SQQQ Options History — December 2016

In December 2016, SQQQ traded between $122700.00 and $143000.00. ATM implied volatility averaged 42.4%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 2.3% (HV 20d: 40.1%). Max pain ranged from $130000.00 to $160000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2016-12-01: Highest Volume — 1 contracts
  • 2016-12-07: Largest IV drop — 27.8% change
  • 2016-12-01: Highest IV Rank — 36.3%
  • 2016-12-01: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$129523.81$122700.00$143000.00$143000.00$130800.00
Max Pain$149523.81$130000.00$160000.00$130000.00$150000.00
ATM IV42.4%34.1%57.2%57.2%42.9%
Expected Move12.0%10.1%16.4%16.4%12.3%
HV 20d40.1%33.0%49.8%49.8%33.0%
HV 60d38.5%37.3%41.7%41.7%38.2%
IV Rank18.2%7.9%36.3%36.3%18.8%
IV Percentile33.6%7.5%71.8%71.8%38.9%
Term Structure5.9%-6.0%16.5%-6.0%8.9%
VWIV45.2%37.6%54.0%52.9%45.5%
Skew 25d-9.4%-16.3%0.5%-2.3%-15.1%
Skew 10d-14.4%-34.6%10.0%6.5%-14.0%
Call IV 25d48.4%42.6%57.4%57.4%52.1%
Put IV 25d39.1%26.3%55.1%55.1%37.1%
Bid-Ask Spread %85.6227.6398.9757.0191.88
Gamma HHI0.210.120.310.120.23
Net GEX272.3K135.8K417.1K235.4K417.1K
Net DEX4.0M-3.2M10.3M-1.9M-237.3K
Net VEX-108.8K-133.2K-93.3K-125.2K-110.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.341.510.440.60
Total Volume0.190110
Total OI6.2386766

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$143000.00$130000.0057.2%16.4%49.8%36.3%52.9%-2.3%-6.0%235.4K-1.9M-125.2K0.4457.01N/AN/A1042
2016-12-02$142200.00$130000.0045.8%13.1%48.0%22.3%49.4%-10.2%-4.1%295.1K-3.2M-133.2K0.7527.63N/AN/A0042
2016-12-05$138500.00$160000.0047.4%13.2%48.5%24.3%49.1%-8.6%-3.3%241.6K1.6M-117.5K0.7398.71N/AN/A0042
2016-12-06$138100.00$160000.0047.2%11.7%41.7%24.0%46.2%-1.1%16.5%236.5K1.6M-116.0K0.8298.97N/AN/A0042
2016-12-07$132500.00$160000.0034.1%10.5%42.8%7.9%39.8%0.5%14.6%191.7K4.2M-109.3K0.6894.75N/AN/A0042
2016-12-08$131800.00$150000.0042.6%11.9%42.8%18.3%46.6%-12.3%11.1%159.0K5.5M-111.4K0.6984.22N/AN/A0042
2016-12-09$129000.00$150000.0038.0%12.0%39.7%12.7%44.0%-8.3%5.7%161.4K8.7M-102.4K0.6185.94N/AN/A0042
2016-12-12$130700.00$150000.0043.2%12.0%40.2%19.1%46.8%-11.0%11.0%222.1K4.8M-112.2K0.5789.05N/AN/A0052
2016-12-13$124400.00$150000.0049.0%11.9%40.9%26.3%50.1%-12.8%4.5%135.8K10.3M-93.3K0.4450.73N/AN/A1052
2016-12-14$125200.00$150000.0048.6%13.9%38.0%25.7%47.8%-10.6%4.6%245.1K7.8M-103.2K0.4093.47N/AN/A1052
2016-12-15$125100.00$150000.0044.6%12.8%37.9%20.8%48.1%-13.1%6.7%371.4K5.8M-109.2K0.6884.07N/AN/A0052
2016-12-16$127200.00$150000.0040.1%11.5%38.2%15.3%54.0%-8.9%10.2%237.8K6.8M-108.6K0.3489.06N/AN/A1052
2016-12-19$126000.00$150000.0039.5%11.3%38.1%14.6%41.0%-12.9%1.4%282.0K6.1M-97.5K0.4484.82N/AN/A0042
2016-12-20$124200.00$150000.0037.1%10.6%37.4%11.6%43.3%-9.5%4.6%276.9K4.4M-108.2K0.6487.84N/AN/A0042
2016-12-21$124300.00$150000.0035.3%10.1%37.3%9.4%42.9%-14.0%8.9%278.5K3.6M-108.4K0.6295.20N/AN/A0042
2016-12-22$125900.00$150000.0040.6%11.6%37.2%15.9%39.8%-6.7%1.4%316.6K4.5M-102.5K0.6895.32N/AN/A0042
2016-12-23$125400.00$150000.0037.7%10.8%37.1%12.4%38.4%-6.9%5.8%326.8K2.8M-109.3K1.5197.98N/AN/A0042
2016-12-27$122700.00$150000.0036.1%10.4%37.5%10.4%37.6%-16.3%9.1%320.3K5.1M-101.9K0.8097.60N/AN/A0042
2016-12-28$126200.00$150000.0041.6%11.9%39.2%17.2%41.0%-7.4%8.3%372.4K4.3M-99.7K0.8397.63N/AN/A0042
2016-12-29$126800.00$150000.0042.3%12.1%37.8%18.0%44.3%-9.1%4.3%394.4K2.2M-105.1K0.9096.14N/AN/A0042
2016-12-30$130800.00$150000.0042.9%12.3%33.0%18.8%45.5%-15.1%8.9%417.1K-237.3K-110.6K0.6091.88N/AN/A0042