SQQQ Options History — February 2012

In February 2012, SQQQ traded between $1996800.00 and $2395200.00. ATM implied volatility averaged 49.3%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 21.5% (HV 20d: 27.8%). Max pain ranged from $2240000.00 to $2720000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.30.

Notable Days

2012-02-29: Largest IV spike — 19.2% change
2012-02-15: Highest IV Rank — 18.5%
2012-02-15: Largest Expected Move — 17.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2169680.00	$1996800.00	$2395200.00	$2395200.00	$2022400.00
Max Pain	$2424000.00	$2240000.00	$2720000.00	$2720000.00	$2240000.00
ATM IV	49.3%	42.9%	59.2%	48.4%	51.5%
Expected Move	14.5%	12.4%	17.0%	13.9%	14.8%
HV 20d	27.8%	24.5%	30.8%	24.5%	30.3%
HV 60d	54.4%	40.8%	62.5%	62.3%	40.8%
IV Rank	10.3%	5.0%	18.5%	9.5%	12.1%
IV Percentile	24.0%	7.1%	49.2%	22.6%	31.7%
Term Structure	7.1%	4.0%	12.1%	4.5%	5.3%
VWIV	54.3%	46.9%	62.0%	50.3%	53.2%
Skew 25d	-15.3%	-18.9%	-9.7%	-9.7%	-17.5%
Skew 10d	-38.5%	-48.4%	-27.0%	-27.0%	-37.9%
Call IV 25d	61.2%	53.0%	69.3%	54.0%	58.6%
Put IV 25d	45.9%	38.9%	52.9%	44.3%	41.1%
Bid-Ask Spread %	38.36	15.67	76.84	23.18	62.82
Gamma HHI	0.20	0.14	0.25	0.21	0.22
Net GEX	104.6K	40.6K	194.8K	40.6K	194.8K
Net DEX	646.6K	-1.9M	1.8M	1.4M	-1.9M
Net VEX	-14.2K	-21.5K	-10.7K	-11.3K	-21.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.30	0.02	1.14	0.33	0.10
Total Volume	0	0	0	0	0
Total OI	0	0	0	0	0

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall
2012-02-01	$2395200.00	$2720000.00	48.4%	13.9%	24.5%	9.5%	50.3%	-9.7%	4.5%	40.6K	1.4M	-11.3K	0.33	23.18	N/A	N/A
2012-02-02	$2371200.00	$2720000.00	47.7%	13.7%	24.5%	9.0%	46.9%	-10.9%	5.9%	49.3K	1.2M	-12.3K	0.18	15.67	N/A	N/A
2012-02-03	$2275200.00	$2560000.00	43.1%	14.3%	26.3%	5.2%	54.6%	-17.0%	6.7%	44.9K	1.8M	-10.7K	0.91	74.53	N/A	N/A
2012-02-06	$2276800.00	$2560000.00	45.5%	14.6%	26.7%	7.2%	53.9%	-17.0%	7.2%	56.3K	1.4M	-11.9K	0.12	76.84	N/A	N/A
2012-02-07	$2260800.00	$2560000.00	42.9%	14.4%	25.7%	5.0%	54.3%	-15.3%	7.4%	61.6K	1.7M	-10.8K	0.55	36.19	N/A	N/A
2012-02-08	$2230400.00	$2560000.00	45.9%	15.3%	25.4%	7.5%	55.4%	-15.4%	6.7%	64.2K	1.6M	-12.1K	0.44	33.16	N/A	N/A
2012-02-09	$2179200.00	$2560000.00	53.4%	15.3%	25.7%	13.7%	53.4%	-17.4%	6.7%	65.9K	1.7M	-13.6K	0.45	51.12	N/A	N/A
2012-02-10	$2224000.00	$2560000.00	55.7%	16.0%	28.2%	15.6%	62.0%	-16.9%	7.5%	86.4K	810.1K	-15.2K	0.02	20.70	N/A	N/A
2012-02-13	$2161600.00	$2560000.00	57.2%	16.4%	27.6%	16.8%	58.6%	-14.1%	5.9%	89.5K	1.6M	-13.2K	0.05	26.38	N/A	N/A
2012-02-14	$2145600.00	$2400000.00	52.4%	15.0%	27.3%	12.9%	61.2%	-18.4%	9.2%	110.8K	1.3M	-13.8K	0.32	21.31	N/A	N/A
2012-02-15	$2193600.00	$2400000.00	59.2%	17.0%	27.4%	18.5%	60.2%	-16.4%	7.8%	126.4K	643.1K	-15.3K	0.16	51.86	N/A	N/A
2012-02-16	$2099200.00	$2400000.00	53.5%	15.3%	29.9%	13.7%	59.7%	-18.9%	8.3%	148.3K	1.4M	-14.5K	0.30	42.73	N/A	N/A
2012-02-17	$2120000.00	$2240000.00	50.4%	14.5%	30.3%	11.2%	54.3%	-15.6%	12.1%	143.3K	1.1M	-14.6K	1.14	22.74	N/A	N/A
2012-02-21	$2100800.00	$2240000.00	49.3%	14.1%	30.1%	10.3%	54.4%	-16.8%	6.9%	88.2K	57.6K	-13.8K	0.11	21.92	N/A	N/A
2012-02-22	$2128000.00	$2240000.00	47.5%	13.6%	30.8%	8.8%	52.6%	-15.9%	10.6%	111.8K	-365.2K	-14.5K	0.03	49.44	N/A	N/A
2012-02-23	$2088000.00	$2240000.00	45.9%	13.2%	29.1%	7.5%	48.7%	-12.7%	5.3%	141.8K	-757.6K	-16.3K	0.07	16.04	N/A	N/A
2012-02-24	$2065600.00	$2240000.00	44.2%	12.7%	28.2%	6.1%	49.1%	-11.2%	7.6%	146.4K	-653.7K	-16.0K	0.50	66.81	N/A	N/A
2012-02-27	$2059200.00	$2240000.00	48.5%	13.9%	28.3%	9.6%	50.2%	-13.0%	4.0%	163.3K	-777.0K	-16.8K	0.16	35.42	N/A	N/A
2012-02-28	$1996800.00	$2240000.00	43.2%	12.4%	29.2%	5.2%	52.7%	-16.2%	6.5%	157.9K	-285.8K	-15.8K	0.10	18.43	N/A	N/A
2012-02-29	$2022400.00	$2240000.00	51.5%	14.8%	30.3%	12.1%	53.2%	-17.5%	5.3%	194.8K	-1.9M	-21.5K	0.10	62.82	N/A	N/A