QQQ Options History — March 2014 In March 2014, QQQ traded between $86.91 and $91.12. ATM implied volatility averaged 14.5%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.2% (HV 20d: 11.4%). Max pain ranged from $82.63 to $87.63. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.21.
Notable Days 2014-03-13 : Highest Volume — 884,458 contracts2014-03-13 : Largest IV spike — 16.4% change2014-03-14 : Highest IV Rank — 53.3%2014-03-14 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $89.40 $86.91 $91.12 $89.65 $87.53 Max Pain $85.44 $82.63 $87.63 $82.63 $87.63 ATM IV 14.5% 12.9% 16.4% 14.8% 16.3% Expected Move 5.2% 5.0% 5.4% 5.1% 5.3% HV 20d 11.4% 8.2% 14.2% 14.2% 13.5% HV 60d 13.5% 13.0% 14.2% 13.0% 14.0% IV Rank 33.6% 15.6% 53.3% 37.2% 50.8% IV Percentile 68.7% 34.5% 92.9% 79.0% 90.9% Term Structure 0.2% -0.5% 1.0% 0.4% -0.2% VWIV 18.7% 15.5% 24.4% 16.9% 19.8% Skew 25d 3.6% 2.8% 4.3% 3.8% 3.8% Skew 10d 7.5% 6.0% 9.7% 7.7% 7.9% Call IV 25d 13.2% 11.9% 15.2% 13.2% 14.8% Put IV 25d 16.8% 14.9% 19.5% 17.0% 18.6% Bid-Ask Spread % 13.22 9.51 16.63 15.75 11.57 Gamma HHI 0.12 0.05 0.41 0.15 0.12 Net GEX 401.8M -484.9M 1.17B 510.9M -153.9M Net DEX -1.84B -6.58B 3.94B -3.53B 1.97B Net VEX -42.9M -45.2M -40.8M -43.6M -40.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.21 0.72 1.94 0.90 1.40 Total Volume 505,650.333 240,642 884,458 403,692 408,814 Total OI 4,591,407.19 3,611,752 5,366,758 4,288,541 3,970,439
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 2014-03-03 $89.65 $82.63 14.8% 5.1% 14.2% 37.2% 16.9% 3.8% 0.4% 510.9M -3.53B -43.6M 0.90 15.75 N/A N/A 212,968 190,724 2,253,389 2,035,152 2014-03-04 $90.83 $82.63 13.5% 5.0% 10.8% 24.5% 17.8% 3.3% -0.2% 714.1M -6.35B -43.1M 0.76 14.86 N/A N/A 242,814 183,533 2,329,209 2,078,069 2014-03-05 $91.12 $82.63 13.1% 5.0% 10.8% 20.3% 15.5% 3.4% 0.2% 644.8M -6.58B -43.0M 1.54 14.07 N/A N/A 112,210 172,954 2,313,668 2,141,688 2014-03-06 $90.97 $82.63 13.1% 5.0% 10.8% 20.2% 15.5% 3.1% 0.3% 642.9M -6.15B -43.5M 1.56 13.42 N/A N/A 127,355 198,633 2,355,603 2,222,626 2014-03-07 $90.53 $82.63 13.1% 5.0% 10.7% 20.8% 16.1% 3.3% 0.1% 493.4M -4.97B -43.1M 1.31 15.66 N/A N/A 230,953 302,361 2,376,381 2,249,377 2014-03-10 $90.63 $82.63 13.2% 5.1% 8.5% 21.6% 17.5% 3.6% 0.1% 734.4M -5.23B -43.0M 1.94 9.51 N/A N/A 81,859 158,783 2,405,010 2,178,165 2014-03-11 $90.15 $85.63 14.0% 5.1% 8.7% 29.0% 18.4% 3.5% -0.2% 604.8M -3.99B -43.0M 1.77 11.29 N/A N/A 148,213 261,887 2,427,541 2,253,909 2014-03-12 $90.59 $85.63 13.3% 5.1% 8.2% 22.3% 17.4% 3.4% 0.2% 699.6M -5.11B -43.7M 1.34 9.92 N/A N/A 151,284 202,224 2,488,467 2,345,265 2014-03-13 $89.21 $85.63 15.5% 5.2% 10.0% 44.4% 16.5% 3.9% -0.5% 352.5M -1.19B -43.9M 0.86 12.50 N/A N/A 475,879 408,579 2,499,279 2,389,336 2014-03-14 $88.65 $85.63 16.4% 5.4% 9.9% 53.3% 18.7% 4.3% -0.4% 321.1M 642.6M -45.2M 1.58 16.63 N/A N/A 285,806 452,491 2,674,139 2,537,185 2014-03-17 $89.40 $86.63 15.0% 5.2% 10.4% 38.7% 22.6% 4.0% 0.8% 524.2M -1.60B -45.0M 1.20 15.58 N/A N/A 123,607 148,579 2,659,693 2,584,714 2014-03-18 $90.48 $86.63 13.7% 5.1% 11.2% 23.3% 17.3% 3.7% 1.0% 761.7M -4.65B -44.5M 0.89 12.34 N/A N/A 190,249 169,894 2,666,698 2,628,104 2014-03-19 $89.97 $86.63 13.7% 5.1% 11.2% 24.0% 20.3% 3.5% 0.6% 553.2M -3.00B -44.0M 0.95 12.56 N/A N/A 257,041 244,137 2,674,549 2,692,209 2014-03-20 $90.43 $86.63 12.9% 5.2% 11.2% 15.6% 24.4% 2.8% 0.8% 546.4M -4.47B -42.7M 1.11 15.95 N/A N/A 271,271 302,282 2,628,541 2,701,407 2014-03-21 $88.95 $86.63 14.5% 5.2% 12.7% 32.3% 19.9% 3.8% 0.5% -484.9M 3.40B -42.0M 1.57 13.61 N/A N/A 317,286 498,087 2,172,345 2,759,973 2014-03-24 $88.27 $86.63 15.3% 5.2% 12.6% 40.5% 20.4% 4.1% -0.0% 27.5M 1.43B -41.5M 1.31 13.68 N/A N/A 258,503 339,574 1,735,914 1,875,838 2014-03-25 $88.59 $86.63 14.5% 5.2% 12.7% 31.7% 20.0% 3.9% 0.5% 98.9M 745.7M -42.4M 0.72 11.17 N/A N/A 277,335 200,263 1,831,944 2,002,954 2014-03-26 $87.35 $86.63 16.2% 5.3% 13.5% 50.3% 18.2% 3.8% -0.2% -121.4M 3.06B -41.0M 1.21 13.71 N/A N/A 200,372 242,086 1,873,550 2,038,343 2014-03-27 $86.91 $87.63 16.4% 5.4% 13.4% 52.2% 20.7% 3.6% 0.1% -202.3M 3.94B -40.8M 0.77 11.56 N/A N/A 462,086 357,659 1,937,311 2,099,988 2014-03-28 $87.11 $87.63 16.4% 5.3% 13.5% 52.2% 19.1% 3.8% 0.1% 1.17B 2.93B -41.7M 0.76 12.25 N/A N/A 424,343 323,679 2,169,417 2,162,162 2014-03-31 $87.53 $87.63 16.3% 5.3% 13.5% 50.8% 19.8% 3.8% -0.2% -153.9M 1.97B -40.8M 1.40 11.57 N/A N/A 170,276 238,538 1,955,002 2,015,437
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