SQQQ Options History — August 2016 In August 2016, SQQQ traded between $139700.00 and $150000.00. ATM implied volatility averaged 35.7%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 13.4% (HV 20d: 22.3%). Max pain ranged from $130000.00 to $150000.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.83.
Notable Days 2016-08-05 : Highest Volume — 1 contracts2016-08-05 : Largest IV drop — 27.2% change2016-08-24 : Highest IV Rank — 16.6%2016-08-24 : Largest Expected Move — 11.9%Monthly Statistics Metric Avg Min Max Open Close Price $143343.48 $139700.00 $150000.00 $146900.00 $144100.00 Max Pain $146521.74 $130000.00 $150000.00 $150000.00 $130000.00 ATM IV 35.7% 28.1% 41.5% 38.1% 32.5% Expected Move 10.4% 8.9% 11.9% 10.9% 9.3% HV 20d 22.3% 18.4% 27.8% 27.8% 18.4% HV 60d 42.8% 41.0% 45.2% 44.9% 41.3% IV Rank 7.4% 0.0% 16.6% 6.6% 5.4% IV Percentile 4.5% 0.0% 17.9% 4.0% 1.2% Term Structure 7.0% 1.9% 11.4% 3.2% 11.4% VWIV 39.3% 28.6% 55.6% 40.1% 36.9% Skew 25d -12.1% -20.1% -5.7% -10.2% -7.5% Skew 10d -23.7% -39.0% -3.6% -22.4% -3.6% Call IV 25d 45.5% 41.5% 51.9% 43.1% 43.3% Put IV 25d 33.4% 28.2% 37.6% 32.9% 35.8% Bid-Ask Spread % 43.47 12.44 86.35 66.02 71.28 Gamma HHI 0.20 0.14 0.35 0.15 0.24 Net GEX 550.4K 367.7K 832.1K 534.1K 832.1K Net DEX 2.6M -11.3M 9.8M 4.2M -11.3M Net VEX -137.9K -151.7K -124.5K -141.7K -139.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.03 1.25 0.98 1.07 Total Volume 0.217 0 1 0 0 Total OI 9.304 7 10 9 10
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2016-08-01 $146900.00 $150000.00 38.1% 10.9% 27.8% 6.6% 40.1% -10.2% 3.2% 534.1K 4.2M -141.7K 0.98 66.02 N/A N/A 0 0 6 3 2016-08-02 $150000.00 $150000.00 37.6% 10.8% 27.7% 6.2% 39.7% -8.4% 7.4% 640.9K 604.6K -149.3K 0.89 17.71 N/A N/A 0 0 6 3 2016-08-03 $148800.00 $150000.00 34.7% 10.0% 27.1% 3.2% 36.2% -7.4% 6.7% 673.9K -149.9K -151.7K 1.20 63.76 N/A N/A 0 0 6 3 2016-08-04 $147500.00 $150000.00 38.6% 11.9% 27.1% 7.1% 42.9% -16.3% 6.3% 628.7K 1.7M -149.5K 1.12 30.25 N/A N/A 0 0 6 3 2016-08-05 $143100.00 $150000.00 28.1% 10.3% 24.1% 0.0% 39.9% -12.5% 7.3% 482.7K 7.1M -135.2K 0.56 21.31 N/A N/A 1 0 6 3 2016-08-08 $143900.00 $150000.00 33.6% 10.8% 24.3% 5.3% 38.9% -18.0% 6.0% 615.9K 4.3M -143.1K 0.52 24.02 N/A N/A 1 0 6 3 2016-08-09 $142600.00 $150000.00 34.1% 10.1% 24.2% 5.9% 40.2% -12.0% 5.9% 599.5K 5.0M -141.5K 0.88 68.92 N/A N/A 0 0 7 3 2016-08-10 $143800.00 $150000.00 37.0% 10.6% 24.5% 8.7% 41.7% -12.9% 10.6% 563.4K 5.4M -142.9K 1.25 80.72 N/A N/A 0 0 7 3 2016-08-11 $141600.00 $150000.00 37.4% 10.7% 24.2% 9.1% 40.1% -15.6% 6.0% 431.6K 7.9M -131.0K 1.06 56.74 N/A N/A 0 0 7 3 2016-08-12 $141600.00 $150000.00 37.1% 10.6% 23.9% 8.8% 40.2% -16.2% 2.6% 498.1K 6.6M -133.1K 1.07 15.54 N/A N/A 0 0 7 3 2016-08-15 $139700.00 $150000.00 34.8% 10.0% 23.3% 6.5% 39.6% -8.8% 8.9% 367.7K 9.8M -124.5K 0.99 22.77 N/A N/A 0 0 7 3 2016-08-16 $141800.00 $150000.00 38.0% 10.9% 23.4% 9.6% 42.9% -10.9% 6.2% 434.3K 6.8M -132.5K 1.04 21.51 N/A N/A 0 0 7 3 2016-08-17 $141300.00 $150000.00 36.6% 10.5% 19.8% 8.3% 39.1% -5.7% 10.5% 486.8K 6.3M -128.7K 0.29 23.25 N/A N/A 0 0 7 3 2016-08-18 $141200.00 $150000.00 36.2% 10.4% 19.1% 8.0% 42.4% -9.9% 7.0% 616.2K 5.3M -134.7K 0.08 21.95 N/A N/A 0 0 7 3 2016-08-19 $141300.00 $150000.00 35.1% 10.1% 19.0% 6.8% 55.6% -11.8% 9.5% 398.7K 5.0M -133.8K 0.35 76.34 N/A N/A 1 0 7 3 2016-08-22 $141200.00 $150000.00 34.6% 9.9% 19.0% 6.4% 38.0% -11.2% 8.4% 411.9K 3.6M -130.1K 1.15 15.80 N/A N/A 0 0 5 2 2016-08-23 $140100.00 $150000.00 36.5% 10.5% 19.0% 8.3% 41.2% -12.4% 1.9% 397.2K 5.1M -128.3K 1.20 74.47 N/A N/A 0 0 5 2 2016-08-24 $143100.00 $150000.00 41.5% 11.9% 20.1% 16.6% 41.9% -20.1% 3.7% 447.3K 2.2M -138.0K 0.03 13.97 N/A N/A 0 0 6 3 2016-08-25 $143900.00 $140000.00 36.8% 10.6% 20.0% 10.8% 31.6% -14.5% 6.0% 578.9K -1.5M -147.5K 1.00 12.44 N/A N/A 0 0 6 3 2016-08-26 $143000.00 $140000.00 36.7% 10.5% 20.0% 10.7% 31.1% -10.0% 6.8% 577.8K -3.0M -139.3K 0.58 86.35 N/A N/A 1 0 6 3 2016-08-29 $142300.00 $130000.00 35.2% 10.1% 19.6% 8.8% 28.6% -13.3% 6.5% 725.8K -4.0M -134.1K 1.09 49.62 N/A N/A 0 0 6 3 2016-08-30 $144100.00 $130000.00 30.9% 8.9% 18.5% 3.5% 34.5% -13.2% 11.4% 716.3K -7.6M -142.2K 0.79 64.99 N/A N/A 1 0 7 3 2016-08-31 $144100.00 $130000.00 32.5% 9.3% 18.4% 5.4% 36.9% -7.5% 11.4% 832.1K -11.3M -139.3K 1.07 71.28 N/A N/A 0 0 7 3
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