SQQQ Options History — August 2017

In August 2017, SQQQ traded between $66800.00 and $74300.00. ATM implied volatility averaged 41.3%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 8.8% (HV 20d: 32.5%). Max pain ranged from $67500.00 to $72500.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.40.

Notable Days

  • 2017-08-17: Highest Volume — 10 contracts
  • 2017-08-10: Largest IV spike — 24.7% change
  • 2017-08-10: Highest IV Rank — 10.0%
  • 2017-08-10: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71103.26$66800.00$74300.00$70925.00$66800.00
Max Pain$69021.74$67500.00$72500.00$67500.00$67500.00
ATM IV41.3%34.0%53.0%38.0%35.8%
Expected Move12.1%10.3%15.2%10.9%10.3%
HV 20d32.5%19.2%42.1%28.9%42.1%
HV 60d39.7%38.4%41.3%38.4%41.3%
IV Rank5.7%3.0%10.0%4.5%3.7%
IV Percentile63.5%34.1%92.9%55.2%40.5%
Term Structure4.6%1.4%8.0%2.9%8.0%
VWIV43.4%35.9%53.8%41.5%36.1%
Skew 25d-15.1%-22.4%-10.0%-10.0%-12.8%
Skew 10d-32.9%-48.0%-22.3%-22.3%-30.0%
Call IV 25d50.5%42.3%62.5%45.6%42.3%
Put IV 25d35.4%29.6%43.2%35.6%29.6%
Bid-Ask Spread %20.248.9154.5216.2110.30
Gamma HHI0.250.140.370.260.26
Net GEX1.8M793.2K2.5M1.5M2.3M
Net DEX-35.2M-52.9M-23.4M-28.5M-23.4M
Net VEX-222.0K-263.2K-188.1K-188.1K-233.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.210.570.470.45
Total Volume5.56541047
Total OI25.82622312231

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$70925.00$67500.0038.0%10.9%28.9%4.5%41.5%-10.0%2.9%1.5M-28.5M-188.1K0.4716.21N/AN/A31166
2017-08-02$70300.00$67500.0037.7%10.8%27.6%4.4%38.0%-11.0%4.1%1.6M-27.7M-193.0K0.3217.08N/AN/A41166
2017-08-03$70950.00$72500.0036.6%11.8%24.8%4.0%45.2%-15.6%4.9%1.5M-29.2M-199.0K0.3817.54N/AN/A31167
2017-08-04$70950.00$70000.0034.0%11.2%22.7%3.0%43.7%-14.2%6.4%1.7M-29.4M-199.7K0.4014.35N/AN/A31167
2017-08-07$69450.00$72500.0034.0%11.4%22.5%3.0%45.8%-15.2%6.4%1.7M-23.8M-195.5K0.3914.53N/AN/A31177
2017-08-08$69800.00$72500.0037.8%12.3%22.8%4.5%47.4%-15.6%4.4%1.8M-25.9M-196.8K0.3818.08N/AN/A31177
2017-08-09$70050.00$70000.0042.5%12.2%19.2%6.2%44.1%-17.4%4.4%2.1M-28.5M-205.4K0.4116.20N/AN/A31187
2017-08-10$74300.00$72500.0053.0%15.2%29.3%10.0%53.8%-19.3%2.0%1.7M-48.0M-224.0K0.3022.81N/AN/A52187
2017-08-11$72775.00$72500.0049.4%14.2%28.9%8.7%49.3%-22.4%1.4%1.3M-35.0M-221.2K0.4148.48N/AN/A41177
2017-08-14$70125.00$72500.0041.6%11.9%31.8%5.8%40.9%-16.6%5.8%1.6M-23.5M-198.9K0.2441.49N/AN/A61177
2017-08-15$69525.00$67500.0040.0%11.5%31.3%5.3%37.1%-16.1%7.5%2.0M-30.0M-219.4K0.4919.21N/AN/A31197
2017-08-16$69575.00$67500.0039.5%11.3%30.5%5.1%38.4%-13.9%7.6%2.3M-30.3M-213.6K0.5414.25N/AN/A32207
2017-08-17$73350.00$67500.0048.7%14.0%35.8%8.4%44.0%-20.7%2.8%2.2M-52.9M-228.7K0.2615.88N/AN/A82208
2017-08-18$73325.00$67500.0047.5%13.6%35.8%8.0%46.8%-20.2%3.7%793.2K-46.9M-229.3K0.3054.52N/AN/A52208
2017-08-21$74225.00$67500.0049.2%14.1%35.2%8.6%49.2%-16.6%2.5%1.1M-43.3M-235.9K0.3222.99N/AN/A51167
2017-08-22$70725.00$67500.0040.6%11.6%39.6%5.5%46.8%-14.8%3.3%1.4M-31.7M-230.8K0.2127.32N/AN/A72177
2017-08-23$71300.00$67500.0043.3%12.4%39.6%6.5%45.1%-12.0%3.4%2.3M-45.0M-261.3K0.5419.05N/AN/A32217
2017-08-24$72225.00$67500.0042.3%12.1%39.2%6.1%45.6%-12.1%3.8%2.5M-50.5M-263.2K0.5617.05N/AN/A32228
2017-08-25$72450.00$67500.0040.6%11.6%39.2%5.5%41.6%-12.4%5.5%1.8M-42.7M-247.0K0.5710.49N/AN/A32198
2017-08-28$72225.00$67500.0040.9%11.7%39.1%5.6%40.1%-10.6%4.8%2.0M-42.5M-243.7K0.508.92N/AN/A32208
2017-08-29$71075.00$67500.0036.4%10.4%39.5%3.9%35.9%-14.3%6.7%2.1M-39.0M-239.2K0.419.98N/AN/A42208
2017-08-30$68950.00$67500.0040.7%11.7%40.9%5.5%41.1%-13.0%3.1%2.3M-32.7M-239.1K0.458.91N/AN/A42228
2017-08-31$66800.00$67500.0035.8%10.3%42.1%3.7%36.1%-12.8%8.0%2.3M-23.4M-233.2K0.4510.30N/AN/A52238