SQQQ Options History — July 2017

In July 2017, SQQQ traded between $68900.00 and $82950.00. ATM implied volatility averaged 42.5%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 1.3% (HV 20d: 43.8%). Max pain ranged from $67500.00 to $75000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.51.

Notable Days

  • 2017-07-27: Highest Volume — 6 contracts
  • 2017-07-07: Largest IV drop — 10.6% change
  • 2017-07-03: Highest IV Rank — 9.6%
  • 2017-07-03: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73921.25$68900.00$82950.00$82950.00$70975.00
Max Pain$72250.00$67500.00$75000.00$75000.00$67500.00
ATM IV42.5%37.5%51.8%51.8%40.9%
Expected Move12.3%10.8%14.9%14.9%11.7%
HV 20d43.8%32.4%53.1%49.0%32.8%
HV 60d38.6%37.2%39.5%37.2%38.4%
IV Rank6.2%4.3%9.6%9.6%5.6%
IV Percentile71.2%53.2%92.9%92.9%68.3%
Term Structure1.6%-3.5%6.8%0.7%1.8%
VWIV45.6%37.4%61.8%52.9%44.5%
Skew 25d-13.1%-19.9%-7.9%-19.9%-11.8%
Skew 10d-25.8%-35.5%-14.9%-29.9%-35.5%
Call IV 25d51.0%41.7%64.4%64.4%49.7%
Put IV 25d37.8%32.7%44.5%44.5%37.9%
Bid-Ask Spread %28.3413.6154.8044.9915.33
Gamma HHI0.140.090.250.090.25
Net GEX636.6K337.7K1.4M638.1K1.4M
Net DEX-18.2M-34.4M-6.8M-32.1M-30.7M
Net VEX-139.9K-190.4K-117.9K-151.1K-190.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.230.690.640.49
Total Volume3.73634
Total OI16.7515211521

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$82950.00$75000.0051.8%14.9%49.0%9.6%52.9%-19.9%0.7%638.1K-32.1M-151.1K0.6444.99N/AN/A21105
2017-07-05$80425.00$75000.0046.8%13.4%50.7%7.7%48.7%-13.3%6.8%668.6K-28.6M-139.5K0.5851.98N/AN/A21105
2017-07-06$82875.00$75000.0050.8%14.7%51.0%9.2%61.8%-17.5%-1.0%738.6K-34.4M-150.7K0.5220.87N/AN/A31105
2017-07-07$80025.00$75000.0045.5%13.9%53.1%7.3%55.8%-15.9%0.0%670.2K-25.0M-143.1K0.5621.09N/AN/A21105
2017-07-10$78175.00$75000.0044.8%13.2%46.5%7.0%50.2%-14.3%-3.5%688.7K-22.8M-132.8K0.6625.58N/AN/A21105
2017-07-11$77950.00$75000.0043.1%13.4%46.0%6.4%48.8%-16.1%0.9%702.2K-21.2M-136.6K0.5722.48N/AN/A21105
2017-07-12$74950.00$75000.0044.3%12.7%46.5%6.8%46.7%-13.9%-0.1%618.7K-16.1M-127.9K0.5435.01N/AN/A21115
2017-07-13$74550.00$75000.0042.3%12.1%45.8%6.1%46.0%-13.8%2.2%604.2K-15.6M-130.3K0.5620.66N/AN/A21115
2017-07-14$72775.00$75000.0039.4%11.3%46.1%5.0%41.2%-11.4%1.5%553.0K-10.5M-117.9K0.5136.88N/AN/A31115
2017-07-17$72800.00$72500.0040.8%11.7%45.9%5.5%42.7%-11.8%1.5%738.4K-12.9M-126.6K0.6929.66N/AN/A21125
2017-07-18$71525.00$72500.0040.1%11.5%43.4%5.3%42.3%-12.0%1.5%542.8K-9.8M-123.8K0.5136.56N/AN/A31126
2017-07-19$70050.00$72500.0038.6%11.1%42.8%4.8%41.8%-10.5%1.1%362.4K-6.8M-122.1K0.5027.41N/AN/A32136
2017-07-20$69825.00$72500.0041.7%12.0%42.0%5.9%41.9%-12.3%0.1%355.7K-8.4M-130.8K0.5714.63N/AN/A21146
2017-07-21$70150.00$70000.0039.5%11.3%42.1%5.1%40.0%-9.8%2.4%666.4K-11.3M-139.7K0.5917.07N/AN/A21146
2017-07-24$68900.00$70000.0040.1%11.5%42.3%5.3%42.3%-12.3%4.2%337.7K-11.2M-129.3K0.5214.21N/AN/A21105
2017-07-25$69550.00$70000.0037.5%10.8%42.2%4.3%37.4%-7.9%4.0%386.3K-12.3M-132.3K0.2913.61N/AN/A31105
2017-07-26$69125.00$67500.0039.6%11.3%37.8%5.1%43.4%-10.3%2.2%511.1K-14.7M-141.2K0.4054.80N/AN/A31115
2017-07-27$70550.00$67500.0040.7%11.7%37.4%5.5%41.2%-15.3%4.3%710.5K-20.0M-159.1K0.3426.01N/AN/A42125
2017-07-28$70300.00$67500.0041.8%12.0%32.4%5.9%42.5%-12.5%0.6%802.5K-19.8M-172.9K0.2337.87N/AN/A51136
2017-07-31$70975.00$67500.0040.9%11.7%32.8%5.6%44.5%-11.8%1.8%1.4M-30.7M-190.4K0.4915.33N/AN/A31156