SQQQ Options History — May 2012

In May 2012, SQQQ traded between $1734400.00 and $2297200.00. ATM implied volatility averaged 63.0%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 8.7% (HV 20d: 54.3%). Max pain ranged from $1760000.00 to $1960000.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.20.

Notable Days

  • 2012-05-04: Largest IV spike — 14.1% change
  • 2012-05-17: Highest IV Rank — 34.6%
  • 2012-05-17: Largest Expected Move — 21.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2028533.33$1734400.00$2297200.00$1747200.00$2151600.00
Max Pain$1872000.00$1760000.00$1960000.00$1760000.00$1960000.00
ATM IV63.0%49.5%74.9%50.1%68.8%
Expected Move18.1%14.2%21.5%14.4%19.7%
HV 20d54.3%46.6%60.9%54.7%52.1%
HV 60d46.0%41.7%49.4%41.7%49.1%
IV Rank25.2%14.6%34.6%15.1%29.8%
IV Percentile53.6%28.6%67.5%32.1%59.9%
Term Structure2.6%-2.5%7.3%3.5%2.7%
VWIV63.5%44.9%78.4%50.5%74.4%
Skew 25d-16.9%-22.6%-8.4%-10.0%-16.2%
Skew 10d-30.1%-54.6%-8.2%-22.7%-29.5%
Call IV 25d73.3%53.8%86.5%54.6%78.4%
Put IV 25d56.4%36.2%66.9%44.6%62.3%
Bid-Ask Spread %25.1014.3640.3416.6334.73
Gamma HHI0.190.090.410.290.09
Net GEX195.2K0310.7K246.5K239.3K
Net DEX-5.4M-9.0M0-3.7M-6.8M
Net VEX-20.7K-28.6K0-21.7K-27.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.020.760.020.25
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
2012-05-01$1747200.00$1760000.0050.1%14.4%54.7%15.1%50.5%-10.0%3.5%246.5K-3.7M-21.7K0.0216.63N/AN/A0000
2012-05-02$1734400.00$1760000.0050.0%14.3%54.8%15.0%52.6%-11.0%4.6%237.8K-4.0M-22.6K0.1416.09N/AN/A0000
2012-05-03$1785600.00$1760000.0049.5%14.2%53.9%14.6%44.9%-17.7%5.4%268.0K-5.4M-24.2K0.1114.36N/AN/A0000
2012-05-04$1920000.00$1760000.0056.5%16.8%58.9%20.1%60.0%-16.4%7.3%310.7K-9.0M-25.2K0.1317.04N/AN/A0000
2012-05-07$1915200.00$1760000.0061.9%17.5%58.6%24.4%57.3%-21.0%1.7%304.0K-8.5M-24.5K0.2220.24N/AN/A0000
2012-05-08$1937600.00$1760000.0059.7%17.3%56.7%22.6%56.2%-20.3%-0.5%304.9K-8.8M-24.3K0.1419.56N/AN/A0000
2012-05-09$1947200.00$1760000.0060.5%17.3%56.4%23.2%56.4%-21.2%1.8%256.9K-7.6M-22.5K0.1128.85N/AN/A0000
2012-05-10$1968000.00$1760000.0058.8%16.8%54.4%21.9%58.9%-20.1%5.1%269.5K-7.7M-21.9K0.0824.38N/AN/A0000
2012-05-14$2023200.00$0.0066.8%19.2%53.1%28.2%66.1%-9.4%0.8%0000.1520.54N/AN/A0000
2012-05-15$2042400.00$1960000.0068.1%19.5%52.3%29.3%65.9%-8.4%-2.5%22.2K-656.7K-1.9K0.7616.28N/AN/A0000
2012-05-16$2085600.00$1960000.0069.9%20.0%46.6%30.6%69.4%-22.6%-2.5%28.6K-1.1M-5.4K0.1821.75N/AN/A0000
2012-05-17$2217600.00$1920000.0074.9%21.5%50.3%34.6%78.4%-19.5%0.9%41.9K-2.2M-7.1K0.1123.38N/AN/A0000
2012-05-18$2297200.00$1920000.0073.9%21.2%50.5%33.8%73.2%-16.8%2.7%168.3K-7.5M-21.0K0.3729.57N/AN/A0000
2012-05-21$2110800.00$1920000.0065.3%18.7%60.9%27.0%66.9%-19.3%1.5%185.9K-5.4M-22.1K0.2527.70N/AN/A0000
2012-05-22$2118800.00$1920000.0065.6%18.8%60.5%27.3%65.7%-21.3%3.2%183.3K-5.5M-25.7K0.6929.68N/AN/A0000
2012-05-23$2104000.00$1960000.0065.6%18.8%60.5%27.3%69.5%-17.9%1.5%172.7K-5.2M-26.1K0.0831.74N/AN/A0000
2012-05-24$2142800.00$1960000.0066.3%19.0%51.0%27.8%67.8%-18.6%4.2%199.4K-6.4M-28.6K0.0527.44N/AN/A0000
2012-05-25$2155600.00$1960000.0063.4%18.2%50.0%25.5%67.1%-17.0%5.9%216.7K-6.5M-28.4K0.1230.63N/AN/A0000
2012-05-29$2072000.00$1960000.0061.4%17.6%52.3%24.0%60.7%-16.2%5.2%209.5K-4.9M-26.1K0.1336.17N/AN/A0000
2012-05-30$2122400.00$1960000.0066.5%19.1%52.4%28.0%72.1%-15.0%3.3%233.9K-6.3M-27.4K0.0440.34N/AN/A0000
2012-05-31$2151600.00$1960000.0068.8%19.7%52.1%29.8%74.4%-16.2%2.7%239.3K-6.8M-27.6K0.2534.73N/AN/A0000