SQQQ Options History — January 2020

In January 2020, SQQQ traded between $11850.00 and $13606.25. ATM implied volatility averaged 46.9%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 18.9% (HV 20d: 28.0%). Max pain ranged from $11875.00 to $14375.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.24.

Notable Days

  • 2020-01-31: Highest Volume — 45 contracts
  • 2020-01-03: Largest IV spike — 21.7% change
  • 2020-01-27: Highest IV Rank — 8.0%
  • 2020-01-27: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12618.15$11850.00$13606.25$13406.25$12743.75
Max Pain$12708.33$11875.00$14375.00$14375.00$11875.00
ATM IV46.9%37.6%60.7%37.6%60.2%
Expected Move13.9%10.8%17.4%10.8%17.3%
HV 20d28.0%22.8%39.3%24.5%39.3%
HV 60d28.1%26.0%31.0%30.9%31.0%
IV Rank3.8%0.9%8.0%0.9%7.8%
IV Percentile36.5%4.8%83.7%4.8%83.7%
Term Structure2.5%-0.6%5.0%5.0%-0.5%
VWIV50.8%44.1%63.9%44.1%63.9%
Skew 25d-18.6%-24.0%-12.2%-13.1%-24.0%
Skew 10d-37.1%-60.4%-12.4%-31.8%-45.2%
Call IV 25d59.4%49.1%77.6%49.1%77.6%
Put IV 25d40.8%36.0%53.6%36.0%53.6%
Bid-Ask Spread %34.4313.3055.2613.8346.01
Gamma HHI0.200.150.390.200.15
Net GEX1.4M922.6K2.0M1.2M1.6M
Net DEX-4.9M-41.5M13.5M3.8M-41.5M
Net VEX-361.2K-473.3K-300.6K-329.5K-473.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.070.580.120.13
Total Volume22.6199453445
Total OI203.143162247179221

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$13406.25$14375.0037.6%10.8%24.5%0.9%44.1%-13.1%5.0%1.2M3.8M-329.5K0.1213.83N/AN/A30413049
2020-01-03$13606.25$14375.0045.7%13.1%25.7%3.4%47.5%-12.2%2.4%1.4M-5.1M-359.7K0.2617.69N/AN/A12313751
2020-01-06$13468.75$13750.0046.7%14.2%25.6%3.7%48.9%-19.3%3.7%1.5M-3.7M-351.8K0.2013.30N/AN/A11214151
2020-01-07$13368.75$13750.0039.3%13.1%24.0%1.5%49.0%-18.6%4.9%1.5M1.5M-332.4K0.5120.16N/AN/A6314251
2020-01-08$12987.50$13750.0039.6%13.2%23.9%1.5%48.4%-18.8%3.5%1.2M13.5M-300.6K0.2634.96N/AN/A15414453
2020-01-09$12825.00$13125.0043.0%13.4%22.8%2.6%47.7%-18.9%3.0%1.2M9.0M-334.5K0.2027.70N/AN/A18414954
2020-01-10$12887.50$12500.0041.6%13.6%23.4%2.1%49.2%-17.1%3.4%1.6M761.6K-352.3K0.1039.20N/AN/A22216055
2020-01-13$12506.25$12500.0043.3%13.1%24.0%2.7%47.3%-16.9%3.0%1.5M7.6M-325.4K0.4337.67N/AN/A12516855
2020-01-14$12543.75$12500.0044.3%13.3%24.5%3.0%48.8%-17.2%3.6%1.7M5.8M-315.9K0.0748.15N/AN/A19117356
2020-01-15$12643.75$12500.0045.8%13.1%24.2%3.4%47.9%-18.9%2.9%2.0M-2.8M-346.9K0.2442.31N/AN/A13317957
2020-01-16$12275.00$12500.0043.5%12.5%25.3%2.7%45.4%-17.0%4.7%1.8M6.1M-328.7K0.2955.26N/AN/A14418456
2020-01-17$12100.00$12500.0040.6%11.6%25.3%1.8%47.1%-15.6%3.7%922.6K7.2M-330.8K0.4133.99N/AN/A14619057
2020-01-21$12043.75$12500.0043.5%12.5%25.4%2.7%48.7%-16.2%2.9%965.5K-3.3M-336.4K0.1747.21N/AN/A23411448
2020-01-22$11950.00$12500.0044.6%12.8%25.4%3.1%45.6%-16.8%2.7%1.0M-4.4M-351.9K0.5836.66N/AN/A12711851
2020-01-23$11850.00$12500.0044.5%12.8%25.4%3.0%48.0%-18.5%3.1%984.7K-3.3M-363.8K0.1121.97N/AN/A9112355
2020-01-24$12193.75$11875.0052.5%15.1%28.7%5.5%53.2%-22.8%1.3%1.1M-13.3M-386.5K0.3130.26N/AN/A20612455
2020-01-27$12887.50$11875.0060.7%17.4%35.6%8.0%61.3%-23.1%0.2%1.3M-33.6M-437.4K0.1732.46N/AN/A38613260
2020-01-28$12281.25$11875.0055.7%16.0%38.9%6.5%57.5%-22.1%0.6%1.2M-17.1M-414.6K0.2037.12N/AN/A24513763
2020-01-29$12218.75$11875.0056.1%16.1%37.9%6.6%57.7%-21.8%-0.3%1.3M-15.7M-414.4K0.2238.43N/AN/A15314366
2020-01-30$12193.75$11875.0056.6%16.2%38.0%6.7%59.3%-21.6%-0.6%1.4M-13.7M-397.5K0.1548.66N/AN/A26414767
2020-01-31$12743.75$11875.0060.2%17.3%39.3%7.8%63.9%-24.0%-0.5%1.6M-41.5M-473.3K0.1346.01N/AN/A40515170