QQQ Options History — June 2014 In June 2014, QQQ traded between $91.14 and $94.04. ATM implied volatility averaged 11.8%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.8% (HV 20d: 8.0%). Max pain ranged from $88.00 to $95.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.47.
Notable Days 2014-06-19 : Highest Volume — 623,330 contracts2014-06-18 : Largest IV drop — 8.3% change2014-06-03 : Highest IV Rank — 18.6%2014-06-02 : Largest Expected Move — 4.7%Monthly Statistics Metric Avg Min Max Open Close Price $92.63 $91.14 $94.04 $91.14 $94.04 Max Pain $91.38 $88.00 $95.00 $89.00 $95.00 ATM IV 11.8% 10.6% 13.2% 13.1% 10.8% Expected Move 4.5% 4.3% 4.7% 4.7% 4.3% HV 20d 8.0% 5.5% 10.9% 10.9% 5.5% HV 60d 14.6% 13.4% 15.5% 15.5% 13.4% IV Rank 6.8% 0.0% 18.6% 17.1% 2.4% IV Percentile 10.2% 0.0% 38.1% 35.3% 1.6% Term Structure 0.3% -0.1% 1.1% 0.0% 0.2% VWIV 15.8% 11.8% 18.0% 16.4% 16.9% Skew 25d 2.8% 2.1% 3.2% 3.1% 3.1% Skew 10d 5.7% 4.1% 6.5% 6.3% 6.1% Call IV 25d 10.6% 9.4% 12.0% 12.0% 9.7% Put IV 25d 13.5% 12.1% 15.1% 15.1% 12.7% Bid-Ask Spread % 10.16 7.69 12.98 7.69 10.20 Gamma HHI 0.06 0.05 0.12 0.05 0.12 Net GEX 123.4M -198.8M 333.9M 142.9M 224.3M Net DEX -4.38B -6.97B -592.4M -3.78B -3.92B Net VEX -38.4M -42.3M -35.5M -42.0M -35.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.47 0.54 2.29 2.10 0.83 Total Volume 340,473.095 203,346 623,330 304,335 276,744 Total OI 4,442,810.667 3,364,397 5,096,994 4,406,355 3,641,387
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 2014-06-02 $91.14 $89.00 13.1% 4.7% 10.9% 17.1% 16.4% 3.1% 0.0% 142.9M -3.78B -42.0M 2.10 7.69 N/A N/A 98,246 206,089 1,791,005 2,615,350 2014-06-03 $91.22 $89.00 13.2% 4.7% 10.9% 18.6% 17.0% 3.2% 0.2% 115.8M -3.81B -42.3M 1.55 9.70 N/A N/A 99,356 153,979 1,815,082 2,695,422 2014-06-04 $91.53 $89.00 13.1% 4.6% 9.8% 17.0% 17.0% 3.2% 0.1% 153.6M -4.34B -41.6M 1.74 8.54 N/A N/A 109,186 189,603 1,822,979 2,756,488 2014-06-05 $92.33 $89.00 12.4% 4.6% 9.8% 10.3% 18.0% 2.9% 0.1% 271.6M -5.77B -40.4M 1.06 12.66 N/A N/A 204,281 216,244 1,865,191 2,809,328 2014-06-06 $92.85 $89.00 11.9% 4.5% 9.7% 4.9% 16.6% 2.5% 0.4% 333.9M -6.97B -39.2M 1.14 12.98 N/A N/A 203,121 232,523 1,923,238 2,882,714 2014-06-09 $92.74 $90.00 12.5% 4.5% 9.8% 11.2% 11.8% 2.6% -0.1% 255.6M -6.22B -37.9M 1.34 11.39 N/A N/A 145,047 194,152 1,854,659 2,774,216 2014-06-10 $92.91 $93.00 12.0% 4.5% 8.6% 6.2% 14.7% 2.7% 0.2% 276.4M -6.36B -38.2M 1.79 11.24 N/A N/A 73,753 132,030 1,879,356 2,835,540 2014-06-11 $92.86 $93.00 11.7% 4.5% 8.6% 2.9% 14.8% 2.7% 0.4% 242.2M -6.05B -38.5M 1.41 9.02 N/A N/A 111,541 157,224 1,892,631 2,888,009 2014-06-12 $92.25 $94.00 12.3% 4.6% 8.9% 8.7% 15.4% 2.8% 0.3% 40.7M -4.57B -40.0M 2.29 9.55 N/A N/A 146,771 335,377 1,912,981 2,941,021 2014-06-13 $92.32 $92.00 11.9% 4.6% 7.9% 4.6% 18.0% 3.2% 0.7% 116.7M -4.94B -39.3M 1.60 9.38 N/A N/A 144,971 232,086 1,943,222 3,008,518 2014-06-16 $92.40 $92.00 12.4% 4.6% 7.9% 10.2% 16.2% 3.1% 0.2% 97.0M -4.77B -38.6M 1.73 9.46 N/A N/A 119,242 206,647 1,900,060 2,960,503 2014-06-17 $92.42 $92.00 12.2% 4.6% 7.7% 7.9% 15.0% 3.1% 0.4% 55.6M -4.71B -38.7M 1.19 9.74 N/A N/A 92,713 110,633 1,925,082 3,054,154 2014-06-18 $93.01 $92.00 11.2% 4.5% 7.4% 0.0% 16.2% 2.8% 0.7% 113.8M -5.98B -37.1M 1.33 12.50 N/A N/A 142,076 188,599 1,948,687 3,087,055 2014-06-19 $92.88 $88.00 10.7% 4.4% 7.5% 0.0% 15.3% 2.1% 0.8% 57.9M -6.17B -36.5M 0.54 9.29 N/A N/A 403,541 219,789 1,967,316 3,129,678 2014-06-20 $92.70 $92.00 10.6% 4.5% 7.1% 0.0% 16.0% 2.8% 1.1% -198.8M -592.4M -36.4M 1.51 12.84 N/A N/A 136,214 206,239 1,445,298 3,202,019 2014-06-23 $92.75 $92.00 11.0% 4.4% 6.9% 4.2% 16.1% 2.8% 0.3% -1.8M -2.05B -35.9M 2.13 9.76 N/A N/A 85,262 181,883 1,160,423 2,203,974 2014-06-24 $92.71 $90.00 11.3% 4.4% 5.5% 6.9% 14.5% 3.0% 0.2% -53.7M -1.91B -36.6M 1.22 9.00 N/A N/A 196,306 238,880 1,197,552 2,315,198 2014-06-25 $93.24 $92.00 11.2% 4.4% 5.7% 6.2% 16.3% 2.7% 0.3% 10.0M -2.60B -37.3M 1.51 8.04 N/A N/A 129,876 196,094 1,252,575 2,385,775 2014-06-26 $93.32 $92.00 10.8% 4.4% 5.5% 1.7% 15.8% 2.8% 0.3% 57.2M -2.80B -37.1M 1.44 10.83 N/A N/A 129,045 186,002 1,300,752 2,466,133 2014-06-27 $93.70 $95.00 10.8% 4.3% 5.5% 2.1% 14.7% 2.5% 0.3% 279.3M -3.69B -36.5M 1.38 9.65 N/A N/A 133,967 184,603 1,348,967 2,499,486 2014-06-30 $94.04 $95.00 10.8% 4.3% 5.5% 2.4% 16.9% 3.1% 0.2% 224.3M -3.92B -35.5M 0.83 10.20 N/A N/A 150,883 125,861 1,285,046 2,356,341
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