SQQQ Options History — May 2017

In May 2017, SQQQ traded between $75625.00 and $84300.00. ATM implied volatility averaged 32.3%, placing in the 2.4% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 5.6% (HV 20d: 26.7%). Max pain ranged from $75000.00 to $87500.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2017-05-17: Highest Volume — 4 contracts
  • 2017-05-17: Largest IV spike — 45.0% change
  • 2017-05-17: Highest IV Rank — 7.0%
  • 2017-05-17: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80546.59$75625.00$84300.00$82850.00$76025.00
Max Pain$78522.73$75000.00$87500.00$85000.00$75000.00
ATM IV32.3%29.0%44.6%33.0%31.3%
Expected Move9.4%8.4%12.8%9.5%9.0%
HV 20d26.7%21.1%33.3%24.6%30.0%
HV 60d23.9%21.9%26.3%22.3%25.3%
IV Rank2.4%1.2%7.0%2.7%2.1%
IV Percentile22.6%8.3%75.0%23.4%19.0%
Term Structure3.1%-1.8%5.8%-1.1%3.4%
VWIV36.2%31.0%46.4%37.8%32.6%
Skew 25d-9.7%-14.1%-6.0%-9.8%-9.1%
Skew 10d-20.0%-33.8%-10.5%-12.0%-13.7%
Call IV 25d39.1%35.1%49.9%35.7%38.9%
Put IV 25d29.4%25.8%35.8%25.9%29.8%
Bid-Ask Spread %57.3349.2090.7890.7849.20
Gamma HHI0.210.120.260.160.23
Net GEX650.5K360.1K1.4M360.1K622.5K
Net DEX-18.9M-30.0M-14.1M-17.7M-17.2M
Net VEX-98.6K-114.1K-84.2K-87.3K-111.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.381.350.550.76
Total Volume2.4552432
Total OI13.45511161114

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$82850.00$85000.0033.0%9.5%24.6%2.7%37.8%-9.8%-1.1%360.1K-17.7M-87.3K0.5590.78N/AN/A2174
2017-05-02$82925.00$85000.0031.4%9.0%24.3%2.1%34.8%-7.9%1.7%603.9K-19.2M-96.8K1.0658.84N/AN/A1184
2017-05-03$83700.00$85000.0031.2%8.9%24.9%2.0%32.7%-6.7%1.5%681.4K-21.4M-89.0K0.9772.10N/AN/A1184
2017-05-04$83400.00$87500.0029.2%9.5%24.5%1.3%42.9%-9.3%2.7%711.0K-20.9M-94.1K0.9160.08N/AN/A1194
2017-05-05$82850.00$87500.0029.3%9.4%24.2%1.3%46.4%-10.1%2.9%774.4K-19.6M-95.3K0.9265.21N/AN/A1194
2017-05-08$82400.00$87500.0029.0%9.2%24.2%1.2%33.3%-8.8%4.0%767.8K-18.6M-88.0K0.9853.10N/AN/A1194
2017-05-09$81425.00$85000.0030.6%9.7%24.1%1.8%32.1%-9.0%2.9%664.2K-16.2M-87.1K0.7354.47N/AN/A1194
2017-05-10$81250.00$75000.0031.7%9.1%22.2%2.2%32.4%-9.7%3.9%758.8K-17.4M-84.4K0.7553.91N/AN/A1194
2017-05-11$81175.00$75000.0032.7%9.4%21.6%2.6%38.0%-9.3%3.2%809.3K-18.3M-84.2K0.8557.36N/AN/A11104
2017-05-12$80850.00$75000.0032.9%9.4%21.2%2.7%32.5%-8.9%2.9%704.1K-16.8M-88.0K0.9456.81N/AN/A11104
2017-05-15$80125.00$75000.0032.0%9.2%21.1%2.3%35.4%-8.9%3.0%640.4K-16.1M-97.7K1.2853.68N/AN/A11105
2017-05-16$79100.00$75000.0030.8%8.8%21.1%1.9%32.7%-8.5%4.5%442.7K-14.1M-96.6K1.3551.78N/AN/A11105
2017-05-17$84300.00$75000.0044.6%12.8%33.3%7.0%44.8%-14.1%-1.8%1.4M-30.0M-110.4K0.3856.66N/AN/A31105
2017-05-18$82525.00$75000.0040.4%11.6%32.2%5.4%46.4%-13.9%2.0%937.7K-23.1M-109.0K0.4653.04N/AN/A31115
2017-05-19$81750.00$75000.0036.9%10.6%32.0%4.1%37.3%-13.3%3.2%416.4K-20.7M-109.0K0.5555.36N/AN/A31115
2017-05-22$79600.00$75000.0031.8%9.1%30.6%2.3%38.5%-10.6%4.8%423.8K-20.9M-102.0K0.7749.67N/AN/A2184
2017-05-23$79675.00$75000.0032.0%9.2%30.0%2.3%31.0%-9.3%4.9%477.8K-21.0M-102.4K0.8050.72N/AN/A2184
2017-05-24$78375.00$75000.0029.3%8.4%30.1%1.3%33.3%-10.7%5.1%496.8K-19.2M-104.0K0.9057.08N/AN/A1184
2017-05-25$76025.00$75000.0029.9%8.6%31.1%1.5%33.4%-9.8%5.4%485.9K-15.9M-114.1K0.7250.21N/AN/A2194
2017-05-26$76075.00$75000.0029.2%8.4%31.2%1.3%34.6%-9.6%5.8%571.2K-15.9M-111.4K0.7254.58N/AN/A1195
2017-05-30$75625.00$75000.0031.5%9.0%29.8%2.1%34.3%-6.0%3.3%595.7K-15.7M-107.9K0.8356.60N/AN/A1195
2017-05-31$76025.00$75000.0031.3%9.0%30.0%2.1%32.6%-9.1%3.4%622.5K-17.2M-111.3K0.7649.20N/AN/A1195