SQQQ Options History — October 2014

In October 2014, SQQQ traded between $323600.00 and $441900.00. ATM implied volatility averaged 56.8%, placing in the 63.4% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 1.9% (HV 20d: 58.7%). Max pain ranged from $350000.00 to $390000.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.95.

Notable Days

  • 2014-10-15: Highest Volume — 2 contracts
  • 2014-10-09: Largest IV spike — 37.8% change
  • 2014-10-09: Highest IV Rank — 100.0%
  • 2014-10-16: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$378891.30$323600.00$441900.00$376500.00$323600.00
Max Pain$368260.87$350000.00$390000.00$350000.00$380000.00
ATM IV56.8%41.5%82.3%59.2%41.5%
Expected Move15.9%14.5%19.0%14.8%14.6%
HV 20d58.7%40.4%71.0%40.4%68.5%
HV 60d42.0%33.9%47.7%34.2%47.3%
IV Rank63.4%27.0%100.0%94.8%27.0%
IV Percentile88.8%59.9%100.0%98.8%59.9%
Term Structure1.4%-7.6%14.8%-3.8%3.0%
VWIV57.2%48.8%65.7%59.0%55.2%
Skew 25d-14.8%-25.8%-6.1%-17.8%-6.1%
Skew 10d-26.0%-36.8%-17.7%-21.4%-19.3%
Call IV 25d63.7%46.6%83.2%64.8%46.6%
Put IV 25d48.9%36.6%65.4%47.0%40.5%
Bid-Ask Spread %30.6516.6952.0337.1319.62
Gamma HHI0.110.080.160.090.14
Net GEX341.2K2.4K664.5K360.6K2.4K
Net DEX3.6M-24.5M26.5M7.7M26.5M
Net VEX-130.2K-165.1K-102.9K-115.5K-102.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.091.980.441.33
Total Volume0.4350201
Total OI3.872424

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$376500.00$350000.0059.2%14.8%40.4%94.8%59.0%-17.8%-3.8%360.6K7.7M-115.5K0.4437.13N/AN/A0011
2014-10-02$376800.00$350000.0052.3%15.2%40.4%75.0%59.9%-11.9%1.0%424.6K6.7M-119.5K0.1620.56N/AN/A0012
2014-10-03$365500.00$350000.0047.1%14.5%41.6%60.0%53.3%-10.5%-2.1%476.1K9.7M-119.4K0.8252.03N/AN/A0022
2014-10-06$367500.00$350000.0052.2%14.9%41.5%74.7%48.8%-14.1%-3.4%492.9K8.8M-118.9K0.6816.69N/AN/A0022
2014-10-07$383200.00$360000.0059.5%14.8%43.2%95.8%50.9%-12.5%7.5%622.1K2.2M-119.1K0.4331.10N/AN/A0022
2014-10-08$359000.00$360000.0047.8%15.1%48.7%62.0%52.6%-15.0%14.8%502.6K8.2M-120.8K1.5442.66N/AN/A0022
2014-10-09$378300.00$350000.0065.9%15.2%52.0%100.0%53.8%-15.1%3.1%578.1K4.9M-126.0K0.3837.29N/AN/A0022
2014-10-10$406600.00$350000.0080.8%16.5%57.3%100.0%63.9%-13.8%-1.7%664.5K-8.9M-132.1K0.2332.02N/AN/A0022
2014-10-13$425200.00$350000.0081.3%17.2%58.4%100.0%65.3%-19.0%-7.6%554.3K-16.5M-135.7K0.2235.87N/AN/A0022
2014-10-14$411400.00$350000.0066.7%17.3%58.9%73.4%58.9%-19.8%-3.4%597.5K-16.0M-143.8K1.6425.63N/AN/A0022
2014-10-15$431500.00$390000.0082.3%18.9%60.4%100.0%63.7%-14.4%-6.4%369.7K-24.5M-158.9K0.9335.25N/AN/A1122
2014-10-16$441900.00$380000.0072.5%19.0%59.4%82.3%65.7%-17.8%2.2%193.6K-23.5M-165.1K0.2434.40N/AN/A0022
2014-10-17$424700.00$380000.0061.4%17.5%62.1%62.5%61.5%-16.1%0.6%314.9K-14.5M-156.1K0.0930.94N/AN/A0022
2014-10-20$404600.00$380000.0054.4%16.7%65.1%49.9%58.3%-25.8%2.5%217.5K-1.8M-155.3K1.7833.38N/AN/A0022
2014-10-21$375800.00$380000.0047.4%16.1%71.0%37.4%56.5%-13.6%8.5%203.6K7.0M-133.7K1.3529.05N/AN/A0122
2014-10-22$379200.00$380000.0054.7%16.0%69.9%50.5%55.9%-13.6%3.1%298.0K6.8M-137.1K1.9525.12N/AN/A0122
2014-10-23$362200.00$380000.0051.1%15.5%68.9%44.1%55.6%-16.3%-3.2%168.1K12.4M-133.0K1.7022.97N/AN/A0122
2014-10-24$353900.00$380000.0047.1%15.4%68.3%36.9%56.1%-13.7%4.7%183.9K12.6M-132.2K1.9824.93N/AN/A0122
2014-10-27$352200.00$380000.0048.0%15.5%68.3%38.6%55.0%-15.6%3.3%195.3K16.0M-124.7K0.6029.56N/AN/A0022
2014-10-28$336600.00$380000.0043.7%15.4%70.1%30.9%53.6%-14.3%4.5%67.5K21.7M-112.3K0.7028.89N/AN/A0022
2014-10-29$340300.00$380000.0043.8%14.9%67.8%31.1%56.5%-13.7%3.3%111.5K18.7M-117.1K0.9634.46N/AN/A1122
2014-10-30$338000.00$380000.0044.5%14.8%67.7%32.2%55.5%-9.6%2.4%249.1K18.9M-114.4K1.7325.47N/AN/A0122
2014-10-31$323600.00$380000.0041.5%14.6%68.5%27.0%55.2%-6.1%3.0%2.4K26.5M-102.9K1.3319.62N/AN/A0122