SQQQ Options History — February 2015

In February 2015, SQQQ traded between $248600.00 and $304700.00. ATM implied volatility averaged 45.3%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 0.0% (HV 20d: 45.3%). Max pain ranged from $290000.00 to $320000.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.77.

Notable Days

2015-02-06: Largest IV spike — 14.7% change
2015-02-02: Highest IV Rank — 61.2%
2015-02-02: Largest Expected Move — 17.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$271805.26	$248600.00	$304700.00	$304700.00	$252700.00
Max Pain	$304210.53	$290000.00	$320000.00	$300000.00	$290000.00
ATM IV	45.3%	37.8%	60.6%	60.6%	38.8%
Expected Move	13.2%	10.8%	17.4%	17.4%	11.1%
HV 20d	45.3%	29.2%	56.7%	56.7%	30.3%
HV 60d	46.0%	44.4%	46.8%	44.4%	45.9%
IV Rank	33.7%	20.3%	61.2%	61.2%	22.1%
IV Percentile	59.4%	30.6%	94.0%	94.0%	36.1%
Term Structure	5.8%	-1.7%	12.4%	2.5%	4.7%
VWIV	51.1%	42.0%	63.6%	60.3%	44.0%
Skew 25d	-13.4%	-21.1%	-5.9%	-20.6%	-8.5%
Skew 10d	-24.6%	-42.4%	-10.5%	-42.4%	-21.4%
Call IV 25d	54.8%	45.3%	72.3%	72.3%	45.3%
Put IV 25d	41.4%	33.4%	51.7%	51.7%	36.8%
Bid-Ask Spread %	55.30	34.20	90.44	83.74	90.44
Gamma HHI	0.11	0.07	0.24	0.07	0.15
Net GEX	64.8K	-27.6K	130.7K	83.5K	130.7K
Net DEX	7.1M	-1.1M	13.6M	-1.1M	8.6M
Net VEX	-66.0K	-80.0K	-49.6K	-80.0K	-66.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.19	1.18	0.25	0.64
Total Volume	0	0	0	0	0
Total OI	2	2	2	2	2

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
2015-02-02	$304700.00	$300000.00	60.6%	17.4%	56.7%	61.2%	60.3%	-20.6%	2.5%	83.5K	-1.1M	-80.0K	0.25	83.74	N/A	N/A	1	1
2015-02-03	$295700.00	$300000.00	55.1%	15.8%	54.5%	51.2%	54.9%	-8.1%	-1.7%	59.6K	735.5K	-78.9K	1.18	79.22	N/A	N/A	1	1
2015-02-04	$297400.00	$300000.00	49.7%	14.2%	52.6%	41.5%	54.3%	-9.8%	1.9%	68.7K	2.7M	-74.1K	0.91	89.11	N/A	N/A	1	1
2015-02-05	$288800.00	$320000.00	46.3%	14.7%	52.0%	35.6%	54.9%	-17.1%	5.5%	58.7K	4.4M	-71.8K	0.87	36.82	N/A	N/A	1	1
2015-02-06	$294700.00	$320000.00	53.1%	15.3%	48.3%	47.7%	61.2%	-19.0%	3.4%	104.3K	2.1M	-78.4K	0.86	46.90	N/A	N/A	1	1
2015-02-09	$295800.00	$320000.00	51.4%	15.8%	48.0%	44.7%	63.6%	-18.1%	3.3%	127.4K	1.2M	-77.0K	0.84	35.87	N/A	N/A	1	1
2015-02-10	$282600.00	$310000.00	45.2%	14.2%	49.1%	33.5%	52.6%	-21.1%	8.9%	106.4K	5.4M	-68.6K	0.86	50.03	N/A	N/A	1	1
2015-02-11	$280000.00	$310000.00	48.2%	13.8%	48.8%	38.9%	53.2%	-18.9%	6.4%	81.7K	7.0M	-65.1K	0.76	55.40	N/A	N/A	1	1
2015-02-12	$270100.00	$310000.00	45.4%	13.0%	49.5%	34.0%	48.3%	-15.3%	8.0%	32.5K	9.6M	-58.5K	0.70	46.24	N/A	N/A	1	1
2015-02-13	$263500.00	$310000.00	40.1%	11.5%	46.6%	24.4%	45.9%	-11.6%	11.8%	34.3K	11.4M	-54.4K	0.70	44.02	N/A	N/A	1	1
2015-02-17	$263300.00	$300000.00	44.2%	12.7%	45.9%	31.8%	59.7%	-12.7%	9.0%	83.7K	9.7M	-64.3K	0.93	34.20	N/A	N/A	1	1
2015-02-18	$261900.00	$300000.00	46.0%	13.2%	45.5%	34.9%	46.9%	-9.2%	8.0%	93.4K	11.1M	-60.9K	0.84	53.76	N/A	N/A	1	1
2015-02-19	$257400.00	$300000.00	42.9%	12.3%	45.6%	29.4%	49.8%	-12.8%	9.9%	19.8K	10.7M	-61.7K	0.19	37.70	N/A	N/A	1	1
2015-02-20	$252300.00	$300000.00	37.8%	10.8%	42.5%	20.3%	42.9%	-5.9%	12.4%	-27.6K	13.6M	-49.6K	0.49	37.89	N/A	N/A	1	1
2015-02-23	$251500.00	$300000.00	39.9%	11.4%	42.6%	24.0%	49.8%	-12.7%	0.8%	9.4K	8.9M	-60.4K	0.90	77.65	N/A	N/A	1	1
2015-02-24	$250800.00	$300000.00	38.0%	10.9%	42.5%	20.7%	43.4%	-12.0%	4.5%	19.0K	9.8M	-59.9K	0.90	54.53	N/A	N/A	1	1
2015-02-25	$252500.00	$300000.00	39.0%	11.2%	30.5%	22.5%	42.9%	-9.5%	6.0%	44.8K	9.3M	-62.2K	0.85	55.56	N/A	N/A	1	1
2015-02-26	$248600.00	$290000.00	39.3%	11.3%	29.2%	23.0%	42.0%	-12.3%	5.2%	101.1K	9.1M	-62.4K	0.93	41.65	N/A	N/A	1	1
2015-02-27	$252700.00	$290000.00	38.8%	11.1%	30.3%	22.1%	44.0%	-8.5%	4.7%	130.7K	8.6M	-66.0K	0.64	90.44	N/A	N/A	1	1