SQQQ Options History — July 2012

In July 2012, SQQQ traded between $1783200.00 and $2030000.00. ATM implied volatility averaged 52.2%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded below realized volatility by 7.9% (HV 20d: 60.0%). Max pain ranged from $1840000.00 to $1960000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.13.

Notable Days

  • 2012-07-12: Largest IV spike — 15.2% change
  • 2012-07-24: Highest IV Rank — 22.9%
  • 2012-07-24: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1889257.14$1783200.00$2030000.00$1858000.00$1796000.00
Max Pain$1900952.38$1840000.00$1960000.00$1960000.00$1840000.00
ATM IV52.2%42.9%60.1%48.2%56.0%
Expected Move15.3%12.3%17.2%13.8%16.1%
HV 20d60.0%51.8%65.5%65.3%51.8%
HV 60d58.8%57.0%60.1%60.1%59.5%
IV Rank16.7%9.4%22.9%13.6%19.7%
IV Percentile27.6%5.2%47.6%17.1%37.3%
Term Structure4.9%0.9%13.0%4.5%0.9%
VWIV56.1%49.6%63.0%50.3%53.5%
Skew 25d-13.9%-17.7%-8.5%-8.5%-12.0%
Skew 10d-27.5%-39.0%-16.8%-29.7%-20.3%
Call IV 25d62.3%49.4%69.9%52.6%63.4%
Put IV 25d48.4%40.4%54.5%44.1%51.4%
Bid-Ask Spread %51.2134.0180.4280.4265.95
Gamma HHI0.130.080.330.090.08
Net GEX352.0K120.0K645.4K203.7K232.3K
Net DEX-3.6M-10.7M1.4M-1.4M-2.7M
Net VEX-31.7K-37.8K-24.1K-28.1K-37.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.020.570.120.10
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
2012-07-02$1858000.00$1960000.0048.2%13.8%65.3%13.6%50.3%-8.5%4.5%203.7K-1.4M-28.1K0.1280.42N/AN/A0000
2012-07-03$1814000.00$1920000.0042.9%12.3%65.5%9.4%50.1%-9.0%8.8%178.1K-507.8K-26.7K0.0462.12N/AN/A0000
2012-07-05$1810000.00$1920000.0046.3%13.3%61.4%12.1%49.6%-10.6%5.7%199.9K-640.4K-27.1K0.0374.86N/AN/A0000
2012-07-06$1876800.00$1960000.0046.0%15.6%63.0%11.9%59.0%-17.5%4.4%454.7K-4.8M-33.1K0.0939.52N/AN/A0000
2012-07-09$1886800.00$1960000.0048.4%15.8%62.4%13.7%54.5%-17.2%2.8%385.5K-3.5M-32.4K0.1234.01N/AN/A0000
2012-07-10$1939200.00$1920000.0052.1%16.6%60.8%16.6%63.0%-17.6%1.4%487.3K-6.0M-34.2K0.1138.25N/AN/A0000
2012-07-11$1973600.00$1920000.0051.4%16.7%60.3%16.1%54.4%-17.7%0.9%562.9K-7.9M-35.5K0.3337.58N/AN/A0000
2012-07-12$2030000.00$1880000.0059.2%17.0%60.8%22.2%59.8%-16.1%1.2%623.5K-10.7M-37.0K0.1840.51N/AN/A0000
2012-07-13$1938800.00$1920000.0053.3%15.3%62.7%17.6%56.2%-13.8%10.3%574.0K-5.5M-33.2K0.1449.09N/AN/A0000
2012-07-16$1954000.00$1920000.0055.8%16.0%61.3%19.6%59.2%-16.5%4.3%645.4K-6.2M-31.4K0.0236.10N/AN/A0000
2012-07-17$1922800.00$1920000.0054.4%15.6%60.9%18.5%57.3%-13.9%7.0%577.3K-4.1M-29.0K0.0750.42N/AN/A0000
2012-07-18$1843200.00$1920000.0051.4%14.7%61.7%16.1%56.2%-11.9%8.9%355.5K-317.0K-25.7K0.2147.73N/AN/A0000
2012-07-19$1783200.00$1920000.0050.8%14.6%62.7%15.6%55.8%-13.4%3.9%120.0K1.4M-24.1K0.1856.14N/AN/A0000
2012-07-20$1850400.00$1880000.0050.3%14.4%58.2%15.3%51.2%-13.4%9.4%578.1K-1.3M-26.7K0.5755.87N/AN/A0000
2012-07-23$1920000.00$1840000.0055.0%15.8%59.1%19.0%58.5%-14.2%13.0%158.0K-3.2M-29.1K0.0353.97N/AN/A0000
2012-07-24$1964800.00$1840000.0060.1%17.2%55.8%22.9%62.9%-15.4%2.6%169.9K-4.0M-30.6K0.0642.71N/AN/A0000
2012-07-25$2004800.00$1880000.0057.9%16.6%56.0%21.2%62.0%-15.3%4.0%229.8K-5.7M-36.1K0.0744.11N/AN/A0000
2012-07-26$1928400.00$1880000.0054.7%15.7%57.4%18.7%58.5%-13.6%3.6%241.5K-4.6M-37.5K0.0746.38N/AN/A0000
2012-07-27$1785200.00$1880000.0049.1%14.1%61.8%14.3%52.6%-12.3%3.4%174.7K-1.9M-34.0K0.0763.28N/AN/A0000
2012-07-30$1794400.00$1840000.0052.5%15.1%51.8%17.0%54.0%-11.2%2.6%240.4K-2.6M-36.8K0.0556.46N/AN/A0000
2012-07-31$1796000.00$1840000.0056.0%16.1%51.8%19.7%53.5%-12.0%0.9%232.3K-2.7M-37.8K0.1065.95N/AN/A0000