SQQQ Options History — May 2013

In May 2013, SQQQ traded between $1038000.00 and $1223600.00. ATM implied volatility averaged 38.5%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 1.6% (HV 20d: 36.9%). Max pain ranged from $1080000.00 to $1200000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.34.

Notable Days

  • 2013-05-13: Largest IV spike — 19.6% change
  • 2013-05-01: Highest IV Rank — 27.4%
  • 2013-05-01: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1091109.09$1038000.00$1223600.00$1223600.00$1084800.00
Max Pain$1121818.18$1080000.00$1200000.00$1200000.00$1080000.00
ATM IV38.5%32.5%43.4%43.4%40.4%
Expected Move11.4%10.3%12.4%12.4%11.6%
HV 20d36.9%23.8%53.0%51.9%26.9%
HV 60d38.5%36.2%40.2%40.0%36.8%
IV Rank16.9%4.3%27.4%27.4%21.0%
IV Percentile20.4%1.2%36.5%36.5%32.5%
Term Structure3.3%-0.5%7.9%-0.5%3.1%
VWIV41.5%38.2%46.5%45.5%40.4%
Skew 25d-9.0%-11.6%-7.0%-10.4%-9.4%
Skew 10d-17.5%-22.1%-13.2%-21.1%-14.3%
Call IV 25d45.6%41.8%48.4%48.4%46.7%
Put IV 25d36.5%33.9%38.2%38.0%37.3%
Bid-Ask Spread %20.8017.5023.4023.4020.88
Gamma HHI0.120.100.160.120.12
Net GEX389.4K138.2K704.4K704.4K640.4K
Net DEX-1.6M-11.4M7.9M-8.4M-11.4M
Net VEX-70.8K-82.3K-56.6K-79.6K-78.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.021.500.170.10
Total Volume00000
Total OI11111

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$1223600.00$1200000.0043.4%12.4%51.9%27.4%45.5%-10.4%-0.5%704.4K-8.4M-79.6K0.1723.40N/AN/A0010
2013-05-02$1179600.00$1200000.0038.2%11.0%53.0%16.4%43.9%-10.6%2.8%432.0K-2.1M-75.3K0.1318.33N/AN/A0010
2013-05-03$1138000.00$1200000.0035.9%10.3%52.5%11.6%38.5%-7.9%4.4%329.5K1.0M-73.6K0.1822.53N/AN/A0010
2013-05-06$1124800.00$1160000.0038.7%11.5%52.5%17.4%42.3%-11.1%3.2%332.4K717.4K-71.6K0.1121.79N/AN/A0010
2013-05-07$1127200.00$1120000.0035.1%11.3%52.5%9.9%40.3%-11.6%4.5%341.5K-751.7K-75.6K1.0020.66N/AN/A0010
2013-05-08$1108800.00$1120000.0035.4%11.4%49.0%10.6%43.1%-9.8%3.4%375.0K829.6K-71.2K0.2221.90N/AN/A0010
2013-05-09$1112400.00$1120000.0036.2%11.7%49.1%12.2%41.7%-9.7%2.2%365.2K588.9K-72.6K0.4021.49N/AN/A0010
2013-05-10$1092800.00$1120000.0032.5%11.1%49.1%4.3%41.8%-10.3%4.2%260.8K3.0M-70.0K0.4617.50N/AN/A0010
2013-05-13$1088800.00$1120000.0038.9%11.5%42.5%17.8%39.9%-10.7%4.0%202.1K3.5M-69.6K1.5020.41N/AN/A0010
2013-05-14$1073200.00$1120000.0036.0%11.8%40.8%11.9%46.5%-9.3%3.8%138.2K5.3M-64.7K0.3720.93N/AN/A0010
2013-05-15$1066400.00$1120000.0041.3%11.8%32.3%23.0%44.2%-9.1%3.6%172.4K5.5M-61.2K0.1522.09N/AN/A0010
2013-05-16$1070000.00$1120000.0040.8%11.7%26.2%21.9%42.0%-8.1%4.8%326.3K4.4M-61.3K0.3121.40N/AN/A0010
2013-05-17$1038000.00$1120000.0037.2%10.7%24.4%14.3%38.2%-8.1%7.9%461.7K7.9M-56.6K0.9619.44N/AN/A0010
2013-05-20$1044800.00$1120000.0037.1%10.6%24.6%14.1%40.1%-8.2%3.9%229.9K128.4K-56.8K0.0220.05N/AN/A0010
2013-05-21$1038800.00$1120000.0039.1%11.2%23.8%18.2%40.0%-7.5%2.6%263.2K-1.2M-60.2K0.1221.09N/AN/A0010
2013-05-22$1066000.00$1120000.0041.4%11.9%26.8%23.1%43.2%-8.0%2.4%425.0K-6.4M-73.9K0.1720.92N/AN/A0010
2013-05-23$1074000.00$1080000.0040.4%11.6%27.3%21.2%41.4%-7.1%3.3%480.3K-8.0M-76.9K0.2222.11N/AN/A0010
2013-05-24$1075600.00$1080000.0039.5%11.3%26.8%19.1%39.4%-8.2%2.5%548.5K-8.8M-82.3K0.1122.07N/AN/A0010
2013-05-28$1054000.00$1080000.0039.1%11.2%26.2%18.2%40.9%-7.0%1.7%476.0K-6.4M-75.1K0.4018.62N/AN/A0010
2013-05-29$1070000.00$1080000.0040.6%11.6%26.8%21.5%40.7%-8.6%2.5%555.5K-8.5M-76.4K0.2621.07N/AN/A0010
2013-05-30$1052800.00$1080000.0038.9%11.1%26.1%17.8%40.0%-8.5%1.9%506.5K-6.4M-75.9K0.1218.98N/AN/A0010
2013-05-31$1084800.00$1080000.0040.4%11.6%26.9%21.0%40.4%-9.4%3.1%640.4K-11.4M-78.3K0.1020.88N/AN/A0010