SQQQ Options History — January 2012

In January 2012, SQQQ traded between $2452800.00 and $2974400.00. ATM implied volatility averaged 51.7%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 7.0% (HV 20d: 44.8%). Max pain ranged from $2720000.00 to $3040000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.32.

Notable Days

  • 2012-01-12: Largest IV spike — 25.0% change
  • 2012-01-17: Highest IV Rank — 19.0%
  • 2012-01-09: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2669600.00$2452800.00$2974400.00$2974400.00$2452800.00
Max Pain$2832000.00$2720000.00$3040000.00$3040000.00$2720000.00
ATM IV51.7%45.7%59.9%58.3%48.3%
Expected Move15.5%13.5%17.2%16.7%13.8%
HV 20d44.8%29.3%59.5%59.5%29.3%
HV 60d70.1%63.4%76.3%76.3%63.4%
IV Rank12.3%7.3%19.0%17.7%9.5%
IV Percentile31.6%13.1%50.4%46.8%22.2%
Term Structure4.5%1.8%8.9%8.1%5.2%
VWIV56.8%50.9%62.2%58.6%55.0%
Skew 25d-15.4%-19.9%-10.6%-11.9%-10.9%
Skew 10d-37.2%-54.6%-22.6%-22.6%-26.7%
Call IV 25d64.7%57.2%72.8%66.8%57.2%
Put IV 25d49.3%43.6%55.1%54.9%46.3%
Bid-Ask Spread %32.3818.0459.4431.5225.75
Gamma HHI0.250.110.730.110.19
Net GEX74.8K656201.8K38.1K48.3K
Net DEX509.3K-813.6K2.1M-563.9K782.1K
Net VEX-12.6K-14.9K-11.0K-12.4K-12.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.031.061.060.60
Total Volume00000
Total OI00000

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$2974400.00$3040000.0058.3%16.7%59.5%17.7%58.6%-11.9%8.1%38.1K-563.9K-12.4K1.0631.52N/AN/A0000
2012-01-04$2934400.00$3040000.0052.0%14.9%58.6%12.5%56.0%-10.6%8.9%8.4K-149.6K-12.5K0.5327.97N/AN/A0000
2012-01-05$2859200.00$3040000.0052.4%15.0%59.2%12.9%53.1%-13.2%6.7%656383.3K-11.8K0.2747.25N/AN/A0000
2012-01-06$2830400.00$2880000.0046.9%17.1%59.2%8.3%59.1%-19.0%3.4%1.1K481.6K-11.9K0.3737.99N/AN/A0000
2012-01-09$2856000.00$2880000.0048.8%17.2%56.3%9.8%60.5%-19.3%3.8%90.3K-813.6K-14.4K0.0840.83N/AN/A0000
2012-01-10$2796800.00$2880000.0046.3%16.1%54.3%7.8%57.4%-19.9%3.8%123.5K-446.6K-13.7K0.4335.46N/AN/A0000
2012-01-11$2779200.00$2880000.0045.7%16.3%52.7%7.3%62.2%-17.7%3.3%141.3K-672.7K-14.9K0.0430.89N/AN/A0000
2012-01-12$2740800.00$2880000.0057.1%16.4%50.6%16.7%59.5%-16.7%2.7%147.2K-67.9K-14.1K0.1638.48N/AN/A0000
2012-01-13$2771200.00$2880000.0057.3%16.4%47.2%16.9%58.5%-17.7%4.2%151.0K-139.0K-12.9K0.3859.44N/AN/A0000
2012-01-17$2704000.00$2880000.0059.9%17.2%46.9%19.0%59.6%-17.7%3.1%135.7K652.9K-12.8K0.0525.64N/AN/A0000
2012-01-18$2593600.00$2880000.0056.6%16.2%48.1%16.3%60.0%-19.4%1.8%129.5K1.7M-11.0K0.2426.45N/AN/A0000
2012-01-19$2540800.00$2720000.0056.8%16.3%45.9%16.5%59.2%-17.1%3.2%97.8K2.0M-11.6K0.4623.11N/AN/A0000
2012-01-20$2550400.00$2720000.0048.7%14.0%36.5%9.8%54.2%-15.7%8.7%201.8K2.1M-11.7K0.5729.01N/AN/A0000
2012-01-23$2550400.00$2720000.0049.9%14.3%31.7%10.8%50.9%-16.2%5.7%23.8K823.9K-11.3K0.5026.99N/AN/A0000
2012-01-24$2563200.00$2720000.0052.4%15.0%32.0%12.8%56.8%-15.6%2.7%23.1K562.7K-13.1K0.0337.13N/AN/A0000
2012-01-25$2467200.00$2720000.0047.2%13.5%33.0%8.5%55.2%-11.9%4.2%22.0K1.2M-11.5K0.1618.04N/AN/A0000
2012-01-26$2492800.00$2720000.0052.7%15.1%33.9%13.1%51.0%-13.6%2.3%34.3K613.8K-13.6K0.1418.53N/AN/A0000
2012-01-27$2470400.00$2720000.0048.1%13.8%30.0%9.3%53.9%-11.3%4.8%37.0K811.5K-13.0K0.0423.04N/AN/A0000
2012-01-30$2464000.00$2720000.0049.2%14.1%30.1%10.2%54.7%-12.7%3.9%40.7K967.0K-11.6K0.2444.18N/AN/A0000
2012-01-31$2452800.00$2720000.0048.3%13.8%29.3%9.5%55.0%-10.9%5.2%48.3K782.1K-12.7K0.6025.75N/AN/A0000