SQQQ Options History — December 2017

In December 2017, SQQQ traded between $51000.00 and $57400.00. ATM implied volatility averaged 38.8%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 7.5% (HV 20d: 31.4%). Max pain ranged from $52500.00 to $57500.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2017-12-15: Highest Volume — 8 contracts
  • 2017-12-04: Largest IV spike — 17.8% change
  • 2017-12-04: Highest IV Rank — 9.6%
  • 2017-12-04: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53940.00$51000.00$57400.00$55475.00$53775.00
Max Pain$54875.00$52500.00$57500.00$57500.00$52500.00
ATM IV38.8%32.3%51.8%44.0%39.0%
Expected Move10.8%9.3%13.4%12.6%11.2%
HV 20d31.4%25.2%33.9%31.8%25.2%
HV 60d30.7%30.0%31.5%31.1%30.3%
IV Rank4.8%2.4%9.6%6.7%4.9%
IV Percentile57.2%24.2%98.0%87.3%65.5%
Term Structure4.3%-0.9%6.4%-0.9%6.4%
VWIV39.7%33.9%47.3%47.1%37.0%
Skew 25d-11.6%-17.7%-8.3%-14.6%-10.4%
Skew 10d-27.3%-44.5%-16.9%-21.0%-20.8%
Call IV 25d45.4%39.1%57.9%53.4%44.9%
Put IV 25d33.8%29.0%40.2%38.8%34.5%
Bid-Ask Spread %41.6416.1575.9454.9063.07
Gamma HHI0.220.170.330.210.17
Net GEX915.4K407.2K1.2M914.2K857.7K
Net DEX1.9M-9.4M16.6M2.0M-9.4M
Net VEX-166.4K-202.2K-128.4K-151.4K-202.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.551.440.811.09
Total Volume4.84865
Total OI27.1523322624

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$55475.00$57500.0044.0%12.6%31.8%6.7%47.1%-14.6%-0.9%914.2K2.0M-151.4K0.8154.90N/AN/A33188
2017-12-04$57400.00$57500.0051.8%13.4%33.2%9.6%47.2%-17.7%2.7%1.1M-8.9M-185.4K1.2466.22N/AN/A22199
2017-12-05$57250.00$57500.0049.4%12.9%32.9%8.7%46.0%-17.0%2.5%1.2M-6.1M-174.3K1.0866.13N/AN/A23199
2017-12-06$56750.00$57500.0048.1%12.9%33.1%8.2%47.3%-13.7%3.0%1.2M-5.6M-180.1K1.4447.59N/AN/A23199
2017-12-07$55950.00$57500.0043.2%12.0%33.2%6.4%45.4%-14.0%3.8%1.2M3.9M-148.4K1.3227.17N/AN/A232010
2017-12-08$55425.00$57500.0038.5%11.3%32.9%4.7%43.4%-14.1%4.9%1.2M4.9M-167.7K1.1934.61N/AN/A232010
2017-12-11$54100.00$57500.0039.6%10.7%33.9%5.1%41.1%-10.8%4.7%1.1M10.8M-158.6K1.3433.69N/AN/A232010
2017-12-12$54300.00$57500.0043.5%10.9%33.9%6.5%37.3%-9.8%3.7%1.2M9.0M-162.7K1.3130.86N/AN/A232110
2017-12-13$54025.00$55000.0038.4%11.0%33.7%4.7%43.0%-10.0%3.9%1.1M9.2M-176.3K1.2959.15N/AN/A232110
2017-12-14$54025.00$55000.0036.6%10.5%32.7%4.0%37.4%-8.3%4.9%1.0M11.3M-147.4K1.2131.02N/AN/A232210
2017-12-15$52425.00$55000.0033.8%9.7%30.6%3.0%35.4%-9.2%6.0%407.2K16.6M-163.8K0.5562.52N/AN/A532210
2017-12-18$51000.00$52500.0032.3%9.3%31.1%2.4%34.8%-9.1%4.6%539.6K7.9M-128.4K0.5849.55N/AN/A32167
2017-12-19$51800.00$52500.0034.8%10.0%31.9%3.3%34.8%-10.5%5.9%613.5K1.5M-169.3K0.6318.61N/AN/A22177
2017-12-20$51975.00$52500.0034.9%10.0%30.2%3.4%35.6%-9.6%5.1%673.4K-1.2M-179.4K0.6775.94N/AN/A22177
2017-12-21$52025.00$52500.0033.9%9.7%30.2%3.0%34.5%-11.1%4.4%726.7K555.8K-159.2K0.8723.68N/AN/A22177
2017-12-22$52325.00$52500.0033.4%9.6%30.2%2.9%34.8%-10.6%4.9%746.3K1.2M-157.0K1.0119.58N/AN/A22177
2017-12-26$53025.00$52500.0033.4%9.6%30.6%2.8%38.5%-10.9%5.2%818.3K-2.0M-148.5K0.7929.98N/AN/A22187
2017-12-27$52925.00$52500.0033.6%9.6%30.6%2.9%33.9%-11.0%5.2%861.6K-2.5M-172.1K0.7722.37N/AN/A22187
2017-12-28$52825.00$52500.0034.4%9.9%25.4%3.2%38.8%-10.0%5.4%826.4K-5.7M-195.0K0.9316.15N/AN/A22177
2017-12-29$53775.00$52500.0039.0%11.2%25.2%4.9%37.0%-10.4%6.4%857.7K-9.4M-202.2K1.0963.07N/AN/A23177