SQQQ Options History — September 2013

In September 2013, SQQQ traded between $812400.00 and $936800.00. ATM implied volatility averaged 41.2%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 7.3% (HV 20d: 33.9%). Max pain ranged from $840000.00 to $920000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.41.

Notable Days

  • 2013-09-12: Largest IV spike — 23.7% change
  • 2013-09-03: Highest IV Rank — 52.4%
  • 2013-09-03: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$852340.00$812400.00$936800.00$936800.00$826000.00
Max Pain$856000.00$840000.00$920000.00$920000.00$840000.00
ATM IV41.2%35.6%47.9%47.9%47.4%
Expected Move12.1%10.6%13.7%13.7%13.6%
HV 20d33.9%25.1%38.9%35.7%25.1%
HV 60d33.4%30.8%37.9%37.3%31.0%
IV Rank32.2%15.4%52.4%52.4%50.9%
IV Percentile45.5%13.1%79.4%79.4%79.4%
Term Structure3.8%-0.7%6.9%2.2%-0.7%
VWIV44.2%40.2%48.6%47.1%48.1%
Skew 25d-9.9%-12.2%-7.1%-12.2%-11.6%
Skew 10d-21.0%-32.6%-12.9%-24.0%-29.0%
Call IV 25d48.9%43.4%55.9%55.9%54.2%
Put IV 25d39.0%34.5%43.9%43.7%42.6%
Bid-Ask Spread %27.3515.6935.2618.5624.79
Gamma HHI0.160.130.210.140.15
Net GEX350.9K221.5K560.1K560.1K300.6K
Net DEX-882.3K-8.7M6.4M-8.7M-3.9M
Net VEX-39.5K-58.1K-28.9K-58.1K-32.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.032.930.480.59
Total Volume00000
Total OI0.70110

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$936800.00$920000.0047.9%13.7%35.7%52.4%47.1%-12.2%2.2%560.1K-8.7M-58.1K0.4818.56N/AN/A0010
2013-09-04$905600.00$920000.0044.5%12.8%37.3%42.2%47.2%-10.7%4.6%465.5K-4.1M-53.7K0.0817.72N/AN/A0010
2013-09-05$902400.00$920000.0044.8%12.8%37.3%42.9%47.1%-10.9%4.9%479.2K-4.0M-54.0K0.2015.69N/AN/A0010
2013-09-06$897200.00$880000.0041.4%13.2%37.1%32.8%48.6%-10.9%3.4%476.7K-3.8M-51.4K0.0929.96N/AN/A0010
2013-09-09$866000.00$880000.0042.7%13.3%38.7%36.7%47.3%-9.9%3.3%380.4K-44.6K-44.5K0.2332.41N/AN/A0010
2013-09-10$854000.00$840000.0038.6%12.4%38.9%24.4%47.5%-11.3%4.2%352.3K1.0M-43.9K0.2032.08N/AN/A0010
2013-09-11$859200.00$840000.0035.6%11.8%38.6%15.4%45.8%-11.6%4.8%386.0K354.4K-43.3K0.0732.32N/AN/A0010
2013-09-12$862000.00$840000.0044.0%12.6%38.3%40.7%43.2%-11.3%3.9%412.9K132.0K-42.7K0.1630.84N/AN/A0010
2013-09-13$859200.00$840000.0041.3%11.8%33.2%32.4%42.3%-10.1%4.5%414.7K169.1K-43.0K0.5131.24N/AN/A0010
2013-09-16$866400.00$840000.0043.5%12.5%33.5%39.0%43.5%-10.3%3.4%459.4K-366.2K-40.9K0.1635.26N/AN/A0010
2013-09-17$848400.00$840000.0041.0%11.8%33.7%31.6%44.4%-10.4%4.4%291.7K2.5M-37.7K0.1434.09N/AN/A0010
2013-09-18$818000.00$840000.0037.6%10.8%35.3%21.5%42.2%-10.6%4.6%226.8K6.0M-32.6K0.0927.98N/AN/A0010
2013-09-19$812400.00$840000.0037.1%10.6%34.7%19.9%41.3%-7.8%6.9%221.5K6.4M-28.9K0.4132.86N/AN/A0010
2013-09-20$820400.00$840000.0039.1%11.2%34.4%25.8%40.3%-7.4%6.1%241.8K4.7M-29.5K1.4224.07N/AN/A0010
2013-09-23$825200.00$840000.0039.9%11.4%34.2%28.2%42.3%-7.1%3.0%258.0K-2.5M-28.9K0.1022.67N/AN/A0000
2013-09-24$825200.00$840000.0039.4%11.3%34.2%26.7%40.2%-7.3%4.4%280.1K-2.8M-30.3K2.9328.43N/AN/A0000
2013-09-25$832800.00$840000.0040.1%11.5%25.4%28.8%41.6%-7.9%3.5%287.6K-3.2M-31.0K0.1125.62N/AN/A0000
2013-09-26$813600.00$840000.0037.8%10.8%25.9%22.0%41.0%-9.8%2.7%258.7K-2.4M-29.4K0.0321.14N/AN/A0000
2013-09-27$816000.00$840000.0040.2%11.5%25.8%29.3%43.7%-8.2%1.6%263.3K-3.1M-32.8K0.1929.35N/AN/A0000
2013-09-30$826000.00$840000.0047.4%13.6%25.1%50.9%48.1%-11.6%-0.7%300.6K-3.9M-32.9K0.5924.79N/AN/A0000