SQQQ Options History — February 2014

In February 2014, SQQQ traded between $510100.00 and $642400.00. ATM implied volatility averaged 42.9%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 12.1% (HV 20d: 55.0%). Max pain ranged from $350000.00 to $900000.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.48.

Notable Days

2014-02-07: Largest IV drop — 16.7% change
2014-02-03: Highest IV Rank — 93.2%
2014-02-05: Largest Expected Move — 16.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$551584.21	$510100.00	$642400.00	$642400.00	$511600.00
Max Pain	$555882.35	$350000.00	$900000.00	$900000.00	$350000.00
ATM IV	42.9%	36.7%	56.9%	56.9%	39.2%
Expected Move	16.0%	15.4%	16.9%	16.8%	15.8%
HV 20d	55.0%	40.4%	62.3%	56.4%	40.4%
HV 60d	41.5%	41.0%	42.2%	41.6%	41.1%
IV Rank	48.3%	28.5%	93.2%	93.2%	36.4%
IV Percentile	61.7%	21.8%	99.2%	99.2%	46.4%
Term Structure	3.3%	-1.1%	6.9%	-0.9%	2.3%
VWIV	55.0%	49.9%	63.3%	63.3%	49.9%
Skew 25d	-10.3%	-15.4%	-6.7%	-15.4%	-11.4%
Skew 10d	-19.9%	-29.5%	-9.4%	-24.3%	-18.3%
Call IV 25d	50.8%	42.6%	68.7%	68.7%	46.9%
Put IV 25d	40.6%	35.2%	53.3%	53.3%	35.4%
Bid-Ask Spread %	13.54	7.55	25.59	14.14	16.26
Gamma HHI	0.09	0.06	0.22	0.08	0.07
Net GEX	55.5K	-171.5K	220.9K	123.4K	129.9K
Net DEX	7.4M	-5.2M	14.3M	-5.2M	8.6M
Net VEX	-61.0K	-76.9K	-31.2K	-31.2K	-76.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.11	1.41	0.53	0.31
Total Volume	0	0	0	0	0
Total OI	0.474	0	2	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	Call OI	Put OI
2014-02-03	$642400.00	$0.00	56.9%	16.8%	56.4%	93.2%	0.0%	-15.4%	-0.9%	123.4K	-5.2M	-31.2K	0.53	14.14	N/A	N/A	0	0
2014-02-04	$626400.00	$0.00	53.7%	16.8%	56.9%	82.9%	63.3%	-12.2%	-1.1%	162.8K	-3.4M	-47.0K	1.03	10.31	N/A	N/A	0	0
2014-02-05	$633100.00	$900000.00	55.6%	16.9%	56.9%	88.8%	0.0%	-12.7%	0.2%	140.1K	-2.7M	-58.8K	0.64	11.75	N/A	N/A	0	0
2014-02-06	$608400.00	$900000.00	50.8%	16.4%	57.9%	73.6%	0.0%	-11.4%	0.6%	116.1K	224.9K	-62.7K	0.15	8.60	N/A	N/A	0	0
2014-02-07	$575900.00	$900000.00	42.3%	16.3%	61.2%	46.5%	0.0%	-10.8%	3.9%	68.6K	4.2M	-58.2K	0.11	12.16	N/A	N/A	0	0
2014-02-10	$565900.00	$900000.00	40.0%	15.9%	61.3%	38.9%	0.0%	-11.3%	4.0%	51.3K	5.5M	-55.2K	1.41	8.31	N/A	N/A	0	0
2014-02-11	$546700.00	$900000.00	37.7%	15.8%	62.3%	31.6%	0.0%	-9.9%	4.3%	-34.7K	8.8M	-55.4K	0.63	8.47	N/A	N/A	0	0
2014-02-12	$543600.00	$900000.00	36.7%	16.0%	59.8%	28.5%	53.3%	-10.4%	4.5%	-33.3K	9.8M	-60.2K	1.20	7.88	N/A	N/A	0	0
2014-02-13	$531200.00	$450000.00	41.5%	15.9%	57.1%	44.0%	0.0%	-9.1%	5.7%	-113.0K	12.7M	-62.9K	0.17	15.53	N/A	N/A	0	0
2014-02-14	$528200.00	$450000.00	39.9%	16.5%	56.5%	38.7%	54.2%	-8.1%	6.9%	-134.5K	13.4M	-61.8K	0.38	16.72	N/A	N/A	1	0
2014-02-18	$520700.00	$350000.00	40.6%	15.6%	56.6%	41.1%	55.7%	-9.0%	5.2%	-171.5K	14.3M	-60.6K	0.25	7.55	N/A	N/A	1	1
2014-02-19	$530800.00	$350000.00	41.9%	15.7%	56.7%	45.3%	0.0%	-11.3%	4.9%	111.9K	12.8M	-62.9K	0.15	17.44	N/A	N/A	1	1
2014-02-20	$523400.00	$350000.00	40.4%	15.5%	56.3%	40.2%	56.9%	-8.0%	6.1%	17.8K	13.8M	-61.1K	0.11	17.67	N/A	N/A	1	1
2014-02-21	$526400.00	$350000.00	41.2%	16.3%	56.3%	43.0%	0.0%	-9.8%	5.2%	220.9K	13.0M	-62.1K	0.31	14.84	N/A	N/A	1	1
2014-02-24	$516200.00	$350000.00	39.1%	15.6%	56.4%	36.0%	0.0%	-6.7%	3.3%	27.4K	9.4M	-59.2K	1.02	12.89	N/A	N/A	0	0
2014-02-25	$518900.00	$350000.00	39.6%	15.5%	45.9%	37.8%	51.8%	-9.1%	1.7%	108.3K	8.5M	-73.8K	0.13	25.59	N/A	N/A	0	0
2014-02-26	$520200.00	$350000.00	39.7%	15.4%	46.0%	38.1%	0.0%	-9.6%	2.8%	134.0K	8.3M	-75.0K	0.18	20.17	N/A	N/A	0	0
2014-02-27	$510100.00	$350000.00	38.2%	15.5%	43.5%	33.2%	49.9%	-8.8%	2.8%	128.8K	8.8M	-74.4K	0.33	10.94	N/A	N/A	0	0
2014-02-28	$511600.00	$350000.00	39.2%	15.8%	40.4%	36.4%	0.0%	-11.4%	2.3%	129.9K	8.6M	-76.9K	0.31	16.26	N/A	N/A	0	0