SQQQ Options History — December 2012

In December 2012, SQQQ traded between $1554800.00 and $1733600.00. ATM implied volatility averaged 52.6%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 10.8% (HV 20d: 41.7%). Max pain ranged from $1600000.00 to $1680000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.35.

Notable Days

2012-12-13: Largest IV spike — 18.6% change
2012-12-28: Highest IV Rank — 70.4%
2012-12-28: Largest Expected Move — 18.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1642200.00	$1554800.00	$1733600.00	$1628000.00	$1622000.00
Max Pain	$1620000.00	$1600000.00	$1680000.00	$1640000.00	$1600000.00
ATM IV	52.6%	45.0%	63.8%	48.2%	58.8%
Expected Move	15.4%	13.6%	18.3%	13.8%	16.8%
HV 20d	41.7%	37.4%	50.5%	49.9%	45.2%
HV 60d	44.7%	43.4%	46.9%	46.0%	46.9%
IV Rank	43.8%	24.7%	70.4%	30.3%	59.6%
IV Percentile	57.6%	23.8%	93.7%	38.9%	84.9%
Term Structure	2.0%	-1.0%	7.3%	1.8%	-1.0%
VWIV	55.8%	49.3%	64.7%	49.3%	62.6%
Skew 25d	-12.2%	-15.3%	-9.8%	-10.2%	-12.7%
Skew 10d	-22.6%	-27.5%	-16.9%	-16.9%	-26.3%
Call IV 25d	61.6%	54.3%	73.4%	54.3%	66.3%
Put IV 25d	49.3%	44.0%	58.2%	44.0%	53.5%
Bid-Ask Spread %	33.65	19.68	49.27	47.77	25.60
Gamma HHI	0.11	0.06	0.30	0.06	0.07
Net GEX	433.5K	151.6K	691.0K	351.2K	290.6K
Net DEX	-6.1M	-12.3M	2.1M	-3.2M	-6.1M
Net VEX	-50.1K	-56.6K	-42.4K	-46.2K	-49.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.35	0.15	0.61	0.48	0.47
Total Volume	0	0	0	0	0
Total OI	0	0	0	0	0

Daily Data (20 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
2012-12-03	$1628000.00	$1640000.00	48.2%	13.8%	49.9%	30.3%	49.3%	-10.2%	1.8%	351.2K	-3.2M	-46.2K	0.48	47.77	N/A	N/A
2012-12-04	$1636800.00	$1640000.00	48.5%	13.9%	49.4%	30.8%	51.9%	-10.0%	3.2%	408.3K	-4.8M	-49.5K	0.21	38.00	N/A	N/A
2012-12-05	$1686400.00	$1640000.00	49.3%	14.1%	50.5%	32.2%	51.3%	-9.8%	3.8%	514.3K	-8.8M	-55.7K	0.25	42.67	N/A	N/A
2012-12-06	$1656000.00	$1640000.00	47.4%	13.6%	44.2%	28.9%	51.7%	-10.0%	5.3%	461.4K	-6.4M	-54.5K	0.50	49.27	N/A	N/A
2012-12-07	$1683600.00	$1680000.00	47.0%	15.0%	40.9%	28.2%	51.8%	-14.3%	4.0%	545.6K	-8.6M	-55.5K	0.35	20.16	N/A	N/A
2012-12-10	$1667600.00	$1680000.00	48.1%	15.5%	40.8%	30.1%	56.0%	-12.5%	2.8%	495.2K	-7.0M	-51.7K	0.45	28.58	N/A	N/A
2012-12-11	$1603200.00	$1680000.00	45.0%	14.6%	42.6%	24.7%	51.7%	-10.7%	1.9%	338.7K	-1.8M	-47.3K	0.15	35.91	N/A	N/A
2012-12-12	$1615200.00	$1600000.00	45.8%	14.9%	41.7%	26.1%	53.0%	-11.7%	2.1%	482.4K	-4.4M	-50.8K	0.46	39.06	N/A	N/A
2012-12-13	$1650800.00	$1600000.00	54.3%	15.6%	40.2%	50.1%	57.9%	-11.7%	1.9%	587.1K	-7.8M	-53.9K	0.38	30.34	N/A	N/A
2012-12-14	$1697600.00	$1600000.00	56.2%	16.1%	41.7%	54.1%	54.1%	-11.5%	1.8%	691.0K	-12.3M	-56.6K	0.16	29.92	N/A	N/A
2012-12-17	$1629600.00	$1600000.00	55.3%	15.8%	43.4%	52.2%	62.2%	-11.9%	1.5%	470.1K	-4.8M	-47.9K	0.32	32.39	N/A	N/A
2012-12-18	$1554800.00	$1600000.00	52.7%	15.1%	38.1%	46.6%	55.1%	-11.2%	7.3%	151.6K	2.1M	-42.4K	0.19	39.02	N/A	N/A
2012-12-19	$1577200.00	$1600000.00	53.1%	15.2%	38.7%	47.5%	53.8%	-13.2%	1.3%	385.8K	-1.7M	-46.7K	0.50	34.30	N/A	N/A
2012-12-20	$1576000.00	$1600000.00	54.0%	15.5%	38.8%	49.5%	56.4%	-12.7%	0.6%	403.7K	-1.9M	-47.1K	0.59	36.61	N/A	N/A
2012-12-21	$1625200.00	$1600000.00	55.4%	15.9%	37.7%	52.5%	61.4%	-12.7%	1.4%	617.5K	-6.9M	-45.2K	0.23	32.91	N/A	N/A
2012-12-24	$1638000.00	$1600000.00	55.0%	15.8%	37.6%	51.6%	58.2%	-12.9%	0.6%	348.2K	-7.5M	-47.6K	0.25	19.68	N/A	N/A
2012-12-26	$1677600.00	$1600000.00	56.4%	16.2%	38.5%	54.6%	55.3%	-14.6%	0.5%	379.1K	-9.2M	-49.1K	0.25	29.62	N/A	N/A
2012-12-27	$1684800.00	$1600000.00	57.3%	16.4%	37.4%	56.4%	57.2%	-15.3%	-1.0%	388.9K	-9.9M	-50.7K	0.25	31.93	N/A	N/A
2012-12-28	$1733600.00	$1600000.00	63.8%	18.3%	37.8%	70.4%	64.7%	-15.2%	-0.6%	358.6K	-10.9M	-54.5K	0.61	29.31	N/A	N/A
2012-12-31	$1622000.00	$1600000.00	58.8%	16.8%	45.2%	59.6%	62.6%	-12.7%	-1.0%	290.6K	-6.1M	-49.2K	0.47	25.60	N/A	N/A