SQQQ Options History — February 2013

In February 2013, SQQQ traded between $1388800.00 and $1509600.00. ATM implied volatility averaged 40.6%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 3.6% (HV 20d: 37.0%). Max pain ranged from $1400000.00 to $1480000.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.25.

Notable Days

2013-02-25: Largest IV spike — 36.2% change
2013-02-25: Highest IV Rank — 51.5%
2013-02-25: Largest Expected Move — 15.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1444778.95	$1388800.00	$1509600.00	$1432400.00	$1452800.00
Max Pain	$1427368.42	$1400000.00	$1480000.00	$1480000.00	$1400000.00
ATM IV	40.6%	35.5%	55.0%	35.6%	42.4%
Expected Move	11.8%	10.2%	15.8%	11.5%	12.2%
HV 20d	37.0%	25.1%	43.5%	25.1%	43.5%
HV 60d	43.4%	40.9%	46.8%	45.5%	43.0%
IV Rank	20.7%	9.9%	51.5%	10.0%	24.7%
IV Percentile	16.8%	1.6%	72.6%	1.6%	22.6%
Term Structure	3.7%	-4.0%	6.8%	5.0%	1.8%
VWIV	41.8%	36.3%	53.3%	40.5%	43.7%
Skew 25d	-10.9%	-14.1%	-8.4%	-11.1%	-12.4%
Skew 10d	-20.6%	-29.4%	-15.4%	-22.9%	-22.5%
Call IV 25d	48.2%	40.7%	63.0%	47.1%	50.5%
Put IV 25d	37.3%	32.3%	48.8%	35.9%	38.2%
Bid-Ask Spread %	44.04	25.76	60.11	46.04	25.76
Gamma HHI	0.20	0.08	0.53	0.19	0.09
Net GEX	682.9K	319.4K	1.1M	768.4K	546.1K
Net DEX	-7.5M	-14.1M	-2.5M	-6.6M	-11.0M
Net VEX	-53.9K	-60.8K	-43.5K	-54.6K	-60.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.01	0.61	0.49	0.35
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
2013-02-01	$1432400.00	$1480000.00	35.6%	11.5%	25.1%	10.0%	40.5%	-11.1%	5.0%	768.4K	-6.6M	-54.6K	0.49	46.04	N/A	N/A
2013-02-04	$1507200.00	$1480000.00	41.5%	12.6%	31.2%	22.8%	40.5%	-11.0%	4.7%	995.2K	-14.1M	-56.0K	0.34	40.01	N/A	N/A
2013-02-05	$1441200.00	$1480000.00	38.0%	11.5%	35.0%	15.2%	40.4%	-9.7%	5.7%	736.7K	-6.9M	-55.0K	0.22	36.89	N/A	N/A
2013-02-06	$1454400.00	$1440000.00	36.1%	11.7%	35.1%	11.2%	41.8%	-10.8%	4.9%	941.3K	-9.4M	-59.0K	0.12	51.04	N/A	N/A
2013-02-07	$1450400.00	$1440000.00	39.7%	11.4%	35.0%	18.8%	41.6%	-10.3%	6.1%	935.9K	-9.5M	-60.8K	0.28	45.24	N/A	N/A
2013-02-08	$1406000.00	$1440000.00	38.1%	10.9%	36.1%	15.3%	41.8%	-10.2%	6.8%	618.8K	-3.4M	-54.3K	0.23	52.76	N/A	N/A
2013-02-11	$1406000.00	$1440000.00	38.6%	11.1%	36.1%	16.4%	40.2%	-10.1%	5.7%	762.3K	-4.1M	-52.7K	0.03	59.45	N/A	N/A
2013-02-12	$1422400.00	$1440000.00	39.3%	11.3%	36.1%	17.9%	40.2%	-10.7%	6.3%	1.1M	-6.3M	-55.1K	0.35	57.95	N/A	N/A
2013-02-13	$1406400.00	$1440000.00	38.6%	11.1%	35.7%	16.4%	38.0%	-9.8%	5.5%	849.2K	-3.4M	-50.5K	0.10	59.55	N/A	N/A
2013-02-14	$1408800.00	$1440000.00	37.0%	10.6%	35.5%	13.0%	39.5%	-9.1%	6.1%	812.5K	-3.2M	-45.7K	0.01	60.11	N/A	N/A
2013-02-15	$1420400.00	$1400000.00	37.8%	10.8%	35.4%	14.7%	38.1%	-8.9%	6.2%	1.1M	-4.3M	-46.9K	0.22	38.99	N/A	N/A
2013-02-19	$1388800.00	$1400000.00	35.5%	10.2%	36.0%	9.9%	36.3%	-8.4%	4.6%	319.4K	-2.5M	-43.5K	0.18	36.06	N/A	N/A
2013-02-20	$1450800.00	$1400000.00	40.1%	11.5%	39.6%	19.7%	38.3%	-10.5%	1.5%	416.1K	-7.0M	-51.7K	0.49	47.63	N/A	N/A
2013-02-21	$1500400.00	$1400000.00	44.8%	12.8%	40.9%	29.7%	41.7%	-11.3%	1.3%	429.9K	-11.6M	-53.6K	0.20	26.50	N/A	N/A
2013-02-22	$1455600.00	$1400000.00	40.3%	11.6%	39.9%	20.2%	41.7%	-11.8%	1.1%	399.8K	-7.8M	-52.9K	0.61	51.43	N/A	N/A
2013-02-25	$1509600.00	$1400000.00	55.0%	15.8%	41.7%	51.5%	53.3%	-14.1%	-4.0%	414.9K	-12.6M	-59.8K	0.08	29.55	N/A	N/A
2013-02-26	$1492000.00	$1400000.00	48.5%	13.9%	41.9%	37.6%	50.0%	-13.8%	-0.5%	434.1K	-11.5M	-56.6K	0.31	33.92	N/A	N/A
2013-02-27	$1445200.00	$1400000.00	44.6%	12.8%	43.5%	29.4%	46.1%	-12.4%	0.5%	420.1K	-7.7M	-55.2K	0.10	37.79	N/A	N/A
2013-02-28	$1452800.00	$1400000.00	42.4%	12.2%	43.5%	24.7%	43.7%	-12.4%	1.8%	546.1K	-11.0M	-60.8K	0.35	25.76	N/A	N/A