SQQQ Options History — November 2011

In November 2011, SQQQ traded between $2872000.00 and $3880000.00. ATM implied volatility averaged 82.9%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 24.0%. IV traded above realized volatility by 2.3% (HV 20d: 80.7%). 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 19 of 21 days. Put/call ratio averaged 0.21.

Notable Days

  • 2011-11-09: Largest IV spike — 48.4% change
  • 2011-11-09: Highest IV Rank — 49.4%
  • 2011-11-17: Largest Expected Move — 26.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3262247.62$2872000.00$3880000.00$3278400.00$3158400.00
Max Pain$3885714.29$3200000.00$4000000.00$3200000.00$4000000.00
ATM IV82.9%65.2%96.8%88.9%74.1%
Expected Move24.0%20.8%26.8%25.5%21.2%
HV 20d80.7%72.7%90.8%83.4%90.8%
HV 60d84.6%78.6%97.2%97.2%84.8%
IV Rank38.0%23.4%49.4%42.9%30.7%
IV Percentile79.6%67.9%90.1%86.5%67.9%
Term Structure3.9%-1.9%10.8%2.9%4.6%
VWIV91.1%74.3%101.0%95.6%81.4%
Skew 25d-28.4%-39.2%-17.7%-33.7%-20.3%
Skew 10d-53.5%-76.7%-29.8%-61.4%-35.2%
Call IV 25d102.7%87.1%117.4%114.9%87.3%
Put IV 25d74.3%63.0%83.0%81.2%67.1%
Bid-Ask Spread %29.6715.1660.9842.2027.56
Gamma HHI0.170.080.730.140.10
Net GEX183.4K58.8K782.6K170.8K58.8K
Net DEX152.4K-3.7M4.6M-2.5M3.8M
Net VEX-27.0K-39.9K-16.2K-39.9K-16.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.080.500.110.31
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
2011-11-01$3278400.00$3200000.0088.9%25.5%83.4%42.9%95.6%-33.7%2.9%170.8K-2.5M-39.9K0.1142.20N/AN/A0000
2011-11-02$3195200.00$3200000.0087.3%25.0%80.0%41.6%88.5%-28.2%1.8%154.1K-1.2M-36.8K0.3057.51N/AN/A0000
2011-11-03$2995200.00$3200000.0079.1%22.7%81.0%34.8%83.6%-31.0%2.8%128.3K2.6M-24.2K0.2660.98N/AN/A0000
2011-11-04$3043200.00$4000000.0075.6%23.5%80.9%32.0%98.0%-34.2%1.8%155.4K715.6K-32.9K0.1132.06N/AN/A0000
2011-11-07$2976000.00$4000000.0074.6%22.8%72.7%31.2%87.5%-30.9%5.8%145.1K2.2M-26.8K0.1128.62N/AN/A0000
2011-11-08$2872000.00$4000000.0065.2%20.8%73.3%23.4%74.3%-24.1%9.0%111.1K4.6M-18.4K0.1432.61N/AN/A0000
2011-11-09$3168000.00$4000000.0096.8%26.2%82.3%49.4%101.0%-39.2%-0.5%167.2K-993.6K-33.3K0.1326.88N/AN/A0000
2011-11-10$3182400.00$4000000.0086.6%24.8%81.8%41.0%93.3%-32.5%10.8%186.2K-419.2K-29.9K0.1131.12N/AN/A0000
2011-11-11$3001600.00$4000000.0080.9%23.2%81.9%36.3%90.5%-27.9%7.5%161.8K2.3M-24.8K0.2429.27N/AN/A0000
2011-11-14$3056000.00$4000000.0081.7%23.4%80.4%37.0%97.1%-31.2%3.9%184.4K1.8M-23.8K0.1229.56N/AN/A0000
2011-11-15$2956800.00$4000000.0076.3%21.9%80.0%32.5%92.9%-28.3%4.7%151.1K3.3M-21.8K0.5027.15N/AN/A0000
2011-11-16$3097600.00$4000000.0081.2%23.3%79.0%36.6%88.5%-30.3%5.2%220.8K1.6M-23.2K0.1527.81N/AN/A0000
2011-11-17$3312000.00$4000000.0093.3%26.8%82.6%46.6%99.6%-33.9%1.8%350.4K-2.5M-28.6K0.2520.36N/AN/A0000
2011-11-18$3393600.00$4000000.0085.4%24.5%82.0%40.1%96.8%-29.7%5.7%782.6K-3.7M-27.3K0.1020.31N/AN/A0000
2011-11-21$3584000.00$4000000.0087.8%25.2%79.9%42.0%94.0%-29.0%-1.9%116.0K-1.9M-28.6K0.3415.16N/AN/A0000
2011-11-22$3552000.00$4000000.0082.9%23.8%78.2%38.0%95.5%-24.6%1.9%112.7K-1.1M-27.8K0.1220.06N/AN/A0000
2011-11-23$3792000.00$4000000.0089.1%25.5%81.0%43.1%92.4%-22.6%3.3%135.5K-2.9M-29.0K0.2118.43N/AN/A0000
2011-11-25$3880000.00$4000000.0089.5%25.7%73.2%43.4%88.9%-21.1%3.1%142.6K-3.2M-28.5K0.4723.55N/AN/A0000
2011-11-28$3472000.00$4000000.0084.0%24.1%85.5%38.9%89.1%-25.1%0.8%106.0K341.0K-23.5K0.2427.70N/AN/A0000
2011-11-29$3540800.00$4000000.0081.2%23.3%84.3%36.6%84.6%-17.7%6.6%109.8K419.0K-21.9K0.0824.24N/AN/A0000
2011-11-30$3158400.00$4000000.0074.1%21.2%90.8%30.7%81.4%-20.3%4.6%58.8K3.8M-16.2K0.3127.56N/AN/A0000