SQQQ Options History — November 2017

In November 2017, SQQQ traded between $53600.00 and $58625.00. ATM implied volatility averaged 37.3%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 2.8% (HV 20d: 34.5%). Max pain ranged from $57500.00 to $62500.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2017-11-09: Highest Volume — 6 contracts
  • 2017-11-29: Largest IV spike — 34.8% change
  • 2017-11-30: Highest IV Rank — 6.6%
  • 2017-11-30: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56033.33$53600.00$58625.00$58375.00$54750.00
Max Pain$58928.57$57500.00$62500.00$60000.00$57500.00
ATM IV37.3%30.7%43.5%40.1%43.5%
Expected Move10.8%8.8%12.5%11.5%12.5%
HV 20d34.5%24.8%39.1%34.5%31.4%
HV 60d31.2%29.1%35.2%35.2%30.9%
IV Rank4.3%1.9%6.6%5.3%6.6%
IV Percentile50.9%14.7%86.9%65.5%86.9%
Term Structure3.0%-0.4%8.1%-0.4%0.1%
VWIV39.4%30.9%46.8%45.8%46.1%
Skew 25d-11.9%-17.3%-5.7%-12.8%-13.5%
Skew 10d-25.7%-43.1%-11.6%-21.6%-34.7%
Call IV 25d44.5%35.1%52.5%49.0%49.3%
Put IV 25d32.6%28.2%39.1%36.2%35.9%
Bid-Ask Spread %34.098.4875.7575.7526.50
Gamma HHI0.180.120.270.120.20
Net GEX925.5K753.1K1.4M795.3K888.1K
Net DEX-162.0K-14.1M10.2M-3.7M1.4M
Net VEX-151.5K-186.4K-120.9K-142.8K-156.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.411.110.820.79
Total Volume3.9053644
Total OI26.90523312726

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$58375.00$60000.0040.1%11.5%34.5%5.3%45.8%-12.8%-0.4%795.3K-3.7M-142.8K0.8275.75N/AN/A22189
2017-11-02$58625.00$62500.0038.9%11.2%33.5%4.8%45.7%-13.4%2.2%938.1K-8.7M-186.4K0.8559.28N/AN/A22199
2017-11-03$57150.00$62500.0035.4%11.2%34.3%3.6%41.0%-12.9%1.3%846.2K325.6K-145.8K0.9757.85N/AN/A22199
2017-11-06$56475.00$62500.0036.6%11.5%34.2%4.0%41.5%-10.5%0.1%859.8K-242.2K-161.5K0.9120.16N/AN/A22199
2017-11-07$56425.00$62500.0036.3%11.4%34.2%3.9%41.4%-11.7%1.9%883.6K979.0K-145.1K0.9320.40N/AN/A22199
2017-11-08$55725.00$62500.0036.7%10.5%34.3%4.0%43.2%-13.7%2.3%849.1K3.4M-145.2K0.9454.83N/AN/A21199
2017-11-09$56550.00$60000.0040.8%11.7%34.8%5.5%38.5%-14.3%1.7%966.4K-1.9M-161.0K0.4166.69N/AN/A42198
2017-11-10$56575.00$57500.0040.0%11.5%34.9%5.2%39.2%-14.9%2.3%1.2M-6.9M-171.5K0.7651.66N/AN/A21218
2017-11-13$56475.00$57500.0040.4%11.6%34.8%5.4%40.8%-12.8%2.1%1.2M-3.9M-146.3K0.6333.71N/AN/A21218
2017-11-14$56975.00$57500.0041.2%11.8%35.2%5.7%44.5%-13.3%1.6%1.2M-8.6M-171.6K0.7938.14N/AN/A22218
2017-11-15$58075.00$57500.0042.0%12.0%36.0%6.0%46.8%-14.4%2.1%1.4M-14.1M-180.0K0.7217.65N/AN/A32218
2017-11-16$55525.00$57500.0037.1%10.6%38.3%4.2%37.4%-17.3%3.6%1.2M-546.5K-151.7K0.9126.76N/AN/A22229
2017-11-17$56300.00$57500.0036.9%10.6%39.0%4.1%31.2%-14.3%3.2%799.1K-3.5M-145.9K0.5347.79N/AN/A32229
2017-11-20$56425.00$57500.0036.6%10.5%38.1%4.0%33.8%-11.5%4.7%780.1K1.9M-156.0K0.8020.55N/AN/A21167
2017-11-21$54650.00$57500.0032.2%9.2%39.1%2.4%33.9%-8.3%6.8%753.1K5.7M-146.8K0.628.48N/AN/A21167
2017-11-22$54325.00$57500.0031.5%9.0%38.5%2.2%32.0%-7.9%8.1%763.5K8.7M-129.5K0.7912.44N/AN/A21167
2017-11-24$53775.00$57500.0031.7%9.1%38.2%2.2%30.9%-7.3%6.4%787.0K8.2M-134.0K1.1112.26N/AN/A12177
2017-11-27$53850.00$57500.0032.9%9.4%24.9%2.6%35.2%-5.7%5.4%812.0K9.3M-126.1K0.728.93N/AN/A22177
2017-11-28$53600.00$57500.0030.7%8.8%24.8%1.9%34.0%-6.7%5.6%787.6K10.2M-120.9K0.6840.43N/AN/A22178
2017-11-29$56075.00$57500.0041.4%11.9%30.4%5.8%44.6%-13.4%1.5%859.5K-1.3M-155.9K0.5515.58N/AN/A32178
2017-11-30$54750.00$57500.0043.5%12.5%31.4%6.6%46.1%-13.5%0.1%888.1K1.4M-156.8K0.7926.50N/AN/A22188