SQQQ Options History — September 2012

In September 2012, SQQQ traded between $1376400.00 and $1537600.00. ATM implied volatility averaged 43.0%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 7.2% (HV 20d: 35.8%). Max pain ranged from $1360000.00 to $1520000.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.22.

Notable Days

2012-09-06: Largest IV drop — 14.8% change
2012-09-04: Highest IV Rank — 17.8%
2012-09-11: Largest Expected Move — 14.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1443810.53	$1376400.00	$1537600.00	$1531200.00	$1471200.00
Max Pain	$1414736.84	$1360000.00	$1520000.00	$1520000.00	$1360000.00
ATM IV	43.0%	35.7%	48.3%	48.3%	43.4%
Expected Move	12.6%	10.2%	14.5%	13.9%	12.4%
HV 20d	35.8%	22.8%	43.1%	23.9%	42.6%
HV 60d	46.0%	40.6%	49.5%	48.7%	42.0%
IV Rank	12.3%	4.9%	17.8%	17.8%	12.7%
IV Percentile	12.1%	1.2%	25.4%	25.4%	12.7%
Term Structure	6.6%	3.8%	11.8%	3.8%	5.5%
VWIV	46.9%	38.7%	51.7%	50.3%	43.2%
Skew 25d	-11.5%	-16.6%	-7.1%	-11.6%	-10.3%
Skew 10d	-22.3%	-30.5%	-16.4%	-22.4%	-18.7%
Call IV 25d	51.3%	43.2%	60.2%	56.2%	49.6%
Put IV 25d	39.9%	33.9%	44.6%	44.6%	39.4%
Bid-Ask Spread %	49.42	27.13	78.61	64.99	44.72
Gamma HHI	0.19	0.16	0.25	0.25	0.18
Net GEX	393.0K	123.6K	641.3K	587.4K	496.3K
Net DEX	-2.0M	-8.0M	3.8M	-5.6M	-7.4M
Net VEX	-36.6K	-49.7K	-28.2K	-48.0K	-38.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.22	0.02	1.44	0.16	0.13
Total Volume	0	0	0	0	0
Total OI	0	0	0	0	0

Daily Data (19 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
2012-09-04	$1531200.00	$1520000.00	48.3%	13.9%	23.9%	17.8%	50.3%	-11.6%	3.8%	587.4K	-5.6M	-48.0K	0.16	64.99	N/A	N/A
2012-09-05	$1537600.00	$1520000.00	46.8%	13.4%	22.8%	16.2%	48.3%	-12.1%	7.4%	641.3K	-6.8M	-49.7K	0.05	33.48	N/A	N/A
2012-09-06	$1436000.00	$1520000.00	39.9%	11.4%	32.3%	9.2%	44.1%	-7.1%	7.1%	366.3K	413.2K	-35.5K	0.06	78.61	N/A	N/A
2012-09-07	$1440800.00	$1440000.00	38.2%	12.9%	32.5%	7.4%	49.4%	-13.2%	9.0%	391.5K	-417.8K	-39.1K	0.15	31.84	N/A	N/A
2012-09-10	$1494400.00	$1440000.00	42.4%	13.7%	35.9%	11.7%	51.7%	-15.3%	5.8%	588.3K	-3.2M	-41.5K	0.09	30.27	N/A	N/A
2012-09-11	$1501600.00	$1440000.00	48.0%	14.5%	36.0%	17.5%	51.4%	-16.3%	4.6%	627.5K	-4.2M	-43.6K	0.30	27.13	N/A	N/A
2012-09-12	$1487600.00	$1440000.00	43.6%	13.7%	36.1%	13.0%	51.5%	-15.8%	5.9%	579.7K	-3.4M	-42.9K	0.21	32.06	N/A	N/A
2012-09-13	$1428800.00	$1440000.00	44.3%	12.7%	38.3%	13.7%	49.2%	-9.8%	7.4%	310.9K	1.3M	-32.8K	0.14	67.37	N/A	N/A
2012-09-14	$1390000.00	$1400000.00	44.5%	12.8%	37.5%	13.9%	47.7%	-12.7%	6.8%	216.1K	2.7M	-31.0K	0.21	52.82	N/A	N/A
2012-09-17	$1388800.00	$1400000.00	45.3%	13.0%	37.3%	14.7%	46.7%	-16.6%	6.0%	189.6K	2.8M	-30.4K	0.88	66.44	N/A	N/A
2012-09-18	$1385600.00	$1400000.00	42.3%	12.1%	37.4%	11.7%	46.9%	-10.4%	8.6%	134.5K	3.0M	-30.3K	0.07	48.92	N/A	N/A
2012-09-19	$1376400.00	$1400000.00	40.7%	11.7%	36.8%	10.0%	41.7%	-7.8%	6.7%	123.6K	3.8M	-28.2K	0.07	58.55	N/A	N/A
2012-09-20	$1380400.00	$1360000.00	40.2%	11.5%	36.8%	9.5%	44.5%	-8.4%	8.6%	311.0K	1.4M	-32.8K	0.08	45.42	N/A	N/A
2012-09-21	$1380000.00	$1360000.00	35.7%	10.2%	35.5%	4.9%	38.7%	-9.3%	11.8%	273.2K	1.6M	-31.8K	1.44	29.59	N/A	N/A
2012-09-24	$1406400.00	$1360000.00	40.1%	11.5%	36.3%	9.3%	45.5%	-10.0%	6.4%	359.6K	-3.8M	-33.2K	0.02	58.03	N/A	N/A
2012-09-25	$1462000.00	$1360000.00	45.3%	13.0%	39.3%	14.6%	47.8%	-9.8%	3.8%	412.8K	-6.2M	-35.5K	0.03	70.83	N/A	N/A
2012-09-26	$1498000.00	$1360000.00	45.8%	13.1%	40.4%	15.1%	48.5%	-11.8%	4.2%	426.0K	-8.0M	-36.9K	0.09	46.93	N/A	N/A
2012-09-27	$1435600.00	$1360000.00	42.3%	12.1%	43.1%	11.6%	44.2%	-9.9%	5.1%	432.2K	-5.1M	-33.8K	0.05	51.03	N/A	N/A
2012-09-28	$1471200.00	$1360000.00	43.4%	12.4%	42.6%	12.7%	43.2%	-10.3%	5.5%	496.3K	-7.4M	-38.1K	0.13	44.72	N/A	N/A