SQQQ Options History — March 2015

In March 2015, SQQQ traded between $245300.00 and $275600.00. ATM implied volatility averaged 44.6%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 8.6% (HV 20d: 36.1%). Max pain ranged from $250000.00 to $290000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2015-03-25: Largest IV spike — 29.2% change
  • 2015-03-11: Highest IV Rank — 47.9%
  • 2015-03-11: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$259800.00$245300.00$275600.00$245300.00$266800.00
Max Pain$255454.55$250000.00$290000.00$290000.00$250000.00
ATM IV44.6%35.7%53.2%35.7%47.4%
Expected Move12.9%10.2%15.3%10.2%13.6%
HV 20d36.1%28.7%44.6%28.7%44.6%
HV 60d45.2%42.6%47.0%46.2%45.2%
IV Rank32.6%16.5%47.9%16.5%37.5%
IV Percentile57.6%19.4%84.5%19.4%71.0%
Term Structure4.4%-1.2%11.1%6.2%4.3%
VWIV45.3%35.3%53.2%35.3%51.7%
Skew 25d-13.2%-18.2%-8.6%-8.6%-10.1%
Skew 10d-21.9%-37.6%8.7%-21.7%-32.1%
Call IV 25d52.9%39.7%61.3%39.7%55.4%
Put IV 25d39.7%31.1%47.5%31.1%45.3%
Bid-Ask Spread %62.2737.5086.6275.3086.62
Gamma HHI0.140.090.190.170.12
Net GEX245.3K54.7K337.1K161.7K273.4K
Net DEX2.7M-7.1M10.9M10.0M-4.8M
Net VEX-86.3K-97.5K-63.7K-63.7K-93.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.032.720.581.17
Total Volume00000
Total OI2.6822332

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$245300.00$290000.0035.7%10.2%28.7%16.5%35.3%-8.6%6.2%161.7K10.0M-63.7K0.5875.30N/AN/A0021
2015-03-03$248900.00$290000.0037.1%10.6%29.7%19.1%39.9%-8.7%4.9%192.9K9.2M-67.3K0.8243.35N/AN/A0021
2015-03-04$251400.00$290000.0039.7%11.4%29.5%23.8%38.2%-12.4%3.9%228.7K8.1M-86.8K0.8348.39N/AN/A0021
2015-03-05$249900.00$250000.0038.3%12.2%29.1%21.2%44.4%-17.4%5.5%255.1K9.5M-78.8K1.0672.42N/AN/A0021
2015-03-06$259400.00$250000.0045.4%13.7%32.3%33.9%48.8%-14.2%4.0%293.8K4.6M-92.0K1.0058.94N/AN/A0021
2015-03-09$256700.00$250000.0044.5%13.6%30.8%32.3%47.0%-18.2%3.5%279.9K6.3M-88.6K0.6455.01N/AN/A0021
2015-03-10$270700.00$250000.0051.9%14.8%37.4%45.6%52.3%-13.2%-1.2%324.7K-92.6K-95.2K0.0352.85N/AN/A0021
2015-03-11$275600.00$250000.0053.2%15.3%34.8%47.9%50.0%-16.0%1.0%271.1K196.4K-93.8K0.0564.55N/AN/A0021
2015-03-12$269900.00$250000.0046.6%13.4%35.4%36.0%42.8%-17.1%8.2%271.2K1.3M-95.3K2.7254.01N/AN/A0021
2015-03-13$273400.00$250000.0049.4%14.2%33.3%41.1%53.2%-14.5%4.1%337.1K-636.5K-94.0K0.0362.76N/AN/A0021
2015-03-16$263000.00$250000.0049.5%14.2%35.1%41.2%47.8%-15.4%3.3%329.5K3.2M-87.3K0.1573.79N/AN/A0021
2015-03-17$261600.00$250000.0046.9%13.4%35.1%36.5%48.9%-13.5%4.5%334.2K3.3M-87.9K0.1869.08N/AN/A0021
2015-03-18$253500.00$250000.0043.3%12.4%36.8%30.1%43.9%-14.9%11.1%281.0K8.1M-76.2K0.5667.74N/AN/A0021
2015-03-19$252600.00$250000.0041.9%12.0%36.4%27.6%44.6%-10.6%5.5%239.0K8.8M-78.7K0.2152.02N/AN/A0021
2015-03-20$247100.00$250000.0039.5%11.3%36.5%23.3%39.0%-11.8%7.7%54.7K10.9M-74.6K0.3872.30N/AN/A0021
2015-03-23$249200.00$250000.0041.0%11.8%36.6%26.1%40.8%-10.9%3.0%106.6K1.4M-84.5K0.0872.07N/AN/A0011
2015-03-24$251800.00$250000.0040.3%11.5%36.8%24.7%41.3%-11.7%3.5%176.8K507.4K-84.1K0.5037.50N/AN/A0011
2015-03-25$269300.00$250000.0052.0%14.9%43.8%45.7%47.2%-15.0%2.3%210.8K-4.3M-89.3K0.1478.80N/AN/A0011
2015-03-26$271300.00$250000.0047.5%13.6%43.3%37.8%49.5%-10.6%3.0%264.9K-7.1M-97.2K1.1157.12N/AN/A0011
2015-03-27$268700.00$250000.0046.5%13.3%43.3%35.8%43.5%-11.3%4.0%253.3K-6.0M-97.5K0.4348.05N/AN/A0011
2015-03-30$259500.00$250000.0044.5%12.8%43.9%32.3%46.5%-13.2%4.9%255.4K-3.5M-93.3K1.2467.24N/AN/A0011
2015-03-31$266800.00$250000.0047.4%13.6%44.6%37.5%51.7%-10.1%4.3%273.4K-4.8M-93.4K1.1786.62N/AN/A0011