SQQQ Options History — March 2014

In March 2014, SQQQ traded between $498500.00 and $566700.00. ATM implied volatility averaged 43.0%, placing in the 48.7% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 10.2% (HV 20d: 32.8%). Max pain ranged from $350000.00 to $350000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.29.

Notable Days

  • 2014-03-13: Largest IV spike — 18.0% change
  • 2014-03-27: Highest IV Rank — 71.9%
  • 2014-03-13: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$524833.33$498500.00$566700.00$522700.00$551100.00
Max Pain$350000.00$350000.00$350000.00$350000.00$350000.00
ATM IV43.0%36.9%50.3%44.3%47.0%
Expected Move16.0%15.5%16.5%15.7%16.1%
HV 20d32.8%24.3%41.5%41.5%37.8%
HV 60d42.6%41.2%44.0%41.3%44.0%
IV Rank48.7%29.2%71.9%52.9%61.6%
IV Percentile67.6%21.8%94.4%81.7%88.1%
Term Structure2.6%-0.4%4.7%1.6%0.5%
VWIV54.6%49.1%60.5%51.7%59.9%
Skew 25d-11.1%-12.7%-6.4%-12.5%-9.8%
Skew 10d-21.3%-27.8%-10.0%-23.3%-20.8%
Call IV 25d51.2%42.0%58.1%54.1%53.6%
Put IV 25d40.1%34.5%45.4%41.6%43.7%
Bid-Ask Spread %13.296.3626.2514.7718.10
Gamma HHI0.100.060.260.080.07
Net GEX283.7K40.3K774.3K228.3K179.8K
Net DEX7.9M3.1M12.6M6.7M6.3M
Net VEX-97.3K-125.3K-71.8K-82.4K-120.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.071.030.190.09
Total Volume00000
Total OI1.1430201

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$522700.00$350000.0044.3%15.7%41.5%52.9%51.7%-12.5%1.6%228.3K6.7M-82.4K0.1914.77N/AN/A0000
2014-03-04$503100.00$350000.0037.5%15.5%32.6%31.1%52.0%-6.4%2.5%162.2K10.6M-71.8K0.3110.19N/AN/A0000
2014-03-05$498500.00$350000.0038.0%15.7%32.2%32.6%0.0%-8.9%3.2%178.5K10.2M-78.5K0.1411.48N/AN/A0000
2014-03-06$500100.00$350000.0037.7%15.6%31.6%31.7%49.1%-8.6%4.4%225.3K9.6M-80.4K0.3114.73N/AN/A0010
2014-03-07$507400.00$350000.0038.2%15.9%31.1%33.2%0.0%-12.4%4.0%265.7K8.9M-83.6K0.1610.52N/AN/A0010
2014-03-10$506100.00$350000.0039.2%15.9%26.0%36.6%0.0%-10.9%3.8%288.5K8.6M-84.5K0.196.36N/AN/A0010
2014-03-11$512500.00$350000.0036.9%15.8%26.5%29.2%0.0%-11.9%3.3%355.8K7.7M-88.6K0.2512.88N/AN/A0010
2014-03-12$506600.00$350000.0039.2%15.6%24.3%36.6%0.0%-12.2%4.7%336.5K8.4M-87.1K0.309.55N/AN/A0010
2014-03-13$528400.00$350000.0046.3%16.5%29.2%59.2%0.0%-12.3%2.3%416.1K4.5M-93.5K0.3112.03N/AN/A0010
2014-03-14$539200.00$350000.0048.3%16.3%29.0%65.5%60.5%-11.8%1.9%419.7K3.1M-96.6K0.6511.35N/AN/A0011
2014-03-17$524600.00$350000.0045.2%15.7%30.6%55.7%0.0%-12.7%1.6%397.9K8.0M-100.0K0.4812.82N/AN/A0011
2014-03-18$505400.00$350000.0042.5%16.1%33.0%47.1%0.0%-11.6%4.3%298.9K12.4M-97.5K0.1514.14N/AN/A0011
2014-03-19$513800.00$350000.0042.1%16.5%32.8%45.8%0.0%-12.5%1.9%422.5K10.4M-100.6K1.0326.25N/AN/A0011
2014-03-20$509500.00$350000.0042.2%15.8%32.6%46.2%0.0%-11.0%3.8%277.6K12.6M-96.7K0.2010.39N/AN/A0011
2014-03-21$528100.00$350000.0043.4%16.1%35.1%49.8%0.0%-12.4%3.0%774.3K7.9M-101.5K0.2117.57N/AN/A0011
2014-03-24$541300.00$350000.0045.1%16.3%35.3%55.2%0.0%-11.5%3.3%40.3K9.4M-106.3K0.0710.98N/AN/A0001
2014-03-25$536400.00$350000.0044.9%16.3%35.5%54.8%0.0%-10.5%-0.4%118.7K8.9M-108.7K0.0810.66N/AN/A0001
2014-03-26$557200.00$350000.0047.3%16.0%37.8%62.3%0.0%-10.3%1.9%182.9K5.5M-117.0K0.1516.30N/AN/A0001
2014-03-27$566700.00$350000.0050.3%16.2%37.1%71.9%0.0%-12.7%1.6%217.5K3.1M-121.9K0.5010.94N/AN/A0001
2014-03-28$562800.00$350000.0047.4%16.5%37.3%62.8%59.9%-11.3%1.5%171.3K3.9M-125.3K0.3117.00N/AN/A0001
2014-03-31$551100.00$350000.0047.0%16.1%37.8%61.6%0.0%-9.8%0.5%179.8K6.3M-120.0K0.0918.10N/AN/A0001