SQQQ Options History — September 2017

In September 2017, SQQQ traded between $66225.00 and $70950.00. ATM implied volatility averaged 37.4%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 3.0% (HV 20d: 34.4%). Max pain ranged from $65000.00 to $67500.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.54.

Notable Days

  • 2017-09-05: Highest Volume — 10 contracts
  • 2017-09-25: Largest IV spike — 17.6% change
  • 2017-09-08: Highest IV Rank — 6.1%
  • 2017-09-08: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67825.00$66225.00$70950.00$66675.00$66950.00
Max Pain$65250.00$65000.00$67500.00$67500.00$65000.00
ATM IV37.4%34.4%42.2%34.6%35.8%
Expected Move11.1%9.9%13.0%9.9%10.3%
HV 20d34.4%26.7%43.0%42.1%29.5%
HV 60d36.3%32.8%41.3%41.3%32.8%
IV Rank4.3%3.2%6.1%3.3%3.7%
IV Percentile47.2%34.9%69.4%37.3%38.9%
Term Structure4.6%1.9%8.0%7.6%4.8%
VWIV39.6%33.3%47.7%33.3%35.4%
Skew 25d-15.3%-19.2%-10.6%-10.6%-13.4%
Skew 10d-36.0%-45.8%-19.5%-19.5%-33.3%
Call IV 25d47.5%38.8%56.6%38.8%42.0%
Put IV 25d32.2%28.3%37.4%28.3%28.7%
Bid-Ask Spread %27.286.6059.806.6022.69
Gamma HHI0.290.180.580.310.21
Net GEX2.3M994.0K4.2M2.9M1.3M
Net DEX-34.9M-53.8M-17.5M-31.5M-30.5M
Net VEX-240.5K-275.9K-222.1K-261.1K-222.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.250.820.590.71
Total Volume5.341054
Total OI30.323383526

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$66675.00$67500.0034.6%9.9%42.1%3.3%33.3%-10.6%7.6%2.9M-31.5M-261.1K0.596.60N/AN/A32269
2017-09-05$68625.00$65000.0038.8%12.7%43.0%4.8%45.2%-19.2%2.6%3.5M-50.9M-275.9K0.2533.51N/AN/A82279
2017-09-06$67975.00$65000.0038.1%12.2%43.0%4.5%41.5%-17.4%1.9%3.6M-41.2M-259.8K0.5119.53N/AN/A32279
2017-09-07$67525.00$65000.0036.8%12.0%43.0%4.1%46.7%-18.2%3.0%3.5M-38.1M-247.6K0.5618.82N/AN/A32279
2017-09-08$69225.00$65000.0042.2%13.0%38.1%6.1%47.7%-17.9%3.0%4.0M-53.8M-259.5K0.4741.10N/AN/A42279
2017-09-11$67025.00$65000.0037.3%11.6%39.0%4.3%43.5%-17.1%3.1%4.1M-30.8M-230.6K0.4443.25N/AN/A42289
2017-09-12$66575.00$65000.0037.3%11.4%37.0%4.3%37.9%-17.6%2.8%4.2M-30.7M-234.9K0.3323.32N/AN/A62289
2017-09-13$66225.00$65000.0035.0%10.0%36.9%3.4%40.6%-16.2%5.2%2.6M-21.5M-222.7K0.6323.36N/AN/A32279
2017-09-14$67350.00$65000.0038.5%11.0%37.6%4.7%36.6%-15.8%5.0%3.5M-30.9M-235.2K0.6223.52N/AN/A42279
2017-09-15$66750.00$67500.0036.8%10.5%31.6%4.1%37.3%-14.2%5.0%994.0K-17.5M-231.7K0.5325.12N/AN/A422810
2017-09-18$66800.00$65000.0037.3%10.7%31.6%4.3%37.6%-15.3%5.7%1.0M-28.0M-232.2K0.5644.32N/AN/A32167
2017-09-19$66675.00$65000.0037.0%10.6%31.0%4.2%38.3%-14.9%5.1%1.1M-28.8M-232.9K0.5422.51N/AN/A31167
2017-09-20$67050.00$65000.0035.3%10.1%26.7%3.5%36.2%-13.9%8.0%1.2M-30.3M-227.6K0.5159.80N/AN/A32167
2017-09-21$68450.00$65000.0035.3%10.1%27.8%3.5%38.5%-13.5%5.0%1.2M-35.6M-231.4K0.5319.60N/AN/A32177
2017-09-22$68525.00$65000.0034.4%9.9%27.2%3.2%35.5%-13.7%6.7%1.3M-36.2M-253.6K0.5721.32N/AN/A31177
2017-09-25$70950.00$65000.0040.5%11.6%30.3%5.4%42.4%-15.5%5.2%1.2M-47.1M-234.8K0.4720.58N/AN/A32177
2017-09-26$70325.00$65000.0040.0%11.5%30.4%5.3%40.8%-13.1%2.8%1.3M-44.0M-238.0K0.5735.47N/AN/A31178
2017-09-27$68125.00$65000.0039.0%11.2%31.9%4.9%39.3%-15.4%4.2%1.3M-34.6M-240.0K0.6420.36N/AN/A22178
2017-09-28$68700.00$65000.0037.7%10.8%30.3%4.4%37.5%-13.8%4.8%1.4M-37.0M-239.0K0.8220.80N/AN/A22188
2017-09-29$66950.00$65000.0035.8%10.3%29.5%3.7%35.4%-13.4%4.8%1.3M-30.5M-222.1K0.7122.69N/AN/A22188