SQQQ Options History — April 2020 In April 2020, SQQQ traded between $7181.25 and $13875.00. ATM implied volatility averaged 121.8%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 35.0%. IV traded below realized volatility by 43.0% (HV 20d: 164.8%). Max pain ranged from $8125.00 to $12500.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.20.
Notable Days 2020-04-14 : Highest Volume — 146 contracts2020-04-02 : Largest IV drop — 15.8% change2020-04-01 : Highest IV Rank — 42.2%2020-04-01 : Largest Expected Move — 49.5%Monthly Statistics Metric Avg Min Max Open Close Price $9318.15 $7181.25 $13875.00 $13875.00 $7325.00 Max Pain $9077.38 $8125.00 $12500.00 $12500.00 $8125.00 ATM IV 121.8% 92.5% 172.8% 172.8% 98.6% Expected Move 35.0% 26.5% 49.5% 49.5% 27.8% HV 20d 164.8% 118.8% 210.9% 202.1% 118.8% HV 60d 143.1% 131.9% 148.4% 131.9% 147.9% IV Rank 26.6% 17.7% 42.2% 42.2% 19.5% IV Percentile 88.1% 81.7% 94.4% 94.4% 82.5% Term Structure -6.7% -69.8% 3.4% -8.9% 0.3% VWIV 132.3% 98.3% 173.8% 173.8% 100.3% Skew 25d -50.3% -68.1% -39.6% -63.5% -39.9% Skew 10d -80.1% -107.1% -60.2% -95.7% -66.3% Call IV 25d 156.1% 118.9% 213.8% 213.8% 123.4% Put IV 25d 105.8% 79.3% 150.3% 150.3% 83.5% Bid-Ask Spread % 15.61 7.31 44.41 18.51 11.90 Gamma HHI 0.09 0.06 0.14 0.09 0.11 Net GEX 1.9M 866.1K 2.6M 2.0M 2.1M Net DEX -67.2M -177.5M -4.5M -177.5M -44.7M Net VEX -565.7K -712.1K -460.1K -712.1K -503.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.20 0.10 0.50 0.18 0.18 Total Volume 88.714 41 146 67 67 Total OI 557.857 367 777 367 683
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-04-01 $13875.00 $12500.00 172.8% 49.5% 202.1% 42.2% 173.8% -63.5% -8.9% 2.0M -177.5M -712.1K 0.18 18.51 N/A N/A 57 10 271 96 2020-04-02 $13131.25 $10000.00 145.4% 42.3% 201.8% 33.8% 156.9% -68.1% -8.2% 2.1M -142.2M -695.2K 0.22 9.16 N/A N/A 34 7 271 100 2020-04-03 $13737.50 $10625.00 136.4% 41.1% 201.2% 31.1% 149.8% -60.8% -8.7% 2.5M -160.2M -711.3K 0.13 7.86 N/A N/A 43 6 280 102 2020-04-06 $10862.50 $10625.00 118.0% 35.5% 210.9% 25.5% 139.0% -55.3% -6.6% 1.3M -38.2M -522.6K 0.12 7.31 N/A N/A 110 14 290 103 2020-04-07 $10287.50 $10000.00 129.6% 36.9% 208.9% 29.0% 143.6% -53.0% -7.2% 1.7M -55.2M -561.6K 0.15 10.18 N/A N/A 108 17 342 109 2020-04-08 $10031.25 $9375.00 126.8% 36.4% 205.3% 28.2% 140.1% -57.9% -4.8% 1.9M -62.2M -577.1K 0.16 10.19 N/A N/A 83 14 384 111 2020-04-09 $9887.50 $9375.00 126.5% 35.6% 186.1% 28.1% 139.4% -49.5% -1.5% 2.2M -62.5M -580.5K 0.15 12.30 N/A N/A 101 15 423 119 2020-04-13 $9562.50 $9375.00 120.3% 34.2% 180.7% 26.2% 138.3% -51.7% 1.0% 2.1M -53.7M -566.9K 0.16 10.78 N/A N/A 61 10 479 123 2020-04-14 $8262.50 $9375.00 111.0% 31.8% 180.7% 23.3% 131.3% -42.1% -69.8% 866.1K -4.5M -460.1K 0.21 28.11 N/A N/A 120 26 503 126 2020-04-15 $8493.75 $8750.00 123.8% 35.5% 178.4% 27.2% 133.6% -45.8% -5.7% 1.5M -30.8M -504.8K 0.15 17.23 N/A N/A 78 12 566 133 2020-04-16 $8168.75 $8750.00 119.9% 34.4% 163.5% 26.0% 132.9% -42.1% 0.6% 1.3M -22.4M -495.6K 0.32 19.76 N/A N/A 76 24 595 135 2020-04-17 $7950.00 $8750.00 113.9% 33.1% 156.1% 24.2% 126.8% -44.5% -4.3% 1.2M -16.4M -479.3K 0.43 18.44 N/A N/A 64 28 634 143 2020-04-20 $8081.25 $8125.00 128.1% 36.7% 144.0% 28.5% 140.4% -55.4% -4.2% 1.5M -51.9M -509.5K 0.10 10.80 N/A N/A 90 9 346 121 2020-04-21 $8950.00 $8125.00 138.8% 39.5% 149.3% 31.8% 146.9% -52.5% -2.8% 2.5M -121.9M -643.5K 0.12 15.90 N/A N/A 112 14 404 124 2020-04-22 $8137.50 $8125.00 123.3% 35.4% 128.7% 27.1% 128.9% -61.0% -3.0% 2.2M -84.4M -611.7K 0.50 19.54 N/A N/A 45 23 430 129 2020-04-23 $8193.75 $8125.00 121.8% 34.0% 128.7% 26.6% 131.0% -49.4% -2.9% 2.6M -81.7M -594.6K 0.18 18.18 N/A N/A 62 11 447 145 2020-04-24 $7850.00 $8125.00 104.9% 29.6% 128.1% 21.5% 110.2% -41.1% 0.3% 2.0M -48.1M -540.8K 0.13 13.88 N/A N/A 64 9 472 148 2020-04-27 $7675.00 $8125.00 99.2% 29.0% 127.7% 19.7% 105.9% -43.2% 3.4% 1.8M -42.1M -506.1K 0.14 9.95 N/A N/A 72 10 435 140 2020-04-28 $8037.50 $8125.00 105.2% 31.2% 128.2% 21.5% 111.8% -40.5% -9.4% 2.4M -84.8M -607.5K 0.23 13.39 N/A N/A 51 12 470 145 2020-04-29 $7181.25 $8125.00 92.5% 26.5% 131.5% 17.7% 98.3% -39.6% 1.2% 1.5M -26.1M -496.0K 0.21 44.41 N/A N/A 78 16 484 154 2020-04-30 $7325.00 $8125.00 98.6% 27.8% 118.8% 19.5% 100.3% -39.9% 0.3% 2.1M -44.7M -503.5K 0.18 11.90 N/A N/A 57 10 525 158
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