SQQQ Options History — November 2016

In November 2016, SQQQ traded between $131100.00 and $151500.00. ATM implied volatility averaged 51.5%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 9.9% (HV 20d: 41.6%). Max pain ranged from $130000.00 to $140000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2016-11-09: Highest Volume — 2 contracts
  • 2016-11-09: Largest IV drop — 27.4% change
  • 2016-11-04: Highest IV Rank — 58.4%
  • 2016-11-03: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$138661.90$131100.00$151500.00$142300.00$135000.00
Max Pain$132857.14$130000.00$140000.00$130000.00$130000.00
ATM IV51.5%36.5%75.2%61.2%39.5%
Expected Move14.1%10.5%18.1%17.5%11.3%
HV 20d41.6%29.5%46.6%29.6%45.5%
HV 60d37.4%31.8%40.0%31.8%40.0%
IV Rank29.3%10.9%58.4%41.2%14.6%
IV Percentile52.5%13.5%91.7%79.0%24.6%
Term Structure-2.4%-46.9%11.3%-5.1%1.2%
VWIV52.4%38.0%70.4%62.6%43.3%
Skew 25d-16.0%-26.2%-1.7%-15.1%-12.7%
Skew 10d-28.4%-52.1%1.7%-29.6%-10.7%
Call IV 25d59.3%43.1%77.6%74.8%49.3%
Put IV 25d43.3%28.3%60.0%59.7%36.6%
Bid-Ask Spread %65.7915.82104.4235.3290.69
Gamma HHI0.210.100.530.120.12
Net GEX345.9K90.0K768.7K191.7K174.2K
Net DEX-721.2K-10.4M8.0M-1.7M2.4M
Net VEX-120.7K-135.4K-102.2K-118.7K-121.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.260.890.460.73
Total Volume0.5710210
Total OI6.9526866

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$142300.00$130000.0061.2%17.5%29.6%41.2%62.6%-15.1%-5.1%191.7K-1.7M-118.7K0.4635.32N/AN/A1042
2016-11-02$144900.00$130000.0058.8%16.9%29.5%38.3%67.4%-17.5%-5.0%247.1K-5.7M-124.7K0.7082.64N/AN/A0042
2016-11-03$150100.00$140000.0071.0%18.1%31.4%53.3%70.4%-16.6%-18.4%289.3K-9.7M-129.5K0.7174.63N/AN/A0043
2016-11-04$151500.00$140000.0075.2%18.1%31.5%58.4%65.7%-20.5%-4.0%326.9K-9.2M-135.4K0.7283.36N/AN/A0043
2016-11-07$141200.00$140000.0065.1%15.0%40.7%46.0%65.7%-25.6%3.2%317.2K-1.4M-116.0K0.5284.80N/AN/A1043
2016-11-08$136800.00$130000.0070.1%15.4%39.3%52.1%47.5%-24.1%-1.9%305.8K585.2K-117.3K0.2731.16N/AN/A1043
2016-11-09$136700.00$130000.0050.9%14.6%39.2%28.5%56.7%-7.6%-46.9%768.7K-10.4M-123.0K0.2695.93N/AN/A2053
2016-11-10$142900.00$130000.0055.6%15.9%42.1%34.3%54.4%-26.2%-1.0%550.9K-5.4M-123.9K0.5642.10N/AN/A1053
2016-11-11$142500.00$130000.0054.1%15.5%42.0%32.5%55.8%-22.6%11.3%575.2K-4.6M-125.1K0.6282.34N/AN/A0053
2016-11-14$147000.00$130000.0060.3%17.3%43.2%40.1%62.5%-19.4%-0.2%753.6K-9.6M-134.4K0.4888.61N/AN/A1053
2016-11-15$139700.00$140000.0050.0%14.3%45.8%27.4%50.1%-18.4%-5.9%666.5K-1.6M-121.9K0.4623.39N/AN/A1053
2016-11-16$138100.00$140000.0048.6%13.9%46.1%25.7%50.4%-16.1%4.2%655.2K-1.0M-128.5K0.4815.82N/AN/A1053
2016-11-17$135300.00$130000.0046.3%13.3%46.6%22.9%46.8%-18.7%2.4%579.2K2.1M-125.3K0.4918.42N/AN/A1053
2016-11-18$136100.00$140000.0046.3%13.3%46.5%22.9%56.9%-12.4%1.8%90.0K5.2M-117.1K0.3399.76N/AN/A1053
2016-11-21$132500.00$130000.0036.8%10.5%46.0%11.2%44.1%-12.0%3.2%131.6K4.5M-117.3K0.5092.99N/AN/A1042
2016-11-22$131100.00$130000.0038.2%10.9%46.0%13.0%40.3%-10.1%3.1%124.7K8.0M-102.2K0.8796.97N/AN/A0042
2016-11-23$133000.00$130000.0036.9%10.6%46.0%11.4%38.0%-1.7%2.4%129.7K4.6M-119.3K0.7287.87N/AN/A0042
2016-11-25$131500.00$130000.0036.5%10.5%45.7%10.9%40.6%-5.7%3.5%124.8K6.0M-106.2K0.89104.42N/AN/A0042
2016-11-28$132300.00$130000.0041.3%11.9%45.2%16.8%42.0%-15.5%0.2%129.0K5.4M-116.6K0.8421.95N/AN/A0042
2016-11-29$131400.00$130000.0038.6%11.1%45.2%13.5%40.4%-18.3%0.8%131.6K6.3M-109.5K0.7628.34N/AN/A0042
2016-11-30$135000.00$130000.0039.5%11.3%45.5%14.6%43.3%-12.7%1.2%174.2K2.4M-121.8K0.7390.69N/AN/A0042