SQQQ Options History — October 2017

In October 2017, SQQQ traded between $58375.00 and $66900.00. ATM implied volatility averaged 37.2%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 11.3% (HV 20d: 25.9%). Max pain ranged from $60000.00 to $65000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2017-10-05: Highest Volume — 6 contracts
  • 2017-10-25: Largest IV spike — 17.5% change
  • 2017-10-26: Highest IV Rank — 7.5%
  • 2017-10-26: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63404.55$58375.00$66900.00$66900.00$58375.00
Max Pain$61818.18$60000.00$65000.00$65000.00$60000.00
ATM IV37.2%30.0%46.2%35.4%40.7%
Expected Move11.0%9.7%13.2%10.2%11.7%
HV 20d25.9%18.6%34.5%29.5%34.4%
HV 60d31.7%30.5%35.4%32.1%35.2%
IV Rank4.2%1.6%7.5%3.6%5.5%
IV Percentile47.5%12.3%84.9%36.9%69.4%
Term Structure1.5%-1.5%6.4%5.2%-1.0%
VWIV40.3%32.5%48.7%37.6%44.3%
Skew 25d-14.0%-18.2%-8.2%-12.8%-8.2%
Skew 10d-32.0%-38.4%-16.8%-31.1%-19.5%
Call IV 25d46.4%36.0%56.5%41.4%48.9%
Put IV 25d32.4%26.9%40.7%28.6%40.7%
Bid-Ask Spread %33.1015.8276.8019.8034.31
Gamma HHI0.190.100.300.220.11
Net GEX1.2M557.0K1.7M1.5M793.9K
Net DEX-16.6M-29.7M-5.0M-29.7M-5.4M
Net VEX-197.4K-229.8K-158.8K-229.8K-158.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.421.010.550.88
Total Volume4.3183654
Total OI27.09123302626

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$66900.00$65000.0035.4%10.2%29.5%3.6%37.6%-12.8%5.2%1.5M-29.7M-229.8K0.5519.80N/AN/A32188
2017-10-03$66500.00$65000.0034.0%9.7%27.5%3.1%33.9%-10.2%5.4%1.5M-29.2M-221.9K0.5917.65N/AN/A32188
2017-10-04$66275.00$65000.0034.0%9.7%27.4%3.0%32.5%-9.1%6.4%1.6M-27.9M-219.0K0.5415.82N/AN/A32198
2017-10-05$64325.00$60000.0030.0%10.8%29.2%1.6%37.1%-14.2%1.2%1.5M-19.6M-210.5K0.4221.44N/AN/A42198
2017-10-06$64100.00$60000.0030.2%10.8%27.3%1.7%39.0%-14.5%1.9%1.5M-19.3M-210.3K0.5321.19N/AN/A31198
2017-10-09$64325.00$60000.0032.2%11.0%25.3%2.4%39.5%-14.6%2.4%1.6M-20.6M-204.6K0.5018.84N/AN/A31208
2017-10-10$64200.00$60000.0032.8%11.2%25.2%2.6%40.4%-14.8%1.2%1.6M-19.9M-207.0K0.5425.91N/AN/A32208
2017-10-11$63550.00$60000.0035.9%10.3%25.4%3.8%38.2%-15.8%2.4%1.7M-18.5M-205.4K0.6623.69N/AN/A22208
2017-10-12$63950.00$60000.0038.7%11.1%24.6%4.8%41.8%-14.6%2.3%1.7M-19.6M-205.5K0.6941.41N/AN/A32219
2017-10-13$63300.00$60000.0035.2%10.1%24.6%3.5%37.5%-14.8%2.3%1.5M-14.3M-198.9K0.8037.10N/AN/A22219
2017-10-16$62575.00$62500.0036.4%10.4%24.8%3.9%40.5%-14.4%2.3%1.3M-12.7M-189.9K0.6834.39N/AN/A22219
2017-10-17$62300.00$62500.0037.5%10.7%24.8%4.3%39.2%-14.4%1.2%1.1M-10.0M-186.0K0.7435.53N/AN/A22219
2017-10-18$62600.00$62500.0035.8%10.3%24.7%3.7%33.9%-14.3%1.1%1.1M-11.4M-194.9K0.8038.56N/AN/A22219
2017-10-19$63375.00$62500.0037.7%10.8%23.8%4.4%39.5%-16.0%0.1%1.0M-10.5M-185.1K0.7729.88N/AN/A22219
2017-10-20$62950.00$62500.0036.0%10.3%23.8%3.8%39.6%-14.8%0.8%574.1K-13.7M-193.3K0.6665.54N/AN/A32219
2017-10-23$64125.00$62500.0041.8%12.0%20.7%5.9%43.0%-16.0%-0.2%609.3K-16.5M-190.2K0.8217.29N/AN/A21158
2017-10-24$63750.00$62500.0038.0%10.9%20.7%4.5%43.5%-14.6%1.9%628.2K-15.9M-188.5K0.7025.22N/AN/A21158
2017-10-25$64450.00$62500.0044.7%12.8%18.8%7.0%48.7%-17.8%0.4%639.0K-17.9M-193.8K0.7625.96N/AN/A21158
2017-10-26$64775.00$62500.0046.2%13.2%18.6%7.5%47.8%-18.2%-1.5%708.7K-20.7M-198.2K1.0138.69N/AN/A22168
2017-10-27$59375.00$62500.0041.3%11.8%34.5%5.7%43.5%-11.2%-1.1%557.0K-5.0M-170.0K0.4763.20N/AN/A42168
2017-10-30$58825.00$60000.0043.1%12.4%34.4%6.4%46.6%-12.3%-1.1%786.2K-7.3M-181.7K0.7776.80N/AN/A22188
2017-10-31$58375.00$60000.0040.7%11.7%34.4%5.5%44.3%-8.2%-1.0%793.9K-5.4M-158.8K0.8834.31N/AN/A22188