SQQQ Options History — November 2012

In November 2012, SQQQ traded between $1613600.00 and $1948800.00. ATM implied volatility averaged 50.4%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded below realized volatility by 0.1% (HV 20d: 50.6%). Max pain ranged from $1480000.00 to $1680000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2012-11-19: Largest IV drop — 13.4% change
  • 2012-11-14: Highest IV Rank — 44.4%
  • 2012-11-08: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1753333.33$1613600.00$1948800.00$1638400.00$1618800.00
Max Pain$1605714.29$1480000.00$1680000.00$1480000.00$1640000.00
ATM IV50.4%42.1%59.3%51.1%44.5%
Expected Move14.3%12.1%16.4%14.6%12.8%
HV 20d50.6%45.5%56.4%45.5%51.4%
HV 60d43.0%38.4%46.1%38.4%46.0%
IV Rank30.9%19.2%44.4%30.6%23.9%
IV Percentile42.3%9.9%73.8%47.2%19.8%
Term Structure4.1%0.3%7.4%0.3%3.9%
VWIV53.1%46.4%66.2%54.7%46.5%
Skew 25d-11.8%-16.4%-7.6%-10.1%-10.5%
Skew 10d-23.4%-32.5%-13.7%-22.9%-19.7%
Call IV 25d57.5%48.8%68.2%57.4%51.7%
Put IV 25d45.8%40.0%51.9%47.3%41.2%
Bid-Ask Spread %36.3115.7871.1871.1824.50
Gamma HHI0.080.060.150.070.06
Net GEX420.1K185.9K828.4K325.9K325.1K
Net DEX-11.0M-26.3M-1.4M-7.4M-3.0M
Net VEX-37.3K-46.6K-33.5K-34.0K-46.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.041.350.040.36
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
2012-11-01$1638400.00$1480000.0051.1%14.6%45.5%30.6%54.7%-10.1%0.3%325.9K-7.4M-34.0K0.0471.18N/AN/A0000
2012-11-02$1694000.00$1480000.0052.6%15.1%45.6%32.9%55.5%-10.5%0.4%414.2K-10.2M-33.7K0.2642.71N/AN/A0000
2012-11-05$1657200.00$1560000.0055.5%15.1%46.3%37.3%51.5%-14.2%4.2%395.9K-8.5M-34.8K0.0628.23N/AN/A0000
2012-11-06$1646800.00$1560000.0056.1%15.2%46.5%38.2%53.7%-16.0%3.4%430.4K-8.1M-33.5K0.0436.34N/AN/A0000
2012-11-07$1762800.00$1560000.0059.3%15.6%51.0%43.0%56.2%-16.4%7.0%535.2K-14.6M-36.5K0.2734.94N/AN/A0000
2012-11-08$1847600.00$1560000.0055.6%16.4%50.9%37.5%66.2%-16.3%2.0%588.9K-18.7M-36.0K0.3716.22N/AN/A0000
2012-11-09$1824000.00$1560000.0054.8%16.2%51.4%36.3%56.7%-14.8%2.9%595.1K-16.4M-36.0K0.6215.78N/AN/A0000
2012-11-12$1823600.00$1600000.0054.3%15.7%51.5%35.5%64.1%-13.8%5.7%649.5K-16.9M-35.5K0.5021.32N/AN/A0000
2012-11-13$1862000.00$1600000.0053.8%15.5%51.6%34.7%54.8%-13.4%6.7%735.8K-19.7M-34.6K1.3538.11N/AN/A0000
2012-11-14$1928000.00$1600000.0058.6%16.1%51.3%44.4%62.1%-14.1%5.2%689.1K-23.4M-34.6K0.5929.68N/AN/A0000
2012-11-15$1948800.00$1600000.0057.1%16.4%46.7%42.0%59.5%-13.0%3.4%828.4K-26.3M-35.5K0.4451.47N/AN/A0000
2012-11-16$1926800.00$1600000.0051.6%14.8%47.4%33.2%52.7%-10.7%5.8%322.9K-23.4M-34.8K0.8423.65N/AN/A0000
2012-11-19$1784000.00$1680000.0044.7%12.8%56.4%22.1%47.2%-9.6%3.5%185.9K-6.0M-35.5K0.2442.69N/AN/A0000
2012-11-20$1783600.00$1680000.0045.2%13.0%51.2%22.9%46.4%-9.7%4.3%246.8K-6.8M-39.0K0.4534.20N/AN/A0000
2012-11-21$1771200.00$1680000.0044.5%12.8%50.9%21.8%47.9%-9.7%3.7%275.0K-6.8M-41.0K0.4228.64N/AN/A0000
2012-11-23$1690800.00$1680000.0043.2%12.4%53.0%21.0%47.7%-9.4%7.4%229.2K-4.0M-40.2K0.3740.14N/AN/A0000
2012-11-26$1668400.00$1640000.0045.3%13.0%53.0%24.5%47.5%-9.0%4.0%234.3K-3.2M-38.2K0.4157.04N/AN/A0000
2012-11-27$1685600.00$1680000.0044.6%12.8%53.2%23.4%48.1%-9.1%4.6%295.9K-4.4M-40.8K0.3440.69N/AN/A0000
2012-11-28$1644000.00$1640000.0044.6%12.8%53.8%23.3%48.8%-7.6%3.6%257.6K-2.6M-40.8K0.2526.78N/AN/A0000
2012-11-29$1613600.00$1640000.0042.1%12.1%53.6%19.2%47.3%-8.8%3.9%261.1K-1.4M-41.5K0.3458.14N/AN/A0000
2012-11-30$1618800.00$1640000.0044.5%12.8%51.4%23.9%46.5%-10.5%3.9%325.1K-3.0M-46.6K0.3624.50N/AN/A0000