SQQQ Options History — January 2015

In January 2015, SQQQ traded between $287400.00 and $329200.00. ATM implied volatility averaged 55.9%, placing in the 52.7% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded above realized volatility by 3.1% (HV 20d: 52.8%). Max pain ranged from $290000.00 to $300000.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2015-01-05: Largest IV spike — 34.7% change
  • 2015-01-13: Highest IV Rank — 73.2%
  • 2015-01-06: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$308100.00$287400.00$329200.00$299600.00$312800.00
Max Pain$299000.00$290000.00$300000.00$300000.00$300000.00
ATM IV55.9%45.6%67.4%47.5%60.6%
Expected Move16.3%13.1%19.0%16.9%17.4%
HV 20d52.8%45.4%58.4%48.3%55.8%
HV 60d44.4%41.3%48.7%48.7%44.1%
IV Rank52.7%34.3%73.2%37.6%61.0%
IV Percentile86.9%65.5%98.4%79.4%94.0%
Term Structure1.8%-5.6%13.3%2.6%-5.6%
VWIV57.5%49.4%64.0%59.7%64.0%
Skew 25d-17.5%-47.9%-8.4%-10.8%-15.4%
Skew 10d-27.9%-42.5%-2.0%-13.7%-23.0%
Call IV 25d67.7%54.5%103.4%62.2%69.3%
Put IV 25d50.2%41.1%56.3%51.4%53.9%
Bid-Ask Spread %72.0359.19105.80105.8082.61
Gamma HHI0.090.060.220.120.07
Net GEX77.0K-19.1K276.9K-19.1K54.8K
Net DEX4.3M-1.5M13.0M13.0M-1.4M
Net VEX-77.4K-83.9K-67.2K-73.2K-79.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.041.781.471.17
Total Volume00000
Total OI2.552332

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$299600.00$300000.0047.5%16.9%48.3%37.6%59.7%-10.8%2.6%-19.1K13.0M-73.2K1.47105.80N/AN/A0021
2015-01-05$315100.00$300000.0063.9%17.5%51.2%67.1%61.5%-21.2%1.4%110.3K8.0M-78.9K0.0459.19N/AN/A0021
2015-01-06$326700.00$300000.0059.7%19.0%52.4%59.4%57.5%-47.9%4.3%132.3K3.6M-83.8K0.2675.23N/AN/A0021
2015-01-07$314600.00$300000.0051.1%16.0%54.3%44.1%55.7%-20.2%0.4%97.2K6.5M-83.9K0.0965.34N/AN/A0021
2015-01-08$296400.00$300000.0046.8%14.5%58.4%36.5%53.0%-18.1%6.9%34.3K11.4M-78.5K1.5263.08N/AN/A0021
2015-01-09$301200.00$290000.0047.5%14.3%55.7%37.7%57.5%-17.7%4.9%59.3K10.4M-76.4K1.5266.26N/AN/A0021
2015-01-12$310100.00$290000.0059.4%17.3%56.4%59.0%56.4%-13.9%-1.6%110.9K7.1M-77.3K1.4460.14N/AN/A0021
2015-01-13$313000.00$300000.0067.4%16.9%55.8%73.2%55.3%-16.0%-2.8%120.8K6.5M-77.2K1.0873.02N/AN/A0021
2015-01-14$316800.00$300000.0060.9%17.5%55.3%61.6%59.4%-18.4%0.4%175.5K3.7M-80.6K1.0664.94N/AN/A0021
2015-01-15$329200.00$300000.0065.8%18.9%53.9%70.5%63.5%-14.7%-3.7%276.9K843.5K-80.0K1.2760.91N/AN/A0021
2015-01-16$317800.00$300000.0059.0%16.9%51.8%58.3%58.8%-25.0%-0.3%240.4K4.1M-79.3K0.0762.50N/AN/A0021
2015-01-20$310100.00$300000.0057.6%16.5%45.4%55.8%58.6%-21.3%0.8%3.9K-330.9K-76.4K0.2864.16N/AN/A0011
2015-01-21$305200.00$300000.0056.7%16.3%45.5%54.1%61.7%-14.9%1.4%2.2K648.1K-75.8K0.0667.67N/AN/A0011
2015-01-22$289100.00$300000.0046.7%13.4%49.8%36.2%52.9%-12.3%13.3%3.1K4.0M-67.2K1.4771.85N/AN/A0011
2015-01-23$287500.00$300000.0045.6%13.1%49.8%34.3%51.9%-13.3%3.0%-7805.0M-69.9K1.7873.06N/AN/A0011
2015-01-26$287400.00$300000.0047.6%13.6%49.8%37.8%53.5%-15.1%3.8%3.6K4.5M-73.0K0.3977.40N/AN/A0011
2015-01-27$309600.00$300000.0053.4%15.3%55.5%48.2%57.0%-11.1%3.8%54.9K413.6K-78.7K0.1674.08N/AN/A0011
2015-01-28$313800.00$300000.0064.5%18.5%55.6%68.1%62.4%-8.4%-0.8%21.1K-878.8K-77.1K1.3396.13N/AN/A0011
2015-01-29$306000.00$300000.0056.1%16.1%56.2%53.1%49.4%-15.4%4.3%59.4K-1.5M-80.4K1.0877.16N/AN/A0011
2015-01-30$312800.00$300000.0060.6%17.4%55.8%61.0%64.0%-15.4%-5.6%54.8K-1.4M-79.2K1.1782.61N/AN/A0011