QQQ Options History — April 2014 In April 2014, QQQ traded between $84.23 and $89.39. ATM implied volatility averaged 17.3%, placing in the 61.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 2.0% (HV 20d: 19.3%). Max pain ranged from $86.63 to $87.63. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.10.
Notable Days 2014-04-04 : Highest Volume — 2,033,952 contracts2014-04-10 : Largest IV spike — 19.1% change2014-04-11 : Highest IV Rank — 99.0%2014-04-11 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $86.74 $84.23 $89.39 $89.23 $87.44 Max Pain $87.58 $86.63 $87.63 $86.63 $87.63 ATM IV 17.3% 14.9% 20.9% 15.3% 16.1% Expected Move 5.3% 5.1% 5.5% 5.1% 5.1% HV 20d 19.3% 14.5% 21.2% 14.5% 19.9% HV 60d 16.0% 14.4% 16.8% 14.4% 15.7% IV Rank 61.3% 36.1% 99.0% 40.0% 48.5% IV Percentile 90.8% 76.2% 99.6% 81.0% 82.9% Term Structure -0.3% -0.9% 0.3% -0.2% 0.0% VWIV 18.6% 16.6% 20.7% 18.3% 16.9% Skew 25d 4.1% 3.0% 4.9% 3.4% 4.0% Skew 10d 8.4% 5.7% 10.1% 6.6% 8.2% Call IV 25d 15.5% 13.7% 19.0% 13.7% 14.3% Put IV 25d 19.5% 16.7% 23.8% 17.1% 18.2% Bid-Ask Spread % 21.99 9.59 94.11 9.59 12.88 Gamma HHI 0.06 0.04 0.08 0.06 0.05 Net GEX 58.4M -391.9M 422.8M 381.4M 247.8M Net DEX 2.31B -2.15B 9.14B -1.88B -766.2M Net VEX -42.4M -45.3M -39.5M -43.2M -42.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.10 0.65 1.85 0.73 1.38 Total Volume 790,513 349,909 2,033,952 592,629 518,111 Total OI 4,701,333.857 3,840,120 5,795,002 3,980,703 4,473,928
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 2014-04-01 $89.23 $86.63 15.3% 5.1% 14.5% 40.0% 18.3% 3.4% -0.2% 381.4M -1.88B -43.2M 0.73 9.59 N/A N/A 342,739 249,890 1,990,128 1,990,575 2014-04-02 $89.39 $87.63 14.9% 5.1% 14.5% 36.1% 17.8% 3.0% -0.1% 422.8M -2.15B -43.7M 1.40 12.49 N/A N/A 145,513 204,396 2,035,488 2,079,953 2014-04-03 $88.78 $87.63 15.4% 5.2% 14.6% 41.2% 18.6% 3.2% -0.1% 260.1M -369.8M -42.8M 1.18 10.93 N/A N/A 232,650 275,152 2,054,420 2,117,046 2014-04-04 $86.55 $87.63 17.6% 5.2% 16.9% 64.5% 18.8% 3.9% -0.4% -204.1M 5.10B -39.5M 1.11 19.00 N/A N/A 965,826 1,068,126 2,105,236 2,194,536 2014-04-07 $85.56 $87.63 18.5% 5.4% 17.2% 73.9% 17.7% 4.4% -0.7% -266.5M 6.34B -41.2M 1.21 11.31 N/A N/A 452,977 548,677 2,258,377 2,428,020 2014-04-08 $86.34 $87.63 17.5% 5.3% 17.7% 63.4% 19.6% 4.1% -0.7% -147.0M 4.76B -42.9M 0.77 12.30 N/A N/A 348,787 268,080 2,417,258 2,561,066 2014-04-09 $87.81 $87.63 16.2% 5.2% 18.8% 50.3% 19.1% 3.9% -0.3% 278.5M 732.0M -45.3M 0.95 14.80 N/A N/A 454,271 433,106 2,485,597 2,622,622 2014-04-10 $85.10 $87.63 19.3% 5.4% 21.1% 82.7% 20.7% 4.3% -0.9% -391.9M 7.65B -41.9M 0.89 18.70 N/A N/A 761,837 674,456 2,574,626 2,690,800 2014-04-11 $84.23 $87.63 20.9% 5.5% 21.2% 99.0% 18.6% 4.9% -0.8% -311.2M 9.14B -41.5M 1.41 15.85 N/A N/A 555,503 785,820 2,865,118 2,772,293 2014-04-14 $84.86 $87.63 19.7% 5.5% 21.2% 86.7% 19.3% 4.4% -0.1% -215.7M 6.93B -42.2M 0.88 13.26 N/A N/A 331,698 293,021 2,746,937 2,679,755 2014-04-15 $85.39 $87.63 19.8% 5.4% 20.7% 87.5% 20.3% 4.5% -0.2% -111.3M 5.67B -43.8M 0.91 14.07 N/A N/A 526,907 478,654 2,820,511 2,733,326 2014-04-16 $85.66 $87.63 18.8% 5.4% 20.8% 77.2% 19.3% 4.4% 0.3% 47.1M 4.61B -43.5M 0.75 94.11 N/A N/A 434,146 325,060 2,946,794 2,774,146 2014-04-17 $86.16 $87.63 17.7% 5.3% 20.8% 65.3% 19.2% 4.2% 0.1% 74.2M 3.77B -42.6M 0.94 12.83 N/A N/A 352,546 329,836 2,956,101 2,838,901 2014-04-21 $86.84 $87.63 16.8% 5.3% 20.4% 56.3% 18.3% 4.5% -0.4% 154.0M -72.0M -40.9M 0.65 13.05 N/A N/A 242,241 156,342 1,813,307 2,026,813 2014-04-22 $87.66 $87.63 15.6% 5.2% 20.6% 44.0% 17.7% 3.8% -0.2% 363.1M -1.66B -40.9M 0.97 11.09 N/A N/A 274,431 264,978 1,919,273 2,099,997 2014-04-23 $86.91 $87.63 16.2% 5.1% 20.8% 50.4% 16.6% 4.2% -0.2% 138.6M 57.3M -41.2M 1.52 82.70 N/A N/A 219,211 333,182 1,959,591 2,199,028 2014-04-24 $87.66 $87.63 15.9% 5.2% 20.4% 46.7% 17.4% 3.5% -0.4% 360.3M -1.77B -42.0M 0.85 47.67 N/A N/A 446,243 380,115 2,064,614 2,303,809 2014-04-25 $86.33 $87.63 17.0% 5.3% 21.1% 58.1% 19.6% 4.5% -0.4% -49.8M 1.70B -42.1M 1.85 11.92 N/A N/A 287,670 533,607 2,169,514 2,384,766 2014-04-28 $86.59 $87.63 17.1% 5.3% 21.1% 59.8% 18.0% 4.2% -0.0% 25.0M 1.07B -41.7M 1.50 11.37 N/A N/A 277,681 417,248 1,923,407 2,233,244 2014-04-29 $87.15 $87.63 16.8% 5.2% 21.2% 55.7% 19.4% 3.9% -0.1% 170.1M -302.2M -43.8M 1.22 11.94 N/A N/A 184,406 225,633 2,062,707 2,354,383 2014-04-30 $87.44 $87.63 16.1% 5.1% 19.9% 48.5% 16.9% 4.0% 0.0% 247.8M -766.2M -42.8M 1.38 12.88 N/A N/A 217,632 300,479 2,069,781 2,404,147
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