SQQQ Options History — May 2016

In May 2016, SQQQ traded between $175200.00 and $205900.00. ATM implied volatility averaged 46.5%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 9.4% (HV 20d: 37.1%). Max pain ranged from $180000.00 to $200000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2016-05-06: Highest Volume — 1 contracts
  • 2016-05-24: Largest IV drop — 21.8% change
  • 2016-05-05: Highest IV Rank — 25.3%
  • 2016-05-05: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$194700.00$175200.00$205900.00$195900.00$175200.00
Max Pain$189047.62$180000.00$200000.00$180000.00$190000.00
ATM IV46.5%37.7%58.2%50.5%40.1%
Expected Move13.4%10.8%16.8%14.5%11.5%
HV 20d37.1%32.3%43.6%40.3%39.4%
HV 60d42.0%37.9%50.3%50.3%38.0%
IV Rank13.2%4.1%25.3%17.3%6.5%
IV Percentile31.9%1.6%63.1%48.4%8.3%
Term Structure5.9%-0.3%17.1%2.3%5.5%
VWIV48.3%40.3%57.2%49.1%45.3%
Skew 25d-13.3%-18.0%-10.3%-15.1%-14.5%
Skew 10d-24.9%-41.5%-8.0%-34.7%-27.0%
Call IV 25d54.3%43.7%65.0%57.4%46.1%
Put IV 25d41.1%31.6%50.3%42.3%31.6%
Bid-Ask Spread %41.4616.5288.6826.3780.35
Gamma HHI0.180.120.380.150.16
Net GEX694.9K116.2K1.5M718.8K215.6K
Net DEX-12.2M-24.6M10.1M-16.0M9.1M
Net VEX-191.5K-200.8K-180.1K-189.6K-199.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.502.310.940.88
Total Volume0.2380100
Total OI7.4297979

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$195900.00$180000.0050.5%14.5%40.3%17.3%49.1%-15.1%2.3%718.8K-16.0M-189.6K0.9426.37N/AN/A0043
2016-05-03$201300.00$180000.0052.0%14.9%40.3%18.8%53.6%-11.2%-0.3%675.7K-18.3M-194.1K0.8021.56N/AN/A0043
2016-05-04$204900.00$180000.0051.4%14.7%35.0%18.2%54.7%-14.3%2.1%766.7K-24.1M-192.0K0.9430.07N/AN/A0043
2016-05-05$205900.00$190000.0058.2%16.8%32.3%25.3%57.2%-17.6%2.3%777.5K-24.6M-192.0K1.1367.32N/AN/A0043
2016-05-06$202700.00$190000.0048.2%14.4%33.2%14.9%49.9%-15.9%5.4%818.1K-23.5M-191.7K0.6332.90N/AN/A1043
2016-05-09$200700.00$190000.0048.4%14.1%33.6%15.2%49.8%-12.7%4.3%778.5K-19.5M-185.7K0.8933.57N/AN/A0043
2016-05-10$192300.00$190000.0040.8%12.6%36.5%7.3%44.5%-18.0%6.8%748.0K-9.7M-182.2K1.0335.12N/AN/A0043
2016-05-11$197400.00$190000.0048.6%13.9%33.9%15.4%48.6%-11.6%8.9%835.0K-16.5M-182.9K1.2638.36N/AN/A0043
2016-05-12$200100.00$190000.0048.9%14.0%33.9%15.6%49.5%-11.9%11.7%882.5K-19.2M-198.3K1.4233.35N/AN/A0143
2016-05-13$202200.00$190000.0049.7%14.3%33.9%16.5%50.8%-10.3%9.2%901.8K-19.5M-196.4K2.3169.90N/AN/A0043
2016-05-16$194700.00$190000.0043.9%12.6%36.8%10.5%50.2%-13.9%17.1%939.0K-14.1M-192.3K1.2740.88N/AN/A0043
2016-05-17$196200.00$190000.0049.6%14.2%36.5%16.3%53.9%-14.1%8.7%939.2K-16.5M-193.1K1.8234.19N/AN/A0053
2016-05-18$200800.00$190000.0049.0%14.1%36.8%15.8%50.6%-13.1%7.2%1.4M-23.1M-200.8K1.0933.42N/AN/A0053
2016-05-19$202400.00$190000.0049.5%14.2%36.8%16.3%47.5%-12.9%8.8%1.5M-24.2M-198.6K0.6738.67N/AN/A1053
2016-05-20$196400.00$200000.0047.5%13.6%36.6%14.2%46.6%-12.8%7.8%389.3K-14.1M-191.0K0.5038.06N/AN/A1053
2016-05-23$197300.00$190000.0048.2%13.8%36.6%14.9%45.7%-13.3%3.4%497.2K-8.9M-186.4K1.5726.88N/AN/A0043
2016-05-24$184900.00$190000.0037.7%10.8%43.6%4.1%44.0%-11.1%2.5%431.1K-2.1M-180.1K1.0131.07N/AN/A0043
2016-05-25$180900.00$190000.0038.0%10.9%43.3%4.3%40.3%-11.2%5.1%116.2K8.6M-192.7K0.9216.52N/AN/A0044
2016-05-26$179700.00$190000.0038.3%11.0%40.6%4.7%41.7%-11.9%1.7%121.7K10.1M-191.2K1.0288.68N/AN/A0044
2016-05-27$176800.00$190000.0038.2%11.0%40.2%4.6%41.7%-10.9%2.7%165.0K9.1M-190.0K0.6153.33N/AN/A1044
2016-05-31$175200.00$190000.0040.1%11.5%39.4%6.5%45.3%-14.5%5.5%215.6K9.1M-199.6K0.8880.35N/AN/A0054