QQQ Options History — January 2014 In January 2014, QQQ traded between $85.23 and $88.83. ATM implied volatility averaged 13.9%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.6% (HV 20d: 12.3%). Max pain ranged from $75.00 to $88.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.12.
Notable Days 2014-01-30 : Highest Volume — 1,030,196 contracts2014-01-24 : Largest IV spike — 21.6% change2014-01-30 : Highest IV Rank — 53.3%2014-01-02 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $87.10 $85.23 $88.83 $87.28 $86.28 Max Pain $81.55 $75.00 $88.00 $84.00 $80.00 ATM IV 13.9% 12.2% 16.4% 14.1% 16.3% Expected Move 5.3% 5.0% 5.6% 5.6% 5.3% HV 20d 12.3% 9.9% 14.7% 10.2% 14.5% HV 60d 10.8% 9.9% 11.9% 11.3% 11.9% IV Rank 28.9% 11.2% 53.3% 30.8% 52.3% IV Percentile 58.1% 14.3% 93.3% 71.0% 92.1% Term Structure -0.1% -2.2% 1.0% 0.0% -0.0% VWIV 18.9% 16.7% 21.2% 19.6% 20.5% Skew 25d 3.2% 2.5% 4.4% 3.2% 4.4% Skew 10d 6.7% 5.3% 10.2% 7.6% 8.1% Call IV 25d 12.7% 11.3% 14.8% 12.7% 14.7% Put IV 25d 15.9% 14.1% 19.0% 15.9% 19.0% Bid-Ask Spread % 14.44 5.15 63.05 5.15 13.59 Gamma HHI 0.15 0.08 0.26 0.13 0.08 Net GEX 243.8M -74.7M 684.2M 320.2M 145.6M Net DEX -376.8M -3.81B 3.56B -1.92B 3.01B Net VEX -41.8M -44.1M -38.9M -42.1M -44.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.12 0.76 1.61 1.34 1.10 Total Volume 524,217.19 298,530 1,030,196 325,358 626,399 Total OI 4,511,830.952 3,819,828 5,438,042 4,242,378 4,926,612
Daily Data (21 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 2014-01-02 $87.28 $84.00 14.1% 5.6% 10.2% 30.8% 19.6% 3.2% 0.0% 320.2M -1.92B -42.1M 1.34 5.15 N/A N/A 138,956 186,402 1,838,987 2,403,391 2014-01-03 $86.63 $84.00 13.8% 5.6% 10.6% 27.6% 20.1% 3.1% 0.2% 63.9M -181.4M -41.6M 1.26 5.89 N/A N/A 151,090 190,869 1,853,898 2,467,352 2014-01-06 $86.29 $84.00 14.2% 5.6% 10.8% 31.2% 20.2% 3.1% -0.2% 83.5M 226.8M -40.4M 1.20 5.45 N/A N/A 144,696 173,507 1,835,395 2,427,858 2014-01-07 $87.05 $84.00 13.5% 5.5% 10.9% 24.4% 20.5% 2.9% -0.1% 284.9M -1.39B -41.0M 0.96 7.22 N/A N/A 232,004 223,868 1,898,228 2,495,858 2014-01-08 $87.42 $84.00 13.5% 5.5% 10.9% 24.1% 20.0% 2.9% -0.3% 343.5M -1.66B -41.3M 1.19 9.68 N/A N/A 151,802 179,953 1,972,886 2,588,357 2014-01-09 $87.03 $84.00 13.4% 5.5% 11.0% 23.7% 21.2% 3.0% -0.4% 190.4M -575.3M -41.3M 1.61 5.65 N/A N/A 161,135 260,020 2,034,733 2,675,603 2014-01-10 $87.36 $84.00 12.8% 5.4% 9.9% 17.7% 19.6% 2.7% -0.4% 452.7M -1.68B -41.4M 1.17 5.46 N/A N/A 223,612 261,495 2,071,049 2,748,383 2014-01-13 $86.10 $84.00 13.7% 5.5% 11.3% 26.1% 17.7% 2.9% -0.4% -74.7M 2.00B -38.9M 1.15 6.67 N/A N/A 263,330 302,750 2,012,540 2,696,745 2014-01-14 $87.64 $84.00 12.4% 5.4% 12.8% 13.1% 18.7% 2.8% -0.3% 467.9M -2.03B -39.7M 1.12 6.16 N/A N/A 285,007 320,385 2,031,101 2,736,400 2014-01-15 $88.26 $0.00 12.8% 5.1% 12.9% 17.7% 16.7% 2.5% -0.3% 684.2M -3.81B -40.7M 0.77 13.11 N/A N/A 317,199 245,399 2,140,295 2,847,670 2014-01-16 $88.19 $88.00 13.1% 5.1% 12.8% 19.9% 17.1% 2.7% -0.2% 602.0M -3.52B -41.1M 0.91 13.09 N/A N/A 333,324 302,952 2,155,090 2,922,452 2014-01-17 $87.94 $78.00 12.6% 5.1% 12.1% 15.7% 18.1% 2.6% -0.3% 469.9M -2.86B -42.5M 0.76 7.30 N/A N/A 344,650 262,487 2,350,231 3,087,811 2014-01-21 $88.56 $78.00 12.2% 5.0% 12.1% 11.2% 17.4% 2.8% 1.0% 342.1M -2.22B -42.3M 1.52 7.59 N/A N/A 163,172 248,259 1,876,323 1,943,505 2014-01-22 $88.83 $78.00 12.3% 5.0% 11.9% 11.8% 17.1% 2.8% 1.0% 372.3M -2.63B -43.2M 1.31 6.44 N/A N/A 129,140 169,390 1,934,206 2,046,436 2014-01-23 $88.67 $78.00 12.8% 5.0% 11.6% 17.4% 18.3% 2.9% 0.6% 332.7M -2.26B -43.6M 1.13 19.65 N/A N/A 206,409 233,747 1,972,227 2,118,581 2014-01-24 $86.64 $75.00 15.6% 5.4% 14.3% 45.4% 17.8% 4.0% 0.6% 12.3M 2.15B -43.4M 1.23 26.32 N/A N/A 332,400 409,313 2,045,375 2,162,985 2014-01-27 $85.97 $80.00 16.2% 5.3% 14.5% 51.4% 18.6% 3.6% -0.3% 788.4K 2.69B -42.6M 0.92 30.71 N/A N/A 402,680 370,883 2,060,808 2,081,812 2014-01-28 $85.89 $80.00 15.0% 5.3% 14.4% 40.1% 18.3% 3.6% 0.1% -7.0M 2.89B -42.2M 0.85 12.27 N/A N/A 245,781 210,033 2,143,625 2,175,460 2014-01-29 $85.23 $80.00 16.3% 5.4% 14.6% 52.5% 18.1% 4.3% -0.1% -64.6M 3.56B -41.5M 0.82 32.76 N/A N/A 315,759 258,108 2,257,749 2,151,287 2014-01-30 $85.92 $80.00 16.4% 5.3% 14.7% 53.3% 20.4% 4.3% -2.2% 98.1M 2.30B -43.4M 1.12 63.05 N/A N/A 486,302 543,894 2,341,264 2,217,882 2014-01-31 $86.28 $80.00 16.3% 5.3% 14.5% 52.3% 20.5% 4.4% -0.0% 145.6M 3.01B -44.1M 1.10 13.59 N/A N/A 297,803 328,596 2,491,933 2,434,679
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