QQQ Options History — July 2014 In July 2014, QQQ traded between $94.37 and $97.15. ATM implied volatility averaged 12.0%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.3% (HV 20d: 8.7%). Max pain ranged from $94.00 to $94.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.37.
Notable Days 2014-07-31 : Highest Volume — 821,994 contracts2014-07-31 : Largest IV spike — 23.6% change2014-07-31 : Highest IV Rank — 44.8%2014-07-31 : Largest Expected Move — 4.7%Monthly Statistics Metric Avg Min Max Open Close Price $95.79 $94.37 $97.15 $94.93 $95.22 Max Pain $94.00 $94.00 $94.00 $94.00 $94.00 ATM IV 12.0% 10.4% 15.1% 10.5% 15.1% Expected Move 4.3% 4.1% 4.7% 4.2% 4.7% HV 20d 8.7% 5.9% 12.3% 6.2% 12.3% HV 60d 9.9% 9.1% 12.3% 12.3% 9.7% IV Rank 15.1% 0.0% 44.8% 0.0% 44.8% IV Percentile 18.5% 0.0% 77.8% 0.0% 77.8% Term Structure 0.2% -0.6% 0.7% 0.2% -0.3% VWIV 15.6% 14.1% 17.0% 14.8% 16.3% Skew 25d 3.3% 2.2% 4.4% 2.5% 4.4% Skew 10d 6.7% 4.7% 9.1% 4.7% 9.1% Call IV 25d 10.6% 9.2% 13.3% 9.6% 13.3% Put IV 25d 13.9% 11.4% 17.7% 12.1% 17.7% Bid-Ask Spread % 10.42 5.79 34.24 7.65 13.06 Gamma HHI 0.11 0.05 0.24 0.10 0.05 Net GEX 231.1M -300.7M 460.1M 255.7M -300.7M Net DEX -4.71B -6.55B -773.3M -5.27B -773.3M Net VEX -37.3M -41.2M -34.1M -35.3M -41.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.37 0.63 2.04 1.04 1.54 Total Volume 429,281.273 223,828 821,994 431,611 821,994 Total OI 4,042,900.364 3,614,813 4,626,729 3,702,254 4,140,862
Daily Data (22 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 2014-07-01 $94.93 $94.00 10.5% 4.2% 6.2% 0.0% 14.8% 2.5% 0.2% 255.7M -5.27B -35.3M 1.04 7.65 N/A N/A 211,611 220,000 1,320,215 2,382,039 2014-07-02 $95.07 $94.00 10.4% 4.2% 6.2% 0.0% 16.1% 2.6% 0.2% 252.4M -5.46B -35.9M 0.87 7.14 N/A N/A 130,616 113,492 1,397,333 2,446,986 2014-07-03 $95.70 $94.00 10.4% 4.1% 5.9% 0.2% 15.9% 2.2% -0.1% 330.7M -6.55B -34.1M 1.31 7.81 N/A N/A 97,020 126,808 1,430,543 2,495,056 2014-07-07 $95.40 $94.00 10.9% 4.3% 6.0% 5.0% 14.6% 2.7% 0.4% 285.1M -5.61B -34.9M 1.79 6.22 N/A N/A 114,487 205,087 1,384,847 2,381,737 2014-07-08 $94.37 $94.00 12.1% 4.4% 7.3% 16.6% 15.8% 3.3% 0.4% 65.4M -3.25B -38.0M 1.78 7.80 N/A N/A 241,733 429,504 1,405,720 2,484,888 2014-07-09 $94.97 $94.00 11.6% 4.3% 7.6% 11.7% 14.4% 3.1% 0.1% 378.6M -4.61B -38.0M 1.06 7.64 N/A N/A 164,903 174,417 1,501,078 2,606,757 2014-07-10 $94.66 $94.00 12.7% 4.3% 7.7% 21.4% 15.9% 3.5% -0.6% 309.6M -3.71B -39.1M 2.04 9.60 N/A N/A 159,899 326,673 1,518,361 2,662,102 2014-07-11 $95.26 $94.00 12.1% 4.4% 7.4% 16.0% 15.8% 3.5% 0.4% 179.2M -5.50B -38.5M 0.87 8.47 N/A N/A 210,758 182,394 1,559,184 2,752,870 2014-07-14 $95.84 $94.00 11.8% 4.3% 7.6% 13.5% 15.2% 3.4% 0.3% 272.0M -5.75B -36.8M 1.81 5.79 N/A N/A 125,957 227,580 1,477,634 2,684,023 2014-07-15 $95.49 $94.00 12.7% 4.4% 7.8% 21.9% 14.1% 3.4% 0.0% 217.7M -5.21B -37.8M 1.69 23.94 N/A N/A 222,359 375,920 1,491,964 2,749,636 2014-07-16 $95.89 $94.00 11.8% 4.3% 7.8% 13.8% 16.0% 3.3% 0.4% 381.1M -5.95B -37.6M 1.63 8.16 N/A N/A 105,738 171,839 1,574,170 2,858,594 2014-07-17 $94.71 $94.00 13.7% 4.5% 9.1% 31.2% 16.6% 4.3% 0.7% -29.1M -2.58B -40.0M 1.80 34.24 N/A N/A 232,209 418,954 1,580,193 2,878,357 2014-07-18 $96.08 $94.00 11.7% 4.3% 10.2% 12.4% 16.7% 3.4% 0.6% 460.1M -6.45B -37.5M 0.92 8.81 N/A N/A 349,934 320,202 1,650,198 2,976,531 2014-07-21 $95.97 $94.00 12.3% 4.3% 10.2% 18.6% 16.4% 3.8% 0.2% 101.6M -3.44B -37.9M 1.95 7.18 N/A N/A 116,263 226,582 1,282,812 2,332,001 2014-07-22 $96.52 $94.00 11.8% 4.3% 10.3% 13.6% 15.0% 3.4% 0.2% 207.7M -4.66B -36.1M 0.86 14.29 N/A N/A 227,985 195,674 1,331,602 2,413,669 2014-07-23 $97.15 $94.00 11.5% 4.3% 10.4% 10.2% 17.0% 3.0% 0.3% 358.4M -5.96B -35.2M 0.63 10.16 N/A N/A 281,683 177,293 1,402,502 2,485,190 2014-07-24 $97.09 $94.00 11.5% 4.3% 10.3% 10.7% 15.4% 2.9% 0.3% 450.0M -5.92B -35.9M 1.36 9.49 N/A N/A 154,477 210,356 1,486,310 2,533,732 2014-07-25 $96.68 $94.00 11.9% 4.3% 10.6% 14.4% 14.6% 3.3% 0.4% 263.5M -4.58B -38.1M 1.60 9.97 N/A N/A 143,440 229,455 1,520,926 2,634,776 2014-07-28 $96.73 $94.00 12.4% 4.4% 10.5% 18.7% 15.6% 3.3% 0.0% 189.1M -4.02B -37.5M 1.61 7.63 N/A N/A 104,460 167,673 1,386,113 2,420,144 2014-07-29 $96.59 $94.00 12.5% 4.4% 10.6% 20.4% 16.3% 3.5% -0.1% 146.2M -3.76B -37.8M 1.28 7.41 N/A N/A 144,502 184,451 1,417,664 2,490,688 2014-07-30 $96.97 $94.00 12.2% 4.4% 10.2% 17.5% 14.3% 3.4% 0.0% 309.7M -4.58B -37.5M 0.79 6.78 N/A N/A 222,513 175,293 1,470,578 2,543,223 2014-07-31 $95.22 $94.00 15.1% 4.7% 12.3% 44.8% 16.3% 4.4% -0.3% -300.7M -773.3M -41.2M 1.54 13.06 N/A N/A 323,432 498,562 1,550,556 2,590,306
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