SQQQ Options History — March 2016

In March 2016, SQQQ traded between $183600.00 and $216600.00. ATM implied volatility averaged 53.6%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 1.5% (HV 20d: 52.0%). Max pain ranged from $190000.00 to $220000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.22.

Notable Days

  • 2016-03-01: Highest Volume — 2 contracts
  • 2016-03-29: Largest IV drop — 15.2% change
  • 2016-03-08: Highest IV Rank — 39.3%
  • 2016-03-08: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$199886.36$183600.00$216600.00$207400.00$184300.00
Max Pain$200454.55$190000.00$220000.00$220000.00$190000.00
ATM IV53.6%39.2%71.8%60.4%40.0%
Expected Move15.2%11.2%19.0%17.3%11.5%
HV 20d52.0%32.2%74.6%74.6%32.4%
HV 60d68.8%65.5%72.7%72.7%65.5%
IV Rank20.5%5.6%39.3%27.5%6.4%
IV Percentile50.6%8.3%80.6%67.9%11.1%
Term Structure5.2%-0.3%11.1%0.4%4.7%
VWIV53.8%42.5%65.4%60.7%42.8%
Skew 25d-15.8%-20.2%-10.4%-12.5%-13.5%
Skew 10d-33.9%-48.4%-22.7%-48.4%-33.0%
Call IV 25d62.4%48.2%76.2%66.3%50.8%
Put IV 25d46.5%32.9%57.2%53.7%37.4%
Bid-Ask Spread %32.0416.4559.2538.1121.89
Gamma HHI0.140.110.300.110.13
Net GEX373.0K92.0K661.4K356.5K188.2K
Net DEX-2.8M-14.4M6.2M-6.9M4.4M
Net VEX-174.8K-191.0K-158.6K-181.6K-170.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.220.873.551.901.06
Total Volume0.9090220
Total OI6.54866

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$207400.00$220000.0060.4%17.3%74.6%27.5%60.7%-12.5%0.4%356.5K-6.9M-181.6K1.9038.11N/AN/A1133
2016-03-02$206600.00$210000.0061.4%17.6%70.4%28.6%62.0%-16.8%-0.3%445.0K-7.3M-187.9K3.3025.72N/AN/A0143
2016-03-03$207300.00$210000.0059.0%16.6%70.2%26.1%60.4%-15.3%6.8%495.8K-8.2M-188.4K1.9042.59N/AN/A1143
2016-03-04$206600.00$210000.0062.5%17.3%70.0%29.7%57.5%-20.0%2.4%495.8K-8.0M-187.1K2.0337.16N/AN/A1143
2016-03-07$211200.00$200000.0066.7%17.5%57.8%34.1%60.3%-20.2%2.8%519.5K-10.0M-185.3K2.8332.05N/AN/A0143
2016-03-08$216600.00$200000.0071.8%19.0%56.5%39.3%60.4%-17.5%2.6%569.1K-14.4M-188.8K2.7451.16N/AN/A0143
2016-03-09$212700.00$200000.0061.8%17.7%56.1%29.0%65.4%-20.1%4.3%564.5K-12.4M-191.0K3.5530.74N/AN/A0143
2016-03-10$213500.00$200000.0062.1%17.8%56.4%29.2%64.3%-17.8%5.2%575.7K-11.6M-187.3K2.2938.77N/AN/A0143
2016-03-11$202200.00$200000.0054.6%15.7%58.2%21.6%57.3%-19.7%4.4%526.4K-3.0M-174.5K1.8734.98N/AN/A1143
2016-03-14$199900.00$200000.0054.5%15.6%57.9%21.4%59.3%-17.7%5.4%599.9K-1.9M-169.5K3.2616.45N/AN/A0143
2016-03-15$200900.00$200000.0053.6%15.4%54.8%20.5%57.3%-16.9%6.0%661.4K-3.0M-169.8K3.1919.68N/AN/A0143
2016-03-16$195900.00$200000.0051.3%14.7%49.5%18.1%51.1%-16.4%11.1%560.7K1.4M-158.6K2.7959.25N/AN/A0143
2016-03-17$196000.00$200000.0050.4%14.5%47.1%17.2%50.3%-13.2%7.9%516.6K2.7M-165.7K2.7136.26N/AN/A0144
2016-03-18$194700.00$200000.0046.3%13.3%47.1%12.9%47.1%-13.3%7.2%145.8K4.4M-163.7K3.0529.81N/AN/A0144
2016-03-21$192700.00$200000.0046.9%13.4%45.0%13.6%47.0%-13.1%7.9%157.4K-232.3K-160.2K1.8136.82N/AN/A0022
2016-03-22$191200.00$200000.0044.8%12.8%40.9%11.4%46.2%-13.3%9.8%139.1K1.4M-160.1K1.4126.61N/AN/A0022
2016-03-23$195400.00$200000.0049.5%14.2%42.0%16.2%50.7%-15.3%3.7%124.8K643.3K-168.4K1.7624.05N/AN/A0133
2016-03-24$195500.00$200000.0048.3%13.8%41.5%15.0%46.5%-15.0%5.7%163.6K-560.6K-176.7K1.9028.17N/AN/A0133
2016-03-28$196200.00$190000.0050.8%14.6%41.6%17.6%51.4%-14.7%5.7%191.4K-397.6K-177.4K1.6523.34N/AN/A0033
2016-03-29$187100.00$190000.0043.1%12.4%43.0%9.7%43.2%-15.3%3.7%117.2K4.2M-165.0K1.0329.42N/AN/A0033
2016-03-30$183600.00$190000.0039.2%11.2%32.2%5.6%42.5%-10.4%6.9%92.0K6.2M-167.5K0.8721.90N/AN/A0033
2016-03-31$184300.00$190000.0040.0%11.5%32.4%6.4%42.8%-13.5%4.7%188.2K4.4M-170.4K1.0621.89N/AN/A0033