SQQQ Options History — August 2013

In August 2013, SQQQ traded between $899600.00 and $966800.00. ATM implied volatility averaged 39.4%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 9.8% (HV 20d: 29.6%). Max pain ranged from $920000.00 to $960000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.28.

Notable Days

  • 2013-08-15: Largest IV spike — 22.5% change
  • 2013-08-30: Highest IV Rank — 53.7%
  • 2013-08-30: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$930690.91$899600.00$966800.00$920800.00$952400.00
Max Pain$936363.64$920000.00$960000.00$960000.00$920000.00
ATM IV39.4%30.7%48.4%37.6%48.4%
Expected Move11.8%9.8%13.9%10.8%13.9%
HV 20d29.6%23.8%36.5%30.4%35.1%
HV 60d36.9%35.9%38.8%36.0%38.1%
IV Rank26.7%0.7%53.7%21.4%53.7%
IV Percentile36.0%0.4%81.7%19.4%81.7%
Term Structure4.8%1.3%7.7%2.1%3.5%
VWIV42.7%35.6%48.8%39.9%48.4%
Skew 25d-9.2%-12.6%-2.6%-5.6%-12.6%
Skew 10d-18.6%-24.6%-4.2%-24.0%-23.0%
Call IV 25d47.0%35.4%55.2%40.2%55.2%
Put IV 25d37.8%32.8%43.6%34.6%42.6%
Bid-Ask Spread %20.8516.2029.3924.9919.02
Gamma HHI0.160.120.360.160.13
Net GEX467.7K247.0K985.7K279.8K567.7K
Net DEX-5.0M-12.7M418.9K-1.1M-10.3M
Net VEX-52.6K-62.3K-43.4K-46.6K-62.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.031.530.210.12
Total Volume00000
Total OI0.6820101

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$920800.00$960000.0037.6%10.8%30.4%21.4%39.9%-5.6%2.1%279.8K-1.1M-46.6K0.2124.99N/AN/A0000
2013-08-02$904800.00$960000.0034.3%9.8%30.2%11.5%35.6%-2.6%4.1%247.0K25.5K-44.5K0.0627.76N/AN/A0000
2013-08-05$903600.00$960000.0032.7%10.8%30.2%6.8%39.9%-7.3%7.7%262.6K180.5K-43.4K0.0921.40N/AN/A0000
2013-08-06$919600.00$960000.0033.7%11.1%31.4%9.8%42.9%-7.7%6.0%359.4K-1.8M-48.3K0.5717.20N/AN/A0000
2013-08-07$922400.00$960000.0033.6%11.1%31.4%9.4%38.2%-8.6%6.9%454.8K-2.7M-49.4K0.2320.18N/AN/A0010
2013-08-08$909600.00$960000.0032.4%11.0%23.8%5.7%42.4%-8.7%7.1%396.0K-1.0M-47.4K0.1621.95N/AN/A0010
2013-08-09$920800.00$960000.0034.9%11.3%24.2%13.2%39.4%-8.4%6.2%479.4K-2.8M-50.6K0.2020.03N/AN/A0010
2013-08-12$916000.00$960000.0033.4%11.2%24.2%8.9%36.5%-8.7%7.1%441.0K-1.7M-46.5K1.5318.76N/AN/A0010
2013-08-13$899600.00$960000.0030.7%10.7%24.7%0.7%41.2%-9.6%7.2%332.9K418.9K-43.4K0.3817.72N/AN/A0010
2013-08-14$910000.00$920000.0035.1%11.4%25.2%14.0%41.1%-9.6%5.5%379.8K-818.0K-46.6K0.5520.51N/AN/A0010
2013-08-15$955200.00$920000.0043.0%12.3%31.0%37.7%44.8%-10.5%5.9%772.9K-8.6M-54.4K0.3220.73N/AN/A0010
2013-08-16$957600.00$920000.0042.4%12.1%28.8%35.7%44.3%-10.2%6.2%985.7K-7.6M-54.6K0.4121.06N/AN/A0010
2013-08-19$962000.00$920000.0043.3%12.4%28.8%38.6%44.9%-12.2%4.4%403.4K-7.7M-54.4K0.2018.23N/AN/A0000
2013-08-20$948800.00$920000.0042.2%12.1%27.8%35.2%42.5%-10.5%4.3%393.1K-7.0M-55.2K0.1329.39N/AN/A0000
2013-08-21$958800.00$920000.0044.8%12.8%28.0%42.9%45.6%-10.1%1.3%462.4K-9.0M-60.2K0.1519.86N/AN/A0000
2013-08-22$931600.00$920000.0042.3%12.1%29.0%35.6%44.1%-9.4%2.5%432.6K-6.5M-57.0K0.1123.76N/AN/A0010
2013-08-23$912800.00$920000.0041.0%11.7%29.3%31.5%42.4%-7.4%3.2%425.0K-4.6M-54.3K0.0322.87N/AN/A0010
2013-08-26$911600.00$920000.0041.3%11.8%29.2%32.5%43.1%-10.1%5.2%515.9K-5.7M-56.4K0.0618.59N/AN/A0010
2013-08-27$966800.00$920000.0047.6%13.7%36.2%51.5%47.5%-11.0%1.4%624.9K-12.7M-62.1K0.2416.20N/AN/A0010
2013-08-28$954800.00$920000.0046.3%13.3%36.5%47.4%46.9%-10.7%3.8%570.5K-10.3M-59.8K0.3219.41N/AN/A0010
2013-08-29$935600.00$920000.0044.8%12.8%35.3%42.9%48.8%-11.0%3.5%502.9K-7.8M-59.2K0.1519.09N/AN/A0010
2013-08-30$952400.00$920000.0048.4%13.9%35.1%53.7%48.4%-12.6%3.5%567.7K-10.3M-62.3K0.1219.02N/AN/A0010