SQQQ Options History — September 2021

In September 2021, SQQQ traded between $898.75 and $1070.00. ATM implied volatility averaged 59.0%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded above realized volatility by 22.3% (HV 20d: 36.7%). Max pain ranged from $750.00 to $875.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.11.

Notable Days

  • 2021-09-20: Highest Volume — 2,224 contracts
  • 2021-09-20: Largest IV spike — 37.2% change
  • 2021-09-20: Highest IV Rank — 56.0%
  • 2021-09-20: Largest Expected Move — 23.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$962.08$898.75$1070.00$908.75$1070.00
Max Pain$839.29$750.00$875.00$875.00$875.00
ATM IV59.0%42.8%80.8%53.0%74.5%
Expected Move16.6%12.3%23.6%13.9%21.4%
HV 20d36.7%30.2%47.9%30.5%47.5%
HV 60d35.7%32.8%41.0%33.7%40.9%
IV Rank35.2%19.7%56.0%29.4%50.0%
IV Percentile29.6%1.2%70.2%15.9%63.1%
Term Structure0.1%-6.7%9.7%1.3%0.9%
VWIV60.8%49.6%79.1%49.6%74.0%
Skew 25d-26.0%-39.2%-15.6%-19.7%-32.4%
Skew 10d-31.4%-59.6%78.7%-14.6%-55.6%
Call IV 25d74.7%59.4%101.8%62.0%94.8%
Put IV 25d48.7%40.6%62.9%42.3%62.5%
Bid-Ask Spread %14.622.6955.7515.273.19
Gamma HHI0.310.170.760.320.24
Net GEX6.4M3.2M27.9M5.8M5.9M
Net DEX-107.8M-196.3M-55.3M-55.3M-190.4M
Net VEX-554.5K-642.7K-482.4K-509.3K-642.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.030.180.080.12
Total Volume1,070.7627122,2241,0241,081
Total OI5,629.194,1017,0686,2765,441

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$908.75$875.0053.0%13.9%30.5%29.4%49.6%-19.7%1.3%5.8M-55.3M-509.3K0.0815.27N/AN/A949755,1981,078
2021-09-02$916.25$750.0052.1%14.1%30.8%28.5%55.0%-23.7%2.0%6.9M-64.4M-512.6K0.0921.36N/AN/A654585,4041,100
2021-09-03$903.75$750.0044.5%13.9%30.3%21.3%54.1%-21.6%0.6%4.0M-60.7M-495.8K0.108.46N/AN/A667645,9751,093
2021-09-07$898.75$750.0049.1%14.6%30.3%25.7%57.2%-18.3%1.8%4.7M-56.7M-482.4K0.046.00N/AN/A804364,5181,026
2021-09-08$912.50$750.0055.6%14.2%30.3%31.8%57.7%-24.4%-6.5%6.0M-70.7M-492.5K0.064.39N/AN/A958614,7801,060
2021-09-09$915.00$750.0056.2%14.7%30.2%32.4%60.2%-21.6%-6.3%7.4M-93.3M-536.4K0.0322.03N/AN/A859275,0971,071
2021-09-10$936.25$750.0056.7%15.1%31.7%32.9%61.8%-29.0%-6.7%27.9M-117.0M-538.8K0.0912.41N/AN/A1,068955,2171,079
2021-09-13$947.50$875.0063.3%18.6%32.2%39.2%59.7%-26.2%-5.7%6.1M-106.4M-546.9K0.094.72N/AN/A1,001944,5731,014
2021-09-14$952.50$875.0062.7%18.2%32.3%38.7%61.4%-26.3%-6.0%6.7M-108.7M-552.7K0.094.77N/AN/A758664,7111,078
2021-09-15$925.00$875.0042.8%12.3%31.3%19.7%51.4%-16.2%9.7%6.1M-72.0M-516.5K0.143.08N/AN/A8541244,8161,119
2021-09-16$925.00$875.0044.8%12.4%30.9%21.6%52.8%-15.6%9.1%6.9M-71.7M-516.6K0.1113.97N/AN/A679724,9361,136
2021-09-17$958.75$875.0058.9%17.4%34.3%35.0%60.6%-28.3%-5.7%3.3M-111.3M-549.2K0.1136.40N/AN/A1,1571264,9181,177
2021-09-20$1035.00$875.0080.8%23.6%43.2%56.0%79.1%-39.2%-1.0%3.2M-147.0M-605.2K0.1336.22N/AN/A1,9682563,201900
2021-09-21$1008.75$875.0070.8%19.4%40.7%46.4%67.7%-32.8%2.3%4.2M-145.5M-605.2K0.1538.00N/AN/A1,0361593,527960
2021-09-22$982.50$875.0062.9%17.7%41.8%38.9%62.9%-28.0%2.8%4.8M-116.1M-574.2K0.1655.75N/AN/A8771423,8771,097
2021-09-23$956.25$875.0052.3%14.4%43.0%28.7%55.4%-25.3%4.0%5.1M-89.7M-569.5K0.099.13N/AN/A855764,1891,151
2021-09-24$953.75$875.0049.8%13.3%42.3%26.3%51.4%-25.7%3.5%4.0M-93.0M-557.0K0.152.69N/AN/A7311114,3101,181
2021-09-27$977.50$875.0059.7%16.4%41.6%35.8%55.8%-27.0%0.7%5.3M-107.7M-569.5K0.183.14N/AN/A6311133,8221,059
2021-09-28$1058.75$875.0075.0%21.6%47.9%50.4%74.4%-33.2%0.0%5.1M-189.4M-631.4K0.183.10N/AN/A1,7123113,9771,104
2021-09-29$1061.25$875.0074.5%21.6%47.9%49.9%75.0%-32.1%0.6%5.5M-196.3M-639.6K0.152.85N/AN/A9761454,0921,151
2021-09-30$1070.00$875.0074.5%21.4%47.5%50.0%74.0%-32.4%0.9%5.9M-190.4M-642.7K0.123.19N/AN/A9661154,1341,307