SQQQ Options History — January 2021

In January 2021, SQQQ traded between $1621.25 and $2003.75. ATM implied volatility averaged 82.2%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 23.5%. IV traded above realized volatility by 33.2% (HV 20d: 49.0%). Max pain ranged from $1625.00 to $1875.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.19.

Notable Days

  • 2021-01-29: Highest Volume — 2,253 contracts
  • 2021-01-27: Largest IV spike — 29.6% change
  • 2021-01-27: Highest IV Rank — 38.4%
  • 2021-01-27: Largest Expected Move — 30.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1806.38$1621.25$2003.75$1982.50$1826.25
Max Pain$1750.00$1625.00$1875.00$1875.00$1625.00
ATM IV82.2%71.2%105.0%86.9%101.3%
Expected Move23.5%20.3%30.2%24.8%29.1%
HV 20d49.0%37.9%68.4%37.9%68.4%
HV 60d64.4%58.9%66.3%66.3%60.8%
IV Rank29.2%24.8%38.4%31.1%36.9%
IV Percentile35.9%15.5%73.4%47.2%67.1%
Term Structure0.6%-3.0%2.9%0.7%-3.0%
VWIV87.8%76.6%110.5%92.5%109.5%
Skew 25d-32.0%-42.9%-26.1%-34.6%-41.6%
Skew 10d-56.2%-74.1%-3.6%-66.6%-3.6%
Call IV 25d103.7%90.5%135.5%109.2%125.9%
Put IV 25d71.7%62.8%92.7%74.6%84.3%
Bid-Ask Spread %3.222.079.662.744.97
Gamma HHI0.140.080.260.090.26
Net GEX2.6M908.1K4.8M1.1M4.8M
Net DEX-59.3M-152.9M9.8M-35.7M-152.9M
Net VEX-587.9K-662.4K-463.3K-463.3K-662.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.090.470.160.21
Total Volume813.6322692,2537732,253
Total OI2,841.3681,8103,6311,8103,524

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$1982.50$1875.0086.9%24.8%37.9%31.1%92.5%-34.6%0.7%1.1M-35.7M-463.3K0.162.74N/AN/A6651081,083727
2021-01-05$1940.00$1875.0081.6%23.9%38.5%29.0%86.9%-32.8%-0.4%1.9M-48.7M-530.4K0.099.66N/AN/A426371,388745
2021-01-06$2003.75$1875.0082.5%23.5%40.2%29.3%86.6%-30.4%-0.7%2.8M-88.1M-606.4K0.162.93N/AN/A553861,615756
2021-01-07$1855.00$1875.0075.7%22.1%48.2%26.6%85.4%-26.1%1.1%2.1M-37.6M-569.6K0.132.35N/AN/A637861,702768
2021-01-08$1795.00$1875.0076.0%21.3%41.5%26.7%82.0%-28.7%1.5%908.1K-34.3M-590.3K0.252.71N/AN/A5091281,940794
2021-01-11$1867.50$1875.0085.7%24.4%44.8%30.6%90.3%-32.5%-1.1%2.6M-77.9M-633.8K0.193.17N/AN/A364691,783723
2021-01-12$1872.50$1750.0081.9%23.3%43.8%29.1%88.5%-30.5%-0.7%2.8M-81.6M-641.5K0.132.25N/AN/A334421,865748
2021-01-13$1830.00$1875.0077.8%22.9%43.3%27.5%80.1%-29.9%2.4%3.0M-67.0M-626.2K0.182.16N/AN/A228411,922763
2021-01-14$1855.00$1750.0081.6%23.3%43.3%29.0%84.5%-29.8%-0.1%3.5M-83.1M-637.0K0.162.07N/AN/A304492,007769
2021-01-15$1912.50$1750.0082.8%23.1%44.1%29.5%85.8%-30.3%-3.0%3.0M-105.2M-653.0K0.132.92N/AN/A649872,081771
2021-01-19$1826.25$1750.0075.7%21.7%46.8%26.6%82.6%-30.2%2.3%3.5M-72.0M-604.2K0.322.36N/AN/A6141971,986754
2021-01-20$1690.00$1750.0071.8%20.6%52.7%25.0%76.6%-27.7%1.8%1.3M9.8M-496.9K0.175.60N/AN/A1,0681852,132890
2021-01-21$1653.75$1625.0071.2%20.3%52.8%24.8%81.5%-28.4%2.1%2.2M600.7K-526.9K0.182.24N/AN/A5681042,431963
2021-01-22$1662.50$1625.0074.6%21.2%53.1%26.2%79.2%-27.9%2.0%2.1M-10.9M-541.7K0.472.23N/AN/A4842292,660971
2021-01-25$1643.75$1625.0077.0%21.7%53.0%27.1%82.5%-32.3%2.9%1.8M-20.1M-540.8K0.122.62N/AN/A9991241,961907
2021-01-26$1621.25$1625.0081.1%22.4%52.9%28.8%88.0%-31.2%1.1%2.6M-29.6M-566.1K0.152.67N/AN/A465682,242942
2021-01-27$1772.50$1625.00105.0%30.2%62.6%38.4%110.5%-42.9%0.6%3.8M-121.4M-662.4K0.152.47N/AN/A1,3962072,396971
2021-01-28$1711.25$1625.0092.1%26.0%63.6%33.2%95.1%-40.3%2.0%3.4M-71.1M-617.2K0.193.16N/AN/A9211752,336970
2021-01-29$1826.25$1625.00101.3%29.1%68.4%36.9%109.5%-41.6%-3.0%4.8M-152.9M-662.3K0.214.97N/AN/A1,8633902,535989