QQQ Options History — February 2014 In February 2014, QQQ traded between $84.19 and $90.51. ATM implied volatility averaged 14.6%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 1.8% (HV 20d: 16.4%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.97.
Notable Days 2014-02-05 : Highest Volume — 875,974 contracts2014-02-07 : Largest IV drop — 15.5% change2014-02-03 : Highest IV Rank — 81.1%2014-02-03 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $88.59 $84.19 $90.51 $84.19 $90.36 Max Pain $81.22 $80.00 $85.00 $80.00 $82.63 ATM IV 14.6% 12.8% 19.1% 19.1% 12.9% Expected Move 5.2% 5.0% 5.5% 5.5% 5.0% HV 20d 16.4% 13.7% 18.6% 16.7% 13.7% HV 60d 13.0% 12.5% 13.2% 13.0% 12.9% IV Rank 35.5% 16.8% 81.1% 81.1% 18.7% IV Percentile 65.3% 33.7% 99.2% 99.2% 39.7% Term Structure 0.1% -0.6% 0.8% -0.3% 0.7% VWIV 19.1% 15.9% 24.0% 17.6% 19.6% Skew 25d 3.4% 2.7% 4.8% 4.8% 3.0% Skew 10d 6.9% 5.3% 9.6% 9.6% 8.0% Call IV 25d 13.3% 11.7% 17.1% 17.0% 11.8% Put IV 25d 16.6% 14.3% 21.8% 21.8% 14.8% Bid-Ask Spread % 13.96 9.52 24.55 12.73 10.54 Gamma HHI 0.21 0.06 0.41 0.07 0.15 Net GEX 747.5M -123.6M 1.41B -123.6M 508.6M Net DEX -3.67B -8.96B 6.04B 6.04B -5.69B Net VEX -45.4M -49.7M -40.9M -40.9M -42.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.97 0.41 1.43 0.89 0.72 Total Volume 530,100.842 328,264 875,974 630,582 794,748 Total OI 5,105,151.421 4,216,421 5,749,549 4,649,337 4,486,614
Daily Data (19 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 2014-02-03 $84.19 $80.00 19.1% 5.5% 16.7% 81.1% 17.6% 4.8% -0.3% -123.6M 6.04B -40.9M 0.89 12.73 N/A N/A 334,179 296,403 2,355,653 2,293,684 2014-02-04 $84.70 $80.00 18.0% 5.5% 16.8% 69.7% 22.9% 4.2% -0.3% -58.0M 5.13B -41.6M 0.78 14.08 N/A N/A 278,934 218,398 2,460,351 2,344,918 2014-02-05 $84.57 $80.00 18.6% 5.5% 16.4% 76.1% 18.7% 3.9% -0.2% -39.3M 5.15B -42.8M 0.41 15.52 N/A N/A 621,891 254,083 2,554,866 2,392,162 2014-02-06 $85.58 $80.00 17.1% 5.4% 17.0% 61.0% 18.3% 3.9% -0.1% 299.5M 2.43B -47.9M 0.77 13.32 N/A N/A 273,008 209,172 2,957,020 2,440,775 2014-02-07 $87.34 $80.00 14.5% 5.2% 18.5% 34.2% 24.0% 3.4% 0.2% 877.1M -1.76B -49.1M 0.86 15.63 N/A N/A 327,677 282,771 3,035,500 2,504,127 2014-02-10 $87.81 $80.00 14.3% 5.2% 18.6% 33.0% 17.9% 3.2% 0.2% 767.6M -2.34B -48.5M 1.34 10.43 N/A N/A 186,220 249,546 2,953,339 2,403,863 2014-02-11 $88.67 $80.00 14.0% 5.2% 18.0% 29.8% 20.6% 3.2% 0.2% 981.2M -4.48B -49.1M 0.65 13.95 N/A N/A 334,287 218,829 3,008,213 2,449,725 2014-02-12 $88.96 $80.00 13.7% 5.1% 17.0% 25.9% 18.0% 2.9% 0.6% 1.08B -5.67B -49.7M 1.17 14.79 N/A N/A 185,245 217,047 3,094,385 2,515,731 2014-02-13 $89.60 $80.00 13.5% 5.1% 17.0% 24.6% 21.0% 2.8% 0.4% 1.23B -7.77B -48.9M 1.16 10.46 N/A N/A 221,535 257,730 3,103,585 2,567,323 2014-02-14 $89.85 $80.00 12.8% 5.1% 17.0% 16.8% 17.8% 2.7% 0.8% 1.35B -8.52B -47.7M 0.87 10.83 N/A N/A 304,620 265,550 3,116,816 2,632,733 2014-02-18 $90.19 $81.00 13.5% 5.0% 17.0% 24.6% 20.3% 3.0% 0.4% 1.41B -8.96B -45.8M 0.99 12.12 N/A N/A 230,621 228,075 3,042,655 2,545,088 2014-02-19 $89.67 $81.00 14.3% 5.1% 17.0% 32.5% 18.6% 3.3% 0.4% 938.0M -6.36B -45.8M 1.43 14.85 N/A N/A 243,174 347,629 2,945,802 2,621,583 2014-02-20 $90.08 $82.00 14.1% 5.2% 17.0% 30.3% 17.1% 3.3% 0.2% 988.1M -7.74B -45.3M 1.12 13.73 N/A N/A 220,619 247,077 2,876,425 2,639,489 2014-02-21 $89.92 $83.00 14.0% 5.1% 17.0% 29.7% 18.7% 3.2% -0.1% 1.14B -6.84B -45.0M 0.88 10.05 N/A N/A 277,989 244,126 2,906,930 2,701,136 2014-02-24 $90.51 $83.00 13.0% 5.1% 14.6% 19.6% 17.2% 3.2% -0.6% 739.6M -5.65B -43.2M 0.97 21.01 N/A N/A 260,276 251,424 2,287,036 1,929,385 2014-02-25 $90.50 $85.00 13.3% 5.0% 14.2% 21.9% 15.9% 3.4% 0.0% 703.9M -5.62B -43.2M 1.02 24.55 N/A N/A 162,608 165,656 2,277,346 1,967,725 2014-02-26 $90.15 $83.00 13.7% 5.3% 14.3% 26.7% 19.5% 3.2% -0.3% 645.3M -4.71B -43.6M 1.04 17.14 N/A N/A 260,119 270,556 2,285,588 2,007,359 2014-02-27 $90.47 $82.63 12.9% 5.0% 13.8% 18.6% 19.6% 3.2% -0.2% 759.3M -6.26B -41.8M 1.27 9.52 N/A N/A 145,526 184,568 2,285,588 2,007,359 2014-02-28 $90.36 $82.63 12.9% 5.0% 13.7% 18.7% 19.6% 3.0% 0.7% 508.6M -5.69B -42.9M 0.72 10.54 N/A N/A 461,153 333,595 2,326,996 2,159,618
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