SQQQ Options History — January 2017

In January 2017, SQQQ traded between $109225.00 and $127800.00. ATM implied volatility averaged 49.9%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 22.0% (HV 20d: 27.9%). Max pain ranged from $27500.00 to $150000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.21.

Notable Days

  • 2017-01-19: Highest Volume — 4 contracts
  • 2017-01-12: Largest IV spike — 663.0% change
  • 2017-01-12: Highest IV Rank — 100.0%
  • 2017-01-03: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116393.75$109225.00$127800.00$127800.00$112100.00
Max Pain$60875.00$27500.00$150000.00$150000.00$27500.00
ATM IV49.9%32.2%299.2%46.6%36.9%
Expected Move11.0%9.2%13.4%13.4%10.6%
HV 20d27.9%21.1%33.8%33.6%21.1%
HV 60d37.3%36.2%38.8%38.5%36.2%
IV Rank11.1%1.7%100.0%23.3%3.4%
IV Percentile23.0%4.0%100.0%49.2%21.4%
Term Structure2.5%-1.1%5.5%0.4%1.4%
VWIV40.6%34.7%51.8%45.4%41.4%
Skew 25d-9.4%-15.2%-3.8%-6.3%-8.9%
Skew 10d-17.9%-31.1%-7.4%-13.2%-15.6%
Call IV 25d44.5%37.4%52.0%51.2%43.6%
Put IV 25d35.1%29.2%45.0%45.0%34.7%
Bid-Ask Spread %64.2028.71102.2395.5480.85
Gamma HHI0.200.130.320.240.15
Net GEX339.3K92.4K532.7K417.6K532.7K
Net DEX-104.8M-241.3M8.1M1.8M-105.6M
Net VEX-82.0K-148.3K-48.2K-104.5K-84.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.561.710.561.07
Total Volume1.650402
Total OI16.65631616

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$127800.00$150000.0046.6%13.4%33.6%23.3%45.4%-6.3%0.4%417.6K1.8M-104.5K0.5695.54N/AN/A0042
2017-01-04$124600.00$150000.0038.5%11.0%33.6%13.4%39.8%-3.8%4.5%463.0K4.7M-98.3K1.2191.47N/AN/A0052
2017-01-05$122600.00$120000.0033.3%11.9%33.8%6.9%39.9%-14.2%2.6%468.4K5.4M-96.4K0.7967.20N/AN/A0052
2017-01-06$119300.00$110000.0033.3%11.5%32.1%6.9%40.5%-10.8%-0.1%386.5K7.3M-88.0K0.57102.23N/AN/A0052
2017-01-09$118100.00$110000.0036.8%12.4%32.2%11.3%45.7%-11.6%1.4%354.0K8.1M-86.8K1.4381.72N/AN/A0052
2017-01-10$117500.00$110000.0034.6%12.5%31.6%8.5%42.9%-15.2%-0.1%400.2K7.0M-86.8K0.9490.04N/AN/A0052
2017-01-11$117000.00$110000.0039.2%11.2%30.9%14.2%39.2%-7.1%5.5%429.8K6.3M-87.8K1.7128.71N/AN/A0052
2017-01-12$117475.00$27500.00299.2%0.0%26.3%100.0%0.0%0.0%0.0%125.9K-241.3M-148.3K1.6930.05N/AN/A12219
2017-01-13$115950.00$27500.0038.9%11.2%26.3%4.1%39.6%-12.3%3.3%137.5K-238.5M-80.2K1.6331.36N/AN/A12219
2017-01-17$117425.00$27500.0040.3%11.5%27.0%4.6%44.2%-10.6%4.1%92.4K-234.3M-48.2K1.5229.60N/AN/A12209
2017-01-18$116550.00$27500.0041.2%11.8%26.0%5.0%42.9%-10.2%3.3%156.9K-233.2M-49.9K1.2734.62N/AN/A12209
2017-01-19$116650.00$27500.0039.9%11.4%26.0%4.5%51.8%-9.9%2.2%248.9K-235.1M-55.0K0.9033.07N/AN/A22219
2017-01-20$116175.00$27500.0036.3%10.4%25.7%3.2%42.5%-9.0%3.6%305.9K-236.1M-64.8K1.2833.51N/AN/A12229
2017-01-23$115400.00$27500.0034.4%9.9%25.6%2.5%38.1%-10.0%4.5%356.9K-106.7M-70.3K1.3470.68N/AN/A11114
2017-01-24$112975.00$27500.0033.1%9.5%25.6%2.0%36.0%-8.4%-1.1%392.1K-103.6M-74.5K1.4970.94N/AN/A11114
2017-01-25$109875.00$27500.0032.8%9.4%26.8%1.9%34.9%-7.1%1.6%336.2K-99.0M-77.2K1.1371.83N/AN/A11114
2017-01-26$109475.00$27500.0034.2%9.8%26.2%2.4%35.1%-8.2%2.9%363.2K-99.9M-80.0K1.2778.68N/AN/A11114
2017-01-27$109225.00$27500.0032.2%9.2%23.0%1.7%34.7%-8.2%4.1%364.9K-99.5M-76.7K1.1675.71N/AN/A11114
2017-01-30$111700.00$27500.0035.7%10.2%25.0%3.0%36.7%-7.4%2.9%453.1K-104.0M-81.7K1.1886.14N/AN/A11114
2017-01-31$112100.00$27500.0036.9%10.6%21.1%3.4%41.4%-8.9%1.4%532.7K-105.6M-84.1K1.0780.85N/AN/A11124