SQQQ Options History — September 2011

In September 2011, SQQQ traded between $3460800.00 and $4262400.00. ATM implied volatility averaged 96.5%, placing in the 49.2% IV rank vs the trailing year. The 30-day expected move averaged 27.9%. IV traded above realized volatility by 2.5% (HV 20d: 94.0%). Max pain ranged from $3840000.00 to $5280000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.22.

Notable Days

  • 2011-09-08: Largest IV spike — 31.5% change
  • 2011-09-30: Highest IV Rank — 70.8%
  • 2011-09-30: Largest Expected Move — 35.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3874895.24$3460800.00$4262400.00$3960000.00$4262400.00
Max Pain$4243809.52$3840000.00$5280000.00$4320000.00$3840000.00
ATM IV96.5%72.3%122.7%91.7%122.7%
Expected Move27.9%20.7%35.2%26.3%35.2%
HV 20d94.0%71.0%138.7%136.6%77.5%
HV 60d96.7%94.4%98.7%94.4%98.7%
IV Rank49.2%29.2%70.8%45.2%70.8%
IV Percentile94.4%86.9%98.8%94.8%98.8%
Term Structure1.5%-19.1%19.7%-1.1%-16.5%
VWIV101.8%79.7%130.1%79.7%130.1%
Skew 25d-39.1%-71.4%14.3%-55.6%-31.7%
Skew 10d-53.9%-90.4%16.4%-68.9%-57.8%
Call IV 25d118.0%78.4%140.9%108.0%140.9%
Put IV 25d78.9%43.4%109.2%52.5%109.2%
Bid-Ask Spread %59.2134.2297.3092.0539.71
Gamma HHI0.100.080.190.090.09
Net GEX118.7K8.1K225.9K140.6K139.6K
Net DEX-1.1M-7.9M8.4M1.6M-7.9M
Net VEX-53.4K-64.8K-41.3K-55.7K-62.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.010.410.050.12
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
2011-09-01$3960000.00$4320000.0091.7%26.3%136.6%45.2%79.7%-55.6%-1.1%140.6K1.6M-55.7K0.0592.05N/AN/A0000
2011-09-02$4230400.00$4320000.0083.5%23.9%138.7%38.5%87.8%-33.2%3.3%201.8K-4.0M-63.9K0.2255.35N/AN/A0000
2011-09-06$4230400.00$5280000.0077.7%24.1%123.4%33.7%88.9%-38.8%9.8%225.9K-7.9M-64.8K0.2597.30N/AN/A0000
2011-09-07$3907200.00$5280000.0075.0%23.9%114.5%31.4%90.8%-52.0%12.5%124.7K1.6M-52.6K0.1057.79N/AN/A0000
2011-09-08$3961600.00$4800000.0098.6%23.1%106.7%50.9%89.4%-70.3%15.2%133.3K1.5M-53.4K0.2577.27N/AN/A0000
2011-09-09$4220800.00$4480000.00102.4%26.8%99.4%54.0%102.3%-37.0%11.4%216.5K-4.9M-62.9K0.0973.25N/AN/A0000
2011-09-12$4057600.00$4320000.00106.0%30.5%99.9%57.0%117.1%14.3%-1.4%202.2K-3.6M-58.9K0.3066.69N/AN/A0000
2011-09-13$3900800.00$4320000.0086.2%28.0%99.7%40.7%102.2%-71.4%-3.2%134.1K1.6M-55.2K0.2364.88N/AN/A0000
2011-09-14$3737600.00$4160000.0081.7%28.8%100.0%37.0%98.4%-24.3%13.5%65.7K6.0M-47.4K0.4171.11N/AN/A0000
2011-09-15$3564800.00$4160000.0072.3%20.7%100.6%29.2%93.0%-56.5%19.7%50.1K8.4M-41.3K0.2890.96N/AN/A0000
2011-09-16$3470400.00$4160000.0083.7%24.0%84.9%38.6%89.9%-32.8%7.4%8.1K8.4M-42.7K0.3545.39N/AN/A0000
2011-09-19$3460800.00$4160000.0089.6%25.7%80.9%43.5%94.7%-35.6%12.1%59.0K967.9K-41.6K0.0151.18N/AN/A0000
2011-09-20$3505600.00$4000000.0095.7%27.4%81.7%48.5%95.7%-34.1%-19.1%64.9K613.2K-43.0K0.1045.61N/AN/A0000
2011-09-21$3689600.00$4000000.0092.7%26.6%73.6%46.0%93.6%-36.4%-14.4%84.5K-422.8K-45.9K0.2458.13N/AN/A0000
2011-09-22$4046400.00$3840000.00110.4%31.7%81.9%60.7%112.7%-40.6%-9.8%106.0K-5.6M-58.5K0.1640.10N/AN/A0000
2011-09-23$3916800.00$4000000.00108.3%31.0%80.1%58.9%113.0%-36.6%-0.2%112.1K-5.0M-57.2K0.3334.22N/AN/A0000
2011-09-26$3784000.00$4000000.00105.2%30.2%76.7%56.3%113.6%-39.7%1.0%109.5K-4.2M-53.9K0.3545.81N/AN/A0000
2011-09-27$3672000.00$4000000.00106.7%30.6%71.0%57.6%106.2%-39.1%-4.4%94.5K-636.7K-46.8K0.3245.36N/AN/A0000
2011-09-28$3835200.00$3840000.00115.5%33.1%72.7%64.8%117.6%-34.0%-1.4%107.4K-3.2M-54.0K0.3842.36N/AN/A0000
2011-09-29$3958400.00$3840000.00121.3%34.8%73.6%69.6%121.8%-34.7%-2.6%111.3K-5.3M-58.9K0.1148.87N/AN/A0000
2011-09-30$4262400.00$3840000.00122.7%35.2%77.5%70.8%130.1%-31.7%-16.5%139.6K-7.9M-62.9K0.1239.71N/AN/A0000