SQQQ Options History — June 2014

In June 2014, SQQQ traded between $431100.00 and $475700.00. ATM implied volatility averaged 34.4%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 9.5% (HV 20d: 24.8%). 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 21 of 21 days. Put/call ratio averaged 0.14.

Notable Days

  • 2014-06-12: Largest IV spike — 26.3% change
  • 2014-06-12: Highest IV Rank — 37.7%
  • 2014-06-03: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$452161.90$431100.00$475700.00$475100.00$431100.00
Max Pain$350000.00$350000.00$350000.00$350000.00$350000.00
ATM IV34.4%27.9%40.3%38.2%29.8%
Expected Move14.7%13.9%15.2%15.2%14.5%
HV 20d24.8%17.7%34.0%34.0%17.8%
HV 60d44.0%40.8%46.3%46.1%40.8%
IV Rank19.8%0.2%37.7%31.5%6.1%
IV Percentile12.7%0.4%49.2%30.6%1.6%
Term Structure5.6%1.3%8.9%2.8%6.8%
VWIV51.4%46.7%63.2%63.2%47.7%
Skew 25d-8.4%-11.2%-6.7%-7.8%-7.9%
Skew 10d-16.8%-31.5%-11.7%-14.4%-14.5%
Call IV 25d40.7%34.4%44.9%42.9%35.4%
Put IV 25d32.3%26.3%36.4%35.1%27.5%
Bid-Ask Spread %22.7912.0851.1513.5336.93
Gamma HHI0.160.060.370.060.09
Net GEX519.4K155.3K1.1M243.0K356.2K
Net DEX17.0M13.4M21.0M17.5M15.5M
Net VEX-80.8K-98.4K-64.5K-97.5K-64.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.020.700.050.02
Total Volume00000
Total OI2.2382322

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$475100.00$350000.0038.2%15.2%34.0%31.5%63.2%-7.8%2.8%243.0K17.5M-97.5K0.0513.53N/AN/A0011
2014-06-03$475700.00$350000.0037.6%15.2%33.9%29.4%0.0%-7.9%3.8%301.0K17.3M-98.4K0.1416.50N/AN/A0011
2014-06-04$470400.00$350000.0036.1%14.9%29.9%25.0%48.4%-6.9%3.0%247.2K18.4M-94.2K0.1920.94N/AN/A0011
2014-06-05$458600.00$350000.0033.8%15.1%29.8%18.2%0.0%-6.9%3.4%179.5K20.4M-84.0K0.0717.79N/AN/A0011
2014-06-06$450700.00$350000.0033.5%15.0%29.4%17.1%51.3%-8.0%6.1%155.3K21.0M-81.3K0.0816.23N/AN/A0011
2014-06-09$451900.00$350000.0034.8%14.9%29.8%21.0%0.0%-7.8%3.6%513.0K18.7M-82.5K0.1518.78N/AN/A0011
2014-06-10$449700.00$350000.0034.9%14.7%25.9%21.3%0.0%-7.7%6.5%546.8K18.8M-81.2K0.7020.43N/AN/A0011
2014-06-11$449800.00$350000.0031.9%14.6%26.0%12.4%0.0%-8.9%6.3%630.9K18.8M-80.4K0.0917.04N/AN/A0011
2014-06-12$461500.00$350000.0040.3%14.8%27.4%37.7%51.2%-10.2%1.3%813.1K15.0M-92.3K0.0315.36N/AN/A0011
2014-06-13$457800.00$350000.0038.6%14.6%25.0%32.7%0.0%-7.5%5.9%906.8K15.2M-89.9K0.0425.60N/AN/A0011
2014-06-16$456500.00$350000.0038.5%14.4%24.8%32.4%0.0%-10.7%5.7%1.0M14.4M-90.7K0.1922.18N/AN/A0021
2014-06-17$455600.00$350000.0037.1%14.8%24.4%28.1%0.0%-11.2%6.4%1.1M15.0M-88.7K0.3212.08N/AN/A0021
2014-06-18$447600.00$350000.0032.9%14.1%23.7%15.4%0.0%-10.4%8.3%915.1K20.0M-71.9K0.1345.80N/AN/A0021
2014-06-19$448700.00$350000.0035.9%13.9%22.8%24.6%46.7%-8.5%5.2%940.1K19.4M-75.6K0.0921.65N/AN/A0021
2014-06-20$447500.00$350000.0034.1%14.6%22.7%19.0%0.0%-6.7%7.9%350.4K20.2M-71.8K0.2820.69N/AN/A0021
2014-06-23$446800.00$350000.0032.3%14.6%21.9%13.7%0.0%-7.2%6.6%227.9K14.8M-70.1K0.0217.10N/AN/A0011
2014-06-24$448900.00$350000.0035.0%14.3%18.0%21.9%0.0%-11.0%2.4%278.8K15.1M-67.7K0.0618.95N/AN/A0011
2014-06-25$439500.00$350000.0029.7%14.6%18.4%5.8%47.7%-8.1%8.9%378.7K13.7M-73.5K0.0751.15N/AN/A0011
2014-06-26$439000.00$350000.0028.7%14.2%17.7%2.8%0.0%-7.3%8.6%397.7K13.4M-73.2K0.0232.74N/AN/A0011
2014-06-27$433000.00$350000.0027.9%15.0%18.0%0.2%0.0%-7.9%7.1%391.5K14.4M-68.6K0.2817.07N/AN/A0011
2014-06-30$431100.00$350000.0029.8%14.5%17.8%6.1%0.0%-7.9%6.8%356.2K15.5M-64.5K0.0236.93N/AN/A0011