SQQQ Options History — June 2013

In June 2013, SQQQ traded between $1061200.00 and $1226000.00. ATM implied volatility averaged 46.6%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 8.5% (HV 20d: 38.1%). Max pain ranged from $1040000.00 to $1120000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.33.

Notable Days

  • 2013-06-20: Largest IV spike — 24.4% change
  • 2013-06-24: Highest IV Rank — 71.0%
  • 2013-06-24: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1126860.00$1061200.00$1226000.00$1074800.00$1151200.00
Max Pain$1066000.00$1040000.00$1120000.00$1080000.00$1120000.00
ATM IV46.6%39.9%54.1%43.7%43.3%
Expected Move13.4%12.4%15.5%12.5%12.4%
HV 20d38.1%24.3%48.6%24.3%47.6%
HV 60d40.8%36.8%44.0%36.8%43.7%
IV Rank43.5%23.6%71.0%28.1%38.5%
IV Percentile60.8%27.8%85.3%46.8%46.0%
Term Structure2.1%-1.0%4.6%0.7%2.3%
VWIV47.7%43.5%55.4%45.2%44.2%
Skew 25d-11.7%-14.7%-9.2%-9.2%-10.2%
Skew 10d-24.6%-33.7%-18.0%-29.3%-19.6%
Call IV 25d54.3%48.4%63.1%49.8%48.4%
Put IV 25d42.6%38.2%50.3%40.6%38.2%
Bid-Ask Spread %26.5715.7040.7918.4025.19
Gamma HHI0.170.100.660.120.12
Net GEX888.7K462.5K2.0M655.3K519.9K
Net DEX-18.8M-36.3M-8.0M-11.5M-17.4M
Net VEX-82.8K-92.5K-77.4K-81.1K-79.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.090.710.250.18
Total Volume00000
Total OI0.750110

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$1074800.00$1080000.0043.7%12.5%24.3%28.1%45.2%-9.2%0.7%655.3K-11.5M-81.1K0.2518.40N/AN/A0010
2013-06-04$1092400.00$1080000.0044.4%12.7%25.0%29.6%45.7%-9.8%1.1%751.1K-14.4M-87.0K0.2815.70N/AN/A0010
2013-06-05$1134000.00$1080000.0046.1%13.2%28.5%33.1%46.4%-11.1%0.8%960.1K-22.0M-92.5K0.6421.15N/AN/A0010
2013-06-06$1118800.00$1080000.0047.0%13.5%28.3%35.7%48.4%-12.0%0.7%913.8K-20.4M-91.7K0.2220.62N/AN/A0010
2013-06-07$1072800.00$1040000.0039.9%12.4%32.0%23.6%43.5%-11.3%3.7%694.2K-10.8M-83.6K0.7127.81N/AN/A0010
2013-06-10$1071200.00$1040000.0042.1%12.7%31.5%30.3%45.3%-11.0%3.3%745.8K-10.7M-79.4K0.0927.75N/AN/A0010
2013-06-11$1103200.00$1040000.0046.3%13.5%33.2%41.3%46.1%-11.7%1.7%930.0K-16.6M-83.4K0.4630.81N/AN/A0010
2013-06-12$1140800.00$1040000.0051.5%14.4%34.7%54.8%46.3%-13.4%1.8%1.1M-24.1M-86.4K0.2526.09N/AN/A0010
2013-06-13$1098400.00$1040000.0046.1%13.2%37.5%40.7%48.3%-12.7%3.2%939.3K-16.4M-85.2K0.6427.35N/AN/A0010
2013-06-14$1118400.00$1040000.0046.7%13.4%38.0%43.2%48.1%-11.4%4.5%1.1M-19.7M-83.7K0.5129.78N/AN/A0010
2013-06-17$1088000.00$1040000.0046.1%13.2%37.7%41.6%46.9%-11.3%2.7%904.8K-13.3M-81.1K0.1034.44N/AN/A0010
2013-06-18$1061200.00$1040000.0046.1%13.2%38.8%41.6%46.8%-12.3%2.3%768.9K-8.0M-77.4K0.1634.21N/AN/A0010
2013-06-19$1096000.00$1040000.0043.2%12.4%40.3%38.3%44.5%-10.3%4.5%1.2M-16.6M-79.0K0.2540.79N/AN/A0010
2013-06-20$1176400.00$1040000.0053.8%15.4%46.4%70.0%55.0%-12.8%-1.0%1.7M-36.3M-80.4K0.2929.38N/AN/A0010
2013-06-21$1190000.00$1040000.0053.4%15.3%46.5%68.9%53.0%-14.3%0.1%2.0M-34.8M-79.9K0.4725.86N/AN/A0010
2013-06-24$1226000.00$1080000.0054.1%15.5%47.3%71.0%55.4%-14.7%0.6%487.1K-24.9M-81.7K0.4122.00N/AN/A0000
2013-06-25$1202000.00$1120000.0049.4%14.2%47.2%56.8%49.8%-13.6%2.2%474.9K-22.4M-81.5K0.2524.54N/AN/A0000
2013-06-26$1169200.00$1120000.0044.8%12.8%48.6%43.0%48.3%-9.9%3.0%462.5K-18.9M-81.4K0.1425.42N/AN/A0000
2013-06-27$1152400.00$1120000.0043.9%12.6%48.5%40.2%46.9%-11.3%4.6%498.3K-17.4M-80.2K0.2624.16N/AN/A0000
2013-06-28$1151200.00$1120000.0043.3%12.4%47.6%38.5%44.2%-10.2%2.3%519.9K-17.4M-79.8K0.1825.19N/AN/A0000