SQQQ Options History — January 2013

In January 2013, SQQQ traded between $1440800.00 and $1510000.00. ATM implied volatility averaged 40.6%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 10.0% (HV 20d: 50.6%). Max pain ranged from $1440000.00 to $1600000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2013-01-10: Largest IV spike — 29.2% change
  • 2013-01-15: Highest IV Rank — 31.6%
  • 2013-01-04: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1480247.62$1440800.00$1510000.00$1467600.00$1484000.00
Max Pain$1457142.86$1440000.00$1600000.00$1600000.00$1440000.00
ATM IV40.6%35.0%45.6%44.0%38.7%
Expected Move12.1%10.8%13.8%12.6%11.1%
HV 20d50.6%22.4%57.8%57.4%22.4%
HV 60d48.4%45.2%51.2%51.2%45.2%
IV Rank20.8%8.8%31.6%28.0%16.7%
IV Percentile11.2%0.8%33.3%17.5%6.3%
Term Structure3.7%2.6%6.6%6.5%3.6%
VWIV44.0%38.5%50.7%47.4%39.9%
Skew 25d-9.7%-13.3%-7.0%-7.7%-7.0%
Skew 10d-19.1%-24.3%-13.8%-15.5%-14.2%
Call IV 25d48.3%42.0%55.9%48.1%43.4%
Put IV 25d38.6%34.4%42.6%40.4%36.4%
Bid-Ask Spread %33.3819.0561.3649.9753.29
Gamma HHI0.150.080.200.080.18
Net GEX579.1K83.8K934.4K83.8K932.6K
Net DEX-7.3M-13.9M1.3M1.3M-11.8M
Net VEX-55.6K-62.6K-37.6K-37.6K-58.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.061.560.200.21
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
2013-01-02$1467600.00$1600000.0044.0%12.6%57.4%28.0%47.4%-7.7%6.5%83.8K1.3M-37.6K0.2049.97N/AN/A0000
2013-01-03$1489600.00$1560000.0041.0%11.7%57.8%21.6%41.2%-8.6%6.6%341.0K-3.9M-53.3K1.5631.52N/AN/A0000
2013-01-04$1504400.00$1480000.0039.6%13.8%56.6%18.6%46.2%-13.3%3.4%360.5K-5.0M-55.9K0.2221.56N/AN/A0000
2013-01-07$1501600.00$1480000.0038.8%13.5%56.4%16.8%46.3%-13.0%3.7%392.3K-5.2M-54.4K0.1219.05N/AN/A0000
2013-01-08$1510000.00$1440000.0038.4%13.3%56.0%16.0%47.4%-12.1%3.7%500.5K-7.2M-56.9K0.1823.62N/AN/A0000
2013-01-09$1496400.00$1440000.0035.0%12.9%56.0%8.8%44.2%-11.5%3.5%428.9K-5.7M-55.6K0.2820.77N/AN/A0000
2013-01-10$1469200.00$1440000.0045.3%13.0%54.8%30.7%47.0%-11.8%3.0%379.3K-4.7M-55.7K0.2721.96N/AN/A0000
2013-01-11$1463200.00$1440000.0045.0%12.9%54.6%30.3%45.5%-11.6%3.4%342.6K-4.7M-56.8K0.4024.08N/AN/A0000
2013-01-14$1482000.00$1440000.0045.0%12.9%54.1%30.2%44.5%-11.1%3.0%494.9K-6.9M-56.1K0.3422.57N/AN/A0000
2013-01-15$1503600.00$1440000.0045.6%13.1%53.2%31.6%50.7%-10.7%3.3%661.8K-9.1M-56.4K0.2222.91N/AN/A0000
2013-01-16$1485600.00$1440000.0043.5%12.5%51.7%26.9%49.7%-10.2%3.2%494.1K-6.9M-56.9K0.1727.37N/AN/A0000
2013-01-17$1463600.00$1440000.0042.8%12.3%49.4%25.5%45.8%-9.7%3.5%303.3K-5.1M-55.4K0.2334.18N/AN/A0000
2013-01-18$1474400.00$1440000.0040.8%11.7%49.1%21.1%42.6%-9.3%3.8%903.9K-6.8M-54.9K0.4026.19N/AN/A0000
2013-01-22$1466000.00$1440000.0040.1%11.5%49.1%19.6%43.7%-9.5%3.5%622.4K-8.6M-53.0K0.1838.67N/AN/A0000
2013-01-23$1440800.00$1440000.0038.6%11.1%47.6%16.6%43.0%-9.0%3.0%605.9K-6.9M-53.6K0.0648.87N/AN/A0000
2013-01-24$1498800.00$1440000.0037.6%10.8%50.1%14.3%38.8%-8.6%3.9%934.4K-13.9M-62.6K0.2744.46N/AN/A0000
2013-01-25$1476800.00$1440000.0037.9%10.9%49.1%15.0%38.5%-8.1%3.7%827.0K-11.1M-61.8K0.2625.43N/AN/A0000
2013-01-28$1468800.00$1440000.0039.2%11.2%48.9%17.8%41.3%-7.6%3.0%833.3K-10.0M-56.6K0.2161.36N/AN/A0000
2013-01-29$1466800.00$1440000.0038.2%11.0%47.1%15.7%40.6%-7.2%2.6%847.7K-10.0M-58.8K0.3048.94N/AN/A0000
2013-01-30$1472000.00$1440000.0038.4%11.0%42.0%16.1%39.9%-7.0%3.6%870.0K-10.3M-56.2K0.1234.15N/AN/A0000
2013-01-31$1484000.00$1440000.0038.7%11.1%22.4%16.7%39.9%-7.0%3.6%932.6K-11.8M-58.8K0.2153.29N/AN/A0000