SQQQ Options History — April 2012

In April 2012, SQQQ traded between $1672000.00 and $1937600.00. ATM implied volatility averaged 52.9%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 8.5% (HV 20d: 44.3%). Max pain ranged from $1600000.00 to $1760000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.19.

Notable Days

2012-04-04: Largest IV spike — 23.3% change
2012-04-16: Highest IV Rank — 25.8%
2012-04-16: Largest Expected Move — 18.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1786080.00	$1672000.00	$1937600.00	$1672000.00	$1755200.00
Max Pain	$1672000.00	$1600000.00	$1760000.00	$1760000.00	$1760000.00
ATM IV	52.9%	37.3%	63.7%	41.1%	49.9%
Expected Move	15.4%	10.7%	18.3%	11.8%	14.3%
HV 20d	44.3%	32.2%	56.0%	35.1%	56.0%
HV 60d	36.7%	30.8%	42.4%	30.8%	42.4%
IV Rank	17.2%	5.0%	25.8%	8.0%	15.0%
IV Percentile	38.2%	1.2%	58.3%	6.7%	31.3%
Term Structure	3.1%	-0.3%	9.2%	4.1%	3.3%
VWIV	56.0%	39.7%	66.1%	45.9%	51.4%
Skew 25d	-15.9%	-23.4%	-7.6%	-10.3%	-11.2%
Skew 10d	-39.5%	-60.1%	-19.2%	-31.4%	-19.2%
Call IV 25d	64.4%	48.4%	79.0%	48.4%	55.8%
Put IV 25d	48.6%	38.1%	55.6%	38.1%	44.6%
Bid-Ask Spread %	29.23	18.65	80.57	29.51	23.18
Gamma HHI	0.25	0.19	0.31	0.26	0.26
Net GEX	240.6K	153.5K	373.5K	189.6K	184.8K
Net DEX	-4.3M	-7.9M	-1.7M	-1.8M	-3.0M
Net VEX	-22.9K	-27.3K	-19.2K	-19.8K	-20.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.02	0.84	0.84	0.17
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
2012-04-02	$1672000.00	$1760000.00	41.1%	11.8%	35.1%	8.0%	45.9%	-10.3%	4.1%	189.6K	-1.8M	-19.8K	0.84	29.51	N/A	N/A
2012-04-03	$1673600.00	$1760000.00	37.3%	10.7%	32.2%	5.0%	39.7%	-11.1%	9.2%	184.0K	-1.7M	-19.2K	0.02	26.25	N/A	N/A
2012-04-04	$1742400.00	$1600000.00	46.0%	13.2%	36.7%	11.9%	54.3%	-9.9%	4.7%	264.3K	-3.8M	-24.0K	0.14	27.38	N/A	N/A
2012-04-05	$1708800.00	$1760000.00	46.1%	13.2%	35.6%	11.9%	45.1%	-7.6%	7.5%	244.6K	-3.0M	-23.5K	0.35	26.53	N/A	N/A
2012-04-09	$1748800.00	$1600000.00	50.0%	15.8%	37.2%	15.0%	54.6%	-16.8%	4.8%	275.8K	-4.0M	-24.4K	0.02	29.35	N/A	N/A
2012-04-10	$1830400.00	$1600000.00	55.0%	16.9%	41.4%	19.0%	59.8%	-18.2%	1.6%	306.6K	-6.3M	-27.3K	0.02	23.23	N/A	N/A
2012-04-11	$1806400.00	$1600000.00	49.6%	16.4%	36.1%	14.7%	61.0%	-19.6%	4.9%	308.8K	-5.8M	-25.8K	0.12	29.96	N/A	N/A
2012-04-12	$1742400.00	$1600000.00	58.4%	16.7%	38.1%	21.6%	61.4%	-21.7%	0.1%	265.1K	-4.0M	-23.0K	0.19	42.87	N/A	N/A
2012-04-13	$1822400.00	$1600000.00	58.1%	16.7%	41.5%	21.4%	66.1%	-19.5%	1.9%	328.3K	-6.3M	-25.8K	0.16	20.75	N/A	N/A
2012-04-16	$1878400.00	$1600000.00	63.7%	18.3%	42.9%	25.8%	62.5%	-23.4%	1.2%	373.5K	-7.9M	-25.5K	0.10	36.23	N/A	N/A
2012-04-17	$1768000.00	$1600000.00	57.6%	16.5%	47.6%	21.0%	58.0%	-17.4%	1.8%	269.1K	-3.7M	-20.8K	0.24	38.46	N/A	N/A
2012-04-18	$1780800.00	$1600000.00	58.2%	16.7%	47.6%	21.5%	61.0%	-17.5%	1.9%	233.3K	-4.0M	-23.0K	0.14	22.28	N/A	N/A
2012-04-19	$1836800.00	$1600000.00	55.4%	15.9%	48.8%	19.2%	60.9%	-17.7%	1.7%	297.8K	-5.7M	-23.7K	0.58	22.57	N/A	N/A
2012-04-20	$1859200.00	$1760000.00	59.0%	16.9%	49.0%	22.1%	56.6%	-18.0%	3.2%	242.8K	-5.4M	-23.0K	0.21	25.96	N/A	N/A
2012-04-23	$1904000.00	$1760000.00	60.8%	17.4%	49.5%	23.5%	63.3%	-22.9%	0.4%	162.3K	-5.0M	-22.7K	0.13	21.08	N/A	N/A
2012-04-24	$1937600.00	$1760000.00	60.5%	17.3%	44.7%	23.2%	59.8%	-15.6%	-0.3%	173.2K	-5.5M	-23.8K	0.06	18.65	N/A	N/A
2012-04-25	$1782400.00	$1600000.00	50.5%	14.5%	55.0%	15.4%	53.8%	-14.0%	0.9%	153.5K	-2.8M	-19.7K	0.18	19.94	N/A	N/A
2012-04-26	$1750400.00	$1760000.00	47.7%	13.7%	55.4%	13.2%	50.9%	-13.3%	6.3%	181.9K	-3.0M	-21.4K	0.08	80.57	N/A	N/A
2012-04-27	$1721600.00	$1760000.00	52.0%	14.9%	55.7%	16.6%	53.4%	-11.4%	2.2%	172.5K	-2.5M	-20.5K	0.11	19.75	N/A	N/A
2012-04-30	$1755200.00	$1760000.00	49.9%	14.3%	56.0%	15.0%	51.4%	-11.2%	3.3%	184.8K	-3.0M	-20.2K	0.17	23.18	N/A	N/A