SQQQ Options History — September 2019

In September 2019, SQQQ traded between $19037.50 and $21618.75. ATM implied volatility averaged 53.3%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 1.7% (HV 20d: 55.1%). Max pain ranged from $17500.00 to $20625.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.15.

Notable Days

  • 2019-09-20: Highest Volume — 30 contracts
  • 2019-09-27: Largest IV spike — 18.7% change
  • 2019-09-03: Highest IV Rank — 10.7%
  • 2019-09-03: Largest Expected Move — 20.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19969.38$19037.50$21618.75$21618.75$20343.75
Max Pain$18593.75$17500.00$20625.00$20000.00$18750.00
ATM IV53.3%45.7%70.3%70.3%57.0%
Expected Move15.5%13.4%20.2%20.2%16.3%
HV 20d55.1%38.8%70.5%68.0%46.8%
HV 60d53.3%52.1%54.7%52.1%54.7%
IV Rank5.4%3.1%10.7%10.7%6.6%
IV Percentile38.6%16.7%70.2%70.2%45.6%
Term Structure4.5%-2.9%7.5%-2.9%2.9%
VWIV55.8%46.2%69.2%69.2%58.6%
Skew 25d-20.5%-26.0%-16.6%-26.0%-21.0%
Skew 10d-40.6%-56.6%-23.0%-37.7%-33.4%
Call IV 25d66.0%56.6%82.3%82.3%68.6%
Put IV 25d45.5%37.0%56.3%56.3%47.6%
Bid-Ask Spread %17.949.8041.7115.379.80
Gamma HHI0.100.070.370.080.07
Net GEX2.3M1.7M4.0M2.5M1.8M
Net DEX-57.9M-83.5M-33.6M-83.5M-69.0M
Net VEX-410.0K-452.2K-375.6K-452.2K-431.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.050.550.070.15
Total Volume15.257301310
Total OI158.2113188151127

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$21618.75$20000.0070.3%20.2%68.0%10.7%69.2%-26.0%-2.9%2.5M-83.5M-452.2K0.0715.37N/AN/A12112130
2019-09-04$20737.50$20000.0059.1%16.9%68.4%7.2%66.0%-22.4%1.5%2.3M-62.7M-429.7K0.1715.67N/AN/A8112430
2019-09-05$19631.25$20625.0050.5%15.4%70.5%4.6%57.9%-24.7%4.4%1.8M-38.6M-391.6K0.1215.06N/AN/A21312730
2019-09-06$19612.50$19375.0045.7%14.6%67.1%3.1%55.2%-22.3%6.4%2.1M-44.8M-404.0K0.2315.53N/AN/A8213630
2019-09-09$19875.00$19375.0053.0%15.6%67.0%5.4%55.2%-22.8%4.3%2.3M-51.6M-404.6K0.0611.55N/AN/A11113831
2019-09-10$20212.50$19375.0050.6%15.5%65.2%4.6%57.1%-23.6%4.9%2.8M-63.9M-420.7K0.0611.81N/AN/A13114131
2019-09-11$19568.75$18750.0050.5%14.5%62.3%4.6%56.5%-20.6%5.7%2.4M-47.3M-400.6K0.2815.79N/AN/A9314232
2019-09-12$19037.50$19375.0046.7%13.4%54.1%3.4%46.2%-19.7%6.4%2.1M-33.6M-375.7K0.1127.93N/AN/A17214532
2019-09-13$19356.25$17500.0049.3%14.1%54.7%4.2%52.3%-20.3%6.0%2.5M-49.4M-402.5K0.0516.82N/AN/A17115033
2019-09-16$19693.75$17500.0054.0%15.5%53.8%5.7%56.5%-19.2%4.4%3.1M-61.6M-408.3K0.1318.33N/AN/A7115233
2019-09-17$19418.75$17500.0051.6%14.8%51.4%4.9%53.6%-20.3%5.9%2.7M-53.1M-395.6K0.1413.87N/AN/A6115233
2019-09-18$19443.75$17500.0050.5%14.5%51.0%4.6%54.7%-18.7%6.8%2.7M-52.3M-392.8K0.0731.60N/AN/A18115333
2019-09-19$19306.25$17500.0047.9%13.7%50.8%3.8%46.6%-16.6%7.5%2.2M-43.8M-375.6K0.0916.37N/AN/A16215033
2019-09-20$19906.25$17500.0053.9%15.4%52.2%5.6%52.5%-19.4%4.9%4.0M-68.3M-396.3K0.0841.71N/AN/A28215632
2019-09-23$19850.00$17500.0052.2%15.0%38.8%5.1%52.6%-17.0%4.6%1.8M-57.5M-391.8K0.5511.58N/AN/A1278726
2019-09-24$20818.75$17500.0057.9%16.6%42.7%6.9%60.1%-21.0%2.5%1.7M-76.7M-426.4K0.1330.93N/AN/A1729230
2019-09-25$19862.50$18750.0052.4%15.0%45.3%5.1%53.7%-17.0%6.3%1.8M-56.4M-426.5K0.3615.22N/AN/A1149231
2019-09-26$20112.50$18750.0052.0%14.9%45.8%5.0%52.1%-17.4%5.6%1.8M-63.1M-425.2K0.1310.41N/AN/A619331
2019-09-27$20981.25$18750.0061.7%17.7%45.7%8.0%60.1%-20.1%2.3%1.8M-81.2M-447.7K0.1113.53N/AN/A2029431
2019-09-30$20343.75$18750.0057.0%16.3%46.8%6.6%58.6%-21.0%2.9%1.8M-69.0M-431.8K0.159.80N/AN/A919532