SQQQ Options History — May 2015

In May 2015, SQQQ traded between $226600.00 and $257400.00. ATM implied volatility averaged 42.4%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 1.7% (HV 20d: 44.1%). Max pain ranged from $230000.00 to $270000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2015-05-29: Highest Volume — 1 contracts
  • 2015-05-11: Largest IV spike — 49.0% change
  • 2015-05-06: Highest IV Rank — 51.4%
  • 2015-05-06: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$239015.00$226600.00$257400.00$240700.00$231600.00
Max Pain$251500.00$230000.00$270000.00$230000.00$240000.00
ATM IV42.4%35.3%55.2%38.2%38.4%
Expected Move12.0%10.1%14.8%11.0%11.0%
HV 20d44.1%40.2%48.8%41.1%41.7%
HV 60d40.2%38.9%41.6%39.3%41.5%
IV Rank28.6%15.9%51.4%21.1%21.3%
IV Percentile49.7%19.4%89.3%33.3%36.5%
Term Structure4.9%0.5%9.7%8.2%3.5%
VWIV43.5%32.6%56.3%43.4%40.5%
Skew 25d-14.4%-23.6%-8.8%-8.8%-13.1%
Skew 10d-26.8%-36.3%-17.5%-26.3%-28.1%
Call IV 25d49.6%42.3%62.1%45.9%47.5%
Put IV 25d35.2%21.6%43.4%37.1%34.4%
Bid-Ask Spread %60.7327.6588.1144.0758.48
Gamma HHI0.170.090.380.170.11
Net GEX385.8K94.5K816.2K448.5K274.5K
Net DEX-2.8M-12.5M4.0M-2.6M-866.7K
Net VEX-93.7K-103.6K-82.6K-89.6K-99.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.103.100.863.10
Total Volume0.050101
Total OI33333

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$240700.00$230000.0038.2%11.0%41.1%21.1%43.4%-8.8%8.2%448.5K-2.6M-89.6K0.8644.07N/AN/A0021
2015-05-04$239700.00$270000.0039.7%12.5%40.6%23.7%42.1%-14.6%5.0%511.8K-2.3M-89.0K0.4541.50N/AN/A0021
2015-05-05$250700.00$270000.0047.5%13.7%44.2%37.6%53.6%-16.0%7.6%545.2K-8.7M-97.5K0.8166.48N/AN/A0021
2015-05-06$257400.00$270000.0055.2%14.8%44.7%51.4%56.3%-18.7%0.5%521.4K-12.5M-102.0K0.6156.80N/AN/A0021
2015-05-07$251900.00$260000.0050.2%14.0%44.9%42.5%49.3%-14.5%3.9%613.2K-11.9M-103.6K0.8158.50N/AN/A0021
2015-05-08$242600.00$260000.0036.8%12.2%46.7%18.5%43.4%-14.2%9.7%636.9K-4.5M-92.0K0.2568.51N/AN/A0021
2015-05-11$245300.00$260000.0054.9%13.0%46.8%50.8%46.2%-15.7%4.9%714.8K-7.1M-96.3K0.1052.51N/AN/A0021
2015-05-12$247500.00$260000.0054.9%13.2%46.7%50.8%45.4%-11.3%3.9%789.2K-8.3M-91.2K0.7775.75N/AN/A0021
2015-05-13$247200.00$260000.0045.7%13.1%46.2%34.4%50.5%-13.9%5.7%816.2K-7.8M-93.5K1.1170.86N/AN/A0021
2015-05-14$236100.00$260000.0042.5%12.2%48.8%28.8%42.5%-15.6%6.2%242.0K415.7K-87.4K0.7680.47N/AN/A0021
2015-05-15$236200.00$250000.0041.3%11.8%45.4%26.6%43.0%-15.5%8.9%118.3K750.3K-93.8K0.6360.22N/AN/A0021
2015-05-18$233300.00$250000.0037.2%10.7%42.8%19.2%40.2%-21.1%5.1%94.5K4.0M-82.6K0.3877.00N/AN/A0021
2015-05-19$234000.00$250000.0038.0%10.9%42.7%20.7%41.3%-13.8%4.1%129.7K1.9M-89.4K0.2354.09N/AN/A0021
2015-05-20$233200.00$240000.0037.5%10.8%42.5%19.8%40.6%-11.1%3.9%177.4K840.1K-94.1K0.4872.01N/AN/A0021
2015-05-21$229800.00$240000.0036.2%10.4%42.5%17.5%38.7%-11.4%3.2%156.2K2.4M-92.1K0.5630.93N/AN/A0021
2015-05-22$230000.00$240000.0035.3%10.1%40.2%15.9%32.6%-11.4%4.5%195.3K1.6M-93.2K0.6127.65N/AN/A0021
2015-05-26$238400.00$240000.0042.3%12.1%42.0%28.3%43.0%-13.5%4.4%248.6K-2.7M-95.7K0.5459.03N/AN/A0021
2015-05-27$226600.00$240000.0038.3%11.0%45.7%21.2%37.3%-23.6%1.8%233.3K1.4M-93.3K0.7171.64N/AN/A0021
2015-05-28$228100.00$240000.0038.3%11.0%45.4%21.2%40.8%-9.6%3.2%249.3K739.7K-99.0K0.8088.11N/AN/A0021
2015-05-29$231600.00$240000.0038.4%11.0%41.7%21.3%40.5%-13.1%3.5%274.5K-866.7K-99.1K3.1058.48N/AN/A0121