SQQQ Options History — November 2013

In November 2013, SQQQ traded between $630400.00 and $737200.00. ATM implied volatility averaged 37.5%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 3.1% (HV 20d: 34.4%). Max pain ranged from $560000.00 to $760000.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.31.

Notable Days

2013-11-07: Largest IV spike — 18.4% change
2013-11-13: Highest IV Rank — 35.6%
2013-11-13: Largest Expected Move — 17.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$685780.00	$630400.00	$737200.00	$703200.00	$630400.00
Max Pain	$629473.68	$560000.00	$760000.00	$720000.00	$640000.00
ATM IV	37.5%	33.2%	42.3%	38.0%	35.4%
Expected Move	15.1%	10.9%	17.8%	10.9%	16.7%
HV 20d	34.4%	30.7%	42.0%	42.0%	34.4%
HV 60d	36.4%	35.1%	37.8%	36.2%	35.1%
IV Rank	21.0%	8.1%	35.6%	22.6%	15.0%
IV Percentile	27.7%	4.0%	61.1%	26.6%	13.9%
Term Structure	5.0%	1.4%	8.5%	5.5%	4.5%
VWIV	48.4%	37.2%	61.9%	37.2%	61.9%
Skew 25d	-8.6%	-11.7%	-6.3%	-9.4%	-7.8%
Skew 10d	-17.3%	-25.4%	-13.6%	-22.8%	-16.1%
Call IV 25d	44.3%	39.0%	49.6%	40.6%	39.5%
Put IV 25d	35.7%	31.1%	39.9%	31.1%	31.7%
Bid-Ask Spread %	14.28	4.40	35.76	23.42	5.62
Gamma HHI	0.28	0.17	0.42	0.18	0.42
Net GEX	76.6K	-79.8K	349.8K	188.0K	-79.8K
Net DEX	1.9M	-3.8M	5.0M	649.4K	5.0M
Net VEX	-30.1K	-36.5K	-26.1K	-36.5K	-29.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.00	0.84	0.12	0.49
Total Volume	0	0	0	0	0
Total OI	0.15	0	1	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	Call OI
2013-11-01	$703200.00	$720000.00	38.0%	10.9%	42.0%	22.6%	37.2%	-9.4%	5.5%	188.0K	649.4K	-36.5K	0.12	23.42	N/A	N/A	0
2013-11-04	$700000.00	$760000.00	33.2%	11.1%	40.4%	8.1%	40.1%	-9.4%	6.7%	162.4K	1.0M	-32.5K	0.08	17.47	N/A	N/A	0
2013-11-05	$696800.00	$760000.00	34.1%	11.3%	32.9%	11.0%	41.7%	-8.9%	5.4%	166.4K	1.6M	-31.9K	0.42	19.71	N/A	N/A	0
2013-11-06	$698000.00	$760000.00	33.8%	11.4%	32.2%	10.0%	45.5%	-9.9%	6.6%	181.1K	1.4M	-31.5K	0.15	18.93	N/A	N/A	0
2013-11-07	$737200.00	$720000.00	40.0%	12.1%	33.7%	28.7%	44.4%	-9.6%	6.9%	349.8K	-3.8M	-33.5K	0.05	18.29	N/A	N/A	0
2013-11-08	$707600.00	$720000.00	36.1%	12.1%	35.5%	16.9%	41.8%	-11.7%	6.3%	214.9K	173.7K	-32.4K	0.40	19.63	N/A	N/A	0
2013-11-11	$710400.00	$0.00	41.3%	17.1%	35.1%	32.4%	55.2%	-8.5%	6.0%	218.8K	483.5K	-29.6K	0.20	35.76	N/A	N/A	0
2013-11-12	$707200.00	$560000.00	41.6%	16.2%	34.6%	33.4%	0.0%	-8.9%	6.5%	220.2K	1.0M	-29.6K	0.34	11.39	N/A	N/A	0
2013-11-13	$680000.00	$560000.00	42.3%	17.8%	35.0%	35.6%	0.0%	-9.0%	6.9%	116.6K	3.7M	-27.4K	0.26	28.88	N/A	N/A	1
2013-11-14	$676400.00	$560000.00	38.2%	16.2%	34.8%	23.1%	0.0%	-7.8%	7.3%	111.8K	4.2M	-26.3K	0.61	12.75	N/A	N/A	1
2013-11-15	$671200.00	$560000.00	37.5%	16.2%	30.7%	21.1%	58.5%	-7.5%	8.5%	36.6K	4.9M	-26.1K	0.84	10.73	N/A	N/A	1
2013-11-18	$690400.00	$560000.00	38.6%	16.4%	32.7%	24.6%	0.0%	-6.3%	2.3%	-24.3K	1.3M	-26.4K	0.65	7.99	N/A	N/A	0
2013-11-19	$696400.00	$560000.00	38.0%	16.3%	32.9%	22.7%	57.8%	-7.5%	2.9%	-13.2K	969.1K	-29.2K	0.74	9.02	N/A	N/A	0
2013-11-20	$701600.00	$560000.00	40.0%	16.9%	32.3%	28.7%	0.0%	-9.3%	2.3%	571	362.4K	-31.0K	0.00	9.98	N/A	N/A	0
2013-11-21	$680400.00	$560000.00	37.2%	16.7%	33.7%	20.3%	0.0%	-8.9%	3.0%	-61.3K	1.9M	-31.7K	0.18	8.39	N/A	N/A	0
2013-11-22	$669200.00	$560000.00	37.1%	16.5%	33.5%	19.9%	0.0%	-9.1%	2.8%	-55.8K	2.6M	-30.4K	0.07	7.89	N/A	N/A	0
2013-11-25	$664800.00	$560000.00	38.1%	17.0%	33.5%	22.8%	61.9%	-7.1%	3.1%	-65.7K	2.8M	-30.3K	0.24	8.88	N/A	N/A	0
2013-11-26	$654400.00	$640000.00	35.4%	16.6%	33.8%	14.7%	0.0%	-6.8%	1.4%	-59.8K	3.5M	-29.3K	0.28	6.51	N/A	N/A	0
2013-11-27	$640000.00	$640000.00	33.6%	16.7%	34.4%	9.3%	0.0%	-7.7%	4.8%	-76.1K	4.7M	-28.1K	0.15	4.40	N/A	N/A	0
2013-11-29	$630400.00	$640000.00	35.4%	16.7%	34.4%	15.0%	0.0%	-7.8%	4.5%	-79.8K	5.0M	-29.3K	0.49	5.62	N/A	N/A	0