SQQQ Options History — June 2012 In June 2012, SQQQ traded between $1876800.00 and $2325600.00. ATM implied volatility averaged 59.8%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded below realized volatility by 1.5% (HV 20d: 61.3%). Max pain ranged from $1960000.00 to $2080000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.34.
Notable Days 2012-06-11 : Largest IV spike — 33.8% change2012-06-01 : Highest IV Rank — 36.7%2012-06-04 : Largest Expected Move — 22.3%Monthly Statistics Metric Avg Min Max Open Close Price $2064476.19 $1876800.00 $2325600.00 $2325600.00 $1876800.00 Max Pain $2036190.48 $1960000.00 $2080000.00 $1960000.00 $2000000.00 ATM IV 59.8% 48.6% 77.6% 77.6% 48.6% Expected Move 17.9% 13.9% 22.3% 22.3% 13.9% HV 20d 61.3% 54.1% 65.5% 56.8% 65.5% HV 60d 54.3% 50.9% 60.6% 51.3% 60.6% IV Rank 22.7% 13.9% 36.7% 36.7% 13.9% IV Percentile 42.9% 19.0% 71.0% 71.0% 19.0% Term Structure 4.7% 0.1% 10.1% 1.6% 10.1% VWIV 65.9% 53.9% 80.1% 80.1% 54.2% Skew 25d -19.0% -26.9% -10.0% -20.2% -10.0% Skew 10d -34.7% -46.2% -22.2% -32.4% -34.1% Call IV 25d 74.4% 54.9% 96.6% 91.0% 54.9% Put IV 25d 55.5% 43.5% 70.9% 70.9% 45.0% Bid-Ask Spread % 43.75 27.05 84.45 34.44 75.41 Gamma HHI 0.09 0.06 0.17 0.11 0.06 Net GEX 235.1K 81.7K 384.1K 280.3K 108.0K Net DEX -5.2M -10.9M -986.4K -10.9M -986.4K Net VEX -29.8K -32.4K -25.2K -29.3K -26.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.34 0.01 1.56 0.12 0.07 Total Volume 0 0 0 0 0 Total OI 0 0 0 0 0
Daily Data (21 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 Call Vol Put Vol Call OI Put OI 2012-06-01 $2325600.00 $1960000.00 77.6% 22.3% 56.8% 36.7% 80.1% -20.2% 1.6% 280.3K -10.9M -29.3K 0.12 34.44 N/A N/A 0 0 0 0 2012-06-04 $2270800.00 $2040000.00 76.8% 22.3% 58.2% 36.1% 77.5% -26.9% 2.6% 287.3K -10.3M -31.1K 0.24 27.30 N/A N/A 0 0 0 0 2012-06-05 $2241200.00 $2080000.00 70.3% 20.8% 54.1% 30.9% 74.1% -23.5% 4.8% 320.4K -10.1M -31.8K 1.12 31.49 N/A N/A 0 0 0 0 2012-06-06 $2085600.00 $2080000.00 61.6% 19.1% 61.0% 24.2% 72.0% -23.1% 2.6% 274.4K -5.7M -31.1K 0.13 31.05 N/A N/A 0 0 0 0 2012-06-07 $2110400.00 $2080000.00 58.9% 19.2% 61.1% 22.0% 73.4% -24.6% 2.8% 355.5K -6.7M -31.2K 0.18 35.35 N/A N/A 0 0 0 0 2012-06-08 $2048000.00 $2080000.00 51.5% 18.3% 62.3% 16.2% 67.7% -25.0% 7.6% 333.4K -5.0M -29.8K 0.50 30.21 N/A N/A 0 0 0 0 2012-06-11 $2144400.00 $2080000.00 68.8% 20.4% 64.1% 29.8% 72.7% -25.8% 0.1% 384.1K -7.8M -30.1K 0.19 36.91 N/A N/A 0 0 0 0 2012-06-12 $2075200.00 $2080000.00 56.3% 19.3% 64.8% 19.9% 72.6% -24.0% 6.8% 361.2K -5.8M -29.8K 0.73 27.05 N/A N/A 0 0 0 0 2012-06-13 $2118800.00 $2080000.00 59.9% 20.3% 65.1% 22.8% 75.2% -25.1% 0.6% 380.1K -7.4M -31.3K 0.03 35.39 N/A N/A 0 0 0 0 2012-06-14 $2092000.00 $2080000.00 68.0% 19.5% 64.9% 29.2% 68.9% -22.8% 5.3% 383.4K -6.5M -30.3K 0.09 38.23 N/A N/A 0 0 0 0 2012-06-15 $2010800.00 $2040000.00 62.5% 17.9% 62.1% 24.9% 66.0% -21.1% 8.9% 174.3K -3.8M -29.2K 0.63 41.00 N/A N/A 0 0 0 0 2012-06-18 $1960400.00 $2040000.00 55.5% 15.9% 60.6% 19.4% 60.4% -19.6% 3.6% 109.5K -2.3M -27.4K 0.13 44.19 N/A N/A 0 0 0 0 2012-06-19 $1897600.00 $2040000.00 50.6% 14.5% 54.3% 15.5% 59.3% -15.3% 6.1% 97.0K -1.3M -25.5K 0.36 45.10 N/A N/A 0 0 0 0 2012-06-20 $1891200.00 $2000000.00 52.5% 15.1% 54.2% 17.0% 55.2% -10.4% 2.4% 81.7K -1.1M -25.2K 0.13 84.45 N/A N/A 0 0 0 0 2012-06-21 $2032400.00 $2000000.00 57.5% 16.5% 60.8% 20.9% 60.1% -17.5% 4.5% 134.9K -3.5M -29.4K 0.23 47.53 N/A N/A 0 0 0 0 2012-06-22 $1969200.00 $2000000.00 52.3% 15.0% 61.2% 16.8% 53.9% -12.5% 6.7% 129.1K -2.6M -29.8K 0.33 55.88 N/A N/A 0 0 0 0 2012-06-25 $2084000.00 $2000000.00 57.7% 16.6% 64.9% 21.1% 61.8% -14.3% 4.3% 171.2K -4.9M -31.6K 0.17 50.31 N/A N/A 0 0 0 0 2012-06-26 $2043200.00 $2000000.00 56.5% 16.2% 63.7% 20.1% 57.1% -12.5% 5.8% 187.0K -4.4M -31.8K 1.56 43.67 N/A N/A 0 0 0 0 2012-06-27 $2006800.00 $2000000.00 55.1% 15.8% 63.3% 19.0% 60.7% -12.8% 5.6% 174.2K -3.6M -30.8K 0.27 48.37 N/A N/A 0 0 0 0 2012-06-28 $2069600.00 $2000000.00 58.0% 16.6% 64.2% 21.3% 60.7% -11.2% 5.0% 210.4K -5.2M -32.4K 0.01 55.43 N/A N/A 0 0 0 0 2012-06-29 $1876800.00 $2000000.00 48.6% 13.9% 65.5% 13.9% 54.2% -10.0% 10.1% 108.0K -986.4K -26.4K 0.07 75.41 N/A N/A 0 0 0 0
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