SQQQ Options History — September 2016

In September 2016, SQQQ traded between $132400.00 and $150500.00. ATM implied volatility averaged 39.9%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 6.0% (HV 20d: 33.9%). Max pain ranged from $120000.00 to $130000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2016-09-16: Highest Volume — 2 contracts
  • 2016-09-13: Largest IV spike — 82.1% change
  • 2016-09-13: Highest IV Rank — 41.4%
  • 2016-09-14: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$139433.33$132400.00$150500.00$143400.00$132800.00
Max Pain$125238.10$120000.00$130000.00$130000.00$120000.00
ATM IV39.9%30.8%61.6%35.2%30.8%
Expected Move11.8%8.8%15.4%10.1%8.8%
HV 20d33.9%15.1%44.6%18.2%44.6%
HV 60d38.3%31.6%44.3%41.3%31.8%
IV Rank14.6%3.3%41.4%8.8%3.3%
IV Percentile19.7%0.4%73.4%5.6%0.4%
Term Structure5.6%-22.0%20.6%8.1%11.7%
VWIV39.8%28.0%52.4%28.0%28.4%
Skew 25d-15.3%-23.5%-6.2%-6.2%-7.9%
Skew 10d-26.5%-46.6%3.5%-11.3%-23.1%
Call IV 25d50.9%37.0%63.5%44.6%37.0%
Put IV 25d35.6%23.7%45.1%38.4%29.1%
Bid-Ask Spread %68.4913.11118.7541.2295.34
Gamma HHI0.300.210.410.250.36
Net GEX810.6K369.6K1.2M890.1K888.7K
Net DEX-8.3M-20.9M-88.9K-11.0M-5.7M
Net VEX-132.2K-145.9K-119.3K-142.6K-124.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.231.320.450.33
Total Volume0.8570211
Total OI8.476611107

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$143400.00$130000.0035.2%10.1%18.2%8.8%28.0%-6.2%8.1%890.1K-11.0M-142.6K0.4541.22N/AN/A1073
2016-09-02$142000.00$130000.0032.2%9.2%15.1%5.1%33.4%-11.3%10.6%1.1M-9.1M-138.4K1.2813.11N/AN/A0073
2016-09-06$139400.00$130000.0036.4%12.3%16.2%10.3%42.3%-17.1%8.3%1.1M-5.0M-135.5K1.3187.89N/AN/A0073
2016-09-07$139100.00$130000.0031.2%11.3%16.0%3.8%40.9%-12.9%6.5%1.2M-4.4M-128.7K1.1334.64N/AN/A0073
2016-09-08$141100.00$130000.0031.2%11.3%16.6%3.9%39.5%-14.3%5.7%1.2M-8.9M-128.4K1.3296.47N/AN/A0073
2016-09-09$150500.00$130000.0046.4%13.7%27.8%22.7%46.6%-11.5%1.6%858.4K-20.9M-145.9K0.3490.80N/AN/A1073
2016-09-12$143500.00$130000.0033.8%12.2%33.1%7.1%39.9%-16.8%4.8%1.0M-18.2M-132.3K0.3363.35N/AN/A1083
2016-09-13$148200.00$130000.0061.6%15.4%34.5%41.4%40.0%-18.4%-1.0%828.3K-17.6M-137.3K0.3535.98N/AN/A1073
2016-09-14$145500.00$130000.0053.9%15.4%35.0%31.9%52.4%-16.8%1.3%816.4K-13.2M-136.8K0.5642.98N/AN/A1073
2016-09-15$138500.00$130000.0044.3%12.7%39.3%20.1%44.4%-21.0%4.3%1.0M-88.9K-130.9K0.5666.22N/AN/A1073
2016-09-16$138600.00$130000.0045.7%13.1%39.3%21.7%38.3%-17.3%5.1%369.6K-285.3K-134.5K0.7779.70N/AN/A1173
2016-09-19$140400.00$120000.0046.0%13.2%39.6%22.1%43.4%-16.8%5.4%479.8K-7.6M-137.7K0.3829.16N/AN/A1042
2016-09-20$139400.00$120000.0045.3%13.0%39.7%21.3%43.4%-16.2%7.2%553.1K-8.4M-135.4K0.4288.95N/AN/A1042
2016-09-21$135400.00$120000.0040.0%11.5%40.9%14.8%31.1%-11.4%-22.0%591.7K-7.9M-126.1K0.35111.05N/AN/A1042
2016-09-22$132400.00$120000.0034.9%10.0%40.6%8.4%38.0%-23.5%10.5%659.6K-4.4M-128.1K0.2982.93N/AN/A1052
2016-09-23$135000.00$120000.0034.6%9.9%41.3%8.0%40.4%-22.3%7.7%668.0K-4.1M-127.9K0.2933.60N/AN/A1052
2016-09-26$138500.00$120000.0044.5%12.8%42.5%20.3%41.8%-12.4%3.6%602.3K-7.7M-131.1K0.2381.06N/AN/A1052
2016-09-27$134400.00$120000.0032.3%9.2%43.7%5.2%41.0%-19.7%10.7%697.3K-5.9M-125.2K0.2736.61N/AN/A1052
2016-09-28$133900.00$120000.0032.2%9.2%43.3%5.0%42.0%-19.1%20.6%721.6K-5.5M-119.3K0.27118.75N/AN/A1052
2016-09-29$136100.00$120000.0045.0%12.9%43.9%20.8%40.3%-8.5%6.2%719.4K-8.1M-130.3K0.24108.55N/AN/A1052
2016-09-30$132800.00$120000.0030.8%8.8%44.6%3.3%28.4%-7.9%11.7%888.7K-5.7M-124.7K0.3395.34N/AN/A1052