SQQQ Options History — May 2020

In May 2020, SQQQ traded between $5918.75 and $7887.50. ATM implied volatility averaged 89.9%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 26.0%. IV traded above realized volatility by 3.1% (HV 20d: 86.8%). Max pain ranged from $6250.00 to $7812.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.14.

Notable Days

  • 2020-05-13: Highest Volume — 171 contracts
  • 2020-05-13: Largest IV spike — 16.2% change
  • 2020-05-28: Highest IV Rank — 23.2%
  • 2020-05-13: Largest Expected Move — 31.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6671.25$5918.75$7887.50$7887.50$5918.75
Max Pain$7046.88$6250.00$7812.50$7812.50$6250.00
ATM IV89.9%78.3%107.8%107.8%78.3%
Expected Move26.0%22.5%31.6%30.7%22.5%
HV 20d86.8%62.8%124.2%124.2%62.8%
HV 60d147.6%139.9%150.6%148.8%139.9%
IV Rank17.9%13.8%23.2%22.3%19.6%
IV Percentile78.4%72.6%84.1%84.1%72.6%
Term Structure0.6%-30.6%7.2%1.8%1.0%
VWIV100.9%87.9%117.3%110.5%94.1%
Skew 25d-32.5%-48.1%17.0%-48.1%17.0%
Skew 10d-54.3%-81.5%8.6%-74.1%-60.5%
Call IV 25d111.7%95.3%139.8%139.8%95.3%
Put IV 25d79.2%64.5%112.3%91.7%112.3%
Bid-Ask Spread %19.5910.9231.0410.9229.97
Gamma HHI0.140.110.330.130.11
Net GEX2.5M1.8M4.5M3.2M1.9M
Net DEX-50.4M-104.2M-23.6M-104.2M-31.9M
Net VEX-518.2K-586.6K-456.2K-586.6K-456.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.070.280.110.07
Total Volume89.055117116188
Total OI763.15669869704819

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$7887.50$7812.50107.8%30.7%124.2%22.3%110.5%-48.1%1.8%3.2M-104.2M-586.6K0.1110.92N/AN/A14516545159
2020-05-04$7637.50$7500.00102.0%30.2%121.4%20.6%117.3%-47.0%3.3%2.3M-70.2M-564.6K0.2013.84N/AN/A5210516153
2020-05-05$7400.00$7500.0098.4%29.1%94.1%19.5%109.9%-40.7%0.1%2.2M-63.6M-566.7K0.2819.46N/AN/A6618534161
2020-05-06$7181.25$7500.0098.3%27.8%93.3%19.5%110.0%-39.1%3.2%2.2M-53.3M-543.8K0.1421.10N/AN/A619560166
2020-05-07$6962.50$7500.0092.2%28.0%93.4%17.6%111.4%-37.3%3.4%2.2M-46.3M-550.2K0.1626.35N/AN/A6611588168
2020-05-08$6662.50$7500.0079.7%25.6%93.8%13.8%99.0%-30.0%7.2%1.8M-23.6M-510.3K0.2226.18N/AN/A6615622169
2020-05-11$6437.50$7500.0082.9%23.0%93.8%14.7%94.5%-34.5%-1.5%1.9M-24.6M-475.0K0.1625.24N/AN/A6010593161
2020-05-12$6762.50$7500.0091.5%26.3%84.1%17.4%98.2%-31.6%-1.3%2.5M-42.8M-498.3K0.0819.87N/AN/A746623166
2020-05-13$7256.25$6875.00106.3%31.6%87.9%21.9%113.1%-34.7%4.0%3.2M-103.7M-549.9K0.1118.50N/AN/A15516651168
2020-05-14$6993.75$6875.0097.2%27.9%87.8%19.1%110.8%-37.9%-1.9%2.9M-71.6M-552.0K0.1131.04N/AN/A10812663171
2020-05-15$6837.50$6875.0096.1%27.6%87.7%18.8%105.3%-39.4%0.7%4.5M-58.1M-542.7K0.1521.84N/AN/A10316696173
2020-05-18$6306.25$6875.0081.9%23.6%90.9%14.5%99.5%-34.2%3.2%2.2M-37.5M-507.3K0.1513.25N/AN/A7812552146
2020-05-19$6293.75$6875.0084.7%24.3%80.4%15.3%91.7%-28.1%1.1%2.2M-32.3M-481.1K0.1815.53N/AN/A438580151
2020-05-20$6037.50$6875.0079.8%22.9%75.7%13.8%94.7%-35.4%2.9%2.1M-33.3M-494.5K0.0812.41N/AN/A816597155
2020-05-21$6206.25$6875.0085.5%24.3%76.8%15.5%93.4%-30.8%2.7%2.8M-48.9M-534.5K0.0815.55N/AN/A575627157
2020-05-22$6187.50$6562.5084.2%23.8%76.1%15.2%96.5%-28.0%3.3%2.9M-38.1M-484.8K0.1414.94N/AN/A709639158
2020-05-26$6206.25$6562.5082.8%23.2%76.2%14.7%87.9%-30.7%-30.6%2.3M-41.6M-491.5K0.1520.46N/AN/A507588151
2020-05-27$6137.50$6562.5082.5%23.4%73.2%21.4%90.4%-27.7%5.6%2.4M-42.0M-485.8K0.1523.11N/AN/A8412607154
2020-05-28$6112.50$6562.5086.3%24.3%63.1%23.2%89.6%-31.6%3.5%2.3M-41.4M-488.7K0.1612.17N/AN/A6610615161
2020-05-29$5918.75$6250.0078.3%22.5%62.8%19.6%94.1%17.0%1.0%1.9M-31.9M-456.2K0.0729.97N/AN/A826651168