SQQQ Options History — January 2014

In January 2014, SQQQ traded between $554000.00 and $631400.00. ATM implied volatility averaged 39.8%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 2.1% (HV 20d: 37.7%). Max pain ranged from $520000.00 to $560000.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.64.

Notable Days

2014-01-15: Largest IV spike — 30.8% change
2014-01-27: Highest IV Rank — 69.7%
2014-01-02: Largest Expected Move — 17.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$587855.00	$554000.00	$631400.00	$587200.00	$601000.00
Max Pain	$533333.33	$520000.00	$560000.00	$560000.00	$520000.00
ATM IV	39.8%	27.8%	49.6%	40.8%	49.5%
Expected Move	16.2%	14.2%	17.0%	17.0%	16.4%
HV 20d	37.7%	28.1%	52.5%	29.1%	51.9%
HV 60d	33.4%	30.2%	39.1%	34.6%	39.1%
IV Rank	35.7%	0.0%	69.7%	36.3%	69.5%
IV Percentile	47.6%	0.0%	95.6%	63.5%	94.8%
Term Structure	1.6%	-0.9%	7.2%	2.6%	0.2%
VWIV	58.3%	52.4%	63.2%	57.9%	52.4%
Skew 25d	-10.2%	-12.7%	-5.7%	-7.9%	-12.2%
Skew 10d	-22.6%	-31.8%	-13.0%	-22.4%	-23.9%
Call IV 25d	48.2%	40.2%	57.9%	44.9%	57.9%
Put IV 25d	38.0%	32.1%	45.7%	37.0%	45.7%
Bid-Ask Spread %	8.40	3.38	15.51	7.28	8.27
Gamma HHI	0.22	0.09	0.68	0.24	0.09
Net GEX	30.8K	-270.8K	128.2K	8.4K	62.3K
Net DEX	-321.6K	-2.5M	2.7M	266.5K	-2.5M
Net VEX	-19.7K	-24.6K	0	-23.9K	-19.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.03	2.67	0.28	1.02
Total Volume	0	0	0	0	0
Total OI	0	0	0	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
2014-01-02	$587200.00	$560000.00	40.8%	17.0%	29.1%	36.3%	0.0%	-7.9%	2.6%	8.4K	266.5K	-23.9K	0.28	7.28	N/A	N/A
2014-01-03	$600000.00	$560000.00	34.9%	16.9%	30.5%	15.4%	57.9%	-5.7%	7.2%	14.9K	-435.4K	-23.7K	0.11	9.77	N/A	N/A
2014-01-06	$606400.00	$560000.00	36.3%	16.4%	30.8%	20.2%	63.2%	-9.8%	1.4%	72.4K	-796.7K	-24.4K	0.03	6.62	N/A	N/A
2014-01-07	$589600.00	$560000.00	36.4%	16.6%	31.4%	20.7%	0.0%	-9.8%	2.6%	59.1K	-17.0K	-22.9K	0.20	7.97	N/A	N/A
2014-01-08	$585200.00	$560000.00	39.3%	16.3%	31.3%	30.8%	54.9%	-9.0%	1.4%	43.0K	263.7K	-22.8K	0.31	4.71	N/A	N/A
2014-01-09	$592400.00	$520000.00	36.4%	16.4%	31.7%	20.8%	59.4%	-10.1%	2.2%	79.6K	-122.6K	-24.6K	0.28	6.64	N/A	N/A
2014-01-10	$585600.00	$520000.00	33.8%	16.4%	28.1%	11.5%	57.7%	-9.8%	1.5%	53.7K	149.2K	-23.4K	1.16	12.99	N/A	N/A
2014-01-13	$611600.00	$520000.00	39.3%	16.3%	32.7%	30.8%	0.0%	-10.7%	2.0%	128.2K	-2.0M	-24.5K	0.19	8.38	N/A	N/A
2014-01-14	$577600.00	$520000.00	27.8%	15.9%	37.8%	0.0%	0.0%	-12.6%	1.8%	53.6K	1.2M	-22.3K	0.07	10.55	N/A	N/A
2014-01-15	$562800.00	$520000.00	36.4%	15.7%	38.3%	27.4%	60.5%	-12.3%	2.3%	-82.5K	2.2M	-20.6K	1.05	6.66	N/A	N/A
2014-01-16	$561600.00	$520000.00	38.6%	15.9%	38.1%	34.5%	62.1%	-9.4%	1.0%	-270.8K	2.7M	-18.6K	0.68	5.71	N/A	N/A
2014-01-17	$572400.00	$520000.00	37.6%	15.9%	37.6%	31.3%	55.8%	-5.9%	1.8%	-18.6K	731.0K	-21.7K	0.26	7.23	N/A	N/A
2014-01-21	$558800.00	$520000.00	37.8%	15.8%	37.9%	32.1%	61.6%	-11.5%	1.5%	84.9K	-986.6K	-21.3K	0.25	5.24	N/A	N/A
2014-01-22	$554000.00	$520000.00	39.8%	15.8%	36.8%	38.4%	0.0%	-10.2%	0.3%	89.2K	-976.0K	-21.4K	2.67	6.63	N/A	N/A
2014-01-23	$560800.00	$520000.00	39.8%	15.9%	35.7%	38.3%	56.0%	-10.6%	2.0%	102.2K	-1.4M	-23.3K	0.92	6.73	N/A	N/A
2014-01-27	$610100.00	$0.00	49.6%	14.2%	47.1%	69.7%	52.4%	-12.7%	-0.9%	0	0	0	0.87	14.96	N/A	N/A
2014-01-28	$610900.00	$0.00	46.1%	16.2%	46.9%	58.5%	0.0%	-10.9%	0.5%	90.6K	-2.1M	-8.5K	1.49	12.84	N/A	N/A
2014-01-29	$631400.00	$0.00	48.3%	16.7%	48.1%	65.7%	0.0%	-12.3%	-0.0%	59.7K	-2.3M	-12.1K	0.80	15.51	N/A	N/A
2014-01-30	$597700.00	$0.00	47.3%	16.3%	52.5%	62.4%	0.0%	-10.9%	0.1%	-14.6K	-408.6K	-14.2K	0.11	3.38	N/A	N/A
2014-01-31	$601000.00	$0.00	49.5%	16.4%	51.9%	69.5%	0.0%	-12.2%	0.2%	62.3K	-2.5M	-19.5K	1.02	8.27	N/A	N/A