SQQQ Options History — December 2014

In December 2014, SQQQ traded between $283000.00 and $333600.00. ATM implied volatility averaged 46.6%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 10.1% (HV 20d: 36.5%). Max pain ranged from $280000.00 to $360000.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.04.

Notable Days

  • 2014-12-10: Largest IV spike — 57.4% change
  • 2014-12-10: Highest IV Rank — 67.8%
  • 2014-12-15: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$296359.09$283000.00$333600.00$292200.00$298400.00
Max Pain$346190.48$280000.00$360000.00$350000.00$300000.00
ATM IV46.6%35.9%64.4%43.3%51.5%
Expected Move15.2%13.6%18.1%13.9%14.8%
HV 20d36.5%21.6%49.2%22.2%48.4%
HV 60d48.7%46.8%52.0%47.5%49.5%
IV Rank36.0%17.0%67.8%30.1%44.8%
IV Percentile66.7%23.4%97.6%66.3%86.5%
Term Structure5.3%-1.8%13.6%0.1%-1.8%
VWIV57.6%48.4%68.6%58.9%50.7%
Skew 25d-9.7%-17.7%-1.7%-10.2%-9.3%
Skew 10d-21.9%-34.7%-13.6%-13.6%-17.9%
Call IV 25d53.2%40.9%71.9%49.6%57.2%
Put IV 25d43.5%33.9%57.3%39.4%48.0%
Bid-Ask Spread %47.4625.7786.2935.7061.56
Gamma HHI0.150.110.230.150.13
Net GEX-16.4K-251.7K474.5K-205.7K6.1K
Net DEX20.3M5.4M30.7M27.1M12.4M
Net VEX-84.3K-99.1K-65.7K-89.6K-72.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.031.451.250.09
Total Volume00000
Total OI3.52443

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$292200.00$350000.0043.3%13.9%22.2%30.1%58.9%-10.2%0.1%-205.7K27.1M-89.6K1.2535.70N/AN/A0022
2014-12-02$289400.00$360000.0039.9%14.3%22.3%24.0%55.7%-5.6%1.7%-227.7K29.9M-88.9K1.3935.17N/AN/A0022
2014-12-03$286900.00$360000.0036.9%14.1%21.6%18.8%56.6%-3.1%6.5%-251.7K30.4M-86.5K1.1935.05N/AN/A0022
2014-12-04$287700.00$360000.0036.8%13.8%21.7%18.5%53.4%-8.4%5.0%-201.7K28.9M-91.2K0.0325.77N/AN/A0022
2014-12-05$288500.00$360000.0035.9%13.9%21.8%17.0%57.8%-8.4%5.0%-206.8K28.3M-91.5K1.1931.34N/AN/A0022
2014-12-08$295000.00$360000.0037.9%14.2%23.8%20.6%58.7%-7.0%8.0%-123.5K25.2M-94.5K1.4531.84N/AN/A0022
2014-12-09$290500.00$360000.0040.9%15.2%24.1%25.9%54.8%-17.7%12.2%-131.9K26.2M-90.0K0.9331.92N/AN/A0022
2014-12-10$305700.00$360000.0064.4%15.5%31.1%67.8%63.2%-6.3%1.4%116.2K20.0M-91.1K1.1755.15N/AN/A0022
2014-12-11$301600.00$360000.0052.3%16.0%31.3%46.3%59.7%-14.3%3.5%33.5K21.3M-93.7K1.3835.07N/AN/A0022
2014-12-12$309600.00$360000.0057.4%16.8%32.7%55.4%64.9%-15.0%2.0%153.0K16.8M-98.5K1.2132.06N/AN/A0022
2014-12-15$317000.00$360000.0059.9%18.1%33.4%59.8%68.6%-12.4%0.9%259.1K12.7M-99.1K0.9436.14N/AN/A0022
2014-12-16$333600.00$360000.0061.7%17.6%37.6%63.1%68.2%-14.6%1.1%377.2K5.4M-95.2K1.0236.52N/AN/A0022
2014-12-17$316000.00$360000.0056.0%17.1%41.9%52.9%65.0%-8.5%10.1%474.5K13.1M-92.4K1.0748.56N/AN/A0022
2014-12-18$294200.00$360000.0047.2%16.0%49.1%37.1%61.9%-14.2%11.8%-53.5K24.1M-83.4K1.1439.33N/AN/A0022
2014-12-19$290000.00$360000.0044.1%16.1%49.2%31.5%54.7%-6.6%13.6%30.2K30.7M-73.2K1.2951.88N/AN/A0022
2014-12-22$288400.00$0.0044.6%16.0%49.2%32.5%55.6%-10.4%12.7%-99.0K16.8M-69.3K1.0886.29N/AN/A0011
2014-12-23$289500.00$280000.0044.4%14.2%48.4%32.1%52.9%-11.1%4.8%-63.4K14.4M-73.8K1.2555.09N/AN/A0011
2014-12-24$289900.00$350000.0042.3%14.2%48.4%28.3%52.7%-11.8%7.3%-75.5K14.6M-76.0K1.3355.98N/AN/A0011
2014-12-26$283000.00$350000.0042.2%14.5%48.6%28.2%48.4%-1.7%2.1%-108.2K17.6M-66.8K1.2377.97N/AN/A0011
2014-12-29$283400.00$300000.0041.5%13.6%48.3%26.9%56.0%-9.0%5.4%-46.7K14.9M-72.2K1.1575.98N/AN/A0021
2014-12-30$289400.00$300000.0043.5%13.9%47.3%30.5%49.8%-6.8%3.6%-16.1K15.7M-65.7K0.0569.67N/AN/A0021
2014-12-31$298400.00$300000.0051.5%14.8%48.4%44.8%50.7%-9.3%-1.8%6.1K12.4M-72.1K0.0961.56N/AN/A0021