SQQQ Options History — December 2013

In December 2013, SQQQ traded between $574000.00 and $647200.00. ATM implied volatility averaged 39.2%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 10.9% (HV 20d: 28.3%). Max pain ranged from $560000.00 to $640000.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2013-12-11: Largest IV spike — 25.5% change
  • 2013-12-11: Highest IV Rank — 39.7%
  • 2013-12-17: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$615847.62$574000.00$647200.00$634800.00$574000.00
Max Pain$620952.38$560000.00$640000.00$640000.00$560000.00
ATM IV39.2%32.7%43.7%37.7%37.3%
Expected Move17.0%16.7%17.3%16.9%16.7%
HV 20d28.3%24.3%34.8%34.7%27.5%
HV 60d35.2%34.6%36.3%35.2%34.6%
IV Rank26.4%6.6%39.7%21.7%24.0%
IV Percentile43.2%2.8%75.8%28.6%28.2%
Term Structure3.8%1.7%6.3%3.5%3.1%
VWIV61.0%57.4%63.9%61.2%60.6%
Skew 25d-9.0%-15.4%-6.1%-8.1%-7.0%
Skew 10d-17.8%-32.8%-7.5%-16.3%-13.7%
Call IV 25d45.7%41.5%50.2%42.9%44.8%
Put IV 25d36.6%27.1%41.9%34.8%37.8%
Bid-Ask Spread %9.114.7234.626.994.84
Gamma HHI0.340.120.470.380.26
Net GEX-52.9K-128.6K45.4K-59.4K-3.5K
Net DEX3.8M1.2M8.7M4.2M1.2M
Net VEX-25.9K-30.8K-20.7K-29.9K-22.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.003.250.150.20
Total Volume00000
Total OI0.2380100

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$634800.00$640000.0037.7%16.9%34.7%21.7%61.2%-8.1%3.5%-59.4K4.2M-29.9K0.156.99N/AN/A0000
2013-12-03$634800.00$640000.0038.8%16.9%34.7%25.0%0.0%-10.1%2.6%-41.2K3.8M-30.4K0.156.64N/AN/A0000
2013-12-04$633600.00$640000.0039.6%17.2%34.7%27.4%0.0%-6.6%2.7%-42.9K4.2M-29.8K0.126.35N/AN/A0000
2013-12-05$636000.00$640000.0042.0%17.2%34.8%34.5%0.0%-6.1%1.7%-10.1K3.6M-30.8K0.186.22N/AN/A0000
2013-12-06$622400.00$640000.0040.6%17.1%27.3%30.5%0.0%-10.4%3.9%-38.0K5.0M-28.3K0.4534.62N/AN/A0000
2013-12-09$615600.00$640000.0036.2%16.8%24.4%17.2%0.0%-8.0%4.3%-65.2K6.1M-25.7K0.206.16N/AN/A0000
2013-12-10$616000.00$640000.0034.8%16.7%24.3%13.1%0.0%-8.4%4.4%-77.4K6.3M-25.4K0.286.24N/AN/A0000
2013-12-11$640000.00$640000.0043.7%17.2%29.1%39.7%0.0%-8.5%2.6%-57.5K3.5M-29.5K0.276.67N/AN/A0000
2013-12-12$644000.00$640000.0042.9%17.3%26.4%37.2%62.9%-8.0%2.8%-41.2K2.6M-30.3K0.074.72N/AN/A0000
2013-12-13$647200.00$640000.0042.1%17.2%26.5%34.8%0.0%-8.7%4.6%-64.7K2.3M-30.2K0.029.36N/AN/A0000
2013-12-16$636000.00$640000.0043.0%17.3%27.0%37.5%0.0%-9.6%4.5%-128.6K3.7M-28.3K0.519.56N/AN/A0010
2013-12-17$639200.00$640000.0043.6%17.3%24.6%39.4%62.7%-8.3%4.0%-87.0K3.2M-27.8K1.636.62N/AN/A0010
2013-12-18$617200.00$640000.0039.9%17.1%26.5%28.3%0.0%-8.6%4.1%-116.9K6.9M-22.9K1.6610.88N/AN/A0010
2013-12-19$622800.00$640000.0042.3%17.1%26.6%35.6%57.4%-9.5%3.8%-88.6K7.2M-23.3K0.936.16N/AN/A0010
2013-12-20$604000.00$560000.0036.8%16.9%26.6%19.1%0.0%-8.5%6.3%45.4K8.7M-21.4K3.256.90N/AN/A0010
2013-12-23$585200.00$560000.0036.9%16.9%27.9%19.3%63.9%-10.7%4.4%-51.9K1.7M-20.7K0.487.04N/AN/A0000
2013-12-24$583600.00$600000.0038.1%17.1%27.9%23.0%0.0%-8.9%3.9%-50.7K1.5M-21.2K0.0022.42N/AN/A0000
2013-12-26$578800.00$600000.0032.7%16.7%27.7%6.6%0.0%-15.4%4.8%-53.3K1.7M-21.5K0.247.09N/AN/A0000
2013-12-27$582800.00$600000.0037.5%17.0%27.4%21.1%0.0%-10.9%4.7%-41.0K1.3M-22.4K0.107.11N/AN/A0000
2013-12-30$584800.00$600000.0037.0%17.0%27.3%19.6%58.6%-9.6%3.8%-38.0K1.2M-21.5K0.038.75N/AN/A0000
2013-12-31$574000.00$560000.0037.3%16.7%27.5%24.0%60.6%-7.0%3.1%-3.5K1.2M-22.9K0.204.84N/AN/A0000