SQQQ Options History — November 2015

In November 2015, SQQQ traded between $177000.00 and $203500.00. ATM implied volatility averaged 49.0%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 3.1% (HV 20d: 46.0%). Max pain ranged from $170000.00 to $200000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.56.

Notable Days

  • 2015-11-02: Highest Volume — 2 contracts
  • 2015-11-09: Largest IV spike — 25.6% change
  • 2015-11-13: Highest IV Rank — 26.2%
  • 2015-11-13: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$184675.00$177000.00$203500.00$180900.00$181700.00
Max Pain$195000.00$170000.00$200000.00$170000.00$190000.00
ATM IV49.0%41.3%59.1%41.3%49.0%
Expected Move14.3%11.9%17.0%11.9%14.0%
HV 20d46.0%40.3%55.1%44.6%40.4%
HV 60d66.1%53.9%72.5%72.5%53.9%
IV Rank17.5%11.4%26.2%11.9%15.7%
IV Percentile57.5%28.6%80.6%28.6%59.1%
Term Structure3.5%0.1%7.6%4.8%2.3%
VWIV52.2%42.7%68.2%46.8%51.4%
Skew 25d-15.8%-19.1%-12.0%-14.4%-14.2%
Skew 10d-34.4%-45.5%-20.3%-31.2%-34.7%
Call IV 25d58.6%46.0%70.9%50.7%57.7%
Put IV 25d42.8%34.0%54.1%36.3%43.4%
Bid-Ask Spread %50.0327.1266.5455.6846.00
Gamma HHI0.260.200.360.210.30
Net GEX804.9K176.6K1.5M747.1K367.9K
Net DEX-4.4M-28.0M4.3M819.3K315.3K
Net VEX-119.3K-137.8K-104.2K-120.0K-109.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.093.522.280.25
Total Volume1.150220
Total OI8.157987

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$180900.00$170000.0041.3%11.9%44.6%11.9%46.8%-14.4%4.8%747.1K819.3K-120.0K2.2855.68N/AN/A1153
2015-11-03$177000.00$170000.0043.3%12.4%43.6%13.8%45.3%-12.0%3.5%636.7K4.3M-108.9K1.4929.60N/AN/A1153
2015-11-04$179300.00$170000.0045.6%13.1%44.7%16.2%47.3%-16.7%4.6%966.2K-520.6K-121.4K1.4836.34N/AN/A1163
2015-11-05$179500.00$200000.0047.2%14.4%45.0%17.7%48.2%-16.8%1.4%944.9K-2.4M-123.9K2.2646.45N/AN/A0163
2015-11-06$179500.00$200000.0043.3%14.0%45.2%13.9%54.9%-18.1%4.4%1.0M-2.9M-127.5K0.1363.82N/AN/A0063
2015-11-09$185100.00$200000.0054.4%16.0%47.7%24.8%54.5%-16.2%1.5%1.1M-7.5M-136.4K0.0963.97N/AN/A0063
2015-11-10$187400.00$200000.0048.3%15.0%47.3%18.8%51.9%-17.2%2.2%1.4M-12.7M-135.2K1.7461.47N/AN/A1163
2015-11-11$185700.00$200000.0051.5%14.8%46.8%22.0%50.4%-14.8%3.5%1.4M-10.0M-124.8K2.0466.54N/AN/A0163
2015-11-12$192800.00$200000.0054.7%15.7%46.9%25.1%64.5%-15.6%0.1%1.5M-17.7M-131.0K0.7660.87N/AN/A1163
2015-11-13$203500.00$200000.0059.1%17.0%51.5%26.2%68.2%-16.8%3.3%1.3M-28.0M-137.8K0.7553.82N/AN/A1163
2015-11-16$195600.00$200000.0058.0%16.6%53.0%25.1%59.5%-17.2%0.6%992.4K-14.5M-115.9K0.1560.60N/AN/A0053
2015-11-17$194600.00$200000.0052.5%15.0%52.1%19.3%52.8%-16.2%5.0%983.8K-10.4M-119.3K1.8656.75N/AN/A1153
2015-11-18$183300.00$200000.0050.8%14.6%55.1%17.6%51.8%-14.1%7.6%764.2K-1.5M-110.3K2.0263.95N/AN/A0153
2015-11-19$183100.00$200000.0049.3%14.1%51.8%16.1%42.7%-17.8%2.2%622.7K2.6M-109.6K1.9534.05N/AN/A1153
2015-11-20$180400.00$200000.0047.7%13.7%41.0%14.4%52.6%-19.1%4.3%176.6K1.7M-118.9K1.9330.71N/AN/A1153
2015-11-23$181200.00$200000.0046.3%13.3%41.0%12.9%49.4%-12.6%5.1%288.1K4.0M-105.8K0.5627.12N/AN/A0043
2015-11-24$181500.00$200000.0047.0%13.5%41.0%13.7%52.4%-15.3%4.7%321.8K1.5M-104.2K2.4961.50N/AN/A0043
2015-11-25$181300.00$200000.0044.8%12.8%40.3%11.4%48.5%-16.4%6.1%281.9K2.5M-120.3K3.5246.75N/AN/A0143
2015-11-27$180100.00$200000.0046.4%13.3%40.3%13.0%50.1%-14.8%3.6%304.6K3.2M-105.2K3.4634.61N/AN/A0143
2015-11-30$181700.00$190000.0049.0%14.0%40.4%15.7%51.4%-14.2%2.3%367.9K315.3K-109.8K0.2546.00N/AN/A0043