SQQQ Options History — November 2020

In November 2020, SQQQ traded between $2225.00 and $3162.50. ATM implied volatility averaged 80.4%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 23.7%. IV traded below realized volatility by 12.6% (HV 20d: 93.0%). Max pain ranged from $2375.00 to $2625.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.20.

Notable Days

  • 2020-11-10: Highest Volume — 1,201 contracts
  • 2020-11-04: Largest IV drop — 26.1% change
  • 2020-11-02: Highest IV Rank — 44.1%
  • 2020-11-02: Largest Expected Move — 37.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2464.56$2225.00$3162.50$3162.50$2225.00
Max Pain$2487.50$2375.00$2625.00$2500.00$2375.00
ATM IV80.4%65.0%119.0%119.0%71.1%
Expected Move23.7%18.5%37.1%37.1%20.7%
HV 20d93.0%71.2%99.2%83.8%71.2%
HV 60d90.5%85.1%92.2%85.6%85.1%
IV Rank28.5%22.3%44.1%44.1%24.8%
IV Percentile38.0%23.8%85.3%85.3%25.0%
Term Structure-0.4%-10.2%12.3%-6.3%5.2%
VWIV89.9%72.1%129.7%129.7%79.8%
Skew 25d-27.1%-46.2%-20.0%-31.6%-20.1%
Skew 10d-45.0%-58.7%-15.8%-43.8%-35.0%
Call IV 25d101.0%80.6%137.7%137.7%84.4%
Put IV 25d73.9%60.0%106.1%106.1%64.4%
Bid-Ask Spread %3.792.487.873.832.86
Gamma HHI0.110.060.210.060.08
Net GEX2.9M1.2M5.4M2.3M1.2M
Net DEX-33.6M-132.6M11.5M-132.6M-861.1K
Net VEX-499.8K-593.3K-408.7K-593.3K-408.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.100.460.280.12
Total Volume627.83171,201564497
Total OI2,147.81,5553,0421,8381,608

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$3162.50$2500.00119.0%37.1%83.8%44.1%129.7%-31.6%-6.3%2.3M-132.6M-593.3K0.283.83N/AN/A4411231,042796
2020-11-03$2918.75$2500.00105.1%33.6%87.1%38.5%120.5%-29.3%-4.7%2.1M-82.1M-564.5K0.175.25N/AN/A572991,042796
2020-11-04$2568.75$2500.0077.7%27.9%96.2%27.4%105.7%-26.7%12.3%1.7M-17.4M-550.5K0.163.83N/AN/A9621521,334855
2020-11-05$2390.00$2625.0090.0%26.3%99.0%32.4%96.4%-30.8%0.4%2.0M6.0M-530.4K0.165.27N/AN/A8941471,705883
2020-11-06$2340.00$2500.0081.8%24.6%98.2%29.1%92.5%-28.3%2.1%3.7M771.1K-538.2K0.153.02N/AN/A8841302,128914
2020-11-09$2428.75$2500.0083.0%23.5%92.4%29.6%89.5%-24.4%-1.6%3.8M-47.5M-540.6K0.223.72N/AN/A6981501,504807
2020-11-10$2618.75$2500.0088.0%25.5%96.2%31.6%95.7%-27.3%1.1%5.3M-124.2M-576.7K0.183.48N/AN/A1,0141871,596815
2020-11-11$2457.50$2500.0082.7%24.4%98.7%29.4%90.7%-25.5%2.7%3.9M-43.0M-539.2K0.182.75N/AN/A493911,524853
2020-11-12$2506.25$2500.0088.2%25.3%98.4%31.7%95.8%-28.5%0.1%5.4M-71.9M-548.9K0.207.87N/AN/A5681111,641857
2020-11-13$2415.00$2500.0081.5%22.7%99.2%29.0%87.0%-46.2%-4.5%1.7M-29.4M-497.6K0.223.02N/AN/A420941,704858
2020-11-16$2390.00$2500.0075.1%21.7%96.2%26.4%85.1%-28.7%-7.7%2.4M-17.7M-488.6K0.196.55N/AN/A319621,250758
2020-11-17$2390.00$2500.0073.9%21.3%96.1%25.9%83.2%-27.4%-3.9%3.1M-23.3M-492.9K0.102.78N/AN/A334321,347779
2020-11-18$2421.25$2500.0073.1%21.0%96.2%25.6%85.0%-27.1%3.1%3.8M-32.2M-486.5K0.163.61N/AN/A292481,369784
2020-11-19$2383.75$2500.0071.7%20.5%96.2%25.0%81.6%-27.0%-10.2%3.8M-20.2M-473.9K0.163.09N/AN/A324531,426789
2020-11-20$2412.50$2500.0070.4%19.7%96.4%24.5%76.9%-26.3%4.0%4.5M-27.0M-468.1K0.383.40N/AN/A2651001,468795
2020-11-23$2425.00$2500.0071.9%20.4%94.1%25.1%78.4%-25.7%-0.6%1.9M-23.2M-457.9K0.463.20N/AN/A423195872683
2020-11-24$2328.75$2500.0069.5%19.2%94.1%24.1%76.5%-20.5%-0.3%2.0M-5.8M-419.5K0.182.87N/AN/A48986969661
2020-11-25$2276.25$2375.0065.0%18.5%85.4%22.3%72.1%-20.6%1.4%1.2M8.7M-409.4K0.122.88N/AN/A436541,123684
2020-11-27$2232.50$2375.0068.3%19.5%83.8%23.6%74.7%-20.0%-0.2%2.0M11.5M-410.2K0.272.48N/AN/A249681,229708
2020-11-30$2225.00$2375.0071.1%20.7%71.2%24.8%79.8%-20.1%5.2%1.2M-861.1K-408.7K0.122.86N/AN/A44354947661