SQQQ Options History — December 2020

In December 2020, SQQQ traded between $1912.50 and $2167.50. ATM implied volatility averaged 70.3%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 27.3% (HV 20d: 43.0%). Max pain ranged from $1937.50 to $2875.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.20.

Notable Days

  • 2020-12-09: Highest Volume — 1,194 contracts
  • 2020-12-15: Largest IV spike — 211.8% change
  • 2020-12-15: Highest IV Rank — 47.2%
  • 2020-12-15: Largest Expected Move — 37.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2032.95$1912.50$2167.50$2128.75$1915.00
Max Pain$2596.59$1937.50$2875.00$2375.00$1937.50
ATM IV70.3%22.3%126.9%70.3%75.2%
Expected Move12.3%1.7%37.8%20.4%20.8%
HV 20d43.0%35.2%71.6%71.6%35.2%
HV 60d73.7%66.5%85.3%85.3%66.5%
IV Rank24.4%5.1%47.2%24.4%26.4%
IV Percentile25.9%0.4%89.7%24.2%26.2%
Term Structure-2.6%-74.6%71.8%7.2%1.7%
VWIV96.7%67.4%133.9%78.3%71.5%
Skew 25d-27.8%-35.9%-17.4%-17.4%-31.4%
Skew 10d-48.4%-63.0%-8.3%-32.0%-53.9%
Call IV 25d92.9%80.2%102.1%81.7%94.8%
Put IV 25d65.2%60.8%71.8%64.3%63.4%
Bid-Ask Spread %34.242.5151.812.6319.73
Gamma HHI0.170.080.550.080.08
Net GEX1.8M269.9K4.0M892.8K765.3K
Net DEX-3.9M-39.6M17.1M12.8M-14.0M
Net VEX-421.4K-446.5K-393.4K-409.6K-445.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.110.340.190.29
Total Volume460.7272271,194655421
Total OI1,913.7731,5822,2081,7442,025

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$2128.75$2375.0070.3%20.4%71.6%24.4%78.3%-17.4%7.2%892.8K12.8M-409.6K0.192.63N/AN/A5491061,055689
2020-12-02$2121.25$2375.0070.6%20.0%68.1%24.6%76.1%-18.2%6.7%2.3M-4.3M-429.9K0.142.51N/AN/A374541,284719
2020-12-03$2110.00$2875.0071.1%3.7%53.8%24.7%113.4%-18.5%7.1%1.4M7.2M-414.2K0.1549.70N/AN/A326501,288730
2020-12-04$2091.25$2875.0069.0%5.9%48.5%23.9%123.4%-18.6%5.8%1.8M7.9M-411.6K0.2649.40N/AN/A235601,353743
2020-12-07$2058.75$2875.0073.0%0.0%48.3%25.5%104.3%-24.5%-64.6%1.2M9.3M-396.7K0.1440.55N/AN/A268371,044697
2020-12-08$2023.75$2875.0069.9%4.0%45.6%24.3%104.3%-23.3%-56.5%1.2M13.6M-393.4K0.1345.33N/AN/A356471,164709
2020-12-09$2160.00$2875.0082.6%2.2%43.2%29.4%106.0%-29.2%-74.6%3.7M-39.6M-446.5K0.1144.84N/AN/A1,0761181,272717
2020-12-10$2122.50$2875.0072.7%4.3%38.4%25.4%105.8%-29.7%-64.5%3.4M-21.3M-431.9K0.1651.81N/AN/A6931101,298753
2020-12-11$2167.50$2875.0067.8%6.8%38.5%23.4%112.2%-29.9%-57.8%4.0M-34.0M-440.6K0.1547.78N/AN/A597871,363790
2020-12-14$2100.00$2875.0040.7%3.2%38.0%12.5%117.2%-31.0%71.8%1.4M-9.3M-425.6K0.2128.23N/AN/A299621,114722
2020-12-15$2046.25$2875.00126.9%37.8%38.6%47.2%119.3%-31.4%-52.5%1.4M2.1M-422.5K0.3249.32N/AN/A189611,185744
2020-12-16$1991.25$2875.0022.3%6.4%39.0%5.1%123.0%-30.3%55.1%1.1M13.2M-407.6K0.3250.84N/AN/A3171001,223756
2020-12-17$1972.50$2875.0032.5%2.1%38.2%9.2%113.2%-31.9%69.4%1.3M17.1M-413.7K0.1823.97N/AN/A301531,345779
2020-12-18$2012.50$2875.0077.7%0.0%39.6%27.4%133.9%-35.9%67.7%3.7M-5.1M-422.9K0.1939.78N/AN/A5321021,422786
2020-12-21$2003.75$2875.0089.7%34.9%38.9%32.3%94.6%-30.7%4.3%1.4M-11.6M-425.3K0.2341.01N/AN/A43599953678
2020-12-22$1985.00$2625.0072.9%1.7%38.5%25.5%83.3%-31.9%2.7%1.5M-7.3M-421.6K0.115.17N/AN/A373421,023708
2020-12-23$1982.50$2437.5072.6%7.4%36.8%25.3%74.2%-28.2%4.0%2.1M-10.0M-428.3K0.1442.46N/AN/A228321,125720
2020-12-24$1986.25$2187.5071.2%6.7%36.6%24.8%68.2%-27.9%3.4%2.8M-8.3M-433.7K0.2846.37N/AN/A177501,164725
2020-12-28$1918.75$1937.5070.4%19.2%37.7%24.5%67.4%-29.4%2.1%269.9K5.0M-398.0K0.3414.11N/AN/A26892899683
2020-12-29$1912.50$1937.5073.8%19.6%37.7%25.8%70.3%-31.8%1.9%550.4K-745.1K-420.2K0.1525.07N/AN/A344501,009741
2020-12-30$1915.00$1937.5073.4%19.6%35.2%25.7%68.1%-30.0%2.0%1.4M-8.4M-432.1K0.2232.63N/AN/A300661,140766
2020-12-31$1915.00$1937.5075.2%20.8%35.2%26.4%71.5%-31.4%1.7%765.3K-14.0M-445.5K0.2919.73N/AN/A326951,237788