SQQQ Options History — February 2016

In February 2016, SQQQ traded between $220600.00 and $278100.00. ATM implied volatility averaged 79.0%, placing in the 46.8% IV rank vs the trailing year. The 30-day expected move averaged 22.3%. IV traded below realized volatility by 0.3% (HV 20d: 79.3%). Max pain ranged from $190000.00 to $220000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.05.

Notable Days

  • 2016-02-03: Highest Volume — 2 contracts
  • 2016-02-05: Largest IV spike — 18.8% change
  • 2016-02-09: Highest IV Rank — 77.8%
  • 2016-02-09: Largest Expected Move — 27.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$243585.00$220600.00$278100.00$220600.00$226200.00
Max Pain$207000.00$190000.00$220000.00$210000.00$220000.00
ATM IV79.0%64.7%109.0%64.7%69.8%
Expected Move22.3%18.5%27.2%18.5%20.0%
HV 20d79.3%67.9%86.8%84.3%67.9%
HV 60d67.8%63.3%70.7%63.3%70.4%
IV Rank46.8%32.0%77.8%32.0%37.3%
IV Percentile86.7%75.0%99.6%80.6%77.8%
Term Structure-1.7%-10.6%5.3%1.9%-4.1%
VWIV77.0%60.6%93.2%60.6%70.8%
Skew 25d-21.0%-28.4%-11.3%-15.6%-11.3%
Skew 10d-37.7%-70.3%-24.1%-30.4%-30.0%
Call IV 25d90.6%73.3%110.7%73.3%77.8%
Put IV 25d69.5%57.8%85.7%57.8%66.5%
Bid-Ask Spread %40.4521.5752.4933.4735.77
Gamma HHI0.100.060.220.070.11
Net GEX405.9K208.8K768.1K208.8K475.2K
Net DEX-26.0M-47.7M-11.0M-11.0M-17.9M
Net VEX-180.9K-202.2K-155.4K-155.4K-186.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.051.363.432.483.43
Total Volume1.51211
Total OI5.955756

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$220600.00$210000.0064.7%18.5%84.3%32.0%60.6%-15.6%1.9%208.8K-11.0M-155.4K2.4833.47N/AN/A0123
2016-02-02$235000.00$210000.0071.3%20.4%83.5%38.8%72.0%-19.7%1.7%252.4K-16.4M-160.3K2.5335.71N/AN/A0123
2016-02-03$237900.00$210000.0075.1%21.5%83.5%42.7%74.0%-15.5%-0.5%283.3K-19.8M-165.3K1.9634.94N/AN/A1123
2016-02-04$239600.00$190000.0074.8%21.4%82.9%42.4%78.9%-22.7%-0.9%318.4K-20.8M-169.4K1.6521.57N/AN/A1133
2016-02-05$265700.00$190000.0088.8%24.8%86.8%56.9%85.7%-25.9%-6.7%433.5K-34.8M-169.2K1.3646.89N/AN/A1133
2016-02-08$276000.00$190000.00103.6%26.9%86.8%72.2%88.8%-21.1%-3.4%442.8K-42.2M-183.6K1.7349.19N/AN/A1133
2016-02-09$278100.00$190000.00109.0%27.2%86.4%77.8%76.7%-25.3%-10.6%440.2K-43.1M-182.6K2.1851.04N/AN/A0133
2016-02-10$274600.00$190000.0093.6%26.8%85.1%61.8%84.5%-28.4%-6.5%435.9K-41.3M-179.0K1.4949.16N/AN/A1133
2016-02-11$272900.00$190000.0094.7%27.1%78.4%62.9%93.2%-25.0%-7.0%507.6K-47.7M-193.2K2.5752.49N/AN/A0133
2016-02-12$264400.00$210000.0085.3%24.4%75.5%53.2%86.5%-24.1%0.1%457.4K-42.0M-202.2K2.0048.90N/AN/A0133
2016-02-16$247500.00$210000.0081.4%23.3%73.8%49.2%82.7%-27.2%-2.4%501.6K-30.9M-195.8K1.7747.04N/AN/A1133
2016-02-17$229400.00$210000.0076.3%21.9%78.5%43.9%76.8%-20.7%-3.7%605.9K-19.9M-183.9K1.7646.84N/AN/A1133
2016-02-18$237400.00$220000.0077.2%22.1%79.5%44.9%76.8%-24.1%1.0%768.1K-23.3M-186.2K2.0348.42N/AN/A0143
2016-02-19$234900.00$220000.0071.7%20.6%79.5%39.2%75.0%-20.7%5.3%292.7K-26.0M-187.9K2.0748.73N/AN/A0143
2016-02-22$224300.00$220000.0067.4%19.3%76.5%34.8%72.8%-21.0%0.8%282.0K-15.3M-179.7K2.3028.95N/AN/A0133
2016-02-23$234200.00$220000.0070.4%20.2%76.7%37.9%74.3%-19.6%2.0%328.9K-17.7M-182.5K1.9326.26N/AN/A1133
2016-02-24$228400.00$210000.0071.9%20.6%76.8%39.4%75.2%-16.1%-4.2%344.4K-19.7M-186.3K1.6928.45N/AN/A1133
2016-02-25$222600.00$210000.0065.6%18.8%72.9%32.9%67.0%-17.5%1.8%352.1K-16.3M-185.6K1.7036.48N/AN/A1133
2016-02-26$222000.00$220000.0067.9%19.5%71.4%35.3%68.5%-19.0%1.1%386.8K-14.0M-184.2K2.4138.70N/AN/A0133
2016-02-29$226200.00$220000.0069.8%20.0%67.9%37.3%70.8%-11.3%-4.1%475.2K-17.9M-186.1K3.4335.77N/AN/A0133