SQQQ Options History — October 2012

In October 2012, SQQQ traded between $1422000.00 and $1712000.00. ATM implied volatility averaged 49.3%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 9.5% (HV 20d: 39.8%). Max pain ranged from $1360000.00 to $1480000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2012-10-11: Largest IV spike — 10.7% change
  • 2012-10-23: Highest IV Rank — 41.8%
  • 2012-10-23: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1567161.90$1422000.00$1712000.00$1476400.00$1712000.00
Max Pain$1419047.62$1360000.00$1480000.00$1360000.00$1480000.00
ATM IV49.3%40.2%58.4%46.0%57.8%
Expected Move14.4%12.0%16.8%13.2%16.6%
HV 20d39.8%32.7%46.6%42.2%41.9%
HV 60d39.9%37.6%41.7%41.2%37.6%
IV Rank26.4%11.2%41.8%15.4%40.7%
IV Percentile37.2%5.6%67.9%25.4%66.3%
Term Structure1.5%-2.1%5.5%3.9%-1.8%
VWIV50.7%40.1%63.5%47.1%63.5%
Skew 25d-13.5%-16.6%-8.5%-11.1%-13.2%
Skew 10d-26.5%-30.8%-20.3%-20.6%-21.8%
Call IV 25d58.9%47.0%68.3%52.7%65.1%
Put IV 25d45.4%37.2%53.3%41.6%51.9%
Bid-Ask Spread %27.9713.6452.4952.4940.01
Gamma HHI0.160.070.290.180.07
Net GEX521.5K165.9K900.3K512.3K304.7K
Net DEX-10.3M-21.2M-5.1M-8.0M-10.0M
Net VEX-36.8K-40.8K-33.2K-37.8K-35.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.002.520.110.17
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
2012-10-01$1476400.00$1360000.0046.0%13.2%42.2%15.4%47.1%-11.1%3.9%512.3K-8.0M-37.8K0.1152.49N/AN/A0000
2012-10-02$1464400.00$1360000.0045.0%12.9%42.2%14.4%40.1%-10.3%4.7%521.2K-7.3M-35.7K0.0224.57N/AN/A0000
2012-10-03$1438400.00$1360000.0041.9%12.0%42.5%11.2%43.5%-8.5%5.2%512.6K-5.6M-33.9K0.0046.68N/AN/A0000
2012-10-04$1422000.00$1360000.0042.9%12.3%35.1%13.4%46.6%-10.2%5.5%507.6K-5.1M-33.2K0.2638.92N/AN/A0000
2012-10-05$1444400.00$1400000.0040.2%13.3%35.5%12.3%46.4%-14.1%2.9%577.1K-6.5M-36.0K0.0219.40N/AN/A0000
2012-10-08$1483200.00$1400000.0043.8%14.0%34.3%17.1%49.8%-15.1%1.7%633.6K-9.0M-36.5K0.1817.45N/AN/A0000
2012-10-09$1555600.00$1400000.0047.6%15.1%38.3%23.8%49.9%-15.9%1.3%714.6K-13.6M-38.2K0.5613.64N/AN/A0000
2012-10-10$1578000.00$1400000.0046.3%14.7%38.3%23.3%48.2%-15.4%0.9%657.4K-15.4M-40.8K0.3814.24N/AN/A0000
2012-10-11$1595200.00$1400000.0051.2%14.7%34.8%30.8%49.8%-14.3%1.2%708.2K-16.4M-38.2K0.0815.05N/AN/A0000
2012-10-12$1596000.00$1400000.0050.1%14.4%32.7%29.2%49.2%-14.1%3.6%708.4K-16.3M-37.0K0.1216.23N/AN/A0000
2012-10-15$1561600.00$1400000.0049.1%14.1%34.1%27.7%48.9%-13.8%2.2%829.9K-14.4M-36.9K1.1237.64N/AN/A0000
2012-10-16$1490800.00$1440000.0044.9%12.9%38.8%21.3%48.2%-12.2%3.3%641.2K-8.1M-34.6K0.9030.56N/AN/A0000
2012-10-17$1496800.00$1440000.0045.0%12.9%38.6%21.3%46.0%-13.2%1.1%740.6K-8.6M-33.9K2.5231.11N/AN/A0000
2012-10-18$1546400.00$1440000.0049.7%14.2%39.9%28.5%50.3%-14.2%1.8%900.3K-11.4M-35.5K0.5631.31N/AN/A0000
2012-10-19$1659200.00$1440000.0053.3%15.3%45.9%34.0%52.5%-16.6%0.4%340.9K-21.2M-37.7K0.1520.13N/AN/A0000
2012-10-22$1633600.00$1440000.0052.9%15.2%46.6%33.4%53.1%-13.7%0.4%165.9K-5.6M-36.5K0.5321.51N/AN/A0000
2012-10-23$1680800.00$1440000.0058.4%16.8%45.8%41.8%58.2%-15.5%-2.1%186.6K-7.2M-36.9K0.1122.12N/AN/A0000
2012-10-24$1700000.00$1480000.0057.1%16.4%45.4%39.8%58.4%-15.3%-0.8%225.8K-8.6M-39.2K0.8952.06N/AN/A0000
2012-10-25$1695600.00$1480000.0057.3%16.4%41.7%40.0%60.4%-13.6%-1.9%263.2K-9.3M-39.7K0.0719.88N/AN/A0000
2012-10-26$1680000.00$1480000.0054.7%15.7%41.7%36.2%54.7%-13.2%-1.4%299.3K-9.0M-39.1K0.2122.47N/AN/A0000
2012-10-31$1712000.00$1480000.0057.8%16.6%41.9%40.7%63.5%-13.2%-1.8%304.7K-10.0M-35.8K0.1740.01N/AN/A0000