SQQQ Options History — February 2017

In February 2017, SQQQ traded between $97550.00 and $110075.00. ATM implied volatility averaged 32.2%, placing in the 1.7% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 13.6% (HV 20d: 18.6%). Max pain ranged from $27500.00 to $32500.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.38.

Notable Days

2017-02-06: Highest Volume — 3 contracts
2017-02-08: Largest IV spike — 21.0% change
2017-02-28: Highest IV Rank — 3.6%
2017-02-02: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$103021.05	$97550.00	$110075.00	$109475.00	$98900.00
Max Pain	$32236.84	$27500.00	$32500.00	$27500.00	$32500.00
ATM IV	32.2%	27.5%	37.3%	33.2%	37.3%
Expected Move	9.6%	8.6%	10.9%	9.5%	10.7%
HV 20d	18.6%	15.9%	21.2%	21.2%	15.9%
HV 60d	29.9%	27.3%	35.5%	35.5%	27.3%
IV Rank	1.7%	0.0%	3.6%	2.0%	3.6%
IV Percentile	8.7%	0.0%	30.6%	7.1%	30.6%
Term Structure	7.2%	0.1%	11.9%	3.9%	1.6%
VWIV	36.4%	31.7%	41.4%	41.4%	38.7%
Skew 25d	-9.5%	-12.5%	-6.2%	-10.5%	-6.7%
Skew 10d	-15.6%	-21.5%	-1.2%	-17.9%	-6.9%
Call IV 25d	39.6%	35.1%	44.4%	41.7%	40.6%
Put IV 25d	30.1%	27.0%	33.9%	31.2%	33.9%
Bid-Ask Spread %	66.74	27.90	94.78	79.80	84.88
Gamma HHI	0.22	0.13	0.63	0.15	0.14
Net GEX	577.0K	316.1K	1.5M	531.8K	571.6K
Net DEX	-84.0M	-101.8M	-66.5M	-101.3M	-67.9M
Net VEX	-95.2K	-116.0K	-84.4K	-89.7K	-116.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.38	1.07	1.92	1.21	1.92
Total Volume	2.526	2	3	2	3
Total OI	17	15	19	16	17

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 Vol	Put Vol	Call OI	Put OI
2017-02-01	$109475.00	$27500.00	33.2%	9.5%	21.2%	2.0%	41.4%	-10.5%	3.9%	531.8K	-101.3M	-89.7K	1.21	79.80	N/A	N/A	1	1	12	4
2017-02-02	$110075.00	$32500.00	34.0%	10.9%	20.6%	2.3%	38.7%	-12.5%	6.1%	538.5K	-101.8M	-91.1K	1.23	33.12	N/A	N/A	1	1	12	5
2017-02-03	$109175.00	$32500.00	28.2%	10.2%	20.3%	0.2%	36.6%	-11.6%	8.6%	561.7K	-100.5M	-89.5K	1.23	37.01	N/A	N/A	1	1	12	5
2017-02-06	$109025.00	$32500.00	27.5%	10.0%	18.7%	0.0%	36.5%	-11.3%	10.0%	607.8K	-100.7M	-87.3K	1.35	67.06	N/A	N/A	1	2	12	5
2017-02-07	$107850.00	$32500.00	28.4%	9.9%	18.7%	0.3%	36.6%	-11.7%	7.9%	510.0K	-97.7M	-86.4K	1.31	68.13	N/A	N/A	1	1	12	5
2017-02-08	$106700.00	$32500.00	34.4%	9.9%	18.8%	2.5%	36.0%	-11.0%	9.3%	575.1K	-96.6M	-89.2K	1.07	69.15	N/A	N/A	1	2	13	5
2017-02-09	$105800.00	$32500.00	34.0%	9.7%	18.9%	2.4%	36.1%	-10.9%	10.1%	589.3K	-95.1M	-93.5K	1.34	52.11	N/A	N/A	1	2	13	5
2017-02-10	$104850.00	$32500.00	32.8%	9.4%	18.6%	1.9%	35.7%	-8.5%	11.4%	316.1K	-92.5M	-96.0K	1.25	71.83	N/A	N/A	1	2	13	5
2017-02-13	$102925.00	$32500.00	32.9%	9.4%	19.0%	2.0%	37.2%	-8.3%	9.8%	368.1K	-89.7M	-93.0K	1.52	27.90	N/A	N/A	1	2	13	5
2017-02-14	$102225.00	$32500.00	30.9%	8.9%	17.7%	1.2%	38.6%	-8.5%	11.9%	353.8K	-88.1M	-95.9K	1.37	35.07	N/A	N/A	1	2	13	5
2017-02-15	$100225.00	$32500.00	30.1%	8.6%	18.2%	1.0%	34.5%	-6.2%	9.2%	597.5K	-83.3M	-92.6K	1.25	74.35	N/A	N/A	1	2	14	5
2017-02-16	$100500.00	$32500.00	32.6%	9.4%	18.4%	1.9%	35.3%	-10.3%	8.5%	976.0K	-74.2M	-92.4K	1.26	73.42	N/A	N/A	1	1	13	5
2017-02-17	$99500.00	$32500.00	31.4%	9.0%	18.3%	1.4%	31.7%	-8.4%	10.0%	1.5M	-70.1M	-84.4K	1.59	77.72	N/A	N/A	1	2	13	5
2017-02-21	$97625.00	$32500.00	30.3%	8.7%	18.8%	1.0%	34.8%	-10.2%	0.1%	403.2K	-66.5M	-92.9K	1.29	79.62	N/A	N/A	1	1	11	4
2017-02-22	$97550.00	$32500.00	31.1%	8.9%	18.3%	1.3%	32.8%	-7.7%	1.9%	449.1K	-66.6M	-96.0K	1.55	94.78	N/A	N/A	1	1	11	4
2017-02-23	$98825.00	$32500.00	36.7%	10.5%	18.0%	3.4%	37.2%	-8.7%	4.2%	511.1K	-68.4M	-105.1K	1.56	78.29	N/A	N/A	1	1	11	4
2017-02-24	$98375.00	$32500.00	33.0%	9.5%	18.0%	2.0%	35.7%	-8.5%	6.8%	503.6K	-67.1M	-107.0K	1.16	84.63	N/A	N/A	1	1	11	5
2017-02-27	$97800.00	$32500.00	32.8%	9.4%	17.9%	1.9%	37.7%	-9.8%	4.7%	539.8K	-67.1M	-110.5K	1.71	79.22	N/A	N/A	1	2	11	5
2017-02-28	$98900.00	$32500.00	37.3%	10.7%	15.9%	3.6%	38.7%	-6.7%	1.6%	571.6K	-67.9M	-116.0K	1.92	84.88	N/A	N/A	1	2	12	5