SQQQ Options History — October 2013

In October 2013, SQQQ traded between $697200.00 and $881600.00. ATM implied volatility averaged 44.4%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 4.2% (HV 20d: 40.2%). Max pain ranged from $720000.00 to $840000.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.26.

Notable Days

  • 2013-10-07: Largest IV spike — 20.6% change
  • 2013-10-08: Highest IV Rank — 85.8%
  • 2013-10-08: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$767373.91$697200.00$881600.00$798800.00$702800.00
Max Pain$779130.43$720000.00$840000.00$840000.00$720000.00
ATM IV44.4%36.9%59.1%43.0%39.3%
Expected Move12.9%10.6%17.4%12.3%11.3%
HV 20d40.2%24.9%46.5%26.6%42.4%
HV 60d34.9%30.4%36.9%31.5%36.3%
IV Rank41.8%19.4%85.8%37.7%26.4%
IV Percentile57.9%16.7%99.2%58.3%38.9%
Term Structure2.0%-1.8%5.1%1.7%4.7%
VWIV46.6%37.5%64.1%46.0%37.5%
Skew 25d-11.5%-17.0%-6.8%-9.0%-11.7%
Skew 10d-21.8%-34.2%-12.3%-16.3%-26.2%
Call IV 25d52.0%42.5%71.1%48.5%42.5%
Put IV 25d40.5%30.8%54.4%39.5%30.8%
Bid-Ask Spread %24.9517.6832.4227.7620.05
Gamma HHI0.200.130.900.140.19
Net GEX-67.7K-5.7M503.0K252.0K130.6K
Net DEX-1.2M-11.1M5.9M-2.3M903.7K
Net VEX-37.5K-48.1K-32.2K-32.2K-34.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.011.490.100.17
Total Volume00000
Total OI0.0430100

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$798800.00$840000.0043.0%12.3%26.6%37.7%46.0%-9.0%1.7%252.0K-2.3M-32.2K0.1027.76N/AN/A0000
2013-10-02$798800.00$800000.0045.0%12.9%24.9%43.6%49.1%-9.8%1.1%254.6K-2.8M-33.7K0.1126.80N/AN/A0000
2013-10-03$826800.00$840000.0049.6%14.2%28.8%57.3%46.0%-13.7%1.2%317.2K-5.0M-37.6K1.4920.95N/AN/A0000
2013-10-04$805600.00$800000.0043.0%13.8%29.8%37.6%50.1%-13.4%0.2%195.8K-3.5M-36.5K0.1924.04N/AN/A0000
2013-10-07$825200.00$800000.0051.8%15.7%29.4%64.1%55.4%-14.0%-1.7%270.2K-4.3M-41.8K0.1019.96N/AN/A0000
2013-10-08$871600.00$800000.0059.1%17.4%35.3%85.8%64.1%-17.0%-1.8%452.8K-9.9M-48.1K0.1220.36N/AN/A0000
2013-10-09$881600.00$800000.0057.5%17.0%35.5%81.1%58.1%-15.7%-1.8%503.0K-11.1M-48.1K0.1017.68N/AN/A0000
2013-10-10$825600.00$800000.0051.1%14.7%42.6%62.1%54.2%-12.8%2.1%396.6K-5.3M-45.7K0.1321.73N/AN/A0000
2013-10-11$806400.00$800000.0046.1%13.2%43.3%47.0%51.4%-13.0%2.9%248.3K-2.3M-41.8K0.3225.18N/AN/A0000
2013-10-14$788400.00$800000.0048.1%13.8%43.6%52.9%50.0%-13.2%2.3%179.3K-1.4M-36.5K0.2930.69N/AN/A0000
2013-10-15$798000.00$800000.0051.9%14.9%43.6%64.2%52.6%-13.8%-0.1%303.2K-2.2M-40.8K0.3627.63N/AN/A0000
2013-10-16$770400.00$800000.0044.8%12.8%43.4%42.9%49.0%-13.9%1.4%59.9K634.0K-33.9K0.2232.42N/AN/A0000
2013-10-17$758000.00$800000.0039.1%11.2%43.7%25.9%40.5%-9.8%5.1%-29.9K2.6M-33.1K0.5628.17N/AN/A0000
2013-10-18$721200.00$760000.0037.0%10.6%46.3%19.6%39.2%-10.9%4.4%-5.7M5.9M-35.9K0.5626.92N/AN/A0010
2013-10-21$716800.00$760000.0038.5%11.0%46.1%24.1%39.6%-9.7%4.7%16.4K2.1M-33.0K0.3627.70N/AN/A0000
2013-10-22$713200.00$760000.0039.8%11.4%46.0%28.1%40.9%-9.4%2.9%16.1K2.1M-34.6K0.0628.64N/AN/A0000
2013-10-23$725600.00$760000.0040.5%11.6%46.5%30.0%42.1%-9.7%2.8%92.5K318.1K-36.3K0.2017.88N/AN/A0000
2013-10-24$716000.00$760000.0038.7%11.1%46.1%24.8%40.7%-7.5%3.8%88.1K1.4M-36.7K0.0324.23N/AN/A0000
2013-10-25$701600.00$760000.0040.9%11.7%46.3%31.3%42.2%-8.0%2.1%64.3K1.9M-34.8K0.1623.81N/AN/A0000
2013-10-28$700400.00$720000.0042.4%12.2%45.7%35.9%45.4%-9.0%1.7%91.4K1.4M-36.5K0.0127.74N/AN/A0000
2013-10-29$697200.00$720000.0036.9%10.6%44.8%19.4%39.0%-6.8%3.3%83.8K1.9M-34.7K0.1222.68N/AN/A0000
2013-10-30$699600.00$720000.0037.3%10.7%44.8%20.5%39.7%-13.1%3.3%115.0K1.5M-34.4K0.2230.83N/AN/A0000
2013-10-31$702800.00$720000.0039.3%11.3%42.4%26.4%37.5%-11.7%4.7%130.6K903.7K-34.6K0.1720.05N/AN/A0000