SQQQ Options History — December 2015

In December 2015, SQQQ traded between $175400.00 and $196300.00. ATM implied volatility averaged 55.0%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 1.6% (HV 20d: 53.4%). Max pain ranged from $190000.00 to $200000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.27.

Notable Days

  • 2015-12-03: Highest Volume — 2 contracts
  • 2015-12-11: Largest IV spike — 33.0% change
  • 2015-12-11: Highest IV Rank — 40.8%
  • 2015-12-11: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$184440.91$175400.00$196300.00$176300.00$185700.00
Max Pain$198636.36$190000.00$200000.00$190000.00$190000.00
ATM IV55.0%44.8%73.2%46.5%62.0%
Expected Move15.8%12.8%21.0%13.3%17.8%
HV 20d53.4%40.7%59.8%40.8%59.8%
HV 60d53.3%49.0%56.1%53.6%49.4%
IV Rank21.9%11.4%40.8%13.2%29.1%
IV Percentile68.4%36.1%92.1%48.4%83.7%
Term Structure4.1%-3.2%10.2%1.9%2.8%
VWIV57.0%40.4%75.9%55.0%50.1%
Skew 25d-17.2%-23.0%-10.9%-17.0%-13.0%
Skew 10d-32.9%-48.6%-11.4%-36.2%-34.8%
Call IV 25d64.1%54.3%84.0%54.5%60.2%
Put IV 25d46.8%33.1%61.1%37.5%47.2%
Bid-Ask Spread %67.0020.1795.5138.2885.07
Gamma HHI0.240.180.320.320.25
Net GEX400.5K212.6K632.1K303.4K439.0K
Net DEX-2.1M-13.1M4.8M4.8M-5.2M
Net VEX-109.7K-123.5K-95.0K-96.5K-103.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.270.123.380.121.90
Total Volume1.3180201
Total OI6.9095877

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$176300.00$190000.0046.5%13.3%40.8%13.2%55.0%-17.0%1.9%303.4K4.8M-96.5K0.1238.28N/AN/A0043
2015-12-02$179800.00$190000.0051.4%14.7%40.7%18.2%55.0%-12.5%-1.8%419.2K1.1M-106.5K2.6830.20N/AN/A0143
2015-12-03$188700.00$200000.0058.6%16.7%43.9%25.7%64.2%-22.9%4.7%536.4K-7.6M-118.2K2.4263.31N/AN/A1143
2015-12-04$175400.00$200000.0047.6%14.8%51.5%14.3%55.8%-15.6%5.2%340.1K4.2M-107.3K2.3281.83N/AN/A1143
2015-12-07$177800.00$200000.0054.1%14.9%51.8%21.0%52.2%-20.2%7.3%432.8K2.1M-120.5K0.3539.44N/AN/A0053
2015-12-08$176900.00$200000.0055.4%15.3%50.4%22.4%56.5%-21.2%4.8%448.5K1.3M-112.0K2.4645.87N/AN/A1153
2015-12-09$186500.00$200000.0060.3%17.3%53.9%27.4%64.7%-22.9%4.0%629.7K-6.1M-118.4K2.2383.84N/AN/A1153
2015-12-10$184200.00$200000.0055.1%15.8%54.0%22.0%55.2%-18.8%5.3%508.0K-1.3M-122.8K3.3384.28N/AN/A0143
2015-12-11$196000.00$200000.0073.2%21.0%56.9%40.8%75.9%-22.9%-3.2%632.1K-13.1M-123.5K1.5080.04N/AN/A1143
2015-12-14$192000.00$200000.0066.3%19.0%53.7%33.7%66.9%-23.0%1.1%627.9K-9.4M-121.0K2.0074.56N/AN/A1153
2015-12-15$187500.00$200000.0063.0%18.1%52.6%30.2%67.8%-20.3%3.0%454.2K-2.6M-113.6K3.3880.08N/AN/A0143
2015-12-16$179500.00$200000.0050.3%14.4%54.6%17.1%55.1%-10.9%3.2%269.9K4.8M-101.0K2.4686.72N/AN/A1143
2015-12-17$186400.00$200000.0060.9%17.4%52.3%28.0%61.5%-20.1%6.1%404.3K743.5K-107.8K2.6189.64N/AN/A1153
2015-12-18$196300.00$200000.0062.2%17.8%55.4%29.4%62.6%-16.9%3.9%308.5K-8.2M-115.4K2.0581.97N/AN/A1153
2015-12-21$192200.00$200000.0057.9%16.6%55.7%24.9%59.4%-16.0%2.3%338.8K-4.7M-110.7K2.7181.53N/AN/A0132
2015-12-22$188700.00$200000.0052.8%15.1%56.2%19.7%56.5%-13.2%4.4%294.2K-3.0M-112.3K2.6795.51N/AN/A0132
2015-12-23$184000.00$200000.0047.1%13.5%57.0%13.8%48.5%-10.9%4.4%283.6K-1.9M-105.1K3.2539.28N/AN/A0133
2015-12-24$183700.00$200000.0044.8%12.8%57.0%11.4%40.4%-11.7%8.0%299.1K-1.3M-102.8K3.1481.29N/AN/A0133
2015-12-28$184500.00$200000.0045.0%12.9%57.0%11.6%50.9%-13.7%10.2%321.9K-4.0M-104.4K2.3185.94N/AN/A0133
2015-12-29$175800.00$200000.0048.4%13.9%59.5%15.1%48.7%-21.2%5.3%212.6K2.4M-95.0K2.0725.06N/AN/A0133
2015-12-30$179800.00$200000.0047.2%13.5%59.1%13.9%50.8%-14.5%6.0%306.3K573.9K-96.0K1.9620.17N/AN/A0143
2015-12-31$185700.00$190000.0062.0%17.8%59.8%29.1%50.1%-13.0%2.8%439.0K-5.2M-103.1K1.9085.07N/AN/A0143