QQQ Options History — November 2013

In November 2013, QQQ traded between $81.51 and $85.73. ATM implied volatility averaged 12.3%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.4% (HV 20d: 10.9%). Max pain ranged from $81.00 to $84.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.60.

Notable Days

  • 2013-11-07: Highest Volume — 745,652 contracts
  • 2013-11-08: Largest IV drop — 11.5% change
  • 2013-11-07: Highest IV Rank — 27.2%
  • 2013-11-21: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.37$81.51$85.73$82.66$85.73
Max Pain$82.47$81.00$84.00$83.00$84.00
ATM IV12.3%11.4%13.8%12.2%11.7%
Expected Move4.9%3.4%5.6%3.4%5.5%
HV 20d10.9%9.8%13.6%13.6%10.9%
HV 60d11.9%11.3%12.5%12.1%11.3%
IV Rank11.7%3.6%27.2%8.3%5.8%
IV Percentile15.8%0.8%51.6%9.1%4.0%
Term Structure0.4%-0.4%1.2%0.5%0.1%
VWIV16.8%12.3%19.9%12.3%19.1%
Skew 25d2.5%2.2%2.9%2.6%2.3%
Skew 10d5.0%4.1%6.2%4.8%4.7%
Call IV 25d11.4%10.4%12.7%11.3%11.1%
Put IV 25d14.0%12.9%15.6%13.9%13.4%
Bid-Ask Spread %10.312.2731.1318.267.26
Gamma HHI0.140.090.350.130.16
Net GEX151.2M-229.5M539.6M-12.4M304.9M
Net DEX-4.80B-7.42B-1.25B-5.49B-7.15B
Net VEX-36.3M-39.6M-34.2M-37.7M-34.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.642.611.620.64
Total Volume365,164176,739745,652438,783265,463
Total OI4,567,940.153,996,6245,040,6064,766,0044,484,598

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$82.66$83.0012.2%3.4%13.6%8.3%12.3%2.6%0.5%-12.4M-5.49B-37.7M1.6218.26N/AN/A167,277271,5062,052,6502,713,354
2013-11-04$82.92$83.0012.1%3.5%12.9%7.5%14.1%2.6%1.1%119.5M-5.36B-37.4M1.395.95N/AN/A179,322249,8561,921,7742,513,175
2013-11-05$82.96$83.0012.3%3.5%10.6%9.0%13.1%2.6%1.0%89.2M-4.94B-38.6M1.459.31N/AN/A96,636140,1312,041,2422,680,011
2013-11-06$82.89$83.0012.6%3.6%10.2%11.3%12.8%2.7%1.0%31.5M-4.97B-38.3M2.614.25N/AN/A94,186246,0262,063,6322,730,864
2013-11-07$81.51$83.0013.8%3.9%10.6%27.2%13.8%2.8%0.6%-229.5M-1.25B-39.6M1.696.53N/AN/A277,480468,1722,086,2282,827,908
2013-11-08$82.52$83.0012.2%3.5%11.0%11.0%12.9%2.6%1.2%129.5M-4.72B-38.7M1.655.60N/AN/A200,617330,3482,212,1312,828,475
2013-11-11$82.38$0.0013.1%5.5%10.9%20.0%19.0%2.5%1.0%53.4M-4.02B-37.2M2.352.27N/AN/A52,705124,0342,089,7712,731,943
2013-11-12$82.60$81.0012.3%5.4%10.8%11.8%16.2%2.5%0.9%62.1M-4.44B-37.4M1.7112.98N/AN/A83,494142,4642,102,2672,762,891
2013-11-13$83.54$81.0012.0%5.4%11.1%8.9%18.6%2.3%0.8%300.9M-6.85B-35.3M1.637.81N/AN/A169,949277,4582,113,8022,810,620
2013-11-14$83.74$81.0012.0%5.3%10.6%8.9%18.2%2.2%0.4%390.6M-7.13B-34.2M1.4031.13N/AN/A207,243289,3772,085,8762,793,275
2013-11-15$83.89$81.0011.7%5.4%9.8%6.3%19.3%2.3%0.8%539.6M-7.42B-34.4M1.098.44N/AN/A197,812215,6642,126,4782,892,912
2013-11-18$83.10$81.0012.9%5.5%10.5%18.5%19.0%2.7%-0.1%81.1M-2.97B-35.9M1.356.12N/AN/A118,142159,8251,735,9372,260,687
2013-11-19$82.87$81.0013.0%5.5%10.5%19.3%16.6%2.9%-0.0%41.2M-2.52B-36.2M1.796.31N/AN/A113,096202,7551,771,0092,317,008
2013-11-20$82.67$81.0012.7%5.6%10.4%16.3%19.2%2.9%-0.1%378.4K-2.00B-35.8M2.1719.12N/AN/A109,267237,4691,786,1262,358,682
2013-11-21$83.49$84.0012.7%5.6%10.5%16.1%17.2%2.5%-0.4%144.9M-3.72B-35.8M0.916.39N/AN/A125,336113,8111,825,8952,411,618
2013-11-22$83.97$84.0012.0%5.5%10.7%9.5%17.7%2.4%-0.1%301.9M-4.74B-35.5M1.205.24N/AN/A149,279178,5641,849,7502,452,146
2013-11-25$84.20$83.0012.0%5.5%10.7%9.7%17.9%2.6%0.1%207.0M-4.70B-34.6M2.2914.11N/AN/A99,604228,1241,801,9712,381,775
2013-11-26$84.62$83.0011.6%5.1%10.8%4.8%18.2%2.4%-0.1%204.6M-5.31B-35.0M1.4622.52N/AN/A153,161223,2551,827,0532,485,371
2013-11-27$85.16$84.0011.4%5.5%10.9%3.6%19.9%2.4%0.1%264.5M-6.34B-34.3M1.606.69N/AN/A132,521211,8511,869,8502,558,048
2013-11-29$85.73$84.0011.7%5.5%10.9%5.8%19.1%2.3%0.1%304.9M-7.15B-34.6M0.647.26N/AN/A162,062103,4011,899,1232,585,475