SQQQ Options History — April 2014

In April 2014, SQQQ traded between $517800.00 and $614500.00. ATM implied volatility averaged 51.8%, placing in the 73.8% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded below realized volatility by 5.1% (HV 20d: 56.8%). Max pain ranged from $350000.00 to $600000.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2014-04-04: Largest IV spike — 27.5% change
  • 2014-04-11: Highest IV Rank — 100.0%
  • 2014-04-15: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$562500.00$517800.00$614500.00$521900.00$544200.00
Max Pain$564285.71$350000.00$600000.00$350000.00$600000.00
ATM IV51.8%42.7%61.0%43.5%47.7%
Expected Move16.2%15.4%16.9%15.7%15.4%
HV 20d56.8%40.5%63.8%40.5%60.6%
HV 60d49.1%44.8%51.8%45.1%46.6%
IV Rank73.8%47.6%100.0%50.4%60.0%
IV Percentile90.6%70.2%100.0%75.4%85.3%
Term Structure-1.0%-4.1%2.6%1.3%0.9%
VWIV55.6%49.5%65.1%49.5%52.2%
Skew 25d-11.8%-15.6%-8.8%-8.9%-10.0%
Skew 10d-21.6%-32.0%-10.7%-21.5%-26.3%
Call IV 25d59.3%48.6%71.2%48.6%55.4%
Put IV 25d47.5%39.3%56.8%39.7%45.4%
Bid-Ask Spread %13.589.8520.6011.7818.86
Gamma HHI0.090.060.410.080.08
Net GEX292.7K-756.4K899.3K151.7K321.4K
Net DEX2.8M-16.3M12.1M10.5M8.3M
Net VEX-135.2K-158.4K-110.1K-112.3K-139.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.031.440.630.20
Total Volume00000
Total OI22222

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$521900.00$350000.0043.5%15.7%40.5%50.4%0.0%-8.9%1.3%151.7K10.5M-112.3K0.6311.78N/AN/A0011
2014-04-02$517800.00$350000.0042.7%15.4%40.5%47.6%49.5%-9.7%2.6%132.9K11.6M-110.1K0.6411.27N/AN/A0011
2014-04-03$530100.00$350000.0043.8%16.1%41.2%51.0%57.1%-8.8%2.6%194.3K9.4M-114.4K0.0711.60N/AN/A0011
2014-04-04$573400.00$600000.0055.8%16.1%49.1%89.5%54.5%-10.2%0.3%253.5K1.8M-123.5K0.1620.60N/AN/A0011
2014-04-07$588300.00$600000.0057.9%16.4%49.4%96.4%54.5%-12.9%-2.7%344.7K-4.9M-131.3K0.3011.13N/AN/A0011
2014-04-08$572600.00$600000.0052.0%16.2%50.9%77.4%0.0%-11.7%-0.9%376.8K-1.6M-133.9K0.3613.19N/AN/A0011
2014-04-09$543100.00$600000.0045.6%16.3%54.7%56.8%52.7%-13.0%-0.9%356.0K5.8M-125.8K0.3215.00N/AN/A0011
2014-04-10$593100.00$600000.0055.9%16.6%61.1%89.8%58.8%-14.7%-4.1%465.8K-7.5M-133.0K0.2212.85N/AN/A0011
2014-04-11$614500.00$600000.0061.0%16.7%61.8%100.0%55.9%-12.1%-3.2%565.6K-15.3M-145.5K0.1311.88N/AN/A0011
2014-04-14$599600.00$600000.0060.2%16.7%61.6%97.6%0.0%-14.4%-3.6%823.3K-16.3M-147.0K0.2513.97N/AN/A0011
2014-04-15$594100.00$600000.0059.7%16.9%59.7%96.1%0.0%-15.6%-2.3%899.3K-14.7M-158.4K0.3118.92N/AN/A0011
2014-04-16$570700.00$600000.0055.8%16.6%62.0%84.5%65.1%-14.7%-1.7%784.8K-1.3M-147.8K1.4412.99N/AN/A0011
2014-04-17$569600.00$600000.0052.8%16.1%61.8%75.3%0.0%-11.6%-2.1%-756.4K11.8M-142.6K0.4912.72N/AN/A0011
2014-04-21$557300.00$600000.0050.8%16.4%61.5%69.4%52.2%-12.5%1.3%38.8K10.0M-138.9K0.0311.87N/AN/A0011
2014-04-22$543500.00$600000.0046.8%16.1%61.7%57.2%0.0%-11.1%-0.0%46.8K12.1M-131.1K0.3310.98N/AN/A0011
2014-04-23$558000.00$600000.0049.4%15.8%62.2%65.1%0.0%-11.0%-0.3%132.7K10.0M-137.0K0.0613.54N/AN/A0011
2014-04-24$542000.00$600000.0047.5%16.0%61.6%59.3%0.0%-11.6%0.1%112.9K10.7M-135.1K0.0612.84N/AN/A0011
2014-04-25$567800.00$600000.0052.6%16.0%63.6%74.7%0.0%-12.1%-2.3%261.8K5.3M-147.1K0.049.85N/AN/A0011
2014-04-28$561900.00$600000.0054.0%16.1%63.7%79.2%0.0%-10.7%-3.3%344.0K5.0M-145.4K0.2017.27N/AN/A0011
2014-04-29$549000.00$600000.0051.5%16.1%63.8%71.6%0.0%-10.9%-2.4%296.5K8.0M-140.1K0.1212.10N/AN/A0011
2014-04-30$544200.00$600000.0047.7%15.4%60.6%60.0%0.0%-10.0%0.9%321.4K8.3M-139.3K0.2018.86N/AN/A0011