SQQQ Options History — September 2020

In September 2020, SQQQ traded between $2448.75 and $3475.00. ATM implied volatility averaged 105.2%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 29.5%. IV traded above realized volatility by 11.3% (HV 20d: 94.0%). Max pain ranged from $2500.00 to $2750.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.23.

Notable Days

  • 2020-09-04: Highest Volume — 2,315 contracts
  • 2020-09-25: Largest IV drop — 14.6% change
  • 2020-09-03: Highest IV Rank — 46.5%
  • 2020-09-03: Largest Expected Move — 35.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3121.55$2448.75$3475.00$2542.50$2980.00
Max Pain$2660.71$2500.00$2750.00$2500.00$2750.00
ATM IV105.2%92.7%125.2%97.1%96.0%
Expected Move29.5%24.7%35.7%24.7%25.1%
HV 20d94.0%49.1%109.7%49.1%108.1%
HV 60d73.8%61.8%79.0%61.8%78.1%
IV Rank38.5%33.4%46.5%35.2%34.8%
IV Percentile78.7%66.3%88.5%77.4%69.0%
Term Structure3.2%-2.5%13.4%5.5%7.7%
VWIV105.8%90.1%128.0%91.1%90.1%
Skew 25d-30.0%-58.5%-13.5%-18.3%-34.1%
Skew 10d-42.8%-77.9%-13.1%-40.3%-66.6%
Call IV 25d124.9%112.0%151.8%114.0%118.6%
Put IV 25d94.9%56.5%114.7%95.7%84.5%
Bid-Ask Spread %6.033.4614.5214.355.50
Gamma HHI0.110.080.260.140.08
Net GEX3.4M1.3M6.2M1.4M3.1M
Net DEX-102.2M-193.2M-17.3M-17.3M-53.5M
Net VEX-328.6K-539.2K-106.4K-106.4K-520.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.130.490.140.21
Total Volume8431982,315198686
Total OI1,349.7625031,9875031,881

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$2542.50$2500.0097.1%24.7%49.1%35.2%91.1%-18.3%5.5%1.4M-17.3M-106.4K0.1414.35N/AN/A17424401102
2020-09-02$2448.75$2500.00110.7%27.9%49.6%40.7%100.2%-29.8%-1.6%1.3M-17.9M-115.9K0.2011.14N/AN/A32866488109
2020-09-03$2855.00$2500.00125.2%35.7%77.7%46.5%128.0%-37.2%5.5%2.8M-87.6M-162.0K0.136.06N/AN/A1,186154589141
2020-09-04$2907.50$2500.00112.3%34.0%76.9%41.4%125.7%-41.8%3.1%3.7M-114.0M-177.9K0.1814.52N/AN/A1,964351732207
2020-09-08$3337.50$2625.00122.3%34.7%92.6%45.4%122.1%-13.5%-0.5%3.0M-156.4M-215.8K0.235.49N/AN/A841192751203
2020-09-09$3053.75$2625.00112.4%32.0%95.8%41.4%118.5%-25.2%0.6%3.6M-103.2M-259.4K0.236.26N/AN/A506114885312
2020-09-10$3232.50$2625.00113.3%31.9%95.2%41.8%112.5%-27.9%-2.5%4.6M-151.8M-266.6K0.195.71N/AN/A940178932334
2020-09-11$3341.25$2625.00104.1%30.0%96.0%38.1%104.3%-23.5%0.5%5.4M-193.2M-277.3K0.225.32N/AN/A9832181,040387
2020-09-14$3127.50$2625.0099.0%28.5%98.6%36.0%100.7%-22.9%0.4%2.9M-84.4M-273.3K0.264.33N/AN/A35892796320
2020-09-15$3046.25$2625.00100.3%28.7%97.8%36.5%104.8%-25.7%2.8%3.1M-76.3M-282.0K0.215.03N/AN/A40586876359
2020-09-16$3123.75$2625.00103.5%29.7%97.8%37.8%107.5%-25.7%0.9%4.3M-105.6M-297.0K0.165.79N/AN/A57991980380
2020-09-17$3336.25$2750.00107.5%30.8%100.5%39.4%107.0%-26.6%0.8%5.6M-170.8M-303.8K0.274.38N/AN/A8572271,052412
2020-09-18$3418.75$2750.00103.5%29.5%99.4%37.8%103.2%-27.2%1.8%6.2M-189.5M-333.8K0.493.61N/AN/A8153971,113541
2020-09-21$3441.25$2750.00105.3%30.2%99.2%38.5%106.0%-30.1%2.6%2.2M-110.7M-402.3K0.234.81N/AN/A562127770605
2020-09-22$3185.00$2750.0098.7%27.7%103.2%35.9%101.4%-26.3%3.1%1.9M-60.4M-418.1K0.393.46N/AN/A425165908665
2020-09-23$3475.00$2750.00105.7%30.0%106.8%38.7%103.2%-47.2%-0.2%3.8M-139.4M-464.5K0.254.09N/AN/A6911751,008730
2020-09-24$3423.75$2750.00108.5%30.1%103.8%39.8%105.2%-34.5%1.5%4.3M-127.0M-499.2K0.205.39N/AN/A8691691,092799
2020-09-25$3211.25$2750.0092.7%26.6%107.1%33.4%98.0%-58.5%13.4%2.6M-61.5M-484.8K0.313.93N/AN/A6051901,184803
2020-09-28$3020.00$2750.0094.0%25.5%109.7%34.0%95.1%-25.8%10.9%2.4M-55.1M-501.8K0.283.56N/AN/A435123952664
2020-09-29$3045.00$2750.0098.2%26.6%108.6%35.7%96.1%-27.7%9.8%3.3M-70.3M-539.2K0.153.89N/AN/A308471,116726
2020-09-30$2980.00$2750.0096.0%25.1%108.1%34.8%90.1%-34.1%7.7%3.1M-53.5M-520.4K0.215.50N/AN/A5651211,145736