SQQQ Options History — March 2017

In March 2017, SQQQ traded between $92075.00 and $98025.00. ATM implied volatility averaged 30.5%, placing in the 1.5% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 7.6% (HV 20d: 23.0%). Max pain ranged from $32500.00 to $97500.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.34.

Notable Days

  • 2017-03-08: Highest Volume — 4 contracts
  • 2017-03-21: Largest IV spike — 39.5% change
  • 2017-03-21: Highest IV Rank — 4.4%
  • 2017-03-21: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95325.00$92075.00$98025.00$94950.00$92075.00
Max Pain$83913.04$32500.00$97500.00$32500.00$92500.00
ATM IV30.5%25.8%38.0%31.4%26.8%
Expected Move9.0%7.5%10.9%9.0%7.7%
HV 20d23.0%19.7%27.0%19.7%21.9%
HV 60d23.3%20.9%25.6%25.0%20.9%
IV Rank1.5%0.0%4.4%1.4%0.4%
IV Percentile8.7%0.0%38.9%6.0%0.8%
Term Structure6.1%-7.4%10.9%0.6%7.1%
VWIV31.2%26.5%36.5%35.3%26.9%
Skew 25d-8.2%-13.5%-4.0%-7.3%-6.7%
Skew 10d-13.9%-23.3%0.0%-19.3%-8.6%
Call IV 25d36.6%30.8%40.9%34.9%30.8%
Put IV 25d28.4%23.5%33.1%27.7%24.2%
Bid-Ask Spread %80.3863.4095.1887.6088.13
Gamma HHI0.200.120.500.150.13
Net GEX656.5K340.0K1.7M382.6K435.5K
Net DEX-56.3M-78.4M-37.7M-60.3M-38.4M
Net VEX-108.2K-128.8K-99.4K-106.3K-107.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.661.911.371.48
Total Volume2.7832432
Total OI14.78310191711

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$94950.00$32500.0031.4%9.0%19.7%1.4%35.3%-7.3%0.6%382.6K-60.3M-106.3K1.3787.60N/AN/A12125
2017-03-02$96850.00$32500.0033.4%9.6%21.2%2.2%33.7%-5.3%4.1%470.2K-63.4M-111.2K1.7084.06N/AN/A12125
2017-03-03$96450.00$32500.0030.1%8.6%20.8%0.9%29.8%-5.3%4.5%466.5K-63.1M-110.1K1.9188.66N/AN/A12125
2017-03-06$96475.00$97500.0031.1%9.5%20.9%1.3%36.2%-9.3%10.7%469.1K-63.2M-100.3K1.5463.40N/AN/A12125
2017-03-07$97675.00$97500.0029.8%10.0%21.9%0.8%34.8%-8.8%6.5%582.8K-65.6M-103.5K1.7072.69N/AN/A12125
2017-03-08$96950.00$97500.0030.5%9.6%21.8%1.1%29.5%-9.9%10.4%681.9K-66.2M-105.6K0.6669.69N/AN/A22125
2017-03-09$96475.00$90000.0030.0%9.6%21.7%0.9%26.8%-10.8%8.1%1.3M-78.4M-128.8K0.8179.26N/AN/A22145
2017-03-10$95625.00$90000.0025.8%9.1%21.7%0.0%30.5%-9.7%8.4%1.1M-69.6M-108.1K0.8568.10N/AN/A22145
2017-03-13$94900.00$90000.0028.9%9.1%21.7%1.1%29.1%-8.8%7.9%1.1M-68.2M-102.7K0.8075.95N/AN/A22145
2017-03-14$95700.00$90000.0035.7%9.4%21.5%3.6%34.2%-9.1%7.9%1.1M-71.5M-112.2K1.6871.10N/AN/A12145
2017-03-15$93550.00$90000.0026.3%7.5%22.6%0.2%30.8%-9.5%8.9%1.7M-63.7M-113.9K1.3995.18N/AN/A12145
2017-03-16$94150.00$90000.0031.5%9.0%22.1%2.1%32.1%-8.8%10.4%1.2M-66.4M-109.9K1.3578.36N/AN/A12145
2017-03-17$94175.00$90000.0029.0%8.3%22.1%1.2%29.2%-8.3%10.9%340.0K-66.4M-107.2K0.9574.29N/AN/A22145
2017-03-20$94025.00$90000.0027.2%7.8%21.9%0.5%28.4%-6.7%-7.4%359.8K-41.2M-108.2K1.5478.88N/AN/A1173
2017-03-21$98025.00$90000.0038.0%10.9%26.1%4.4%36.5%-13.5%2.9%387.0K-46.2M-101.9K1.0284.09N/AN/A1173
2017-03-22$96375.00$90000.0032.2%9.2%26.8%2.3%32.4%-9.9%6.6%454.5K-46.2M-108.4K1.5180.31N/AN/A1173
2017-03-23$97125.00$90000.0035.6%10.2%26.6%3.6%33.0%-8.8%2.8%435.4K-46.8M-109.6K1.4778.81N/AN/A1173
2017-03-24$96025.00$90000.0034.0%9.7%26.8%3.0%33.9%-7.8%2.6%451.5K-45.8M-111.6K1.5683.76N/AN/A1173
2017-03-27$95575.00$90000.0031.5%9.0%26.8%2.1%26.5%-7.0%9.1%518.7K-45.9M-110.0K1.2180.03N/AN/A1183
2017-03-28$93850.00$92500.0028.4%8.1%27.0%1.0%29.1%-4.0%5.0%451.6K-41.7M-99.4K1.3485.24N/AN/A1183
2017-03-29$92925.00$92500.0027.6%7.9%23.2%0.7%30.8%-5.3%7.1%404.1K-39.8M-104.5K1.4292.80N/AN/A1183
2017-03-30$92550.00$92500.0027.9%8.0%21.8%0.8%29.4%-8.6%5.4%353.1K-37.7M-106.6K1.4988.40N/AN/A1183
2017-03-31$92075.00$92500.0026.8%7.7%21.9%0.4%26.9%-6.7%7.1%435.5K-38.4M-107.9K1.4888.13N/AN/A1183