SQQQ Options History — August 2012 In August 2012, SQQQ traded between $1514000.00 and $1827200.00. ATM implied volatility averaged 43.6%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 1.4% (HV 20d: 42.2%). Max pain ranged from $1520000.00 to $1800000.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.24.
Notable Days 2012-08-16 : Largest IV spike — 28.0% change2012-08-01 : Highest IV Rank — 19.5%2012-08-01 : Largest Expected Move — 16.0%Monthly Statistics Metric Avg Min Max Open Close Price $1597478.26 $1514000.00 $1827200.00 $1806000.00 $1530000.00 Max Pain $1648695.65 $1520000.00 $1800000.00 $1800000.00 $1560000.00 ATM IV 43.6% 35.3% 55.7% 55.7% 45.1% Expected Move 13.3% 11.8% 16.0% 16.0% 12.9% HV 20d 42.2% 24.7% 53.8% 51.1% 24.7% HV 60d 54.8% 49.0% 59.0% 57.5% 49.0% IV Rank 11.8% 4.4% 19.5% 19.5% 14.5% IV Percentile 10.5% 0.8% 36.1% 36.1% 14.3% Term Structure 8.1% 4.6% 12.5% 6.6% 8.9% VWIV 48.8% 42.5% 60.1% 60.1% 46.4% Skew 25d -11.3% -15.0% -7.4% -10.6% -11.1% Skew 10d -21.7% -31.5% -10.1% -31.5% -22.5% Call IV 25d 53.4% 47.7% 63.3% 63.3% 53.8% Put IV 25d 42.1% 36.8% 52.7% 52.7% 42.7% Bid-Ask Spread % 50.78 25.39 84.02 84.02 72.94 Gamma HHI 0.17 0.06 0.35 0.09 0.26 Net GEX 309.1K -177.8K 609.1K 264.7K 548.7K Net DEX -2.2M -7.7M 1.7M -3.4M -5.6M Net VEX -39.6K -54.7K -29.5K -38.9K -51.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.24 0.02 0.99 0.02 0.99 Total Volume 0 0 0 0 0 Total OI 0 0 0 0 0
Daily Data (23 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 2012-08-01 $1806000.00 $1800000.00 55.7% 16.0% 51.1% 19.5% 60.1% -10.6% 6.6% 264.7K -3.4M -38.9K 0.02 84.02 N/A N/A 0 0 0 0 2012-08-02 $1827200.00 $1800000.00 51.7% 14.8% 51.3% 16.4% 53.7% -9.3% 4.6% 340.2K -4.8M -42.4K 0.06 60.85 N/A N/A 0 0 0 0 2012-08-03 $1723200.00 $1800000.00 43.8% 12.5% 53.5% 10.1% 44.7% -7.4% 8.6% 261.9K -1.6M -36.7K 0.06 56.00 N/A N/A 0 0 0 0 2012-08-06 $1684400.00 $1800000.00 45.1% 14.4% 53.8% 11.2% 53.7% -15.0% 8.2% 217.3K -444.7K -32.6K 0.12 43.83 N/A N/A 0 0 0 0 2012-08-07 $1642000.00 $1800000.00 44.8% 14.6% 52.7% 10.9% 55.0% -12.6% 7.0% 176.3K 438.1K -30.1K 0.22 52.78 N/A N/A 0 0 0 0 2012-08-08 $1644800.00 $1720000.00 41.9% 14.3% 52.0% 8.6% 51.3% -13.3% 9.8% 202.5K -317.0K -32.2K 0.17 52.23 N/A N/A 0 0 0 0 2012-08-09 $1631200.00 $1720000.00 38.9% 13.4% 50.1% 6.6% 48.2% -11.8% 10.8% 172.5K 468.1K -29.7K 0.42 49.42 N/A N/A 0 0 0 0 2012-08-10 $1624800.00 $1680000.00 36.3% 13.1% 48.4% 4.4% 48.4% -12.3% 12.0% 196.0K 243.2K -31.7K 0.16 53.42 N/A N/A 0 0 0 0 2012-08-13 $1613600.00 $1680000.00 40.0% 13.2% 48.0% 9.3% 48.8% -11.8% 8.2% 215.7K 269.5K -30.6K 0.32 51.36 N/A N/A 0 0 0 0 2012-08-14 $1612000.00 $1680000.00 37.4% 13.5% 48.0% 6.6% 50.6% -11.5% 8.2% 206.2K 408.5K -30.5K 0.23 54.19 N/A N/A 0 0 0 0 2012-08-15 $1600000.00 $1680000.00 35.3% 13.2% 46.4% 4.5% 48.2% -11.4% 10.5% 243.9K 573.3K -30.0K 0.21 46.00 N/A N/A 0 0 0 0 2012-08-16 $1542400.00 $1640000.00 45.2% 13.0% 46.7% 14.6% 46.7% -10.8% 9.5% 72.4K 1.7M -29.5K 0.24 59.89 N/A N/A 0 0 0 0 2012-08-17 $1521600.00 $1600000.00 41.2% 11.8% 43.7% 10.5% 46.3% -11.3% 12.5% -177.8K 1.1M -35.4K 0.33 57.84 N/A N/A 0 0 0 0 2012-08-20 $1514400.00 $1600000.00 41.4% 11.9% 40.1% 10.7% 45.5% -10.1% 6.4% 279.6K -1.3M -37.6K 0.06 41.00 N/A N/A 0 0 0 0 2012-08-21 $1534000.00 $1560000.00 42.6% 12.2% 39.1% 11.9% 46.0% -9.6% 8.8% 319.1K -2.2M -40.2K 0.02 36.79 N/A N/A 0 0 0 0 2012-08-22 $1515200.00 $1560000.00 43.3% 12.4% 37.1% 12.6% 49.3% -10.5% 4.7% 388.0K -3.4M -44.8K 0.04 51.66 N/A N/A 0 0 0 0 2012-08-23 $1548800.00 $1560000.00 45.4% 13.0% 38.0% 14.7% 51.8% -13.1% 7.1% 559.0K -6.7M -53.2K 0.02 55.86 N/A N/A 0 0 0 0 2012-08-24 $1523200.00 $1560000.00 43.5% 12.5% 29.0% 12.8% 42.5% -10.6% 7.8% 507.2K -4.6M -49.9K 0.63 29.97 N/A N/A 0 0 0 0 2012-08-27 $1515200.00 $1560000.00 44.8% 12.8% 28.6% 14.2% 44.9% -11.0% 6.9% 481.8K -4.1M -48.7K 0.33 27.67 N/A N/A 0 0 0 0 2012-08-28 $1514000.00 $1520000.00 45.0% 12.9% 28.6% 14.4% 45.1% -10.7% 6.2% 519.7K -4.7M -50.6K 0.09 48.68 N/A N/A 0 0 0 0 2012-08-29 $1514000.00 $1520000.00 45.6% 13.1% 28.3% 15.0% 45.7% -10.8% 6.9% 505.0K -4.6M -50.0K 0.82 56.13 N/A N/A 0 0 0 0 2012-08-30 $1560000.00 $1520000.00 48.3% 13.9% 30.7% 17.8% 49.6% -12.6% 7.2% 609.1K -7.7M -54.7K 0.03 25.39 N/A N/A 0 0 0 0 2012-08-31 $1530000.00 $1560000.00 45.1% 12.9% 24.7% 14.5% 46.4% -11.1% 8.9% 548.7K -5.6M -51.5K 0.99 72.94 N/A N/A 0 0 0 0
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