SQQQ Options History — June 2016

In June 2016, SQQQ traded between $174900.00 and $215300.00. ATM implied volatility averaged 50.1%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 10.6% (HV 20d: 39.4%). Max pain ranged from $170000.00 to $200000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2016-06-03: Highest Volume — 1 contracts
  • 2016-06-24: Largest IV spike — 37.3% change
  • 2016-06-27: Highest IV Rank — 38.0%
  • 2016-06-27: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$186418.18$174900.00$215300.00$176300.00$185300.00
Max Pain$187727.27$170000.00$200000.00$190000.00$190000.00
ATM IV50.1%32.5%69.8%42.7%47.0%
Expected Move14.7%11.2%20.0%12.2%13.5%
HV 20d39.4%26.4%62.0%37.8%62.0%
HV 60d38.7%35.7%47.3%37.7%46.6%
IV Rank17.9%0.0%38.0%9.2%14.8%
IV Percentile39.3%0.0%77.0%14.3%24.6%
Term Structure4.3%-0.9%8.6%2.3%5.5%
VWIV50.6%41.4%62.3%41.4%46.9%
Skew 25d-16.4%-25.6%-6.5%-6.5%-12.6%
Skew 10d-31.5%-50.0%-10.8%-16.3%-25.8%
Call IV 25d60.6%43.1%83.5%43.1%51.2%
Put IV 25d44.1%35.8%58.4%36.6%38.6%
Bid-Ask Spread %54.3713.2389.7013.2341.33
Gamma HHI0.160.100.280.160.11
Net GEX644.2K269.7K1.5M269.7K495.2K
Net DEX-9.9M-45.7M11.6M8.2M-6.0M
Net VEX-204.8K-219.4K-185.9K-199.5K-196.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.331.521.510.52
Total Volume0.5450101
Total OI9.13671198

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$176300.00$190000.0042.7%12.2%37.8%9.2%41.4%-6.5%2.3%269.7K8.2M-199.5K1.5113.23N/AN/A0054
2016-06-02$174900.00$200000.0032.5%11.8%36.6%0.0%42.6%-11.6%7.3%298.4K8.1M-200.2K1.5266.76N/AN/A0054
2016-06-03$176600.00$200000.0036.2%12.5%36.9%3.8%62.3%-14.6%8.6%324.7K8.6M-196.4K0.4230.54N/AN/A1054
2016-06-06$175000.00$200000.0033.8%11.2%36.8%1.3%42.9%-9.1%7.4%379.7K11.6M-190.3K1.2130.65N/AN/A0064
2016-06-07$176600.00$200000.0038.7%12.3%37.2%6.4%44.3%-12.4%6.4%527.1K8.2M-185.9K1.4028.48N/AN/A0064
2016-06-08$175700.00$200000.0043.6%12.5%34.7%11.3%43.5%-14.7%7.1%419.2K9.2M-191.4K1.2348.10N/AN/A0064
2016-06-09$176100.00$200000.0044.4%12.7%32.8%12.2%41.9%-14.9%6.1%534.9K6.9M-192.3K1.2835.89N/AN/A0064
2016-06-10$182800.00$200000.0047.3%13.5%35.7%15.1%49.8%-17.1%7.4%720.0K-838.4K-209.3K0.5845.05N/AN/A1064
2016-06-13$187500.00$200000.0056.9%16.3%36.9%24.9%53.6%-18.9%2.4%1.0M-9.2M-213.0K0.3744.58N/AN/A1064
2016-06-14$187200.00$190000.0057.4%16.5%34.6%25.4%54.6%-19.9%2.4%1.0M-10.7M-213.9K0.4076.18N/AN/A1064
2016-06-15$189100.00$180000.0060.0%17.2%34.7%28.0%47.8%-12.8%7.1%1.3M-13.2M-213.2K0.7079.41N/AN/A0074
2016-06-16$186800.00$180000.0054.7%15.7%33.6%22.7%42.1%-15.9%1.8%1.5M-13.7M-213.1K0.4074.39N/AN/A1074
2016-06-17$193500.00$170000.0053.3%15.3%36.1%21.3%53.7%-16.2%6.8%373.2K-27.1M-216.0K0.3947.76N/AN/A1074
2016-06-20$189900.00$170000.0051.6%14.8%35.2%19.6%55.3%-18.4%-0.1%554.2K-20.2M-209.8K0.4836.34N/AN/A1053
2016-06-21$187900.00$170000.0054.1%15.5%35.2%22.1%57.2%-20.0%-0.9%690.9K-21.5M-212.7K1.0835.41N/AN/A0053
2016-06-22$188900.00$170000.0059.2%17.0%26.4%27.3%56.2%-22.2%-0.5%703.6K-22.9M-214.7K1.2176.29N/AN/A0053
2016-06-23$181500.00$170000.0048.4%13.9%29.2%16.2%52.6%-20.0%6.8%680.6K-13.2M-199.6K1.0989.70N/AN/A0053
2016-06-24$201200.00$170000.0066.4%19.0%46.6%34.6%62.3%-25.6%2.4%709.5K-38.0M-219.4K0.3376.88N/AN/A1053
2016-06-27$215300.00$180000.0069.8%20.0%50.7%38.0%59.0%-25.1%1.8%716.8K-45.7M-217.9K0.3466.17N/AN/A1053
2016-06-28$201700.00$200000.0053.9%15.4%57.0%21.8%51.0%-17.8%2.3%510.4K-24.6M-200.0K0.5575.73N/AN/A1043
2016-06-29$191400.00$200000.0049.3%14.1%60.8%17.1%53.1%-15.0%3.0%440.1K-12.0M-200.9K0.4377.21N/AN/A1053
2016-06-30$185300.00$190000.0047.0%13.5%62.0%14.8%46.9%-12.6%5.5%495.2K-6.0M-196.7K0.5241.33N/AN/A1053