SQQQ Options History — September 2018

In September 2018, SQQQ traded between $27850.00 and $30325.00. ATM implied volatility averaged 45.9%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 12.6% (HV 20d: 33.3%). Max pain ranged from $25000.00 to $27500.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.26.

Notable Days

  • 2018-09-21: Highest Volume — 9 contracts
  • 2018-09-25: Largest IV drop — 24.4% change
  • 2018-09-06: Highest IV Rank — 31.9%
  • 2018-09-07: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29130.26$27850.00$30325.00$28125.00$27875.00
Max Pain$26842.11$25000.00$27500.00$27500.00$25000.00
ATM IV45.9%37.0%50.3%41.4%40.7%
Expected Move13.4%10.6%15.3%11.9%11.7%
HV 20d33.3%27.1%37.9%27.1%34.0%
HV 60d37.1%35.0%38.8%36.9%35.0%
IV Rank25.0%11.0%31.9%17.9%16.8%
IV Percentile51.4%18.3%67.5%39.7%29.4%
Term Structure4.7%2.5%9.0%4.5%6.0%
VWIV49.4%40.9%58.9%48.8%40.9%
Skew 25d-18.8%-25.9%-8.5%-9.9%-13.3%
Skew 10d-37.1%-46.4%-22.9%-23.9%-31.9%
Call IV 25d57.8%49.2%66.8%52.7%51.9%
Put IV 25d39.0%28.2%46.3%42.7%38.6%
Bid-Ask Spread %10.675.9517.656.4611.05
Gamma HHI0.220.150.500.210.16
Net GEX1.4M848.6K2.2M1.5M1.1M
Net DEX-20.9M-33.9M-12.8M-12.8M-14.3M
Net VEX-310.1K-348.3K-281.5K-302.7K-281.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.180.440.190.30
Total Volume5.8424954
Total OI73.63257827762

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$28125.00$27500.0041.4%11.9%27.1%17.9%48.8%-9.9%4.5%1.5M-12.8M-302.7K0.196.46N/AN/A416215
2018-09-05$29250.00$27500.0049.0%14.0%30.9%29.8%49.7%-14.7%3.6%1.6M-23.6M-331.6K0.228.92N/AN/A716315
2018-09-06$29975.00$27500.0050.3%14.8%32.1%31.9%53.8%-20.5%4.8%1.6M-28.3M-345.8K0.1812.76N/AN/A716215
2018-09-07$30325.00$27500.0048.8%15.3%32.4%29.5%58.9%-20.6%2.5%1.5M-29.0M-348.3K0.2017.65N/AN/A516115
2018-09-10$30150.00$27500.0047.9%15.1%31.0%28.1%58.4%-20.8%2.6%1.4M-25.8M-334.5K0.2610.16N/AN/A416016
2018-09-11$29425.00$27500.0046.5%14.4%32.1%25.9%51.6%-18.3%3.9%1.4M-20.6M-323.4K0.2310.26N/AN/A616016
2018-09-12$29675.00$27500.0048.6%13.9%31.8%29.2%52.3%-16.6%2.9%1.6M-23.4M-329.6K0.2311.04N/AN/A516216
2018-09-13$28950.00$27500.0048.6%13.9%29.5%29.2%48.6%-25.9%4.6%1.5M-15.8M-303.6K0.1911.93N/AN/A616216
2018-09-14$28975.00$27500.0047.7%13.7%29.5%27.9%44.2%-24.0%4.0%1.7M-18.9M-303.4K0.257.73N/AN/A416416
2018-09-17$30300.00$27500.0050.0%14.3%34.1%31.4%51.1%-20.1%5.0%2.0M-33.9M-325.7K0.2312.38N/AN/A516416
2018-09-18$29400.00$27500.0049.3%14.1%35.6%30.4%51.8%-21.0%5.1%1.9M-25.3M-310.1K0.2413.80N/AN/A416516
2018-09-19$29550.00$27500.0047.4%13.6%35.5%27.4%50.0%-19.7%5.2%2.2M-26.7M-312.2K0.2613.15N/AN/A416516
2018-09-20$28600.00$27500.0040.4%11.6%37.1%16.3%45.4%-25.3%7.3%1.1M-17.0M-289.3K0.4114.82N/AN/A426515
2018-09-21$29175.00$27500.0047.7%13.7%37.9%27.8%43.4%-16.4%2.7%848.6K-21.4M-298.5K0.267.11N/AN/A726616
2018-09-24$28950.00$25000.0049.0%14.0%36.9%29.9%49.6%-14.8%3.7%889.8K-16.0M-293.2K0.267.35N/AN/A514413
2018-09-25$28725.00$25000.0037.0%10.6%35.8%11.0%47.2%-22.8%9.0%933.3K-15.6M-288.9K0.446.46N/AN/A314514
2018-09-26$28200.00$25000.0041.2%11.8%36.2%17.6%45.4%-24.3%6.5%948.0K-14.9M-284.2K0.3313.81N/AN/A314614
2018-09-27$27850.00$25000.0041.1%11.8%34.2%17.5%46.8%-8.5%6.0%1.1M-14.0M-285.5K0.265.95N/AN/A414714
2018-09-28$27875.00$25000.0040.7%11.7%34.0%16.8%40.9%-13.3%6.0%1.1M-14.3M-281.5K0.3011.05N/AN/A314814