SQQQ Options History — October 2015

In October 2015, SQQQ traded between $184100.00 and $266800.00. ATM implied volatility averaged 55.1%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded below realized volatility by 6.4% (HV 20d: 61.5%). Max pain ranged from $170000.00 to $240000.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.15.

Notable Days

  • 2015-10-01: Highest Volume — 2 contracts
  • 2015-10-02: Largest IV drop — 18.5% change
  • 2015-10-01: Highest IV Rank — 53.6%
  • 2015-10-01: Largest Expected Move — 23.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$217540.91$184100.00$266800.00$266800.00$185500.00
Max Pain$216363.64$170000.00$240000.00$240000.00$170000.00
ATM IV55.1%44.6%83.5%83.5%49.6%
Expected Move16.3%12.8%23.9%23.9%14.2%
HV 20d61.5%46.5%71.3%64.2%46.5%
HV 60d70.9%69.3%73.1%69.3%72.4%
IV Rank25.5%15.2%53.6%53.6%20.1%
IV Percentile71.6%46.8%94.8%94.8%63.9%
Term Structure1.4%-2.5%7.6%-1.0%3.5%
VWIV60.9%46.2%88.5%88.5%52.2%
Skew 25d-19.5%-26.3%-13.9%-25.6%-16.6%
Skew 10d-39.6%-55.1%-25.7%-36.1%-36.3%
Call IV 25d68.9%54.4%95.6%95.6%57.1%
Put IV 25d49.4%39.4%70.0%70.0%40.5%
Bid-Ask Spread %45.4824.2878.7377.1724.28
Gamma HHI0.120.070.230.070.20
Net GEX483.7K-7.9K1.2M543.4K816.5K
Net DEX-5.4M-27.0M10.6M-27.0M-5.4M
Net VEX-127.9K-164.4K-100.2K-164.4K-137.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.223.812.183.81
Total Volume1.5910221
Total OI6.5455868

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$266800.00$240000.0083.5%23.9%64.2%53.6%88.5%-25.6%-1.0%543.4K-27.0M-164.4K2.1877.17N/AN/A1133
2015-10-02$246500.00$240000.0068.0%19.5%70.4%38.3%72.8%-17.5%3.0%462.6K-18.1M-153.9K2.0978.73N/AN/A1133
2015-10-05$234300.00$240000.0060.5%18.4%71.3%30.9%67.4%-22.1%0.5%344.9K-6.3M-128.0K0.2256.33N/AN/A0033
2015-10-06$237600.00$230000.0062.4%19.0%65.9%32.7%68.5%-26.3%0.6%392.3K-10.3M-142.3K1.8550.23N/AN/A1133
2015-10-07$234600.00$230000.0054.3%18.1%64.4%24.7%70.1%-26.0%0.5%534.5K-12.2M-146.1K2.1053.40N/AN/A1133
2015-10-08$231300.00$230000.0047.0%16.9%63.6%17.5%66.6%-17.1%0.2%548.5K-7.9M-129.1K2.1950.78N/AN/A1143
2015-10-09$228000.00$230000.0049.9%17.7%63.6%20.3%68.3%-23.6%1.3%526.8K-7.3M-134.4K2.1346.63N/AN/A1143
2015-10-12$226100.00$230000.0057.8%17.0%63.5%28.1%66.6%-20.6%0.4%551.7K-5.1M-125.6K1.6945.92N/AN/A1143
2015-10-13$230200.00$230000.0061.5%17.3%62.5%31.8%64.6%-18.4%-2.5%855.5K-8.1M-120.7K1.4752.68N/AN/A1143
2015-10-14$232100.00$220000.0060.1%17.2%62.2%30.4%65.8%-22.3%-0.3%1.2M-15.2M-134.6K2.1852.11N/AN/A1143
2015-10-15$219900.00$220000.0054.9%15.7%65.2%25.3%57.4%-19.1%1.0%761.8K-2.5M-116.3K2.1041.44N/AN/A1143
2015-10-16$217100.00$220000.0054.1%15.5%63.4%24.5%54.6%-18.7%3.1%218.1K156.4K-120.5K2.4439.42N/AN/A0143
2015-10-19$213800.00$220000.0047.8%13.7%63.5%18.3%52.1%-17.3%6.0%218.6K-809.8K-101.2K2.7034.16N/AN/A0132
2015-10-20$218200.00$220000.0053.7%15.4%58.9%24.1%62.4%-18.9%-0.2%231.0K-4.3M-120.6K3.2137.38N/AN/A0132
2015-10-21$220600.00$220000.0054.5%15.6%58.8%24.9%61.2%-18.0%-0.9%213.4K-2.1M-130.1K2.6635.25N/AN/A0133
2015-10-22$207800.00$220000.0049.9%14.3%61.5%20.4%49.6%-17.9%0.7%156.6K2.3M-113.1K2.3745.67N/AN/A0133
2015-10-23$189500.00$220000.0048.9%14.0%66.8%19.4%53.2%-18.5%3.7%-7.9K10.6M-100.2K0.9333.33N/AN/A1133
2015-10-26$189200.00$200000.0051.1%14.7%57.2%21.6%48.7%-21.2%0.6%350.3K3.0M-121.6K1.7239.34N/AN/A1143
2015-10-27$188400.00$180000.0051.6%14.8%55.7%22.0%49.8%-13.9%0.3%552.6K-2.6M-131.8K2.3630.13N/AN/A1143
2015-10-28$184100.00$180000.0044.6%12.8%52.4%15.2%46.2%-15.0%7.6%503.1K2.7M-113.5K1.7749.33N/AN/A1143
2015-10-29$184300.00$170000.0046.6%13.4%51.1%17.1%53.7%-14.2%3.8%681.1K-2.4M-127.3K3.1126.77N/AN/A0153
2015-10-30$185500.00$170000.0049.6%14.2%46.5%20.1%52.2%-16.6%3.5%816.5K-5.4M-137.6K3.8124.28N/AN/A0153