SQQQ Options History — October 2016

In October 2016, SQQQ traded between $130800.00 and $139800.00. ATM implied volatility averaged 44.4%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 10.4% (HV 20d: 34.0%). Max pain ranged from $120000.00 to $150000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2016-10-03: Highest Volume — 1 contracts
  • 2016-10-11: Largest IV spike — 63.2% change
  • 2016-10-28: Highest IV Rank — 40.3%
  • 2016-10-28: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$135566.67$130800.00$139800.00$134000.00$138900.00
Max Pain$135714.29$120000.00$150000.00$120000.00$130000.00
ATM IV44.4%27.7%60.4%33.4%55.4%
Expected Move13.4%9.6%17.3%9.6%15.9%
HV 20d34.0%28.5%44.7%44.7%28.5%
HV 60d31.2%30.3%32.0%30.6%31.4%
IV Rank20.5%0.0%40.3%6.6%34.1%
IV Percentile39.6%0.0%78.6%4.8%72.2%
Term Structure3.2%-8.5%25.7%11.0%-1.5%
VWIV47.8%34.8%59.5%44.6%59.5%
Skew 25d-16.1%-25.4%-7.0%-7.8%-20.5%
Skew 10d-30.3%-42.9%-5.0%-5.0%-41.1%
Call IV 25d56.0%44.7%66.8%48.0%66.8%
Put IV 25d39.9%24.3%46.3%40.2%46.3%
Bid-Ask Spread %67.0218.06110.7491.2030.21
Gamma HHI0.280.110.500.350.12
Net GEX599.7K57.9K995.8K827.6K166.5K
Net DEX-2.3M-13.5M7.4M-3.2M1.3M
Net VEX-116.9K-133.4K-80.9K-129.3K-113.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.271.410.401.20
Total Volume0.7620110
Total OI6.815876

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$134000.00$120000.0033.4%9.6%44.7%6.6%44.6%-7.8%11.0%827.6K-3.2M-129.3K0.4091.20N/AN/A1052
2016-10-04$134700.00$120000.0038.0%10.9%44.4%12.3%44.7%-14.7%9.4%801.1K-4.9M-133.4K0.4436.27N/AN/A1052
2016-10-05$133100.00$120000.0035.7%10.2%44.6%9.4%36.2%-14.5%0.6%848.5K-8.2M-133.0K0.39109.10N/AN/A1052
2016-10-06$133300.00$150000.0029.3%12.1%44.2%1.5%48.0%-17.9%6.8%858.8K-1.5M-124.3K0.3641.65N/AN/A1052
2016-10-07$134300.00$150000.0027.7%12.3%36.6%0.0%50.4%-20.0%6.7%739.2K-1.3M-126.3K0.4732.54N/AN/A1052
2016-10-10$131600.00$150000.0029.6%12.0%33.7%2.4%41.9%-8.6%12.1%791.9K2.2M-114.5K0.4989.22N/AN/A1052
2016-10-11$137800.00$140000.0048.3%15.2%35.9%25.4%54.8%-17.7%1.5%749.6K-4.5M-127.2K0.4229.18N/AN/A1052
2016-10-12$137400.00$140000.0050.2%14.4%35.5%27.8%46.0%-18.9%0.1%806.2K-4.4M-123.4K0.4362.63N/AN/A1052
2016-10-13$139100.00$140000.0050.0%14.3%31.3%27.5%50.9%-19.4%2.2%816.3K-6.5M-123.1K0.3425.86N/AN/A1052
2016-10-14$138000.00$140000.0050.7%14.5%31.4%28.4%49.9%-18.8%-1.3%812.7K-5.1M-125.6K0.4124.94N/AN/A1052
2016-10-17$139800.00$140000.0051.5%14.8%31.4%29.3%54.9%-17.2%0.9%945.8K-7.0M-124.7K0.4118.06N/AN/A1053
2016-10-18$135700.00$140000.0050.8%14.6%33.1%28.4%51.8%-14.6%3.8%763.3K-583.0K-116.1K0.3823.68N/AN/A1053
2016-10-19$136000.00$140000.0048.9%14.0%31.4%26.1%45.6%-11.7%-8.5%919.8K-13.5M-96.9K0.4092.85N/AN/A1053
2016-10-20$136700.00$140000.0048.9%14.0%30.3%26.2%45.2%-16.8%25.7%995.8K-4.1M-80.9K0.3994.87N/AN/A1053
2016-10-21$135200.00$140000.0046.0%13.2%29.8%22.6%57.9%-9.9%0.9%57.9K-435.1K-107.4K0.2788.55N/AN/A1053
2016-10-24$130800.00$130000.0041.2%11.8%30.4%16.7%42.9%-25.4%-1.2%68.6K5.4M-107.3K0.44110.20N/AN/A1032
2016-10-25$132000.00$130000.0039.7%11.4%28.9%14.8%46.0%-13.2%4.2%113.9K7.4M-99.0K1.4180.25N/AN/A0032
2016-10-26$133800.00$130000.0040.8%11.7%29.4%16.1%34.8%-7.0%5.4%101.8K4.4M-105.8K0.90110.36N/AN/A0032
2016-10-27$136100.00$130000.0056.4%16.2%29.4%35.4%47.8%-20.1%-4.8%211.1K-66.7K-119.4K0.97105.17N/AN/A0042
2016-10-28$138600.00$130000.0060.4%17.3%28.6%40.3%51.1%-23.1%-6.1%198.1K-3.5M-123.4K0.68110.74N/AN/A0042
2016-10-31$138900.00$130000.0055.4%15.9%28.5%34.1%59.5%-20.5%-1.5%166.5K1.3M-113.3K1.2030.21N/AN/A0042