SQQQ Options History — September 2015

In September 2015, SQQQ traded between $229000.00 and $281100.00. ATM implied volatility averaged 76.2%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 21.9%. IV traded below realized volatility by 12.0% (HV 20d: 88.2%). Max pain ranged from $230000.00 to $250000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2015-09-01: Highest Volume — 2 contracts
  • 2015-09-28: Largest IV spike — 20.0% change
  • 2015-09-01: Highest IV Rank — 71.8%
  • 2015-09-01: Largest Expected Move — 29.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$250509.52$229000.00$281100.00$275000.00$261800.00
Max Pain$236666.67$230000.00$250000.00$240000.00$240000.00
ATM IV76.2%62.1%101.8%101.8%78.3%
Expected Move21.9%17.8%29.2%29.2%22.4%
HV 20d88.2%66.9%99.2%89.2%69.1%
HV 60d65.7%61.5%69.8%61.5%69.8%
IV Rank46.4%32.4%71.8%71.8%48.4%
IV Percentile93.6%86.9%99.2%99.2%93.3%
Term Structure1.3%-8.6%9.5%-8.6%-0.9%
VWIV80.5%66.9%109.4%109.4%81.5%
Skew 25d-27.9%-35.5%-17.4%-34.3%-30.8%
Skew 10d-45.5%-69.3%-33.5%-44.4%-55.5%
Call IV 25d93.6%72.9%123.1%123.1%99.4%
Put IV 25d65.7%53.2%88.7%88.7%68.6%
Bid-Ask Spread %57.3951.7480.0260.6060.84
Gamma HHI0.080.070.140.080.07
Net GEX358.2K220.5K479.7K298.1K474.5K
Net DEX-15.9M-30.5M2.0M-29.8M-24.6M
Net VEX-142.0K-162.5K-119.5K-158.1K-150.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.141.771.021.77
Total Volume1.810222
Total OI5.2864755

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$275000.00$240000.00101.8%29.2%89.2%71.8%109.4%-34.3%-8.6%298.1K-29.8M-158.1K1.0260.60N/AN/A1132
2015-09-02$255600.00$230000.0085.1%24.4%93.3%55.4%80.1%-30.3%9.5%311.4K-20.3M-155.9K1.3852.17N/AN/A1132
2015-09-03$255800.00$250000.0084.8%25.3%92.6%55.0%90.1%-35.5%-3.9%318.2K-19.4M-156.0K0.9451.74N/AN/A1132
2015-09-04$263800.00$240000.0083.9%24.7%93.0%54.2%87.0%-34.9%-0.2%424.5K-28.4M-162.5K1.2053.89N/AN/A1132
2015-09-08$243400.00$240000.0076.0%21.6%97.1%46.4%80.2%-31.3%-0.6%299.8K-11.5M-146.7K0.2451.86N/AN/A0032
2015-09-09$252700.00$240000.0082.3%23.6%97.2%52.6%90.7%-32.1%-1.4%419.6K-18.5M-146.1K1.0154.43N/AN/A1132
2015-09-10$244500.00$240000.0077.3%22.2%98.1%47.7%84.2%-30.9%1.0%317.4K-12.5M-150.5K0.9452.91N/AN/A1133
2015-09-11$240600.00$240000.0074.2%21.3%98.3%44.4%80.4%-27.0%6.0%386.1K-13.6M-151.0K1.1954.62N/AN/A1133
2015-09-14$242200.00$240000.0074.3%21.3%98.3%44.5%85.3%-28.2%1.1%371.0K-11.4M-138.9K1.2153.79N/AN/A1133
2015-09-15$232900.00$240000.0065.8%18.9%99.0%36.1%71.7%-24.2%5.2%315.7K-2.7M-123.6K0.1459.63N/AN/A0033
2015-09-16$229000.00$240000.0065.3%18.7%99.2%35.6%71.5%-29.9%6.5%312.7K-2.1M-129.8K0.9853.03N/AN/A1143
2015-09-17$229100.00$240000.0063.5%18.2%99.0%33.8%67.9%-17.4%1.9%414.0K2.0M-119.5K0.9380.02N/AN/A1143
2015-09-18$238200.00$230000.0070.9%20.3%96.0%41.1%73.6%-24.7%0.9%220.5K-9.4M-125.3K0.6658.82N/AN/A1142
2015-09-21$237000.00$230000.0062.1%17.8%85.2%32.4%66.9%-20.7%6.8%254.7K-8.0M-130.6K0.8860.35N/AN/A1122
2015-09-22$252700.00$230000.0070.7%20.3%82.3%40.9%76.9%-24.4%1.3%322.0K-15.4M-137.6K1.0454.57N/AN/A1122
2015-09-23$246000.00$230000.0069.7%20.0%82.4%39.9%71.4%-24.4%-0.4%327.2K-13.6M-137.0K1.1460.80N/AN/A1122
2015-09-24$248700.00$230000.0072.2%20.7%71.0%42.4%75.4%-22.4%0.6%379.4K-16.3M-139.3K1.4854.50N/AN/A1132
2015-09-25$254800.00$230000.0071.2%20.4%66.9%41.4%76.0%-25.9%3.1%398.9K-18.1M-134.0K1.6664.32N/AN/A1132
2015-09-28$275800.00$230000.0085.4%24.5%72.1%55.4%82.9%-27.6%0.2%479.7K-29.1M-137.3K1.1259.23N/AN/A1132
2015-09-29$281100.00$240000.0085.4%24.5%71.8%55.5%87.8%-29.5%0.2%477.5K-30.5M-150.5K1.4653.01N/AN/A1132
2015-09-30$261800.00$240000.0078.3%22.4%69.1%48.4%81.5%-30.8%-0.9%474.5K-24.6M-150.9K1.7760.84N/AN/A1132