QQQ Options History — May 2014 In May 2014, QQQ traded between $86.50 and $91.35. ATM implied volatility averaged 14.3%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.9% (HV 20d: 13.4%). Max pain ranged from $87.63 to $90.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.55.
Notable Days 2014-05-15 : Highest Volume — 874,529 contracts2014-05-09 : Largest IV drop — 7.0% change2014-05-08 : Highest IV Rank — 49.4%2014-05-06 : Largest Expected Move — 5.2%Monthly Statistics Metric Avg Min Max Open Close Price $88.43 $86.50 $91.35 $87.71 $91.21 Max Pain $88.33 $87.63 $90.00 $87.63 $89.00 ATM IV 14.3% 12.5% 16.1% 15.7% 12.5% Expected Move 4.9% 4.6% 5.2% 5.1% 4.6% HV 20d 13.4% 10.2% 20.0% 20.0% 11.0% HV 60d 15.4% 14.9% 15.8% 15.7% 15.5% IV Rank 30.2% 10.9% 49.4% 44.5% 10.9% IV Percentile 55.8% 16.3% 82.9% 80.6% 16.3% Term Structure 0.2% -0.1% 0.5% -0.0% 0.5% VWIV 17.8% 15.7% 21.5% 17.9% 19.2% Skew 25d 3.5% 2.9% 4.2% 3.7% 2.9% Skew 10d 6.9% 5.5% 8.0% 7.4% 5.5% Call IV 25d 12.8% 11.3% 14.5% 13.9% 11.5% Put IV 25d 16.3% 14.3% 18.3% 17.6% 14.3% Bid-Ask Spread % 11.78 8.22 16.44 12.38 11.11 Gamma HHI 0.07 0.04 0.26 0.05 0.06 Net GEX 180.9M -137.7M 593.0M 317.5M 121.9M Net DEX -1.32B -4.96B 1.97B -1.45B -4.79B Net VEX -42.1M -43.8M -41.2M -43.8M -41.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.55 1.04 2.14 1.12 1.35 Total Volume 522,866.762 326,841 874,529 541,742 406,914 Total OI 4,534,932.714 3,876,204 5,216,169 4,611,093 4,695,797
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 2014-05-01 $87.71 $87.63 15.7% 5.1% 20.0% 44.5% 17.9% 3.7% -0.0% 317.5M -1.45B -43.8M 1.12 12.38 N/A N/A 255,022 286,720 2,121,810 2,489,283 2014-05-02 $87.50 $87.63 15.6% 5.0% 19.9% 43.1% 18.0% 3.7% 0.0% 356.0M -1.01B -43.3M 2.14 16.44 N/A N/A 176,358 377,719 2,168,959 2,555,226 2014-05-05 $87.81 $87.63 15.1% 5.1% 17.6% 38.6% 17.6% 3.5% 0.1% 153.1M -762.9M -42.2M 1.49 13.73 N/A N/A 144,735 215,525 1,949,218 2,284,351 2014-05-06 $86.86 $87.63 15.7% 5.2% 17.5% 44.8% 19.2% 3.6% -0.0% -112.6M 1.37B -41.4M 2.10 12.62 N/A N/A 138,952 291,359 1,982,970 2,345,884 2014-05-07 $86.56 $87.63 16.1% 5.2% 17.3% 48.8% 17.6% 3.6% 0.1% -137.7M 1.97B -41.4M 1.04 14.30 N/A N/A 413,517 430,221 2,033,729 2,404,487 2014-05-08 $86.50 $87.63 16.1% 5.1% 16.2% 49.4% 18.5% 3.7% 0.0% -96.5M 1.92B -41.9M 1.42 11.72 N/A N/A 327,955 464,063 2,154,742 2,458,610 2014-05-09 $86.78 $87.63 15.0% 5.1% 11.4% 37.5% 0.0% 3.5% 0.2% -16.3M 1.36B -41.7M 1.27 11.83 N/A N/A 314,435 398,970 2,212,866 2,541,949 2014-05-12 $88.20 $87.63 14.7% 5.0% 11.8% 34.6% 19.0% 3.5% 0.2% 451.7M -2.16B -41.4M 1.16 12.37 N/A N/A 264,641 307,339 2,143,766 2,487,315 2014-05-13 $88.25 $87.63 14.4% 5.0% 11.7% 31.5% 16.4% 3.5% 0.4% 542.5M -2.51B -42.2M 1.69 10.23 N/A N/A 171,118 288,825 2,274,687 2,537,190 2014-05-14 $87.92 $87.63 14.1% 5.0% 11.8% 28.4% 17.6% 3.6% 0.3% 352.7M -1.27B -41.5M 1.34 10.79 N/A N/A 162,141 217,347 2,285,145 2,622,776 2014-05-15 $87.14 $87.63 15.0% 5.1% 12.3% 37.9% 19.7% 3.7% 0.2% -85.8M 1.19B -41.2M 2.05 12.50 N/A N/A 287,065 587,464 2,309,929 2,648,001 2014-05-16 $87.64 $87.63 14.3% 5.1% 12.3% 29.8% 21.5% 3.4% 0.1% 593.0M -308.2M -42.2M 1.09 16.28 N/A N/A 310,598 337,981 2,389,738 2,826,431 2014-05-19 $88.34 $0.00 13.9% 4.8% 12.3% 25.5% 16.8% 3.9% 0.5% 105.0M -894.0M -41.5M 1.75 9.72 N/A N/A 159,438 278,686 1,668,694 2,207,510 2014-05-20 $87.96 $90.00 14.3% 4.8% 12.0% 30.4% 17.7% 4.0% 0.1% -11.0M 205.3M -42.9M 2.05 10.73 N/A N/A 128,059 262,836 1,736,387 2,363,517 2014-05-21 $88.36 $90.00 13.4% 4.8% 11.6% 20.4% 18.6% 4.2% 0.5% 273.6M -1.62B -42.6M 1.32 11.53 N/A N/A 197,733 260,695 1,773,163 2,412,237 2014-05-22 $89.23 $90.00 13.5% 4.7% 11.7% 21.5% 17.2% 3.3% 0.2% 300.9M -2.16B -43.2M 1.91 9.08 N/A N/A 156,937 299,942 1,820,569 2,532,935 2014-05-23 $89.85 $89.00 12.7% 4.6% 10.2% 13.3% 16.9% 3.1% 0.0% 187.6M -3.36B -43.2M 1.68 12.54 N/A N/A 146,302 246,478 1,857,222 2,645,525 2014-05-27 $90.99 $89.00 12.9% 4.6% 10.9% 15.0% 15.8% 3.3% -0.0% 258.7M -4.45B -41.2M 1.43 9.18 N/A N/A 172,059 246,574 1,777,552 2,507,296 2014-05-28 $90.87 $89.00 12.9% 4.6% 10.9% 15.6% 15.9% 3.3% 0.2% 129.2M -4.03B -41.9M 1.41 8.22 N/A N/A 215,945 304,693 1,796,567 2,608,882 2014-05-29 $91.35 $89.00 12.7% 4.6% 10.9% 12.7% 15.7% 3.2% -0.1% 116.2M -4.96B -42.0M 1.66 10.02 N/A N/A 122,692 204,149 1,847,754 2,752,918 2014-05-30 $91.21 $89.00 12.5% 4.6% 11.0% 10.9% 19.2% 2.9% 0.5% 121.9M -4.79B -41.7M 1.35 11.11 N/A N/A 173,334 233,580 1,864,095 2,831,702
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