QQQ Options History — September 2013 In September 2013, QQQ traded between $75.88 and $79.49. ATM implied volatility averaged 13.8%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.2% (HV 20d: 11.5%). Max pain ranged from $76.00 to $79.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.38.
Notable Days 2013-09-06 : Highest Volume — 457,323 contracts2013-09-27 : Largest IV spike — 7.0% change2013-09-03 : Highest IV Rank — 38.9%2013-09-03 : Largest Expected Move — 4.7%Monthly Statistics Metric Avg Min Max Open Close Price $78.18 $75.88 $79.49 $75.88 $79.00 Max Pain $77.32 $76.00 $79.00 $76.00 $77.00 ATM IV 13.8% 12.3% 16.3% 16.3% 15.0% Expected Move 4.0% 3.5% 4.7% 4.7% 4.3% HV 20d 11.5% 8.2% 13.3% 12.6% 8.2% HV 60d 11.4% 10.4% 13.0% 12.9% 10.5% IV Rank 20.3% 8.7% 38.9% 38.9% 29.9% IV Percentile 40.6% 9.1% 75.0% 75.0% 63.9% Term Structure 0.4% -0.2% 1.0% -0.2% 0.0% VWIV 14.1% 12.5% 16.5% 16.2% 15.6% Skew 25d 3.2% 2.0% 4.2% 4.2% 3.9% Skew 10d 6.4% 3.8% 8.9% 8.0% 8.9% Call IV 25d 12.5% 11.3% 14.9% 14.9% 13.5% Put IV 25d 15.8% 13.4% 19.0% 19.0% 17.4% Bid-Ask Spread % 8.77 3.15 28.58 7.03 6.35 Gamma HHI 0.11 0.09 0.17 0.09 0.10 Net GEX 150.0M -53.4M 359.7M -53.4M 55.5M Net DEX -3.06B -5.85B -957.1M -957.1M -2.14B Net VEX -30.5M -32.1M -29.1M -31.0M -31.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.38 0.73 2.80 1.07 2.80 Total Volume 331,265.9 220,053 457,323 308,550 341,602 Total OI 3,644,799.05 3,057,286 4,028,431 3,499,720 3,340,698
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2013-09-03 $75.88 $76.00 16.3% 4.7% 12.6% 38.9% 16.2% 4.2% -0.2% -53.4M -957.1M -31.0M 1.07 7.03 N/A N/A 148,879 159,671 1,484,445 2,015,275 2013-09-04 $76.48 $76.00 16.0% 4.6% 12.8% 37.1% 16.5% 4.1% -0.2% 114.4M -2.42B -30.5M 0.96 5.35 N/A N/A 178,697 171,091 1,525,606 2,057,024 2013-09-05 $76.85 $76.00 15.0% 4.3% 12.9% 29.5% 15.2% 3.8% 0.2% 42.5M -2.35B -31.0M 1.21 8.76 N/A N/A 144,541 174,613 1,573,764 2,137,016 2013-09-06 $76.95 $76.00 14.9% 4.3% 12.8% 28.5% 15.0% 3.7% 0.1% 217.7M -2.48B -31.7M 1.81 21.92 N/A N/A 162,790 294,533 1,642,013 2,219,304 2013-09-09 $77.74 $76.00 14.4% 4.1% 13.2% 24.8% 15.5% 3.8% 0.1% 187.1M -3.46B -30.5M 1.39 11.02 N/A N/A 127,108 177,169 1,560,121 2,038,495 2013-09-10 $78.21 $77.00 13.9% 4.0% 13.3% 21.3% 14.5% 3.2% 0.1% 237.4M -4.03B -30.0M 1.25 9.42 N/A N/A 197,248 245,646 1,581,086 2,105,837 2013-09-11 $78.07 $77.00 13.2% 3.8% 13.3% 15.7% 13.4% 3.0% 0.3% 214.6M -3.77B -30.6M 1.34 4.48 N/A N/A 158,070 211,784 1,657,328 2,195,970 2013-09-12 $78.02 $0.00 13.3% 3.8% 13.2% 16.4% 13.1% 3.1% 0.1% 221.0M -3.69B -31.0M 1.25 3.99 N/A N/A 97,664 122,389 1,717,177 2,254,972 2013-09-13 $78.06 $78.00 13.2% 3.8% 11.2% 15.6% 13.4% 3.2% 0.1% 50.0M -3.85B -30.6M 1.37 28.58 N/A N/A 99,069 136,158 1,747,024 2,281,407 2013-09-16 $77.80 $77.00 13.6% 3.9% 11.3% 18.7% 14.1% 3.3% 0.8% 204.1M -3.26B -29.9M 1.27 8.82 N/A N/A 103,961 132,323 1,674,286 2,167,629 2013-09-17 $78.39 $77.00 13.4% 3.9% 11.5% 17.5% 13.9% 3.2% 0.9% 249.7M -4.13B -29.7M 1.13 6.55 N/A N/A 126,865 143,331 1,700,744 2,223,273 2013-09-18 $79.31 $77.00 12.8% 3.7% 12.0% 13.0% 13.7% 2.6% 1.0% 323.7M -5.47B -29.3M 0.96 4.30 N/A N/A 214,432 206,423 1,717,905 2,271,205 2013-09-19 $79.49 $77.00 12.5% 3.6% 11.7% 10.7% 13.1% 2.1% 0.6% 359.7M -5.85B -29.1M 0.73 14.55 N/A N/A 242,356 175,991 1,742,504 2,285,505 2013-09-20 $78.93 $77.00 12.3% 3.5% 11.6% 8.7% 12.6% 2.0% 0.7% 57.3M -2.05B -29.3M 1.22 3.15 N/A N/A 193,281 236,582 1,382,363 2,343,453 2013-09-23 $78.74 $79.00 13.1% 3.8% 11.6% 14.8% 13.2% 2.9% 0.7% 92.1M -2.05B -30.2M 1.81 4.08 N/A N/A 100,133 181,263 1,312,457 1,744,829 2013-09-24 $78.87 $79.00 12.9% 3.7% 11.6% 13.6% 12.5% 2.9% 0.7% 101.1M -2.21B -30.4M 1.57 4.00 N/A N/A 98,294 154,342 1,357,136 1,802,716 2013-09-25 $78.56 $79.00 12.9% 3.7% 8.5% 13.4% 13.6% 3.0% 0.6% 47.2M -1.77B -30.8M 1.65 4.58 N/A N/A 84,269 139,315 1,394,785 1,853,677 2013-09-26 $79.18 $79.00 13.2% 3.8% 8.8% 15.6% 13.2% 2.9% 0.3% 180.4M -2.79B -30.6M 1.64 3.72 N/A N/A 154,473 252,887 1,431,632 1,875,823 2013-09-27 $79.12 $79.00 14.1% 4.0% 8.6% 22.5% 14.2% 3.6% 0.2% 98.5M -2.43B -32.1M 1.23 14.66 N/A N/A 150,646 185,429 1,491,414 1,988,083 2013-09-30 $79.00 $77.00 15.0% 4.3% 8.2% 29.9% 15.6% 3.9% 0.0% 55.5M -2.14B -31.6M 2.80 6.35 N/A N/A 89,942 251,660 1,440,115 1,900,583
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