SQQQ Options History — December 2019

In December 2019, SQQQ traded between $13825.00 and $16725.00. ATM implied volatility averaged 42.2%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 13.6% (HV 20d: 28.7%). Max pain ranged from $14375.00 to $16875.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2019-12-30: Highest Volume — 26 contracts
  • 2019-12-03: Largest IV spike — 18.0% change
  • 2019-12-03: Highest IV Rank — 5.6%
  • 2019-12-03: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15106.25$13825.00$16725.00$16212.50$14018.75
Max Pain$15863.10$14375.00$16875.00$16875.00$14375.00
ATM IV42.2%34.6%53.8%45.6%40.7%
Expected Move12.2%9.9%15.4%13.1%11.7%
HV 20d28.7%24.3%31.5%24.3%25.5%
HV 60d36.3%29.9%38.9%38.4%29.9%
IV Rank2.1%0.0%5.6%3.1%1.9%
IV Percentile17.0%0.0%51.6%22.2%11.5%
Term Structure6.8%-0.0%10.8%3.8%5.3%
VWIV45.0%35.8%54.4%49.1%43.8%
Skew 25d-16.6%-20.8%-11.9%-16.2%-16.4%
Skew 10d-36.5%-49.4%-18.9%-27.7%-43.4%
Call IV 25d52.6%44.3%63.5%55.7%52.7%
Put IV 25d36.1%29.3%44.3%39.5%36.3%
Bid-Ask Spread %54.6437.6674.7955.6463.38
Gamma HHI0.130.090.520.100.14
Net GEX733.6K204.1K1.7M920.9K1.1M
Net DEX6.6M-17.9M27.1M-6.6M-2.6M
Net VEX-323.3K-365.3K-268.8K-344.7K-331.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.040.970.220.04
Total Volume12.2384261817
Total OI172140205163171

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$16212.50$16875.0045.6%13.1%24.3%3.1%49.1%-16.2%3.8%920.9K-6.6M-344.7K0.2255.64N/AN/A15311449
2019-12-03$16725.00$16875.0053.8%15.4%25.9%5.6%54.4%-19.3%-0.0%1.1M-17.9M-365.3K0.1547.22N/AN/A19311349
2019-12-04$16337.50$16875.0048.1%13.8%27.1%3.8%52.6%-17.4%3.6%845.0K-8.1M-350.5K0.0948.80N/AN/A8111249
2019-12-05$16287.50$16875.0047.4%14.3%26.6%3.6%53.7%-19.9%6.2%879.7K-7.2M-344.6K0.5052.28N/AN/A4211450
2019-12-06$15750.00$16875.0039.3%12.9%28.8%1.1%48.7%-19.7%8.2%549.9K4.5M-329.9K0.4052.68N/AN/A10411651
2019-12-09$15931.25$16875.0045.7%13.5%29.0%3.1%49.9%-18.9%6.5%685.7K-45.8K-349.9K0.2847.00N/AN/A6212054
2019-12-10$16068.75$16250.0051.5%14.7%29.2%4.9%50.0%-20.8%5.1%940.0K-7.0M-365.1K0.0947.42N/AN/A7112355
2019-12-11$15800.00$16250.0046.6%13.3%29.6%3.4%48.4%-20.3%6.7%785.2K235.9K-349.8K0.2450.57N/AN/A3112555
2019-12-12$15431.25$16250.0046.5%13.3%30.5%3.4%46.3%-19.1%5.9%567.7K9.8M-332.1K0.3656.41N/AN/A10412655
2019-12-13$15275.00$16250.0038.6%11.1%30.6%0.9%43.4%-16.9%9.5%325.6K15.8M-325.6K0.2862.36N/AN/A8212857
2019-12-16$14850.00$16250.0037.2%10.7%31.5%0.5%41.7%-13.6%10.3%204.1K25.4M-296.5K0.2254.70N/AN/A12313157
2019-12-17$14812.50$15625.0037.9%10.9%31.5%0.7%35.8%-14.2%9.1%381.3K23.0M-301.3K0.3161.97N/AN/A5213758
2019-12-18$14718.75$15625.0039.2%11.2%31.5%1.1%38.5%-14.0%8.3%541.4K19.3M-299.9K0.9737.66N/AN/A6614055
2019-12-19$14537.50$15625.0035.9%10.3%29.6%0.1%41.6%-14.5%10.7%678.4K27.1M-268.8K0.3674.79N/AN/A8314356
2019-12-20$14350.00$15000.0036.3%10.4%29.4%0.2%40.9%-13.1%10.8%1.7M25.6M-292.2K0.5869.22N/AN/A7414857
2019-12-23$14225.00$15000.0037.1%10.6%29.3%0.5%41.0%-13.8%6.4%604.8K7.5M-306.2K0.6054.34N/AN/A539644
2019-12-24$14150.00$15000.0037.4%10.7%27.4%0.6%37.3%-11.9%6.5%585.0K8.1M-307.9K0.2066.63N/AN/A319946
2019-12-26$13825.00$15000.0034.6%9.9%28.0%0.0%39.4%-16.2%8.5%514.9K11.9M-293.1K0.6461.19N/AN/A8510046
2019-12-27$13837.50$15000.0040.1%11.5%27.9%1.7%43.5%-14.9%5.6%585.4K10.1M-303.2K0.2038.48N/AN/A17310348
2019-12-30$14087.50$14375.0046.9%13.4%28.6%3.8%45.7%-16.6%4.8%874.6K-934.2K-331.7K0.1244.64N/AN/A23311349
2019-12-31$14018.75$14375.0040.7%11.7%25.5%1.9%43.8%-16.4%5.3%1.1M-2.6M-331.9K0.0463.38N/AN/A16112249