SQQQ Options History — August 2015

In August 2015, SQQQ traded between $213300.00 and $298700.00. ATM implied volatility averaged 62.6%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 11.3% (HV 20d: 51.3%). Max pain ranged from $200000.00 to $240000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.25.

Notable Days

  • 2015-08-21: Highest Volume — 3 contracts
  • 2015-08-24: Largest IV spike — 56.2% change
  • 2015-08-21: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 37.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$237214.29$213300.00$298700.00$216500.00$250900.00
Max Pain$213809.52$200000.00$240000.00$210000.00$240000.00
ATM IV62.6%40.5%130.5%42.8%86.8%
Expected Move18.2%11.6%37.4%12.3%24.9%
HV 20d51.3%34.5%84.0%44.1%84.0%
HV 60d44.5%38.2%58.8%38.9%58.8%
IV Rank46.4%22.8%100.0%27.1%57.1%
IV Percentile74.3%34.5%100.0%47.2%99.2%
Term Structure2.8%-24.9%24.4%4.0%0.1%
VWIV63.3%36.9%123.3%38.9%99.8%
Skew 25d-22.2%-53.4%-10.3%-15.9%-35.5%
Skew 10d-40.3%-95.6%-7.6%-24.5%-95.6%
Call IV 25d77.5%46.0%157.9%49.5%109.3%
Put IV 25d55.2%33.5%108.4%33.5%73.7%
Bid-Ask Spread %56.6730.1184.3584.3545.39
Gamma HHI0.160.060.270.150.08
Net GEX464.7K198.9K1.3M537.1K274.3K
Net DEX-18.2M-57.4M-4.0M-10.0M-16.4M
Net VEX-123.7K-155.9K-101.6K-120.1K-155.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.093.110.090.86
Total Volume1.5710312
Total OI4.9054555

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$216500.00$210000.0042.8%12.3%44.1%27.1%38.9%-15.9%4.0%537.1K-10.0M-120.1K0.0984.35N/AN/A1032
2015-08-04$218700.00$210000.0040.7%11.7%44.4%23.2%46.7%-10.3%5.0%675.6K-13.9M-124.0K1.1553.52N/AN/A1132
2015-08-05$213300.00$210000.0040.5%11.6%40.6%22.8%41.2%-10.6%3.2%592.6K-8.3M-117.7K2.3830.11N/AN/A0132
2015-08-06$222400.00$200000.0046.4%13.8%44.4%33.7%45.7%-19.8%7.4%651.9K-17.1M-126.3K1.1852.55N/AN/A1132
2015-08-07$224600.00$210000.0043.1%13.8%42.2%27.6%49.6%-16.9%7.2%571.5K-17.8M-127.0K1.2949.24N/AN/A1132
2015-08-10$216900.00$210000.0042.7%13.8%40.4%26.9%42.8%-16.2%5.3%500.7K-8.2M-114.3K1.6353.24N/AN/A0132
2015-08-11$224500.00$210000.0046.1%14.1%42.0%33.1%52.8%-19.3%6.9%601.1K-16.5M-123.1K0.4446.49N/AN/A0032
2015-08-12$222600.00$210000.0049.6%14.2%42.1%39.7%46.7%-14.7%9.1%466.0K-12.1M-119.6K1.0362.47N/AN/A1132
2015-08-13$223000.00$210000.0049.0%14.0%38.8%38.5%51.7%-15.9%3.8%385.8K-9.4M-118.1K1.7555.18N/AN/A0132
2015-08-14$222200.00$210000.0046.5%13.3%34.7%33.9%44.9%-14.6%9.2%413.2K-8.6M-116.6K2.1966.69N/AN/A0132
2015-08-17$217000.00$210000.0047.3%13.6%35.7%35.4%46.0%-16.7%5.7%198.9K-4.0M-106.6K3.1160.60N/AN/A0132
2015-08-18$220200.00$210000.0047.4%13.6%35.9%35.5%44.1%-14.2%7.2%348.4K-4.5M-101.8K2.1355.88N/AN/A0132
2015-08-19$224200.00$210000.0047.4%13.6%34.5%35.6%36.9%-15.8%6.7%556.7K-10.1M-108.2K0.1676.47N/AN/A1032
2015-08-20$242200.00$200000.0062.2%17.8%43.3%62.3%50.9%-22.3%0.7%1.3M-33.9M-111.2K0.6965.62N/AN/A1132
2015-08-21$272400.00$210000.0083.5%23.9%58.5%100.0%71.1%-27.8%-11.5%217.8K-57.4M-101.6K0.4455.08N/AN/A2132
2015-08-24$296900.00$220000.00130.5%37.4%64.1%100.0%123.3%-53.4%-24.9%210.2K-34.0M-137.8K0.8557.17N/AN/A1122
2015-08-25$298700.00$220000.00106.9%30.7%62.2%76.8%110.2%-15.5%-8.1%333.1K-38.0M-126.4K1.0351.38N/AN/A1122
2015-08-26$264200.00$220000.0084.4%24.2%78.6%54.6%102.0%-38.3%24.4%381.2K-30.2M-138.8K1.1158.99N/AN/A1132
2015-08-27$246300.00$220000.0085.7%24.6%83.4%56.0%95.1%-40.2%4.3%365.7K-20.1M-147.6K1.3355.36N/AN/A1132
2015-08-28$243800.00$240000.0084.9%24.3%83.6%55.1%88.5%-33.0%-6.4%209.5K-10.5M-153.7K1.4154.27N/AN/A1132
2015-08-31$250900.00$240000.0086.8%24.9%84.0%57.1%99.8%-35.5%0.1%274.3K-16.4M-155.9K0.8645.39N/AN/A1132