SQQQ Options History — March 2018

In March 2018, SQQQ traded between $36875.00 and $48175.00. ATM implied volatility averaged 60.8%, placing in the 57.1% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded below realized volatility by 1.7% (HV 20d: 62.5%). Max pain ranged from $37500.00 to $42500.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2018-03-29: Highest Volume — 12 contracts
  • 2018-03-12: Largest IV spike — 33.3% change
  • 2018-03-28: Highest IV Rank — 100.0%
  • 2018-03-28: Largest Expected Move — 25.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41716.67$36875.00$48175.00$43725.00$45575.00
Max Pain$40476.19$37500.00$42500.00$42500.00$42500.00
ATM IV60.8%40.4%90.1%67.8%76.7%
Expected Move17.5%13.2%25.8%19.4%22.0%
HV 20d62.5%45.4%80.6%79.4%80.6%
HV 60d55.8%51.3%66.9%51.6%66.9%
IV Rank57.1%24.2%100.0%68.9%79.2%
IV Percentile91.4%59.1%100.0%98.0%97.2%
Term Structure1.2%-7.8%5.1%-7.8%-4.1%
VWIV64.6%51.3%89.9%73.3%81.3%
Skew 25d-22.4%-30.9%-13.3%-24.2%-20.9%
Skew 10d-47.9%-68.6%-27.3%-44.2%-35.3%
Call IV 25d75.9%58.9%108.1%83.6%92.0%
Put IV 25d53.5%39.8%79.3%59.4%71.0%
Bid-Ask Spread %36.9118.4553.0729.1641.62
Gamma HHI0.160.110.270.120.12
Net GEX914.2K578.7K1.3M900.0K1.1M
Net DEX-19.0M-59.9M8.0M-20.7M-47.7M
Net VEX-266.6K-404.0K-168.2K-275.6K-380.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.210.860.240.21
Total Volume6.571412712
Total OI40.85733473844

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$43725.00$42500.0067.8%19.4%79.4%68.9%73.3%-24.2%-7.8%900.0K-20.7M-275.6K0.2429.16N/AN/A61299
2018-03-02$42500.00$42500.0054.6%15.6%79.8%47.4%58.2%-18.2%3.7%956.9K-9.8M-243.9K0.3147.95N/AN/A522910
2018-03-05$41175.00$42500.0050.1%15.1%77.3%40.0%62.4%-23.3%3.3%867.8K-2.3M-222.1K0.3231.25N/AN/A413010
2018-03-06$40875.00$42500.0052.1%15.3%68.3%43.3%61.9%-23.3%4.4%924.4K-10.7M-282.4K0.4824.53N/AN/A313110
2018-03-07$40450.00$42500.0051.3%15.3%66.0%42.0%61.8%-24.6%5.1%945.6K-6.1M-247.4K0.4051.31N/AN/A313210
2018-03-08$39975.00$42500.0050.2%15.2%65.0%40.3%57.5%-18.8%3.8%914.7K-7.4M-271.5K0.3639.56N/AN/A313210
2018-03-09$37625.00$40000.0040.4%13.4%49.0%24.2%55.7%-19.1%3.0%580.0K8.0M-193.4K0.2424.08N/AN/A613310
2018-03-12$36875.00$40000.0053.9%14.5%48.3%46.2%51.9%-18.7%3.1%836.9K7.7M-168.2K0.5818.45N/AN/A42359
2018-03-13$38350.00$40000.0056.8%14.7%50.5%50.9%54.2%-15.2%4.1%1.3M-9.9M-253.6K0.6023.04N/AN/A423610
2018-03-14$38425.00$40000.0052.7%15.1%50.7%44.3%56.4%-20.1%4.7%1.2M-16.1M-249.8K0.3339.91N/AN/A623710
2018-03-15$38525.00$37500.0049.9%14.3%47.8%39.7%51.3%-13.3%4.7%984.6K687.1K-200.7K0.6839.83N/AN/A323710
2018-03-16$38625.00$37500.0046.2%13.2%45.4%33.7%55.7%-16.7%4.9%578.7K-9.2M-264.5K0.4738.44N/AN/A423710
2018-03-19$41300.00$37500.0061.3%17.6%52.2%58.3%60.5%-24.6%2.2%786.5K-19.4M-240.5K0.4147.59N/AN/A52258
2018-03-20$40975.00$40000.0054.5%15.6%52.3%47.3%59.0%-25.2%2.7%835.2K-15.5M-222.8K0.3320.86N/AN/A41268
2018-03-21$41475.00$40000.0059.9%17.2%52.4%56.1%60.8%-22.4%4.0%790.9K-15.6M-233.4K0.8645.99N/AN/A22258
2018-03-22$44400.00$40000.0073.3%21.0%58.1%78.0%68.5%-29.9%-4.9%791.3K-33.5M-322.1K0.5853.07N/AN/A42269
2018-03-23$47750.00$40000.0080.3%23.0%59.2%89.3%78.5%-30.9%-2.9%783.7K-42.8M-262.6K0.4027.24N/AN/A832710
2018-03-26$42500.00$40000.0069.1%19.8%72.2%71.1%75.0%-24.7%1.2%997.4K-33.9M-358.0K0.5741.33N/AN/A533010
2018-03-27$46775.00$40000.0085.5%24.5%79.0%98.0%81.8%-28.0%-4.5%1.0M-59.9M-404.0K0.5051.47N/AN/A523111
2018-03-28$48175.00$40000.0090.1%25.8%79.2%100.0%89.9%-28.8%-6.3%1.1M-55.6M-302.0K0.3638.49N/AN/A723212
2018-03-29$45575.00$42500.0076.7%22.0%80.6%79.2%81.3%-20.9%-4.1%1.1M-47.7M-380.4K0.2141.62N/AN/A1023212