SQQQ Options History — January 2016

In January 2016, SQQQ traded between $199500.00 and $248600.00. ATM implied volatility averaged 79.7%, placing in the 47.5% IV rank vs the trailing year. The 30-day expected move averaged 21.5%. IV traded above realized volatility by 10.4% (HV 20d: 69.3%). Max pain ranged from $180000.00 to $210000.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.75.

Notable Days

  • 2016-01-04: Highest Volume — 2 contracts
  • 2016-01-07: Largest IV spike — 35.2% change
  • 2016-01-08: Highest IV Rank — 66.3%
  • 2016-01-20: Largest Expected Move — 24.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$230063.16$199500.00$248600.00$199500.00$222800.00
Max Pain$203684.21$180000.00$210000.00$180000.00$210000.00
ATM IV79.7%64.5%97.9%68.5%64.5%
Expected Move21.5%17.7%24.7%18.8%18.5%
HV 20d69.3%56.0%84.4%62.7%84.4%
HV 60d57.8%51.7%63.4%51.8%63.4%
IV Rank47.5%31.8%66.3%35.9%31.8%
IV Percentile92.0%80.6%98.8%89.7%80.6%
Term Structure-0.5%-6.0%2.3%0.5%2.3%
VWIV76.8%63.3%88.1%69.0%63.3%
Skew 25d-22.5%-29.5%-14.9%-24.0%-14.9%
Skew 10d-40.4%-49.8%-23.1%-38.1%-29.9%
Call IV 25d88.8%75.5%100.9%81.8%76.8%
Put IV 25d66.3%55.6%78.0%57.8%61.9%
Bid-Ask Spread %42.5021.7471.9928.3634.26
Gamma HHI0.110.060.290.290.07
Net GEX300.1K117.5K575.9K575.9K198.5K
Net DEX-18.7M-33.1M-10.2M-12.6M-11.9M
Net VEX-127.1K-165.8K-100.4K-108.4K-154.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.262.981.100.26
Total Volume1.4740220
Total OI5.5264775

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$199500.00$180000.0068.5%18.8%62.7%35.9%69.0%-24.0%0.5%575.9K-12.6M-108.4K1.1028.36N/AN/A1143
2016-01-05$199500.00$190000.0068.0%17.7%56.0%35.4%63.9%-19.9%1.5%491.2K-10.2M-106.1K1.8133.17N/AN/A0133
2016-01-06$206700.00$200000.0070.0%19.2%56.9%37.5%65.9%-19.2%-1.5%519.7K-14.5M-110.5K1.4464.35N/AN/A1133
2016-01-07$222000.00$200000.0094.7%21.4%61.0%62.9%76.7%-23.8%1.4%436.1K-22.6M-110.8K0.7256.15N/AN/A1133
2016-01-08$230700.00$200000.0097.9%22.5%59.9%66.3%86.6%-23.6%-1.8%455.0K-26.0M-108.5K1.3956.44N/AN/A1133
2016-01-11$227600.00$200000.0091.8%21.1%59.9%60.0%74.9%-26.9%1.5%453.7K-25.8M-111.7K1.8861.06N/AN/A0133
2016-01-12$219400.00$200000.0088.4%19.5%58.9%56.5%67.3%-22.0%-2.4%469.4K-21.9M-111.1K1.3467.77N/AN/A1133
2016-01-13$242600.00$200000.0077.7%22.3%66.9%45.4%84.7%-22.4%-2.1%365.7K-30.4M-100.4K1.5771.99N/AN/A1133
2016-01-14$227800.00$200000.0073.7%21.1%71.0%41.3%76.4%-15.6%0.2%385.8K-22.8M-105.3K1.4065.84N/AN/A1133
2016-01-15$248200.00$210000.0082.2%23.6%72.9%50.0%82.6%-28.6%-0.4%124.3K-33.1M-121.5K1.3455.48N/AN/A1143
2016-01-19$245500.00$210000.0082.9%23.8%73.1%50.8%80.8%-29.5%1.6%148.7K-16.7M-117.4K2.9825.36N/AN/A0122
2016-01-20$248600.00$210000.0086.1%24.7%71.7%54.1%88.1%-21.8%-6.0%167.9K-19.0M-127.4K2.1327.40N/AN/A0122
2016-01-21$246000.00$210000.0085.1%24.4%71.1%53.1%86.0%-26.6%-2.7%124.5K-15.4M-152.4K2.6321.74N/AN/A0123
2016-01-22$228000.00$210000.0072.7%20.8%77.1%40.2%76.4%-18.9%-1.2%117.5K-10.8M-147.4K2.3121.76N/AN/A0123
2016-01-25$237400.00$210000.0080.5%23.1%76.7%48.3%84.1%-26.7%-3.2%126.4K-12.1M-144.5K1.7723.83N/AN/A1123
2016-01-26$232400.00$210000.0074.0%21.2%77.5%41.5%77.7%-24.1%-0.8%149.4K-14.1M-156.0K2.5826.97N/AN/A0123
2016-01-27$248600.00$210000.0079.1%22.7%79.9%46.9%80.5%-22.4%0.9%184.4K-17.6M-155.9K1.8131.20N/AN/A1123
2016-01-28$237900.00$210000.0076.4%21.9%79.5%44.0%75.0%-16.1%1.8%207.8K-17.0M-165.8K2.7134.39N/AN/A0123
2016-01-29$222800.00$210000.0064.5%18.5%84.4%31.8%63.3%-14.9%2.3%198.5K-11.9M-154.7K0.2634.26N/AN/A0023