SQQQ Options History — August 2014

In August 2014, SQQQ traded between $354100.00 and $422100.00. ATM implied volatility averaged 36.0%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 1.8% (HV 20d: 34.1%). Max pain ranged from $310000.00 to $310000.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.19.

Notable Days

  • 2014-08-05: Largest IV spike — 27.1% change
  • 2014-08-05: Highest IV Rank — 62.6%
  • 2014-08-08: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$384871.43$354100.00$422100.00$416400.00$354100.00
Max Pain$310000.00$310000.00$310000.00$310000.00$310000.00
ATM IV36.0%28.1%48.0%47.0%29.1%
Expected Move13.7%12.4%15.2%14.0%13.0%
HV 20d34.1%21.0%39.6%38.9%21.0%
HV 60d29.5%28.2%31.5%30.9%28.2%
IV Rank27.6%4.8%62.6%59.7%7.6%
IV Percentile31.2%1.6%87.7%83.3%3.2%
Term Structure6.4%-1.4%10.3%-1.4%8.4%
VWIV48.2%42.1%58.9%45.9%45.5%
Skew 25d-10.0%-13.7%-6.1%-12.4%-6.8%
Skew 10d-18.9%-26.6%-14.3%-23.4%-15.7%
Call IV 25d45.0%35.2%58.3%55.8%35.5%
Put IV 25d35.0%28.1%45.9%43.5%28.7%
Bid-Ask Spread %37.9917.66103.3079.7531.54
Gamma HHI0.250.130.390.140.25
Net GEX522.4K-308.0K1.1M593.8K357.2K
Net DEX12.2M745.8K18.1M7.3M16.9M
Net VEX-100.4K-127.3K-84.0K-109.0K-89.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.020.790.150.25
Total Volume00000
Total OI2.7622323

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$416400.00$310000.0047.0%14.0%38.9%59.7%45.9%-12.4%-1.4%593.8K7.3M-109.0K0.1579.75N/AN/A0011
2014-08-04$407800.00$310000.0037.8%15.2%39.6%32.9%0.0%-9.9%2.4%765.0K8.2M-116.3K0.0352.24N/AN/A0021
2014-08-05$417000.00$310000.0048.0%14.8%38.4%62.6%58.9%-12.1%3.6%769.0K3.0M-121.7K0.1140.65N/AN/A0021
2014-08-06$417800.00$310000.0045.1%14.7%37.6%54.1%0.0%-11.7%5.5%890.6K2.5M-125.5K0.0528.73N/AN/A0021
2014-08-07$422100.00$310000.0047.6%14.7%37.6%61.3%0.0%-12.4%3.2%885.5K745.8K-127.3K0.1023.03N/AN/A0021
2014-08-08$412900.00$310000.0038.5%15.2%37.9%35.0%52.4%-13.5%6.8%988.6K3.9M-118.1K0.0830.94N/AN/A0021
2014-08-11$405200.00$310000.0042.4%14.4%37.8%46.1%0.0%-13.7%5.4%985.1K7.9M-112.0K0.0423.29N/AN/A0021
2014-08-12$406000.00$310000.0040.8%14.3%37.6%41.6%45.1%-9.3%5.0%1.1M6.9M-111.3K0.5219.11N/AN/A0021
2014-08-13$393000.00$310000.0032.0%14.3%39.1%16.1%0.0%-9.7%5.6%791.1K14.6M-93.9K0.0743.20N/AN/A0021
2014-08-14$386900.00$310000.0039.0%13.8%36.3%36.4%42.7%-9.8%8.2%432.7K16.0M-95.3K0.7623.94N/AN/A0021
2014-08-15$381400.00$310000.0038.1%13.5%32.6%33.8%0.0%-9.3%8.2%-308.0K18.1M-94.3K0.0933.53N/AN/A0021
2014-08-18$372500.00$310000.0029.7%12.5%33.4%9.6%46.4%-12.1%10.2%254.4K16.5M-91.3K0.0449.75N/AN/A0011
2014-08-19$365800.00$310000.0028.1%12.8%33.2%4.8%42.9%-9.8%9.1%236.3K17.8M-84.0K0.2027.94N/AN/A0011
2014-08-20$365900.00$310000.0028.9%13.3%32.7%7.2%42.1%-10.4%10.3%262.5K16.9M-88.5K0.1720.86N/AN/A0011
2014-08-21$364200.00$310000.0030.8%13.1%32.7%12.6%50.8%-8.3%7.3%279.9K16.7M-89.2K0.0238.73N/AN/A0011
2014-08-22$362400.00$310000.0029.6%13.1%32.2%9.2%57.1%-8.2%8.8%298.6K16.3M-91.2K0.0222.08N/AN/A0021
2014-08-25$358500.00$310000.0030.0%12.8%32.3%10.4%0.0%-8.6%7.9%286.8K17.1M-85.8K0.23103.30N/AN/A0021
2014-08-26$357000.00$310000.0029.9%13.1%32.1%10.0%0.0%-8.3%7.4%307.5K17.0M-85.9K0.1144.73N/AN/A0021
2014-08-27$357000.00$310000.0031.9%13.1%32.0%15.7%0.0%-6.1%5.7%351.9K16.3M-87.4K0.7917.66N/AN/A0021
2014-08-28$358400.00$310000.0030.9%12.4%22.0%12.8%0.0%-7.6%6.4%398.5K16.3M-90.3K0.1242.75N/AN/A0021
2014-08-29$354100.00$310000.0029.1%13.0%21.0%7.6%45.5%-6.8%8.4%357.2K16.9M-89.8K0.2531.54N/AN/A0021