SQQQ Options History — July 2020

In July 2020, SQQQ traded between $3693.75 and $4500.00. ATM implied volatility averaged 90.2%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 25.4%. IV traded above realized volatility by 27.1% (HV 20d: 63.1%). Max pain ranged from $3125.00 to $4375.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.14.

Notable Days

  • 2020-07-24: Highest Volume — 441 contracts
  • 2020-07-13: Largest IV spike — 23.7% change
  • 2020-07-14: Highest IV Rank — 32.9%
  • 2020-07-14: Largest Expected Move — 31.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4033.52$3693.75$4500.00$4500.00$3756.25
Max Pain$3352.27$3125.00$4375.00$4375.00$3125.00
ATM IV90.2%76.4%108.0%78.2%81.6%
Expected Move25.4%19.6%31.4%19.6%23.0%
HV 20d63.1%49.5%74.8%74.8%63.9%
HV 60d68.5%63.4%75.3%75.0%63.7%
IV Rank24.9%18.7%32.9%19.5%21.0%
IV Percentile72.6%60.7%84.5%65.1%60.7%
Term Structure-2.2%-24.8%2.9%2.1%2.3%
VWIV94.4%75.5%109.5%77.3%87.7%
Skew 25d-26.5%-43.8%42.5%-31.8%-29.3%
Skew 10d-49.9%-109.8%36.4%36.4%-45.3%
Call IV 25d111.0%95.1%137.9%100.4%98.8%
Put IV 25d84.5%68.4%152.8%68.6%69.5%
Bid-Ask Spread %17.653.3236.685.403.32
Gamma HHI0.220.160.500.220.25
Net GEX2.6M1.3M4.9M2.3M2.5M
Net DEX-48.8M-104.2M-9.0M-32.6M-45.1M
Net VEX-409.8K-510.8K-321.3K-417.1K-390.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.060.270.080.25
Total Volume183.40990441118200
Total OI937.3187551,1057551,105

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$4500.00$4375.0078.2%19.6%74.8%19.5%77.3%-31.8%2.1%2.3M-32.6M-417.1K0.085.40N/AN/A1108564191
2020-07-02$4431.25$4375.0076.4%19.8%72.8%18.7%75.5%-26.7%1.2%2.0M-33.5M-408.6K0.104.96N/AN/A12813622191
2020-07-06$4156.25$3750.0081.4%24.7%72.8%21.0%92.6%-16.5%-24.8%2.2M-23.2M-471.9K0.2430.42N/AN/A12429638230
2020-07-07$4168.75$3750.0086.7%26.1%73.0%23.3%88.8%-32.9%-0.2%2.8M-34.5M-404.2K0.0613.85N/AN/A19811664188
2020-07-08$4087.50$3125.0085.0%26.6%72.6%22.6%95.3%42.5%-0.7%3.6M-37.7M-386.9K0.0936.68N/AN/A908733188
2020-07-09$3962.50$3125.0094.3%25.0%72.1%26.7%99.4%-33.7%-1.9%3.1M-28.5M-376.3K0.1216.13N/AN/A14517757192
2020-07-10$3875.00$3125.0086.7%24.6%49.5%23.4%96.8%-18.2%-10.3%1.3M-9.0M-321.3K0.0828.84N/AN/A15313820197
2020-07-13$4018.75$3125.00107.3%28.2%52.8%32.6%106.1%-43.8%-10.4%2.1M-41.1M-392.6K0.1133.28N/AN/A24728666190
2020-07-14$4068.75$3125.00108.0%31.4%53.3%32.9%109.5%-38.9%2.2%2.7M-61.8M-421.2K0.1033.05N/AN/A26527740198
2020-07-15$3993.75$3125.00106.7%27.4%51.4%32.3%109.1%-35.7%-11.7%2.8M-55.5M-510.8K0.2017.46N/AN/A13226820253
2020-07-16$4075.00$3125.00100.9%28.8%52.5%29.7%100.2%-30.6%-0.1%3.4M-60.1M-406.1K0.1113.23N/AN/A15117796212
2020-07-17$4043.75$3750.0085.1%23.5%52.5%22.6%94.4%-29.7%-4.4%4.9M-53.5M-401.0K0.2716.09N/AN/A10629800217
2020-07-20$3693.75$3750.0084.8%24.0%59.6%22.5%93.7%-27.5%1.7%1.4M-20.0M-334.9K0.1123.53N/AN/A16719570188
2020-07-21$3812.50$3125.0087.6%25.1%61.6%23.7%94.6%-29.5%-2.0%2.2M-41.3M-381.4K0.2314.20N/AN/A14232665193
2020-07-22$3793.75$3125.0083.7%24.0%61.0%22.0%90.7%-24.9%2.8%2.5M-45.8M-396.4K0.1332.27N/AN/A7911711215
2020-07-23$4087.50$3125.0090.1%25.8%64.3%24.9%93.1%-28.8%1.8%3.8M-84.8M-437.8K0.1113.86N/AN/A28931739220
2020-07-24$4225.00$3125.0096.9%27.7%66.1%27.9%95.0%-29.0%0.9%2.1M-104.2M-466.4K0.1218.03N/AN/A39348772235
2020-07-27$3975.00$3125.0090.5%26.1%65.7%25.1%93.4%-31.3%1.2%1.9M-52.9M-407.7K0.178.56N/AN/A12321679234
2020-07-28$4106.25$3125.0090.9%25.8%67.6%25.2%95.8%-24.5%-0.7%2.4M-75.8M-432.6K0.113.72N/AN/A849729247
2020-07-29$3975.00$3125.0088.2%25.2%64.9%24.0%92.2%-32.3%2.9%2.4M-63.3M-421.6K0.175.90N/AN/A11220746251
2020-07-30$3931.25$3125.0092.5%26.5%62.5%26.0%95.4%-30.9%0.3%2.6M-69.0M-428.9K0.1415.49N/AN/A15822795260
2020-07-31$3756.25$3125.0081.6%23.0%63.9%21.0%87.7%-29.3%2.3%2.5M-45.1M-390.4K0.253.32N/AN/A16040838267