SQQQ Options History — November 2014

In November 2014, SQQQ traded between $282400.00 and $324400.00. ATM implied volatility averaged 38.0%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 1.3% (HV 20d: 39.3%). Max pain ranged from $350000.00 to $380000.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.19.

Notable Days

  • 2014-11-10: Highest Volume — 2 contracts
  • 2014-11-13: Largest IV spike — 34.2% change
  • 2014-11-03: Highest IV Rank — 32.3%
  • 2014-11-06: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$308315.79$282400.00$324400.00$320800.00$282400.00
Max Pain$368421.05$350000.00$380000.00$380000.00$360000.00
ATM IV38.0%29.3%44.5%44.5%34.7%
Expected Move14.1%13.4%14.9%14.2%13.4%
HV 20d39.3%21.0%68.4%68.4%21.1%
HV 60d46.8%46.4%47.1%47.1%47.0%
IV Rank20.6%5.1%32.3%32.3%14.7%
IV Percentile38.6%4.4%71.4%71.4%17.9%
Term Structure3.7%-2.3%8.0%-2.3%5.7%
VWIV53.8%45.9%58.4%53.5%51.0%
Skew 25d-9.1%-12.2%-6.3%-9.2%-10.2%
Skew 10d-21.8%-35.4%-11.0%-17.2%-29.3%
Call IV 25d45.0%37.7%51.2%49.5%43.5%
Put IV 25d36.0%29.4%41.2%40.3%33.3%
Bid-Ask Spread %30.4917.9942.1534.9541.53
Gamma HHI0.140.110.180.110.16
Net GEX23.6K-269.5K267.5K163.5K-258.6K
Net DEX28.3M22.1M33.2M24.8M30.9M
Net VEX-98.4K-115.6K-78.0K-109.5K-79.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.172.071.710.40
Total Volume0.5260210
Total OI4.5794544

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$320800.00$380000.0044.5%14.2%68.4%32.3%53.5%-9.2%-2.3%163.5K24.8M-109.5K1.7134.95N/AN/A0122
2014-11-04$323800.00$380000.0044.1%14.5%66.3%31.7%56.2%-8.6%4.4%233.6K22.1M-115.6K2.0737.80N/AN/A0122
2014-11-05$324400.00$380000.0043.7%14.8%62.8%30.9%56.2%-11.0%-0.6%211.8K22.7M-112.9K1.9224.45N/AN/A0122
2014-11-06$321500.00$380000.0038.9%14.9%59.1%22.4%56.3%-6.3%6.6%209.9K23.9M-114.9K1.5617.99N/AN/A0122
2014-11-07$322200.00$380000.0034.9%14.6%51.1%15.2%56.1%-9.5%-0.2%267.5K23.3M-113.0K1.3832.27N/AN/A0132
2014-11-10$319000.00$380000.0032.9%14.3%46.6%11.5%54.2%-10.1%5.8%209.6K24.9M-109.1K0.9932.13N/AN/A1132
2014-11-11$316100.00$370000.0032.2%14.4%46.1%10.3%53.1%-7.7%3.5%81.7K25.0M-85.5K1.3330.91N/AN/A0132
2014-11-12$313700.00$370000.0029.3%14.0%40.3%5.1%54.4%-12.2%3.5%69.9K29.1M-99.7K1.8723.48N/AN/A0132
2014-11-13$310800.00$370000.0039.3%14.0%37.5%23.0%54.6%-6.5%4.1%9.1K31.1M-99.6K1.3329.49N/AN/A0032
2014-11-14$306900.00$370000.0041.3%14.0%36.6%26.6%50.1%-11.1%2.5%38.2K30.9M-100.1K0.1726.01N/AN/A0032
2014-11-17$310000.00$370000.0041.3%14.2%35.7%26.7%55.0%-7.5%4.3%31.7K30.0M-98.8K1.5619.47N/AN/A0032
2014-11-18$302700.00$360000.0037.5%14.2%28.0%19.7%54.8%-10.0%4.1%-151.4K32.2M-95.0K1.1423.51N/AN/A0032
2014-11-19$306600.00$360000.0040.2%14.1%28.4%24.6%45.9%-10.8%4.7%101.4K33.2M-95.9K0.3842.15N/AN/A0032
2014-11-20$303400.00$360000.0042.8%13.6%25.2%29.3%54.9%-10.3%0.8%-26.5K30.4M-96.5K1.3829.40N/AN/A0032
2014-11-21$301400.00$350000.0038.4%13.6%24.6%21.3%55.2%-7.8%4.5%-33.2K32.5M-90.2K0.8630.80N/AN/A1032
2014-11-24$293400.00$360000.0035.8%13.4%25.5%16.7%58.4%-8.9%5.7%-212.7K29.2M-88.6K0.5426.34N/AN/A0022
2014-11-25$292400.00$360000.0035.6%13.8%21.6%16.4%51.4%-6.7%4.5%-227.2K29.2M-86.7K1.3839.00N/AN/A0022
2014-11-26$286500.00$360000.0034.1%13.7%21.0%13.6%50.1%-8.2%8.0%-269.5K31.4M-78.0K0.7037.65N/AN/A0022
2014-11-28$282400.00$360000.0034.7%13.4%21.1%14.7%51.0%-10.2%5.7%-258.6K30.9M-79.6K0.4041.53N/AN/A0022