SQQQ Options History — November 2019

In November 2019, SQQQ traded between $15581.25 and $17375.00. ATM implied volatility averaged 40.6%, placing in the 1.5% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 12.5% (HV 20d: 28.1%). Max pain ranged from $16875.00 to $18750.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.30.

Notable Days

  • 2019-11-01: Highest Volume — 19 contracts
  • 2019-11-11: Largest IV spike — 14.3% change
  • 2019-11-13: Highest IV Rank — 3.4%
  • 2019-11-13: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16521.56$15581.25$17375.00$17375.00$15750.00
Max Pain$17750.00$16875.00$18750.00$17500.00$16875.00
ATM IV40.6%35.6%46.5%39.3%39.2%
Expected Move12.2%10.4%13.3%11.3%11.2%
HV 20d28.1%21.8%39.1%39.0%22.4%
HV 60d44.2%37.8%52.3%52.3%37.8%
IV Rank1.5%0.0%3.4%1.2%1.1%
IV Percentile7.0%0.4%24.2%1.6%3.2%
Term Structure3.7%1.7%6.9%6.9%3.9%
VWIV45.9%41.1%50.7%41.1%43.4%
Skew 25d-14.7%-17.8%-9.6%-9.6%-13.1%
Skew 10d-29.2%-40.9%-1.1%-32.9%-35.0%
Call IV 25d51.7%45.3%55.9%46.2%48.4%
Put IV 25d36.9%31.2%40.3%36.6%35.3%
Bid-Ask Spread %53.8844.2064.1056.5956.65
Gamma HHI0.110.080.190.090.10
Net GEX1.2M470.0K1.9M1.4M702.3K
Net DEX-3.6M-10.6M8.4M-9.4M3.2M
Net VEX-343.3K-366.3K-322.9K-354.7K-333.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.100.610.220.10
Total Volume9.75419197
Total OI162.3136184154161

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$17375.00$17500.0039.3%11.3%39.0%1.2%41.1%-9.6%6.9%1.4M-9.4M-354.7K0.2256.59N/AN/A16311341
2019-11-04$16962.50$18750.0039.8%13.0%39.1%1.3%49.5%-15.6%1.7%1.5M-9.2M-349.5K0.2544.39N/AN/A14312041
2019-11-05$16887.50$18750.0040.6%13.2%34.2%1.5%49.3%-14.6%2.2%1.6M-5.4M-338.7K0.2945.08N/AN/A6212542
2019-11-06$17100.00$18750.0036.3%12.8%34.6%0.2%49.3%-14.6%3.2%1.9M-10.6M-349.3K0.3144.69N/AN/A6212843
2019-11-07$16962.50$18750.0038.1%12.9%34.6%0.8%46.6%-13.7%2.5%1.7M-7.3M-349.6K0.2264.10N/AN/A13312844
2019-11-08$16737.50$18750.0035.6%12.8%30.5%0.0%49.0%-15.5%2.7%1.6M-4.8M-346.7K0.6148.34N/AN/A5313045
2019-11-11$16781.25$18750.0040.7%13.0%30.1%1.6%50.7%-15.0%2.5%1.6M-7.0M-348.6K0.1844.20N/AN/A8213146
2019-11-12$16650.00$18750.0042.7%13.0%27.7%2.2%47.0%-15.9%2.6%1.6M-4.4M-345.8K0.3852.37N/AN/A9313345
2019-11-13$16637.50$18125.0046.5%13.3%27.1%3.4%49.7%-14.6%2.7%1.8M-6.3M-350.0K0.4252.59N/AN/A5213545
2019-11-14$16643.75$18125.0045.3%13.0%27.2%3.0%48.1%-15.7%3.4%1.8M-5.9M-349.3K0.3951.65N/AN/A6213646
2019-11-15$16400.00$17500.0039.7%11.4%25.2%1.3%43.3%-14.4%4.6%731.4K3.1M-325.1K0.4754.49N/AN/A7313747
2019-11-18$16262.50$17500.0041.1%11.8%24.9%1.7%43.9%-14.8%3.1%470.0K2.1M-329.8K0.2057.87N/AN/A719442
2019-11-19$16125.00$16875.0041.0%11.8%22.7%1.7%43.7%-14.2%4.9%568.1K1.3M-333.3K0.2760.71N/AN/A729942
2019-11-20$16531.25$16875.0041.1%11.8%25.6%1.7%44.8%-17.8%4.0%760.9K-7.3M-357.8K0.2859.62N/AN/A11310144
2019-11-21$16593.75$16875.0045.3%13.0%24.8%3.0%47.3%-15.8%3.0%745.2K-9.3M-357.9K0.1456.77N/AN/A5110245
2019-11-22$16593.75$16875.0044.4%12.7%23.7%2.7%42.8%-16.6%4.0%869.2K-9.7M-366.3K0.3359.06N/AN/A4110445
2019-11-25$16012.50$16875.0040.4%11.6%24.1%1.5%42.3%-14.3%4.4%592.1K1.8M-330.7K0.3355.82N/AN/A8310645
2019-11-26$15843.75$16875.0036.4%10.4%21.8%0.3%43.0%-15.2%5.9%592.0K5.3M-326.2K0.3657.95N/AN/A3110947
2019-11-27$15581.25$16875.0037.5%10.7%21.9%0.6%42.4%-14.0%6.0%487.6K8.4M-322.9K0.1954.62N/AN/A7111148
2019-11-29$15750.00$16875.0039.2%11.2%22.4%1.1%43.4%-13.1%3.9%702.3K3.2M-333.3K0.1056.65N/AN/A6111348