SQQQ Options History — September 2023

In September 2023, SQQQ traded between $440.25 and $529.50. ATM implied volatility averaged 56.6%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 4.6% (HV 20d: 52.0%). Max pain ranged from $425.00 to $450.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.17.

Notable Days

  • 2023-09-15: Highest Volume — 15,425 contracts
  • 2023-09-21: Largest IV spike — 13.6% change
  • 2023-09-26: Highest IV Rank — 25.8%
  • 2023-09-26: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$479.21$440.25$529.50$445.25$512.00
Max Pain$426.25$425.00$450.00$450.00$425.00
ATM IV56.6%49.0%66.5%52.4%61.6%
Expected Move16.2%13.5%19.1%13.5%17.5%
HV 20d52.0%41.0%56.3%53.9%41.8%
HV 60d50.1%49.4%50.9%50.4%49.5%
IV Rank10.4%0.0%25.8%3.3%18.6%
IV Percentile19.7%0.0%44.8%4.0%38.9%
Term Structure0.1%-1.5%1.3%0.5%0.6%
VWIV57.3%48.9%67.5%48.9%62.3%
Skew 25d-14.4%-17.1%-10.8%-10.8%-15.5%
Skew 10d-28.9%-35.4%-24.8%-24.8%-30.1%
Call IV 25d65.4%56.3%78.0%58.3%71.0%
Put IV 25d51.1%43.7%60.9%47.5%55.5%
Bid-Ask Spread %2.461.675.151.932.42
Gamma HHI0.150.100.230.200.17
Net GEX22.4M17.0M28.5M21.0M26.2M
Net DEX-475.1M-730.6M-246.8M-246.8M-564.5M
Net VEX-1.7M-1.8M-1.5M-1.7M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.100.300.170.21
Total Volume9,143.85,20115,4259,58811,778
Total OI41,103.2535,21548,54748,54740,830

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$445.25$450.0052.4%13.5%53.9%3.3%48.9%-10.8%0.5%21.0M-246.8M-1.7M0.171.93N/AN/A8,2201,36840,5797,968
2023-09-05$440.25$425.0052.9%15.7%53.7%4.1%58.9%-13.7%0.7%17.0M-251.0M-1.7M0.115.15N/AN/A5,35259934,9426,805
2023-09-06$456.00$425.0054.9%15.8%54.8%7.0%61.1%-14.9%0.4%24.0M-384.1M-1.8M0.152.80N/AN/A7,3961,07836,3076,981
2023-09-07$464.00$425.0055.6%16.5%54.3%8.0%60.0%-14.4%0.3%26.3M-443.5M-1.8M0.143.23N/AN/A8,3611,14136,8587,092
2023-09-08$465.75$425.0053.7%16.1%54.2%5.2%56.1%-13.3%0.6%25.4M-445.9M-1.8M0.172.45N/AN/A6,6861,13636,4947,333
2023-09-11$447.00$425.0052.6%15.1%55.6%3.6%53.0%-13.4%-0.2%17.4M-270.1M-1.6M0.142.54N/AN/A5,78479233,7666,811
2023-09-12$462.00$425.0054.0%15.0%56.2%5.6%54.1%-14.5%-1.2%24.8M-413.9M-1.7M0.131.99N/AN/A5,59672635,7806,970
2023-09-13$458.50$425.0051.8%14.4%54.9%2.4%54.2%-13.1%-1.5%28.5M-389.8M-1.7M0.102.66N/AN/A5,83957937,0977,174
2023-09-14$446.00$425.0049.0%14.1%54.7%0.0%52.0%-12.6%-0.1%26.0M-274.4M-1.5M0.102.64N/AN/A9,26795638,7557,255
2023-09-15$471.00$425.0052.9%15.2%56.3%5.8%53.4%-13.8%0.5%23.4M-594.8M-1.7M0.252.17N/AN/A12,3783,04740,7727,537
2023-09-18$471.00$425.0053.6%15.4%56.3%6.8%52.9%-13.3%0.6%22.3M-429.1M-1.6M0.141.87N/AN/A4,56563629,0406,175
2023-09-19$471.75$425.0053.4%15.3%54.3%6.4%53.6%-12.8%-1.4%26.5M-454.0M-1.6M0.302.81N/AN/A5,9801,78830,2706,432
2023-09-20$481.00$425.0054.2%15.5%54.6%7.6%52.8%-13.3%-1.5%22.0M-432.3M-1.7M0.181.83N/AN/A7,3361,33629,4147,852
2023-09-21$507.50$425.0061.5%17.6%53.9%18.4%58.9%-15.8%1.3%23.0M-681.2M-1.8M0.203.60N/AN/A11,4722,30330,5888,132
2023-09-22$508.00$425.0060.6%17.3%48.9%17.1%62.4%-16.1%0.5%18.7M-650.8M-1.8M0.182.08N/AN/A11,5172,05330,7868,984
2023-09-25$508.50$425.0062.7%18.0%48.0%20.2%62.5%-16.4%0.5%17.7M-565.2M-1.8M0.171.67N/AN/A6,2441,04128,6146,754
2023-09-26$529.50$425.0066.5%19.1%49.5%25.8%67.5%-17.1%0.4%18.3M-730.6M-1.8M0.211.74N/AN/A7,3651,56430,0907,140
2023-09-27$527.75$425.0065.3%18.7%41.0%24.0%62.8%-16.4%0.1%18.2M-698.5M-1.8M0.241.96N/AN/A7,9091,91930,4477,673
2023-09-28$511.50$425.0062.0%17.6%42.7%19.1%58.6%-16.1%0.2%21.1M-582.0M-1.8M0.171.67N/AN/A8,3631,40631,6137,955
2023-09-29$512.00$425.0061.6%17.5%41.8%18.6%62.3%-15.5%0.6%26.2M-564.5M-1.8M0.212.42N/AN/A9,7392,03932,6818,149