SQQQ Options History — April 2017

In April 2017, SQQQ traded between $85425.00 and $96175.00. ATM implied volatility averaged 33.1%, placing in the 2.7% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 12.2% (HV 20d: 20.9%). Max pain ranged from $85000.00 to $92500.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.99.

Notable Days

2017-04-21: Highest Volume — 3 contracts
2017-04-12: Largest IV spike — 29.6% change
2017-04-17: Highest IV Rank — 7.6%
2017-04-17: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$92060.53	$85425.00	$96175.00	$92675.00	$85425.00
Max Pain	$88947.37	$85000.00	$92500.00	$92500.00	$85000.00
ATM IV	33.1%	25.6%	46.4%	28.0%	27.9%
Expected Move	10.2%	7.3%	13.3%	8.0%	8.0%
HV 20d	20.9%	14.6%	22.7%	22.1%	22.7%
HV 60d	21.1%	20.4%	22.5%	20.9%	21.7%
IV Rank	2.7%	0.0%	7.6%	0.8%	0.8%
IV Percentile	25.2%	0.0%	72.2%	3.2%	4.8%
Term Structure	1.6%	-8.8%	9.7%	6.7%	2.2%
VWIV	39.5%	28.1%	56.2%	28.1%	28.5%
Skew 25d	-10.3%	-15.2%	-4.7%	-4.7%	-6.8%
Skew 10d	-20.5%	-53.5%	-3.9%	-10.8%	-12.6%
Call IV 25d	42.4%	31.6%	54.9%	31.7%	34.5%
Put IV 25d	32.1%	23.9%	39.7%	27.0%	27.7%
Bid-Ask Spread %	72.64	54.86	105.72	90.29	82.67
Gamma HHI	0.15	0.09	0.22	0.13	0.10
Net GEX	617.9K	165.3K	953.2K	457.8K	328.2K
Net DEX	-30.6M	-38.8M	-20.3M	-37.9M	-20.3M
Net VEX	-94.1K	-104.0K	-73.2K	-104.0K	-97.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.50	1.60	1.04	1.03
Total Volume	2.158	2	3	2	2
Total OI	11.316	10	12	11	11

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-04-03	$92675.00	$92500.00	28.0%	8.0%	22.1%	0.8%	28.1%	-4.7%	6.7%	457.8K	-37.9M	-104.0K	1.04	90.29	N/A	N/A	1	1	8	3
2017-04-04	$92450.00	$92500.00	27.1%	7.8%	21.4%	0.5%	31.6%	-5.5%	7.1%	626.2K	-30.6M	-92.9K	1.60	91.22	N/A	N/A	1	1	7	3
2017-04-05	$93000.00	$92500.00	25.6%	7.3%	21.5%	0.0%	28.3%	-5.9%	9.7%	532.3K	-28.8M	-94.4K	1.06	105.72	N/A	N/A	1	1	7	4
2017-04-06	$93475.00	$90000.00	25.9%	9.9%	21.7%	0.1%	37.2%	-10.0%	1.3%	735.1K	-33.2M	-95.2K	1.05	70.80	N/A	N/A	1	1	7	4
2017-04-07	$93300.00	$90000.00	27.2%	11.3%	21.5%	0.6%	39.5%	-8.2%	5.9%	768.4K	-33.2M	-97.2K	1.37	73.12	N/A	N/A	1	1	7	4
2017-04-10	$93325.00	$90000.00	26.3%	11.0%	21.4%	0.2%	46.7%	-13.7%	0.2%	831.3K	-33.0M	-96.9K	1.24	67.19	N/A	N/A	1	1	8	4
2017-04-11	$95100.00	$90000.00	32.8%	12.5%	22.3%	2.6%	45.8%	-15.0%	-0.3%	887.6K	-37.6M	-98.2K	0.88	72.95	N/A	N/A	1	1	8	4
2017-04-12	$95850.00	$90000.00	42.5%	12.2%	20.8%	6.2%	45.5%	-12.9%	0.3%	929.9K	-38.3M	-101.3K	1.23	54.86	N/A	N/A	1	1	8	4
2017-04-13	$96175.00	$90000.00	41.4%	11.9%	20.7%	5.8%	46.4%	-14.6%	-0.1%	923.1K	-38.8M	-101.6K	1.23	57.74	N/A	N/A	1	1	8	4
2017-04-17	$95975.00	$90000.00	46.4%	13.3%	20.7%	7.6%	47.9%	-15.2%	-8.8%	953.2K	-38.6M	-98.6K	1.28	68.49	N/A	N/A	1	1	8	4
2017-04-18	$94800.00	$90000.00	41.9%	12.0%	21.2%	6.0%	55.0%	-14.6%	-1.1%	902.8K	-35.7M	-93.5K	0.98	55.13	N/A	N/A	1	1	8	4
2017-04-19	$94800.00	$90000.00	39.5%	11.3%	14.6%	5.1%	56.2%	-14.7%	0.0%	841.5K	-32.4M	-102.7K	0.68	73.33	N/A	N/A	1	1	8	4
2017-04-20	$91675.00	$87500.00	37.6%	10.8%	17.8%	4.4%	42.5%	-13.2%	1.6%	424.8K	-28.5M	-93.5K	0.79	64.65	N/A	N/A	1	1	8	4
2017-04-21	$92275.00	$87500.00	38.5%	11.0%	17.7%	4.7%	45.3%	-12.8%	0.8%	421.9K	-28.8M	-93.2K	0.65	74.05	N/A	N/A	2	1	8	4
2017-04-24	$88800.00	$87500.00	32.7%	9.4%	21.6%	2.6%	32.0%	-5.8%	0.7%	165.3K	-20.8M	-80.8K	0.50	56.35	N/A	N/A	2	1	6	4
2017-04-25	$86825.00	$85000.00	30.3%	8.7%	22.6%	1.7%	31.9%	-11.1%	-1.6%	246.0K	-21.0M	-73.2K	0.57	78.61	N/A	N/A	2	1	6	4
2017-04-26	$87325.00	$85000.00	29.4%	8.4%	22.3%	1.4%	30.8%	-6.3%	1.8%	359.7K	-21.9M	-85.0K	0.70	68.98	N/A	N/A	1	1	7	4
2017-04-27	$85900.00	$85000.00	28.6%	8.2%	22.7%	1.1%	30.4%	-5.5%	3.3%	405.3K	-21.7M	-88.2K	0.97	73.97	N/A	N/A	1	1	7	4
2017-04-28	$85425.00	$85000.00	27.9%	8.0%	22.7%	0.8%	28.5%	-6.8%	2.2%	328.2K	-20.3M	-97.8K	1.03	82.67	N/A	N/A	1	1	7	4