QQQ Options History — October 2013 In October 2013, QQQ traded between $76.96 and $83.26. ATM implied volatility averaged 14.8%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.8% (HV 20d: 13.0%). Max pain ranged from $78.00 to $83.50. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.45.
Notable Days 2013-10-25 : Highest Volume — 704,826 contracts2013-10-07 : Largest IV spike — 19.4% change2013-10-08 : Highest IV Rank — 74.5%2013-10-08 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $80.67 $76.96 $83.26 $79.42 $82.88 Max Pain $80.27 $78.00 $83.50 $78.00 $83.50 ATM IV 14.8% 12.0% 21.0% 14.4% 12.4% Expected Move 4.2% 3.4% 6.0% 4.1% 3.5% HV 20d 13.0% 7.9% 14.7% 8.2% 13.8% HV 60d 11.6% 10.2% 12.2% 10.5% 12.0% IV Rank 27.8% 7.1% 74.5% 25.2% 10.0% IV Percentile 50.2% 7.1% 99.2% 56.7% 13.9% Term Structure 0.2% -1.3% 1.4% 0.4% 0.5% VWIV 15.4% 12.4% 24.7% 15.2% 12.8% Skew 25d 3.6% 2.1% 6.5% 3.7% 2.6% Skew 10d 7.5% 4.1% 14.3% 7.2% 5.0% Call IV 25d 13.4% 11.1% 18.0% 12.9% 11.4% Put IV 25d 16.9% 13.2% 24.4% 16.6% 14.0% Bid-Ask Spread % 7.28 2.79 27.18 5.73 7.92 Gamma HHI 0.10 0.06 0.16 0.11 0.10 Net GEX 238.3M -41.9M 494.7M 160.5M 120.2M Net DEX -4.50B -8.33B 700.5M -3.10B -5.95B Net VEX -35.3M -38.2M -31.9M -31.9M -37.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.45 0.84 2.47 1.01 1.91 Total Volume 442,361.609 248,002 704,826 340,459 312,095 Total OI 4,070,414 3,298,784 4,733,356 3,298,784 4,733,356
Daily Data (23 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 2013-10-01 $79.42 $78.00 14.4% 4.1% 8.2% 25.2% 15.2% 3.7% 0.4% 160.5M -3.10B -31.9M 1.01 5.73 N/A N/A 169,132 171,327 1,479,639 1,819,145 2013-10-02 $79.65 $78.00 15.1% 4.3% 7.9% 30.2% 15.5% 3.9% -0.4% 125.3M -3.04B -33.5M 1.19 4.92 N/A N/A 113,164 134,838 1,561,364 1,906,496 2013-10-03 $78.67 $79.00 16.6% 4.8% 9.3% 41.8% 16.5% 4.5% -0.5% -10.8M -1.50B -34.2M 1.55 5.67 N/A N/A 211,739 328,391 1,601,077 1,931,001 2013-10-04 $79.45 $78.50 15.4% 4.4% 9.8% 32.4% 15.9% 4.1% 0.5% 349.7M -3.19B -34.6M 0.89 11.60 N/A N/A 222,254 197,760 1,680,581 1,946,840 2013-10-07 $78.69 $79.00 18.4% 5.3% 10.0% 55.0% 18.3% 5.3% -1.0% 134.4M -1.89B -35.0M 1.76 4.98 N/A N/A 109,952 193,424 1,676,418 1,888,083 2013-10-08 $77.33 $79.00 21.0% 6.0% 11.7% 74.5% 21.8% 6.5% -1.3% -9.5M 229.8M -35.5M 1.38 6.26 N/A N/A 271,548 374,462 1,716,221 1,952,554 2013-10-09 $76.96 $78.50 20.3% 5.8% 11.8% 69.6% 24.7% 6.1% -1.1% -41.9M 700.5M -35.3M 1.32 4.63 N/A N/A 303,978 400,086 1,814,286 2,018,299 2013-10-10 $78.57 $0.00 16.8% 4.8% 14.0% 43.0% 17.9% 4.6% -0.8% 231.5M -2.34B -35.6M 1.09 5.37 N/A N/A 226,465 247,517 1,915,829 2,129,359 2013-10-11 $79.26 $79.00 15.4% 4.4% 14.3% 32.5% 15.3% 4.1% 0.3% 373.3M -3.67B -35.1M 1.38 7.01 N/A N/A 191,779 264,910 1,912,677 2,185,046 2013-10-14 $79.82 $79.00 15.3% 4.4% 14.4% 32.1% 17.0% 4.2% 0.5% 310.5M -4.15B -34.3M 1.73 2.79 N/A N/A 107,790 186,500 1,836,563 2,148,505 2013-10-15 $79.58 $79.00 16.9% 4.8% 14.3% 43.8% 18.2% 4.6% -0.0% 244.5M -3.67B -35.2M 1.64 3.76 N/A N/A 175,434 288,279 1,855,039 2,191,026 2013-10-16 $80.17 $79.00 14.4% 4.1% 13.9% 25.0% 15.2% 3.5% 0.8% 398.5M -4.96B -33.7M 1.35 3.49 N/A N/A 198,626 267,245 1,899,013 2,280,125 2013-10-17 $81.10 $80.00 12.6% 3.6% 14.5% 11.4% 13.1% 2.6% 0.4% 494.7M -6.55B -32.5M 1.26 5.98 N/A N/A 195,735 247,029 1,938,236 2,380,869 2013-10-18 $82.07 $80.00 12.0% 3.4% 14.6% 7.1% 12.4% 2.1% 0.6% 490.5M -8.33B -32.0M 0.84 9.24 N/A N/A 380,199 318,210 1,969,169 2,429,585 2013-10-21 $82.36 $80.00 12.6% 3.7% 14.5% 11.3% 12.8% 2.3% 0.9% 399.9M -6.89B -32.8M 1.31 5.00 N/A N/A 156,873 205,462 1,828,003 2,043,132 2013-10-22 $82.43 $80.50 13.5% 3.9% 14.5% 17.9% 13.6% 2.5% 0.9% 357.7M -6.64B -35.5M 2.25 5.40 N/A N/A 168,091 378,366 1,884,114 2,166,146 2013-10-23 $82.02 $82.00 13.5% 3.9% 14.6% 18.3% 14.0% 2.7% 0.9% 164.9M -5.38B -37.7M 1.57 8.33 N/A N/A 145,092 228,062 1,936,839 2,377,748 2013-10-24 $82.77 $82.00 12.6% 3.6% 14.7% 11.2% 13.5% 2.6% -0.1% 317.1M -6.96B -38.0M 1.35 14.27 N/A N/A 130,852 176,926 1,979,785 2,455,173 2013-10-25 $82.84 $82.00 12.8% 3.7% 14.6% 12.6% 12.8% 2.6% -0.1% 332.3M -7.02B -37.9M 2.47 6.51 N/A N/A 203,357 501,469 2,004,958 2,520,355 2013-10-28 $83.07 $83.50 12.8% 3.7% 14.6% 13.3% 12.7% 2.3% 0.9% 129.8M -6.16B -37.3M 1.11 27.18 N/A N/A 182,965 203,305 1,907,965 2,484,695 2013-10-29 $83.08 $83.00 12.7% 3.6% 14.6% 12.0% 12.5% 2.6% 1.2% 201.2M -6.42B -38.0M 1.87 4.21 N/A N/A 117,591 220,335 1,986,999 2,585,968 2013-10-30 $83.26 $83.50 12.4% 3.6% 14.6% 9.9% 12.6% 2.4% 1.4% 207.1M -6.70B -38.2M 1.22 7.30 N/A N/A 155,395 190,308 2,007,841 2,653,400 2013-10-31 $82.88 $83.50 12.4% 3.5% 13.8% 10.0% 12.8% 2.6% 0.5% 120.2M -5.95B -37.9M 1.91 7.92 N/A N/A 107,156 204,939 2,041,319 2,692,037
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