64.3K 0.30 27.03 N/A N/A 0 0 0 0 2011-08-09 $4606400.00 $4160000.00 105.3% 29.6% 108.4% 56.5% 115.2% -33.8% -11.5% 351.0K -28.3M -74.6K 0.55 43.52 N/A N/A 0 0 0 0 2011-08-10 $5123200.00 $4160000.00 151.8% 31.9% 113.4% 94.8% 112.9% -24.6% -11.6% 370.3K -35.3M -81.6K 0.81 26.09 N/A N/A 0 0 0 0 2011-08-11 $4473600.00 $4160000.00 100.8% 28.9% 125.0% 52.7% 121.6% -48.9% -1.3% 333.1K -20.5M -74.6K 0.47 33.01 N/A N/A 0 0 0 0 2011-08-12 $4355200.00 $4160000.00 92.6% 26.5% 124.4% 45.9% 106.4% -39.2% 1.6% 335.3K -17.0M -70.6K 0.39 26.99 N/A N/A 0 0 0 0 2011-08-15 $4164800.00 $4160000.00 82.3% 23.6% 125.6% 37.5% 87.7% -32.6% 8.9% 325.6K -11.8M -56.6K 0.38 31.97 N/A N/A 0 0 0 0 2011-08-16 $4273600.00 $4160000.00 86.4% 24.8% 122.5% 40.9% 91.0% -28.4% 8.7% 411.1K -15.4M -62.1K 0.13 32.25 N/A N/A 0 0 0 0 2011-08-17 $4347200.00 $4160000.00 84.3% 24.2% 122.5% 39.1% 88.6% -25.5% -0.9% 501.5K -17.3M -62.3K 0.34 25.09 N/A N/A 0 0 0 0 2011-08-18 $4972800.00 $4160000.00 113.2% 32.5% 129.6% 63.0% 126.8% -39.3% -11.2% 413.5K -35.9M -72.6K 0.24 31.24 N/A N/A 0 0 0 0 2011-08-19 $5246400.00 $4320000.00 123.5% 35.4% 128.9% 71.4% 123.5% -36.6% -16.4% 481.3K -37.3M -70.7K 0.12 31.96 N/A N/A 0 0 0 0 2011-08-22 $5206400.00 $4320000.00 118.4% 33.9% 129.2% 67.3% 124.8% -38.2% -8.8% 253.3K -19.3M -70.9K 0.20 28.32 N/A N/A 0 0 0 0 2011-08-23 $4560000.00 $4320000.00 92.1% 26.4% 140.0% 45.6% 101.1% -43.3% 20.8% 185.8K -10.6M -64.3K 0.89 34.95 N/A N/A 0 0 0 0 2011-08-24 $4446400.00 $4320000.00 87.7% 25.1% 138.8% 41.9% 105.5% -31.9% 5.7% 180.8K -8.7M -71.0K 0.22 37.04 N/A N/A 0 0 0 0 2011-08-25 $4659200.00 $4320000.00 106.9% 30.6% 139.4% 57.7% 106.4% -35.0% -12.3% 212.4K -11.8M -78.0K 0.33 36.69 N/A N/A 0 0 0 0 2011-08-26 $4315200.00 $4320000.00 94.3% 27.0% 142.9% 47.4% 99.3% -68.8% -11.0% 152.3K -3.2M -68.5K 0.16 66.22 N/A N/A 0 0 0 0 2011-08-29 $3950400.00 $4320000.00 85.6% 24.5% 146.8% 40.2% 96.0% -63.5% -13.8% 97.0K 2.7M -56.0K 0.13 61.89 N/A N/A 0 0 0 0 2011-08-30 $3878400.00 $4320000.00 84.0% 24.1% 144.6% 38.9% 89.0% -58.3% -8.4% 100.3K 3.8M -51.1K 0.27 81.86 N/A N/A 0 0 0 0 2011-08-31 $3857600.00 $4320000.00 83.3% 23.9% 144.3% 38.3% 87.3% -43.4% -4.3% 120.8K 3.5M -51.0K 0.08 76.85 N/A N/A 0 0 0 0
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