SQQQ Options History — September 2014

In September 2014, SQQQ traded between $347900.00 and $371300.00. ATM implied volatility averaged 39.1%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 14.1% (HV 20d: 25.0%). Max pain ranged from $310000.00 to $360000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2014-09-09: Largest IV spike — 39.6% change
  • 2014-09-25: Highest IV Rank — 67.2%
  • 2014-09-09: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$356342.86$347900.00$371300.00$351100.00$359100.00
Max Pain$348571.43$310000.00$360000.00$310000.00$350000.00
ATM IV39.1%28.8%49.6%30.7%47.0%
Expected Move13.6%12.3%14.7%13.7%14.1%
HV 20d25.0%17.9%37.6%20.4%37.2%
HV 60d30.1%27.8%33.7%28.1%33.5%
IV Rank36.7%6.8%67.2%12.4%59.5%
IV Percentile47.0%2.8%90.9%6.3%82.5%
Term Structure4.3%-1.4%10.6%7.0%2.6%
VWIV49.4%41.7%60.9%46.7%43.2%
Skew 25d-12.0%-22.7%-5.4%-8.4%-22.7%
Skew 10d-21.2%-36.6%-11.3%-13.0%-27.5%
Call IV 25d46.7%37.9%58.1%37.9%54.4%
Put IV 25d34.7%29.4%42.2%29.4%31.7%
Bid-Ask Spread %39.5119.8284.3140.4551.82
Gamma HHI0.160.080.380.210.09
Net GEX392.2K46.4K699.3K340.7K302.1K
Net DEX18.7M12.4M26.9M17.5M14.9M
Net VEX-95.3K-111.4K-82.3K-89.9K-106.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.073.520.740.16
Total Volume00000
Total OI2.7142432

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$351100.00$310000.0030.7%13.7%20.4%12.4%46.7%-8.4%7.0%340.7K17.5M-89.9K0.7440.45N/AN/A0021
2014-09-03$357100.00$340000.0036.0%13.4%19.4%27.7%45.6%-5.4%5.4%376.3K18.0M-88.8K0.6537.75N/AN/A0021
2014-09-04$358200.00$350000.0036.5%13.3%19.5%29.0%46.0%-7.1%5.4%430.8K17.6M-92.6K1.0127.56N/AN/A0021
2014-09-05$352600.00$350000.0029.2%13.3%18.5%8.0%41.7%-11.0%5.9%386.8K20.1M-93.6K0.2025.19N/AN/A0021
2014-09-08$350600.00$350000.0030.8%13.4%17.9%12.5%51.0%-10.6%5.0%445.6K20.4M-92.4K1.4219.82N/AN/A0021
2014-09-09$359300.00$350000.0042.9%14.7%20.8%47.8%55.7%-9.9%3.2%494.6K19.4M-90.7K0.4634.04N/AN/A0021
2014-09-10$350500.00$350000.0028.8%13.2%21.6%6.8%0.0%-12.1%10.6%475.3K21.0M-91.8K0.1630.32N/AN/A0021
2014-09-11$351200.00$350000.0037.7%13.1%19.7%32.5%41.9%-11.5%5.4%469.6K21.1M-93.8K0.5129.78N/AN/A0021
2014-09-12$356600.00$350000.0040.5%14.0%20.6%40.6%53.7%-9.2%2.1%565.5K19.7M-95.7K0.3224.09N/AN/A0021
2014-09-15$367100.00$350000.0046.2%13.9%23.3%57.2%49.7%-14.4%0.2%699.3K16.0M-99.7K0.1629.95N/AN/A0021
2014-09-16$357600.00$350000.0039.1%13.7%23.7%36.8%43.7%-18.0%9.8%558.4K21.0M-90.8K0.3031.84N/AN/A0021
2014-09-17$355800.00$350000.0041.0%12.3%22.9%42.1%47.1%-11.8%1.2%554.5K23.6M-85.0K0.0771.43N/AN/A0021
2014-09-18$347900.00$350000.0035.9%13.5%24.1%27.5%42.7%-7.5%5.6%459.3K26.0M-82.3K3.5235.99N/AN/A0021
2014-09-19$348600.00$350000.0035.8%13.0%24.1%27.0%49.7%-8.9%6.9%670.4K26.9M-89.5K0.4529.94N/AN/A0022
2014-09-22$358000.00$350000.0040.1%13.6%26.2%39.6%48.2%-9.8%3.7%46.4K17.0M-95.8K0.2440.24N/AN/A0011
2014-09-23$360900.00$350000.0042.3%13.8%26.0%46.1%60.9%-8.4%2.6%112.1K15.1M-102.0K0.2284.31N/AN/A0011
2014-09-24$349900.00$350000.0039.4%13.5%28.3%37.5%55.7%-10.8%6.3%125.8K16.6M-98.3K0.6039.99N/AN/A0011
2014-09-25$371300.00$350000.0049.6%13.6%35.5%67.2%48.4%-15.8%0.5%173.6K12.5M-102.6K0.2862.00N/AN/A0011
2014-09-26$359200.00$360000.0044.3%14.0%37.6%51.8%60.0%-19.9%-1.4%244.2K16.0M-107.1K0.3338.65N/AN/A0011
2014-09-29$360600.00$360000.0047.5%14.7%37.3%61.0%55.7%-18.5%1.7%304.5K12.4M-111.4K1.5844.54N/AN/A0011
2014-09-30$359100.00$350000.0047.0%14.1%37.2%59.5%43.2%-22.7%2.6%302.1K14.9M-106.2K0.1651.82N/AN/A0011