SQQQ Options History — May 2014

In May 2014, SQQQ traded between $473900.00 and $561500.00. ATM implied volatility averaged 41.7%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 0.0% (HV 20d: 41.7%). Max pain ranged from $350000.00 to $600000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.15.

Notable Days

2014-05-15: Largest IV spike — 24.8% change
2014-05-08: Highest IV Rank — 60.6%
2014-05-09: Largest Expected Move — 16.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$524119.05	$473900.00	$561500.00	$539400.00	$473900.00
Max Pain	$433333.33	$350000.00	$600000.00	$600000.00	$350000.00
ATM IV	41.7%	35.8%	47.9%	46.8%	35.8%
Expected Move	15.5%	14.8%	16.3%	15.8%	14.8%
HV 20d	41.7%	31.6%	60.7%	60.7%	34.1%
HV 60d	45.7%	44.4%	46.8%	46.4%	46.1%
IV Rank	41.8%	24.1%	60.6%	57.4%	24.1%
IV Percentile	50.4%	10.3%	85.3%	81.7%	10.3%
Term Structure	3.0%	-0.1%	6.7%	-0.1%	4.2%
VWIV	55.0%	48.9%	63.4%	56.5%	51.7%
Skew 25d	-10.3%	-13.8%	-6.1%	-9.8%	-7.4%
Skew 10d	-20.7%	-27.9%	-10.8%	-18.9%	-14.4%
Call IV 25d	49.4%	39.1%	57.1%	52.5%	42.0%
Put IV 25d	39.0%	33.0%	44.0%	42.7%	34.5%
Bid-Ask Spread %	16.34	8.49	36.36	11.52	18.09
Gamma HHI	0.09	0.06	0.19	0.08	0.06
Net GEX	396.5K	2.0K	1.0M	331.3K	172.8K
Net DEX	11.7M	2.5M	20.4M	9.8M	18.1M
Net VEX	-123.5K	-147.4K	-89.6K	-135.7K	-97.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.15	0.05	0.36	0.33	0.07
Total Volume	0	0	0	0	0
Total OI	2	2	2	2	2

Daily Data (21 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
2014-05-01	$539400.00	$600000.00	46.8%	15.8%	60.7%	57.4%	56.5%	-9.8%	-0.1%	331.3K	9.8M	-135.7K	0.33	11.52	N/A	N/A	1	1
2014-05-02	$542400.00	$600000.00	45.9%	15.8%	60.2%	54.4%	0.0%	-9.8%	1.3%	354.2K	9.8M	-136.2K	0.05	11.94	N/A	N/A	1	1
2014-05-05	$534300.00	$600000.00	45.2%	15.9%	52.9%	52.4%	0.0%	-13.2%	4.3%	340.3K	10.3M	-133.8K	0.10	10.13	N/A	N/A	1	1
2014-05-06	$554500.00	$600000.00	45.8%	15.9%	53.9%	54.3%	0.0%	-10.6%	3.7%	529.4K	6.4M	-137.7K	0.06	35.28	N/A	N/A	1	1
2014-05-07	$559700.00	$600000.00	47.3%	15.9%	53.3%	58.8%	0.0%	-13.8%	2.7%	605.3K	2.5M	-147.4K	0.13	15.22	N/A	N/A	1	1
2014-05-08	$561500.00	$600000.00	47.9%	15.8%	49.7%	60.6%	0.0%	-13.2%	2.7%	614.6K	3.4M	-147.3K	0.07	34.31	N/A	N/A	1	1
2014-05-09	$554800.00	$600000.00	41.3%	16.3%	37.9%	40.7%	56.6%	-12.0%	4.1%	665.3K	4.5M	-144.7K	0.22	14.74	N/A	N/A	1	1
2014-05-12	$527700.00	$350000.00	42.8%	15.8%	38.4%	45.3%	48.9%	-11.6%	3.5%	400.0K	13.1M	-127.4K	0.13	15.34	N/A	N/A	1	1
2014-05-13	$526500.00	$350000.00	40.3%	15.6%	38.0%	37.7%	0.0%	-10.7%	4.1%	470.4K	13.8M	-125.2K	0.36	11.91	N/A	N/A	1	1
2014-05-14	$534600.00	$350000.00	36.7%	15.7%	38.7%	26.8%	0.0%	-9.4%	3.7%	694.6K	11.5M	-127.5K	0.05	10.56	N/A	N/A	1	1
2014-05-15	$546800.00	$350000.00	45.8%	15.5%	37.6%	54.2%	0.0%	-11.3%	3.7%	1.0M	7.0M	-133.8K	0.19	19.17	N/A	N/A	1	1
2014-05-16	$536500.00	$350000.00	43.1%	15.9%	38.1%	46.1%	0.0%	-10.3%	6.7%	675.2K	11.5M	-128.2K	0.25	10.49	N/A	N/A	1	1
2014-05-19	$525000.00	$350000.00	40.8%	15.4%	38.1%	39.2%	0.0%	-10.3%	2.8%	180.9K	12.9M	-120.3K	0.11	8.49	N/A	N/A	1	1
2014-05-20	$530800.00	$350000.00	42.0%	15.6%	37.4%	43.0%	0.0%	-11.7%	2.7%	249.3K	11.2M	-126.8K	0.07	11.53	N/A	N/A	1	1
2014-05-21	$515900.00	$350000.00	40.8%	15.2%	37.1%	39.2%	0.0%	-10.7%	0.8%	251.7K	13.1M	-118.9K	0.18	9.28	N/A	N/A	1	1
2014-05-22	$509000.00	$350000.00	39.1%	15.0%	36.1%	34.2%	53.0%	-9.0%	1.8%	238.6K	14.4M	-115.7K	0.25	9.67	N/A	N/A	1	1
2014-05-23	$497500.00	$350000.00	37.4%	15.2%	31.6%	28.9%	0.0%	-9.4%	3.5%	196.1K	16.3M	-108.0K	0.10	36.36	N/A	N/A	1	1
2014-05-27	$478300.00	$350000.00	36.4%	15.1%	33.7%	26.0%	0.0%	-6.1%	1.8%	2.0K	20.4M	-89.6K	0.16	10.99	N/A	N/A	1	1
2014-05-28	$483200.00	$350000.00	37.2%	14.8%	33.8%	28.3%	63.4%	-7.6%	3.3%	151.7K	18.5M	-96.0K	0.07	17.32	N/A	N/A	1	1
2014-05-29	$474200.00	$350000.00	36.3%	14.8%	34.0%	25.7%	51.7%	-8.9%	2.4%	161.1K	18.1M	-96.2K	0.24	20.90	N/A	N/A	1	1
2014-05-30	$473900.00	$350000.00	35.8%	14.8%	34.1%	24.1%	0.0%	-7.4%	4.2%	172.8K	18.1M	-97.5K	0.07	18.09	N/A	N/A	1	1