SQQQ Options History — July 2016

In July 2016, SQQQ traded between $148800.00 and $185000.00. ATM implied volatility averaged 39.6%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 16.8% (HV 20d: 56.5%). Max pain ranged from $150000.00 to $190000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2016-07-08: Highest Volume — 1 contracts
  • 2016-07-13: Largest IV spike — 45.5% change
  • 2016-07-13: Highest IV Rank — 14.5%
  • 2016-07-05: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$163645.00$148800.00$185000.00$181000.00$148800.00
Max Pain$160500.00$150000.00$190000.00$190000.00$150000.00
ATM IV39.6%31.6%45.9%38.7%34.8%
Expected Move11.9%10.0%14.0%11.1%10.0%
HV 20d56.5%28.2%66.2%62.7%28.2%
HV 60d46.4%44.9%47.1%46.0%44.9%
IV Rank7.9%0.0%14.5%6.4%3.3%
IV Percentile8.7%0.0%22.6%4.0%1.6%
Term Structure3.1%0.3%9.2%9.2%6.2%
VWIV45.0%36.5%56.8%45.7%36.5%
Skew 25d-15.1%-21.1%-2.7%-12.8%-15.3%
Skew 10d-30.8%-45.6%-5.1%-26.0%-26.5%
Call IV 25d50.9%43.7%62.9%48.1%44.1%
Put IV 25d35.8%27.9%45.2%35.3%28.8%
Bid-Ask Spread %50.2416.7691.4391.4357.82
Gamma HHI0.190.120.290.120.17
Net GEX561.7K439.8K797.1K569.4K490.8K
Net DEX3.1M-4.6M12.3M-1.2M4.1M
Net VEX-158.8K-186.7K-140.7K-186.7K-140.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.251.900.690.77
Total Volume0.250100
Total OI8.271089

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$181000.00$190000.0038.7%11.1%62.7%6.4%45.7%-12.8%9.2%569.4K-1.2M-186.7K0.6991.43N/AN/A0053
2016-07-05$185000.00$170000.0042.4%14.0%62.9%10.1%56.8%-21.1%2.0%596.0K-3.9M-178.2K0.8139.96N/AN/A0053
2016-07-06$180300.00$180000.0041.3%13.9%63.7%8.9%56.2%-17.0%1.9%790.5K-3.0M-186.6K0.6638.70N/AN/A0053
2016-07-07$178900.00$180000.0042.3%13.6%63.7%10.0%54.7%-20.3%2.8%797.1K753.4K-184.0K0.9234.37N/AN/A0053
2016-07-08$170300.00$180000.0032.8%12.1%66.2%0.3%44.1%-20.5%3.1%543.1K10.3M-159.2K0.3627.02N/AN/A1053
2016-07-11$167100.00$170000.0043.7%12.8%64.8%11.5%44.3%-12.9%1.1%583.5K11.6M-152.7K0.5886.21N/AN/A1063
2016-07-12$165000.00$170000.0031.6%11.7%63.8%0.0%45.7%-15.1%2.5%718.2K10.1M-158.0K0.7060.64N/AN/A0063
2016-07-13$165800.00$160000.0045.9%13.2%63.9%14.5%46.5%-14.4%3.1%673.6K10.3M-155.8K0.7132.70N/AN/A0063
2016-07-14$162600.00$160000.0041.0%11.8%63.8%9.6%49.1%-14.0%0.5%492.3K12.3M-148.0K0.2526.59N/AN/A1073
2016-07-15$163700.00$150000.0038.1%10.9%64.0%6.6%44.2%-12.2%3.7%457.2K9.7M-150.8K0.4678.17N/AN/A1073
2016-07-18$160100.00$150000.0039.7%11.4%62.2%8.2%38.3%-12.9%0.3%483.4K-1.2M-155.6K0.3584.73N/AN/A1052
2016-07-19$162400.00$150000.0041.1%11.8%62.7%9.6%44.4%-15.2%2.5%532.2K-4.6M-162.3K0.6873.95N/AN/A0052
2016-07-20$156000.00$150000.0039.8%11.4%63.7%8.3%39.4%-19.3%1.9%439.8K997.8K-143.7K1.0318.37N/AN/A0052
2016-07-21$157600.00$150000.0041.7%11.9%63.9%10.2%38.7%-2.7%1.2%473.4K-388.2K-161.4K1.3187.70N/AN/A0052
2016-07-22$155800.00$150000.0038.3%11.0%62.9%6.8%38.3%-13.2%3.1%471.4K1.7M-146.9K1.2124.53N/AN/A0052
2016-07-25$156000.00$150000.0042.9%12.3%47.6%11.4%45.6%-19.8%2.4%572.5K-1.0M-156.0K1.9016.76N/AN/A0053
2016-07-26$155000.00$150000.0041.5%11.9%37.1%10.1%46.2%-19.0%2.7%518.9K338.0K-150.5K1.5537.00N/AN/A0053
2016-07-27$151700.00$150000.0036.0%10.3%32.5%4.5%42.9%-11.9%7.5%512.6K2.8M-145.9K0.8468.53N/AN/A0053
2016-07-28$149800.00$150000.0039.1%11.2%29.2%7.7%41.9%-13.4%4.7%518.8K1.5M-153.9K1.4019.60N/AN/A0063
2016-07-29$148800.00$150000.0034.8%10.0%28.2%3.3%36.5%-15.3%6.2%490.8K4.1M-140.7K0.7757.82N/AN/A0063