SQQQ Options History — March 2012

In March 2012, SQQQ traded between $1676800.00 and $2097600.00. ATM implied volatility averaged 43.7%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 9.1% (HV 20d: 34.6%). Max pain ranged from $1760000.00 to $2240000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.16.

Notable Days

  • 2012-03-15: Largest IV spike — 45.4% change
  • 2012-03-30: Highest IV Rank — 13.6%
  • 2012-03-07: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1849309.09$1676800.00$2097600.00$1971200.00$1726400.00
Max Pain$1905454.55$1760000.00$2240000.00$2240000.00$1760000.00
ATM IV43.7%30.9%51.9%43.5%48.3%
Expected Move13.5%11.2%16.2%12.5%13.8%
HV 20d34.6%30.4%37.9%30.4%36.7%
HV 60d35.8%30.5%41.8%40.9%30.6%
IV Rank8.4%0.0%13.6%5.4%13.6%
IV Percentile13.4%0.0%34.5%7.9%27.8%
Term Structure6.6%3.1%12.7%7.2%3.1%
VWIV52.1%44.0%68.7%51.9%49.4%
Skew 25d-16.0%-28.0%-10.1%-19.7%-11.6%
Skew 10d-33.5%-55.4%-10.8%-33.6%-20.3%
Call IV 25d57.4%49.3%70.7%56.9%53.7%
Put IV 25d41.4%31.7%48.9%37.2%42.1%
Bid-Ask Spread %41.2413.3580.1978.8833.43
Gamma HHI0.300.230.370.230.27
Net GEX216.3K165.0K283.5K187.6K224.8K
Net DEX-2.2M-3.6M-707.1K-1.1M-3.3M
Net VEX-22.9K-25.9K-18.7K-19.7K-24.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.020.660.080.33
Total Volume00000
Total OI00000

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$1971200.00$2240000.0043.5%12.5%30.4%5.4%51.9%-19.7%7.2%187.6K-1.1M-19.7K0.0878.88N/AN/A0000
2012-03-02$1977600.00$2240000.0039.1%11.2%30.8%1.8%48.6%-15.3%10.5%208.2K-1.2M-19.6K0.2213.35N/AN/A0000
2012-03-05$2036800.00$1920000.0049.6%16.1%31.2%10.5%68.7%-16.7%5.7%229.0K-2.7M-23.2K0.0428.12N/AN/A0000
2012-03-06$2097600.00$1920000.0049.5%15.9%33.5%10.5%59.2%-22.0%7.2%253.9K-3.6M-23.6K0.0831.08N/AN/A0000
2012-03-07$2051200.00$1920000.0051.9%16.2%34.2%12.4%57.7%-17.0%6.1%245.2K-3.2M-24.2K0.0841.01N/AN/A0000
2012-03-08$1982400.00$1920000.0044.3%14.2%35.6%6.2%57.1%-19.5%7.4%232.6K-2.7M-25.6K0.0238.68N/AN/A0000
2012-03-09$1960000.00$1920000.0038.0%13.9%35.1%1.0%53.7%-15.6%8.1%262.1K-2.6M-25.6K0.1336.38N/AN/A0000
2012-03-12$1956800.00$1920000.0035.0%13.8%33.8%0.0%54.9%-15.4%7.8%283.5K-2.8M-25.9K0.0925.62N/AN/A0000
2012-03-13$1844800.00$1920000.0040.2%14.5%37.9%4.2%54.7%-28.0%7.1%220.0K-707.1K-21.9K0.1038.36N/AN/A0000
2012-03-14$1824000.00$1920000.0030.9%13.8%37.9%0.0%55.3%-17.1%7.5%207.6K-1.0M-23.9K0.1933.20N/AN/A0000
2012-03-15$1811200.00$1920000.0044.9%12.9%36.2%11.0%52.3%-10.1%12.7%232.8K-927.9K-22.2K0.3342.40N/AN/A0000
2012-03-16$1814400.00$1920000.0046.3%13.3%34.0%12.1%52.6%-21.1%5.9%217.8K-1.5M-23.3K0.6626.53N/AN/A0000
2012-03-19$1774400.00$1920000.0041.1%11.8%33.8%8.0%46.8%-10.4%10.7%191.5K-2.0M-19.7K0.0241.03N/AN/A0000
2012-03-20$1764800.00$1920000.0044.2%12.7%33.8%10.4%52.9%-12.6%4.9%184.1K-2.3M-22.3K0.1146.95N/AN/A0000
2012-03-21$1764800.00$1920000.0043.9%12.6%33.0%10.2%44.8%-12.8%6.0%184.6K-2.3M-22.7K0.1666.07N/AN/A0000
2012-03-22$1776000.00$1920000.0047.4%13.6%33.3%12.9%49.1%-15.3%4.0%200.8K-3.0M-24.4K0.1129.50N/AN/A0000
2012-03-23$1777600.00$1760000.0045.1%12.9%33.4%11.1%49.1%-12.0%3.8%225.0K-3.2M-24.1K0.1825.12N/AN/A0000
2012-03-26$1683200.00$1760000.0045.2%13.0%37.3%11.2%44.0%-14.3%4.2%165.0K-1.4M-18.7K0.1380.19N/AN/A0000
2012-03-27$1676800.00$1760000.0040.9%11.7%36.5%7.8%46.6%-17.3%6.0%178.6K-2.0M-22.0K0.3350.98N/AN/A0000
2012-03-28$1696000.00$1760000.0047.6%13.6%36.4%13.1%48.9%-15.0%5.2%203.5K-2.7M-24.0K0.0962.17N/AN/A0000
2012-03-29$1716800.00$1760000.0044.6%12.8%36.6%10.7%48.9%-12.8%5.4%220.9K-2.7M-22.4K0.1038.27N/AN/A0000
2012-03-30$1726400.00$1760000.0048.3%13.8%36.7%13.6%49.4%-11.6%3.1%224.8K-3.3M-24.3K0.3333.43N/AN/A0000