SQQQ Options History — October 2011

In October 2011, SQQQ traded between $2896000.00 and $4603200.00. ATM implied volatility averaged 88.8%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 25.9%. IV traded above realized volatility by 3.5% (HV 20d: 85.3%). Max pain ranged from $3200000.00 to $4000000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2011-10-31: Largest IV spike — 16.8% change
  • 2011-10-03: Highest IV Rank — 76.0%
  • 2011-10-03: Largest Expected Move — 37.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3393142.86$2896000.00$4603200.00$4603200.00$3041600.00
Max Pain$3542857.14$3200000.00$4000000.00$3840000.00$3200000.00
ATM IV88.8%65.0%129.0%129.0%75.9%
Expected Move25.9%18.6%37.0%37.0%21.8%
HV 20d85.3%78.3%90.7%78.8%78.3%
HV 60d103.2%99.8%105.4%99.8%102.2%
IV Rank42.8%23.2%76.0%76.0%32.2%
IV Percentile84.7%69.8%99.2%99.2%76.6%
Term Structure1.0%-13.1%14.4%-13.1%-0.4%
VWIV96.2%76.6%127.7%127.7%81.7%
Skew 25d-33.6%-46.6%-21.2%-30.0%-22.4%
Skew 10d-59.4%-79.9%-28.7%-54.6%-40.7%
Call IV 25d113.0%80.5%157.3%146.5%89.7%
Put IV 25d79.4%59.3%116.5%116.5%67.3%
Bid-Ask Spread %42.7923.2065.1940.9949.07
Gamma HHI0.130.080.730.090.15
Net GEX144.4K56.1K610.4K174.1K147.6K
Net DEX255.8K-12.3M5.9M-12.0M1.0M
Net VEX-39.8K-65.3K-24.0K-63.8K-31.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.060.740.610.16
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
2011-10-03$4603200.00$3840000.00129.0%37.0%78.8%76.0%127.7%-30.0%-13.1%174.1K-12.0M-63.8K0.6140.99N/AN/A0000
2011-10-04$4312000.00$3840000.00120.2%34.5%82.6%68.7%123.9%-46.5%2.0%161.1K-12.3M-65.3K0.2960.69N/AN/A0000
2011-10-05$3987200.00$4000000.00104.8%30.0%82.4%56.0%109.8%-35.4%7.1%153.3K-6.6M-58.3K0.3154.44N/AN/A0000
2011-10-06$3785600.00$4000000.00106.1%30.4%84.4%57.1%115.3%-32.1%-2.8%143.4K-3.7M-54.1K0.1340.44N/AN/A0000
2011-10-07$3859200.00$4000000.00100.9%30.2%81.2%52.8%107.2%-46.6%0.2%155.0K-3.7M-54.1K0.1665.19N/AN/A0000
2011-10-10$3465600.00$3840000.0091.6%28.7%88.4%45.2%97.2%-36.7%-1.2%113.2K838.2K-43.4K0.2054.82N/AN/A0000
2011-10-11$3396800.00$3840000.0086.1%26.3%87.7%40.6%97.5%-36.6%0.8%106.3K1.7M-42.2K0.1841.11N/AN/A0000
2011-10-12$3332800.00$3680000.0079.5%25.6%86.8%35.1%94.6%-36.1%-2.2%100.1K3.2M-37.8K0.3438.08N/AN/A0000
2011-10-13$3244800.00$3680000.0083.1%23.8%85.8%38.1%92.6%-31.7%3.7%65.6K4.8M-34.5K0.1735.16N/AN/A0000
2011-10-14$3062400.00$3520000.0077.0%22.1%87.6%33.1%86.4%-34.1%-0.1%56.1K5.9M-30.0K0.1838.40N/AN/A0000
2011-10-17$3204800.00$3360000.0088.2%25.3%89.5%42.4%91.9%-33.5%-5.5%123.8K3.1M-37.4K0.4037.12N/AN/A0000
2011-10-18$3081600.00$3360000.0079.6%22.8%90.1%35.3%87.2%-36.6%14.4%89.8K4.4M-34.1K0.3332.83N/AN/A0000
2011-10-19$3265600.00$3360000.0087.8%25.2%90.7%42.0%94.6%-38.2%1.0%158.4K2.7M-37.1K0.0628.73N/AN/A0000
2011-10-20$3302400.00$3360000.0095.1%27.3%83.3%48.0%97.4%-33.4%2.0%235.5K1.4M-38.1K0.3223.20N/AN/A0000
2011-10-21$3187200.00$3360000.0085.3%24.5%83.4%40.0%88.7%-37.3%3.6%610.4K3.7M-35.1K0.1825.04N/AN/A0000
2011-10-24$2990400.00$3360000.0075.2%21.6%85.2%31.6%83.7%-28.0%4.5%70.4K2.6M-27.3K0.1631.01N/AN/A0000
2011-10-25$3160000.00$3200000.0082.3%23.6%88.1%37.5%83.9%-35.6%-6.4%96.4K1.3M-31.3K0.1337.42N/AN/A0000
2011-10-26$3166400.00$3200000.0082.2%23.6%86.1%37.4%103.6%-28.3%0.8%101.1K486.9K-33.2K0.7447.65N/AN/A0000
2011-10-27$2910400.00$3200000.0070.2%20.1%88.5%27.5%79.1%-24.8%7.5%72.8K3.3M-24.0K0.1054.59N/AN/A0000
2011-10-28$2896000.00$3200000.0065.0%18.6%82.2%23.2%76.6%-21.2%5.0%97.9K3.3M-24.1K0.2062.65N/AN/A0000
2011-10-31$3041600.00$3200000.0075.9%21.8%78.3%32.2%81.7%-22.4%-0.4%147.6K1.0M-31.2K0.1649.07N/AN/A0000