SQQQ Options History — February 2018

In February 2018, SQQQ traded between $39700.00 and $53700.00. ATM implied volatility averaged 62.0%, placing in the 62.7% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded below realized volatility by 4.6% (HV 20d: 66.6%). Max pain ranged from $45000.00 to $50000.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.45.

Notable Days

  • 2018-02-08: Highest Volume — 12 contracts
  • 2018-02-05: Largest IV spike — 44.2% change
  • 2018-02-05: Highest IV Rank — 100.0%
  • 2018-02-09: Largest Expected Move — 24.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45327.63$39700.00$53700.00$42650.00$41625.00
Max Pain$48552.63$45000.00$50000.00$50000.00$45000.00
ATM IV62.0%47.6%86.8%53.4%64.0%
Expected Move17.1%13.6%24.4%14.6%18.3%
HV 20d66.6%30.0%77.6%30.0%77.4%
HV 60d45.9%30.6%51.1%30.6%50.6%
IV Rank62.7%35.9%100.0%73.0%62.8%
IV Percentile95.8%85.7%100.0%98.0%98.0%
Term Structure1.2%-4.6%13.7%1.1%-1.7%
VWIV63.7%51.5%82.6%53.6%60.0%
Skew 25d-19.9%-35.0%-11.9%-14.3%-23.9%
Skew 10d-41.0%-58.2%-25.3%-26.1%-56.3%
Call IV 25d73.2%54.7%109.4%61.2%75.3%
Put IV 25d53.3%36.9%92.3%46.8%51.4%
Bid-Ask Spread %41.0011.55102.7644.2321.30
Gamma HHI0.130.090.330.120.12
Net GEX664.4K396.4K1.8M521.2K737.9K
Net DEX-14.0M-45.0M2.4M1.2M-9.8M
Net VEX-239.4K-286.4K-149.3K-149.3K-275.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.220.730.510.31
Total Volume6.31631235
Total OI32.57925422537

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$42650.00$50000.0053.4%14.6%30.0%73.0%53.6%-14.3%1.1%521.2K1.2M-149.3K0.5144.23N/AN/A21187
2018-02-02$45275.00$50000.0060.2%16.0%38.3%90.7%57.6%-16.1%0.0%629.1K-8.6M-180.5K0.4053.69N/AN/A42187
2018-02-05$49625.00$50000.0086.8%19.1%50.0%100.0%64.0%-19.7%-0.1%593.0K-24.7M-208.7K0.36102.76N/AN/A52197
2018-02-06$46850.00$50000.0081.5%19.1%54.2%91.4%66.8%-11.9%3.0%530.8K-13.5M-193.5K0.4774.86N/AN/A42188
2018-02-07$47975.00$50000.0060.4%17.3%54.8%56.9%71.9%-20.7%-2.0%628.9K-15.8M-208.3K0.6360.90N/AN/A22188
2018-02-08$53700.00$50000.0082.5%23.6%67.7%93.0%82.6%-35.0%-4.6%632.3K-34.7M-234.1K0.2454.76N/AN/A102198
2018-02-09$51550.00$50000.0085.2%24.4%69.2%97.5%78.5%-17.1%13.7%728.8K-45.0M-285.6K0.2463.88N/AN/A102229
2018-02-12$49075.00$50000.0068.3%19.6%71.3%69.9%72.8%-25.0%3.5%802.2K-29.3M-286.4K0.2252.43N/AN/A82259
2018-02-13$48225.00$50000.0061.0%17.5%71.7%57.8%73.8%-23.6%1.7%1.8M-33.1M-286.4K0.5540.25N/AN/A32299
2018-02-14$45500.00$50000.0052.3%15.0%74.0%43.7%60.5%-15.2%4.2%961.4K-7.8M-218.9K0.5642.96N/AN/A53299
2018-02-15$43325.00$50000.0054.7%15.7%76.1%47.5%64.6%-19.8%-3.2%396.4K-6.4M-260.5K0.7120.23N/AN/A433010
2018-02-16$43450.00$50000.0050.2%14.4%76.1%40.1%55.4%-13.5%1.8%401.2K-10.1M-264.9K0.6423.99N/AN/A533210
2018-02-20$43325.00$47500.0056.5%16.2%75.1%50.5%64.1%-21.6%0.5%509.1K-12.4M-279.0K0.7318.80N/AN/A32239
2018-02-21$43575.00$47500.0055.9%16.0%74.4%49.6%59.4%-17.9%0.6%474.9K-2.1M-232.6K0.5020.77N/AN/A31249
2018-02-22$43725.00$47500.0054.3%15.6%74.2%46.8%60.4%-23.2%-0.9%592.1K-10.5M-277.0K0.3318.03N/AN/A41259
2018-02-23$41275.00$45000.0050.0%14.3%77.1%39.9%53.9%-23.7%2.5%593.0K724.4K-216.7K0.2911.55N/AN/A41259
2018-02-26$39700.00$45000.0047.6%13.6%77.0%35.9%51.5%-17.7%2.8%477.2K2.4M-228.8K0.4524.19N/AN/A31269
2018-02-27$40800.00$45000.0053.3%15.3%77.6%45.2%59.2%-17.4%0.7%653.4K-6.3M-262.5K0.4429.32N/AN/A31279
2018-02-28$41625.00$45000.0064.0%18.3%77.4%62.8%60.0%-23.9%-1.7%737.9K-9.8M-275.4K0.3121.30N/AN/A41289