SQQQ Options History — July 2015 In July 2015, SQQQ traded between $204100.00 and $254400.00. ATM implied volatility averaged 45.2%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 1.1% (HV 20d: 44.1%). Max pain ranged from $200000.00 to $220000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.84.
Notable Days 2015-07-17 : Highest Volume — 2 contracts2015-07-08 : Largest IV spike — 37.2% change2015-07-08 : Highest IV Rank — 67.7%2015-07-09 : Largest Expected Move — 16.1%Monthly Statistics Metric Avg Min Max Open Close Price $225940.91 $204100.00 $254400.00 $242600.00 $215100.00 Max Pain $213181.82 $200000.00 $220000.00 $220000.00 $210000.00 ATM IV 45.2% 36.0% 64.8% 50.3% 38.9% Expected Move 12.9% 10.3% 16.1% 14.4% 11.2% HV 20d 44.1% 37.4% 50.4% 39.3% 44.4% HV 60d 40.5% 38.9% 42.0% 39.2% 39.0% IV Rank 31.7% 14.6% 67.7% 42.7% 19.9% IV Percentile 52.6% 12.3% 96.8% 80.6% 25.0% Term Structure 1.9% -3.3% 8.3% -3.3% 6.5% VWIV 46.7% 39.0% 61.0% 53.1% 45.4% Skew 25d -15.2% -27.3% -9.7% -15.8% -14.4% Skew 10d -25.6% -46.8% -9.2% -26.6% -24.5% Call IV 25d 53.7% 44.4% 70.7% 60.5% 47.1% Put IV 25d 38.5% 24.2% 48.2% 44.7% 32.6% Bid-Ask Spread % 66.22 42.76 82.37 63.59 82.37 Gamma HHI 0.14 0.11 0.18 0.12 0.14 Net GEX 374.0K 124.0K 535.8K 407.3K 535.8K Net DEX -6.6M -17.6M 9.3M -12.1M -7.6M Net VEX -107.5K -129.0K -94.1K -105.3K -122.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.84 1.18 3.00 2.50 1.85 Total Volume 1.227 1 2 1 1 Total OI 4.091 3 5 3 5
Daily Data (22 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 Vol Put Vol Call OI Put OI 2015-07-01 $242600.00 $220000.00 50.3% 14.4% 39.3% 42.7% 53.1% -15.8% -3.3% 407.3K -12.1M -105.3K 2.50 63.59 N/A N/A 0 1 2 1 2015-07-02 $241200.00 $220000.00 50.5% 14.5% 38.6% 43.0% 41.4% -15.8% 0.5% 356.4K -10.8M -103.9K 2.46 69.24 N/A N/A 0 1 2 1 2015-07-06 $244400.00 $220000.00 50.9% 14.3% 38.9% 43.4% 51.4% -20.9% 2.4% 440.4K -13.9M -100.0K 1.55 60.40 N/A N/A 0 1 2 2 2015-07-07 $243000.00 $220000.00 47.3% 16.0% 37.5% 35.4% 48.3% -15.1% -2.9% 488.4K -13.2M -101.8K 1.31 56.93 N/A N/A 0 1 2 2 2015-07-08 $254400.00 $220000.00 64.8% 15.9% 40.9% 67.7% 61.0% -22.2% 1.7% 447.7K -17.6M -102.5K 1.90 58.79 N/A N/A 0 1 2 2 2015-07-09 $253600.00 $220000.00 61.6% 16.1% 37.4% 61.7% 58.4% -23.8% -3.0% 454.1K -15.9M -98.9K 3.00 57.39 N/A N/A 0 1 2 2 2015-07-10 $242200.00 $220000.00 51.2% 14.3% 41.4% 42.6% 53.2% -17.6% -0.3% 421.9K -11.0M -100.6K 2.36 60.66 N/A N/A 0 1 2 2 2015-07-13 $230600.00 $220000.00 42.7% 13.1% 44.4% 26.9% 45.5% -27.3% -1.5% 272.8K -2.8M -94.1K 1.59 60.58 N/A N/A 0 1 2 2 2015-07-14 $226200.00 $220000.00 41.8% 12.3% 44.4% 25.3% 45.0% -16.5% 2.4% 222.8K -288.8K -95.0K 2.18 66.84 N/A N/A 0 1 2 2 2015-07-15 $225900.00 $220000.00 44.0% 12.6% 44.3% 29.3% 41.3% -15.7% 2.1% 124.0K -745.4K -98.5K 2.36 74.05 N/A N/A 0 1 2 2 2015-07-16 $216100.00 $220000.00 36.7% 10.5% 46.6% 15.8% 39.9% -11.9% 8.3% 130.9K 4.9M -97.5K 1.73 69.68 N/A N/A 0 1 2 2 2015-07-17 $206500.00 $220000.00 39.5% 11.3% 47.2% 21.0% 41.0% -12.1% 2.3% 136.8K 9.3M -95.5K 1.61 76.72 N/A N/A 1 1 2 2 2015-07-20 $204100.00 $210000.00 38.8% 11.1% 47.1% 19.6% 44.8% -11.6% 0.1% 218.7K 1.7M -105.7K 1.19 72.24 N/A N/A 1 1 2 2 2015-07-21 $204100.00 $210000.00 39.3% 11.3% 46.8% 20.7% 41.5% -10.3% 3.1% 313.2K 1.9M -104.5K 1.58 67.45 N/A N/A 1 1 2 2 2015-07-22 $211300.00 $200000.00 38.8% 11.1% 48.9% 19.8% 40.3% -9.7% 2.5% 393.4K -3.0M -117.3K 2.28 42.76 N/A N/A 0 1 2 2 2015-07-23 $214300.00 $200000.00 39.9% 11.4% 48.9% 21.6% 42.8% -14.3% 3.7% 466.2K -6.1M -118.7K 1.86 57.81 N/A N/A 0 1 2 2 2015-07-24 $219600.00 $210000.00 47.3% 13.5% 49.8% 35.3% 50.5% -13.1% 3.1% 444.5K -9.3M -120.6K 1.76 74.47 N/A N/A 0 1 2 2 2015-07-27 $226100.00 $210000.00 50.8% 14.6% 50.4% 41.8% 52.4% -13.2% 1.6% 463.5K -16.3M -129.0K 1.23 57.77 N/A N/A 1 1 3 2 2015-07-28 $219800.00 $200000.00 41.1% 11.8% 44.2% 24.0% 43.6% -10.5% 4.4% 456.3K -9.0M -120.3K 1.18 72.19 N/A N/A 1 1 2 2 2015-07-29 $216000.00 $200000.00 41.9% 12.0% 44.2% 25.4% 47.6% -11.9% 2.7% 509.1K -9.1M -120.8K 1.47 80.73 N/A N/A 0 1 3 2 2015-07-30 $213600.00 $200000.00 36.0% 10.3% 44.1% 14.6% 39.0% -10.7% 6.1% 523.3K -5.4M -113.1K 1.59 74.24 N/A N/A 0 1 3 2 2015-07-31 $215100.00 $210000.00 38.9% 11.2% 44.4% 19.9% 45.4% -14.4% 6.5% 535.8K -7.6M -122.0K 1.85 82.37 N/A N/A 0 1 3 2
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