SQQQ Options History — December 2011

In December 2011, SQQQ traded between $3006400.00 and $3452800.00. ATM implied volatility averaged 68.7%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded below realized volatility by 10.2% (HV 20d: 78.9%). Max pain ranged from $3040000.00 to $4000000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.29.

Notable Days

  • 2011-12-09: Largest IV drop — 21.5% change
  • 2011-12-08: Highest IV Rank — 42.1%
  • 2011-12-08: Largest Expected Move — 23.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3177904.76$3006400.00$3452800.00$3081600.00$3150400.00
Max Pain$3177142.86$3040000.00$4000000.00$4000000.00$3040000.00
ATM IV68.7%56.0%87.9%68.5%59.2%
Expected Move19.8%16.0%23.9%19.6%17.0%
HV 20d78.9%55.9%90.8%90.8%55.9%
HV 60d81.3%76.1%83.5%83.5%76.1%
IV Rank26.2%15.8%42.1%26.1%18.4%
IV Percentile61.2%45.2%84.1%64.3%49.6%
Term Structure7.1%2.8%11.6%10.2%10.0%
VWIV72.4%56.4%89.2%76.1%56.4%
Skew 25d-20.9%-28.0%-12.8%-21.8%-12.8%
Skew 10d-39.3%-53.1%-23.4%-44.0%-23.4%
Call IV 25d83.9%67.3%101.7%86.4%67.3%
Put IV 25d62.9%52.7%74.5%64.6%54.5%
Bid-Ask Spread %32.1718.5473.1529.3226.08
Gamma HHI0.160.090.340.110.12
Net GEX71.9K44.7K151.9K64.9K55.0K
Net DEX834.0K-2.4M4.2M3.8M-1.5M
Net VEX-14.4K-16.7K-12.7K-16.1K-13.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.040.850.630.17
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
2011-12-01$3081600.00$4000000.0068.5%19.6%90.8%26.1%76.1%-21.8%10.2%64.9K3.8M-16.1K0.6329.32N/AN/A0000
2011-12-02$3105600.00$4000000.0070.8%20.3%87.7%28.0%77.7%-19.9%5.6%63.8K3.8M-16.1K0.3837.30N/AN/A0000
2011-12-05$3006400.00$3040000.0077.5%22.0%88.3%33.5%80.3%-24.8%3.4%53.2K4.2M-15.0K0.1639.79N/AN/A0000
2011-12-06$3028800.00$3200000.0074.1%21.9%88.0%30.7%89.2%-27.4%5.1%63.1K3.2M-14.9K0.0419.31N/AN/A0000
2011-12-07$3030400.00$3040000.0078.8%22.5%86.9%34.6%81.8%-28.0%2.8%64.6K3.3M-15.5K0.0923.53N/AN/A0000
2011-12-08$3179200.00$3040000.0087.9%23.9%81.3%42.1%83.2%-27.2%4.7%84.3K2.1M-16.7K0.4221.43N/AN/A0000
2011-12-09$3028800.00$3040000.0069.0%21.4%83.1%26.5%77.8%-23.8%4.8%52.6K3.7M-14.2K0.2833.21N/AN/A0000
2011-12-12$3123200.00$3040000.0077.4%21.8%81.1%33.5%76.9%-22.6%6.8%70.5K2.7M-14.8K0.1139.99N/AN/A0000
2011-12-13$3232000.00$3040000.0075.3%21.2%81.7%31.7%76.2%-27.3%7.7%92.3K2.4M-14.7K0.3528.34N/AN/A0000
2011-12-14$3380800.00$3040000.0070.2%22.1%81.9%27.5%78.1%-24.7%5.9%147.3K987.3K-15.5K0.4718.54N/AN/A0000
2011-12-15$3411200.00$3040000.0072.5%20.8%80.5%29.4%73.9%-23.9%8.6%151.9K1.2M-14.5K0.3618.90N/AN/A0000
2011-12-16$3364800.00$3040000.0069.3%19.9%77.3%26.8%73.5%-23.0%11.2%93.1K1.4M-14.0K0.8520.67N/AN/A0000
2011-12-19$3452800.00$3200000.0069.3%19.9%77.4%26.8%70.5%-21.1%7.9%44.7K-2.4M-13.8K0.1121.33N/AN/A0000
2011-12-20$3152000.00$3200000.0064.3%18.4%81.2%22.7%68.0%-15.5%4.0%51.3K-1.5M-13.1K0.2651.40N/AN/A0000
2011-12-21$3278400.00$3200000.0060.3%17.3%82.7%19.3%65.8%-16.4%7.9%71.4K-2.3M-14.5K0.1340.66N/AN/A0000
2011-12-22$3201600.00$3200000.0062.4%17.9%78.8%21.0%65.6%-14.5%5.0%66.9K-1.9M-14.5K0.1230.14N/AN/A0000
2011-12-23$3116800.00$3200000.0056.0%16.0%78.1%15.8%60.5%-15.4%11.6%54.6K-1.3M-13.1K0.2444.92N/AN/A0000
2011-12-27$3092800.00$3040000.0057.8%16.6%68.6%17.3%64.7%-16.2%10.3%54.2K-1.2M-12.7K0.1373.15N/AN/A0000
2011-12-28$3192000.00$3040000.0061.2%17.5%69.3%20.1%63.4%-16.7%7.4%58.2K-1.7M-12.9K0.2132.80N/AN/A0000
2011-12-29$3126400.00$3040000.0060.5%17.3%56.6%19.5%59.7%-16.3%8.6%51.6K-1.4M-12.8K0.4724.77N/AN/A0000
2011-12-30$3150400.00$3040000.0059.2%17.0%55.9%18.4%56.4%-12.8%10.0%55.0K-1.5M-13.9K0.1726.08N/AN/A0000