SQQQ Options History — March 2013

In March 2013, SQQQ traded between $1324000.00 and $1433200.00. ATM implied volatility averaged 35.2%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 0.7% (HV 20d: 34.4%). Max pain ranged from $1320000.00 to $1400000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.42.

Notable Days

2013-03-14: Largest IV spike — 15.8% change
2013-03-01: Highest IV Rank — 20.2%
2013-03-04: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1358560.00	$1324000.00	$1433200.00	$1433200.00	$1324000.00
Max Pain	$1324000.00	$1320000.00	$1400000.00	$1400000.00	$1320000.00
ATM IV	35.2%	30.5%	40.4%	40.4%	33.9%
Expected Move	10.8%	9.7%	12.1%	11.6%	9.7%
HV 20d	34.4%	25.8%	43.6%	43.6%	25.8%
HV 60d	41.3%	37.4%	43.3%	43.0%	37.4%
IV Rank	9.8%	0.0%	20.2%	20.2%	7.3%
IV Percentile	4.9%	0.0%	16.7%	16.7%	2.8%
Term Structure	4.4%	2.6%	7.2%	3.2%	4.6%
VWIV	39.2%	35.4%	45.0%	41.5%	36.1%
Skew 25d	-10.5%	-14.1%	-8.1%	-11.2%	-8.6%
Skew 10d	-20.8%	-34.6%	-14.5%	-29.2%	-15.7%
Call IV 25d	44.1%	39.4%	51.9%	46.4%	39.4%
Put IV 25d	33.7%	30.8%	37.8%	35.2%	30.8%
Bid-Ask Spread %	32.39	12.43	76.39	76.39	21.63
Gamma HHI	0.33	0.11	0.56	0.11	0.43
Net GEX	1.2M	509.6K	2.7M	590.2K	1.4M
Net DEX	-11.0M	-22.9M	-20.9K	-9.9M	-11.2M
Net VEX	-73.0K	-94.7K	-43.9K	-61.2K	-83.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.03	1.79	0.17	0.59
Total Volume	0	0	0	0	0
Total OI	0.25	0	1	0	1

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	Call OI
2013-03-01	$1433200.00	$1400000.00	40.4%	11.6%	43.6%	20.2%	41.5%	-11.2%	3.2%	590.2K	-9.9M	-61.2K	0.17	76.39	N/A	N/A	0
2013-03-04	$1414000.00	$1320000.00	37.2%	12.1%	42.0%	13.5%	45.0%	-14.1%	2.6%	593.1K	-7.8M	-56.6K	0.16	33.09	N/A	N/A	0
2013-03-05	$1353600.00	$1320000.00	34.4%	11.5%	40.0%	7.5%	40.4%	-12.4%	4.6%	509.6K	-1.5M	-50.8K	0.15	24.84	N/A	N/A	0
2013-03-06	$1364000.00	$1320000.00	33.8%	11.3%	37.4%	6.2%	41.0%	-12.3%	4.6%	665.1K	-3.6M	-54.3K	0.07	23.66	N/A	N/A	0
2013-03-07	$1352800.00	$1320000.00	32.7%	11.3%	37.2%	3.8%	44.2%	-11.0%	3.4%	638.1K	-2.2M	-49.1K	0.24	24.33	N/A	N/A	0
2013-03-08	$1347600.00	$1320000.00	31.9%	11.1%	37.2%	2.1%	40.8%	-12.3%	4.8%	650.8K	-1.6M	-51.8K	0.15	12.43	N/A	N/A	0
2013-03-11	$1336400.00	$1320000.00	30.5%	10.1%	35.8%	0.0%	37.7%	-10.4%	7.0%	683.4K	-20.9K	-43.9K	0.47	51.17	N/A	N/A	0
2013-03-12	$1352800.00	$1320000.00	32.6%	10.8%	36.2%	4.6%	40.4%	-10.8%	4.8%	765.7K	-2.1M	-48.3K	0.04	28.70	N/A	N/A	0
2013-03-13	$1356400.00	$1320000.00	31.1%	10.8%	35.9%	1.5%	38.7%	-10.5%	4.7%	1.8M	-15.4M	-87.6K	0.49	26.91	N/A	N/A	1
2013-03-14	$1342800.00	$1320000.00	36.1%	10.3%	35.8%	11.9%	37.8%	-9.0%	5.9%	1.7M	-12.0M	-81.6K	0.03	33.18	N/A	N/A	1
2013-03-15	$1353600.00	$1320000.00	34.6%	9.9%	36.0%	8.7%	37.0%	-8.7%	6.7%	2.7M	-13.5M	-81.7K	0.40	36.59	N/A	N/A	1
2013-03-18	$1363600.00	$1320000.00	37.3%	10.7%	36.0%	14.4%	37.8%	-10.0%	3.2%	1.3M	-18.3M	-85.5K	0.20	40.61	N/A	N/A	0
2013-03-19	$1368000.00	$1320000.00	38.4%	11.0%	35.2%	16.9%	39.8%	-11.2%	2.8%	1.4M	-19.5M	-87.8K	1.25	34.28	N/A	N/A	0
2013-03-20	$1342400.00	$1320000.00	36.8%	10.6%	31.5%	13.5%	37.9%	-10.2%	3.4%	1.4M	-15.5M	-91.5K	0.39	50.50	N/A	N/A	0
2013-03-21	$1385600.00	$1320000.00	39.0%	11.2%	31.2%	18.1%	38.8%	-10.1%	3.6%	1.4M	-22.9M	-94.7K	1.79	27.94	N/A	N/A	0
2013-03-22	$1347600.00	$1320000.00	37.2%	10.7%	30.9%	14.3%	37.5%	-9.6%	3.4%	1.4M	-16.7M	-91.5K	1.01	21.18	N/A	N/A	0
2013-03-25	$1361200.00	$1320000.00	37.6%	10.8%	27.6%	15.1%	38.6%	-9.7%	4.0%	1.5M	-18.2M	-88.4K	0.46	22.55	N/A	N/A	0
2013-03-26	$1339200.00	$1320000.00	33.8%	9.7%	27.8%	7.1%	35.4%	-8.1%	4.5%	1.4M	-14.0M	-83.9K	0.17	22.92	N/A	N/A	0
2013-03-27	$1332400.00	$1320000.00	34.5%	9.9%	26.0%	8.5%	37.3%	-9.3%	7.2%	1.3M	-14.0M	-85.9K	0.19	34.96	N/A	N/A	1
2013-03-28	$1324000.00	$1320000.00	33.9%	9.7%	25.8%	7.3%	36.1%	-8.6%	4.6%	1.4M	-11.2M	-83.5K	0.59	21.63	N/A	N/A	1