SQQQ Options History — July 2013

In July 2013, SQQQ traded between $950800.00 and $1128000.00. ATM implied volatility averaged 37.8%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 1.1% (HV 20d: 38.8%). Max pain ranged from $960000.00 to $1120000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.23.

Notable Days

  • 2013-07-05: Largest IV drop — 13.2% change
  • 2013-07-03: Highest IV Rank — 32.3%
  • 2013-07-05: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1012327.27$950800.00$1128000.00$1127600.00$950800.00
Max Pain$1023636.36$960000.00$1120000.00$1120000.00$960000.00
ATM IV37.8%34.4%41.2%40.0%38.3%
Expected Move11.0%9.9%12.1%11.5%11.0%
HV 20d38.8%29.3%48.2%48.2%29.3%
HV 60d38.7%35.5%43.5%43.5%35.5%
IV Rank22.0%11.7%32.3%28.5%23.6%
IV Percentile19.4%4.4%37.7%29.8%24.2%
Term Structure3.4%1.1%5.3%5.3%2.7%
VWIV40.2%36.0%44.4%43.9%39.2%
Skew 25d-8.3%-12.2%-5.3%-9.3%-5.3%
Skew 10d-17.0%-23.9%-10.4%-17.2%-12.3%
Call IV 25d43.9%38.6%49.4%46.9%41.4%
Put IV 25d35.6%32.2%38.0%37.6%36.1%
Bid-Ask Spread %30.6311.3241.4225.4833.22
Gamma HHI0.140.100.400.120.15
Net GEX466.4K290.7K910.5K545.4K355.8K
Net DEX-5.1M-15.5M3.5M-15.4M-4.0M
Net VEX-59.8K-79.6K-47.4K-77.3K-53.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.041.030.280.23
Total Volume00000
Total OI0.3640100

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$1127600.00$1120000.0040.0%11.5%48.2%28.5%43.9%-9.3%5.3%545.4K-15.4M-77.3K0.2825.48N/AN/A0000
2013-07-02$1128000.00$1120000.0040.0%11.5%47.9%28.7%43.2%-8.8%4.7%577.6K-15.5M-79.6K0.0811.32N/AN/A0000
2013-07-03$1112000.00$1120000.0041.2%11.8%46.3%32.3%43.4%-9.3%5.0%585.0K-13.9M-77.9K0.0823.35N/AN/A0000
2013-07-05$1087600.00$1120000.0035.8%12.1%46.7%16.0%41.9%-12.2%3.4%540.7K-10.7M-71.5K0.1231.81N/AN/A0000
2013-07-08$1083600.00$1080000.0037.0%11.8%44.2%19.5%44.4%-10.9%3.7%620.6K-10.8M-70.2K0.2531.17N/AN/A0000
2013-07-09$1064000.00$1080000.0037.7%11.5%44.7%21.8%41.8%-10.1%3.0%603.0K-8.0M-67.4K0.2330.76N/AN/A0000
2013-07-10$1045200.00$1080000.0034.7%10.9%43.6%12.8%42.5%-9.9%4.0%530.6K-5.4M-63.8K0.0541.42N/AN/A0010
2013-07-11$982400.00$1080000.0039.1%11.2%46.2%26.0%38.7%-8.8%1.5%324.7K1.9M-51.8K0.4029.67N/AN/A0010
2013-07-12$970400.00$1000000.0037.5%10.8%44.8%21.2%39.1%-9.0%3.5%318.3K2.5M-53.0K0.3427.93N/AN/A0010
2013-07-15$963200.00$1000000.0039.4%11.3%43.9%26.8%43.5%-8.2%1.8%290.7K3.5M-49.0K0.0627.16N/AN/A0010
2013-07-16$966800.00$1000000.0040.3%11.6%43.4%29.6%43.0%-8.5%2.3%363.4K2.5M-51.4K0.1435.74N/AN/A0010
2013-07-17$960400.00$1000000.0040.3%11.6%42.8%29.5%42.6%-7.8%1.1%454.2K3.1M-49.3K0.1735.17N/AN/A0010
2013-07-18$966000.00$1000000.0038.5%11.0%40.8%24.1%38.2%-7.6%2.6%532.9K2.7M-47.4K1.0337.78N/AN/A0010
2013-07-19$996000.00$1000000.0038.2%11.0%32.3%23.3%39.6%-8.3%3.3%910.5K-198.7K-50.7K0.5428.98N/AN/A0010
2013-07-22$988000.00$1000000.0037.0%10.6%31.4%19.5%36.6%-6.5%3.8%316.6K-4.9M-51.4K0.0628.91N/AN/A0000
2013-07-23$1009600.00$960000.0036.6%10.5%30.2%18.3%36.9%-8.0%3.8%436.5K-9.0M-60.1K0.2929.46N/AN/A0000
2013-07-24$999600.00$960000.0037.1%10.6%30.0%19.8%38.4%-6.5%4.0%430.1K-8.3M-61.4K0.1930.30N/AN/A0000
2013-07-25$980400.00$960000.0035.6%10.2%29.4%15.3%36.0%-7.2%5.1%396.5K-6.6M-59.4K0.1736.27N/AN/A0000
2013-07-26$965200.00$960000.0034.4%9.9%29.5%11.7%36.7%-6.4%3.8%365.9K-5.3M-57.4K0.1532.11N/AN/A0000
2013-07-29$968800.00$960000.0035.0%10.0%29.7%13.8%36.9%-7.7%3.3%401.4K-5.6M-57.1K0.0435.04N/AN/A0000
2013-07-30$955600.00$960000.0037.4%10.7%29.4%20.8%38.9%-6.4%2.3%360.5K-4.1M-53.7K0.1930.74N/AN/A0000
2013-07-31$950800.00$960000.0038.3%11.0%29.3%23.6%39.2%-5.3%2.7%355.8K-4.0M-53.7K0.2333.22N/AN/A0000