SQQQ Options History — July 2014

In July 2014, SQQQ traded between $385600.00 and $424900.00. ATM implied volatility averaged 34.4%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 6.0% (HV 20d: 28.3%). Max pain ranged from $310000.00 to $350000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.37.

Notable Days

  • 2014-07-31: Largest IV spike — 34.0% change
  • 2014-07-31: Highest IV Rank — 59.0%
  • 2014-07-03: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$404386.36$385600.00$424900.00$416400.00$411800.00
Max Pain$334761.90$310000.00$350000.00$350000.00$310000.00
ATM IV34.4%26.4%46.8%28.5%46.8%
Expected Move13.8%12.8%14.4%13.9%14.2%
HV 20d28.3%19.7%39.4%20.5%39.4%
HV 60d31.1%29.0%37.6%37.6%30.8%
IV Rank22.8%0.0%59.0%2.1%59.0%
IV Percentile17.7%0.0%82.9%0.8%82.9%
Term Structure4.0%-2.1%9.0%5.0%0.2%
VWIV45.9%17.7%56.3%50.9%45.7%
Skew 25d-9.5%-13.5%-4.5%-10.4%-13.5%
Skew 10d-18.3%-30.6%-12.2%-14.5%-21.1%
Call IV 25d40.9%30.9%54.1%31.4%54.1%
Put IV 25d31.4%21.0%40.5%21.0%40.5%
Bid-Ask Spread %37.8519.0689.2821.8240.06
Gamma HHI0.130.080.200.090.15
Net GEX395.5K146.9K626.5K194.2K626.5K
Net DEX16.4M9.2M20.4M17.6M9.2M
Net VEX-73.5K-94.5K-54.1K-54.1K-94.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.021.770.380.39
Total Volume00000
Total OI22222

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$416400.00$350000.0028.5%13.9%20.5%2.1%50.9%-10.4%5.0%194.2K17.6M-54.1K0.3821.82N/AN/A0011
2014-07-02$414700.00$350000.0026.4%14.2%20.4%0.0%56.3%-6.0%6.2%212.3K17.1M-62.8K0.3347.51N/AN/A0011
2014-07-03$407000.00$350000.0026.9%14.4%19.7%1.2%0.0%-4.5%7.3%146.9K18.2M-58.0K0.1433.16N/AN/A0011
2014-07-07$410600.00$350000.0031.9%13.3%19.9%16.0%52.6%-7.9%2.9%240.2K17.3M-62.2K0.1339.57N/AN/A0011
2014-07-08$424900.00$350000.0031.6%14.2%24.2%15.1%0.0%-11.0%-0.1%494.6K12.2M-78.6K0.1045.79N/AN/A0011
2014-07-09$415700.00$350000.0029.7%14.0%25.1%9.5%53.3%-10.9%1.1%498.4K14.2M-67.3K1.1939.45N/AN/A0011
2014-07-10$419600.00$350000.0035.1%14.0%25.5%25.1%42.3%-10.9%3.3%524.4K12.6M-89.2K0.1019.06N/AN/A0011
2014-07-11$411800.00$350000.0036.2%14.3%23.5%28.3%0.0%-11.0%0.8%372.4K15.5M-83.4K0.3033.71N/AN/A0011
2014-07-14$403800.00$350000.0036.4%14.2%24.0%29.0%47.8%-9.0%2.0%208.9K18.5M-76.6K1.7722.28N/AN/A0011
2014-07-15$408200.00$350000.0037.9%14.3%24.8%33.3%54.9%-7.7%2.9%265.7K17.8M-79.3K0.2121.58N/AN/A0011
2014-07-16$403300.00$350000.0035.7%14.0%24.8%26.8%17.7%-7.5%2.7%342.3K19.7M-72.6K0.5122.84N/AN/A0011
2014-07-17$419500.00$350000.0044.7%14.3%29.2%52.9%51.2%-10.9%-2.1%479.1K14.1M-85.1K0.1028.31N/AN/A0011
2014-07-18$399600.00$350000.0033.3%14.4%33.2%20.0%53.8%-11.4%3.9%331.9K20.4M-73.1K0.0827.32N/AN/A0011
2014-07-21$401000.00$0.0036.0%13.3%33.4%27.7%23.5%-11.3%4.1%454.2K15.2M-79.0K0.9169.61N/AN/A0011
2014-07-22$392800.00$310000.0034.4%13.0%33.8%23.1%0.0%-10.2%5.5%413.0K17.4M-71.1K0.2520.19N/AN/A0011
2014-07-23$385600.00$310000.0033.1%12.8%33.7%19.3%0.0%-12.2%7.3%361.4K19.9M-61.8K0.1160.58N/AN/A0011
2014-07-24$386700.00$310000.0033.3%13.1%33.5%20.0%43.9%-7.7%6.9%409.2K17.6M-72.4K0.1634.02N/AN/A0011
2014-07-25$391500.00$310000.0033.5%13.3%34.2%20.3%0.0%-9.3%5.8%508.0K16.5M-75.9K0.1726.54N/AN/A0011
2014-07-28$390900.00$310000.0033.2%13.4%34.0%19.6%0.0%-7.4%9.0%540.4K15.8M-74.5K0.2989.28N/AN/A0011
2014-07-29$392900.00$310000.0036.1%13.0%34.2%27.9%0.0%-9.1%5.5%561.0K16.7M-70.7K0.0242.67N/AN/A0011
2014-07-30$388200.00$310000.0034.9%13.9%32.5%24.6%48.5%-9.1%8.3%517.2K16.4M-73.7K0.4947.38N/AN/A0011
2014-07-31$411800.00$310000.0046.8%14.2%39.4%59.0%45.7%-13.5%0.2%626.5K9.2M-94.5K0.3940.06N/AN/A0011