QQQ Options History — August 2014 In August 2014, QQQ traded between $94.28 and $99.73. ATM implied volatility averaged 12.7%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.6% (HV 20d: 11.1%). Max pain ranged from $93.00 to $94.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.57.
Notable Days 2014-08-15 : Highest Volume — 737,753 contracts2014-08-13 : Largest IV drop — 9.2% change2014-08-07 : Highest IV Rank — 50.0%2014-08-07 : Largest Expected Move — 4.9%Monthly Statistics Metric Avg Min Max Open Close Price $97.16 $94.28 $99.73 $94.64 $99.73 Max Pain $93.71 $93.00 $94.00 $94.00 $93.00 ATM IV 12.7% 10.8% 15.7% 15.4% 11.0% Expected Move 4.5% 4.2% 4.9% 4.7% 4.2% HV 20d 11.1% 7.1% 12.6% 12.2% 7.1% HV 60d 9.4% 8.9% 10.1% 9.8% 8.9% IV Rank 22.4% 3.9% 50.0% 47.9% 5.7% IV Percentile 33.7% 2.4% 82.1% 80.2% 5.6% Term Structure 0.2% -0.1% 0.6% -0.1% -0.1% VWIV 17.1% 12.8% 22.7% 18.0% 14.2% Skew 25d 3.6% 2.9% 4.7% 4.7% 3.0% Skew 10d 7.1% 5.3% 9.4% 9.4% 6.1% Call IV 25d 11.3% 9.4% 13.9% 13.4% 9.8% Put IV 25d 14.9% 12.3% 18.4% 18.1% 12.8% Bid-Ask Spread % 8.87 5.84 19.66 12.53 8.25 Gamma HHI 0.06 0.04 0.10 0.05 0.04 Net GEX 93.5M -310.4M 387.2M -249.4M 190.5M Net DEX -4.26B -7.47B 368.1M 10.6M -7.47B Net VEX -39.9M -43.2M -36.8M -42.2M -39.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.57 0.94 2.22 1.83 1.03 Total Volume 415,185.238 244,651 737,753 612,530 358,002 Total OI 4,367,951.238 3,739,392 4,726,551 4,263,662 4,726,551
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 2014-08-01 $94.64 $94.00 15.4% 4.7% 12.2% 47.9% 18.0% 4.7% -0.1% -249.4M 10.6M -42.2M 1.83 12.53 N/A N/A 216,581 395,949 1,629,589 2,634,073 2014-08-04 $95.23 $94.00 14.3% 4.7% 12.4% 37.5% 18.2% 4.1% 0.1% -115.0M -1.61B -40.7M 1.95 7.18 N/A N/A 137,237 267,058 1,499,041 2,526,164 2014-08-05 $94.31 $94.00 15.2% 4.9% 12.3% 45.9% 18.4% 4.7% 0.2% -284.7M -313.5M -41.5M 1.58 7.44 N/A N/A 230,056 362,595 1,525,984 2,603,351 2014-08-06 $94.58 $94.00 15.4% 4.8% 12.1% 47.5% 19.6% 4.5% 0.1% -256.7M -309.1M -42.4M 1.63 19.66 N/A N/A 138,443 225,494 1,586,175 2,664,177 2014-08-07 $94.28 $94.00 15.7% 4.9% 12.1% 50.0% 19.3% 4.5% 0.0% -310.4M 368.1M -42.7M 1.42 8.74 N/A N/A 248,719 352,274 1,631,903 2,710,776 2014-08-08 $94.73 $94.00 15.6% 4.9% 12.0% 49.0% 19.0% 4.2% 0.2% -201.8M -672.7M -43.2M 1.66 9.97 N/A N/A 202,547 335,213 1,691,491 2,776,944 2014-08-11 $95.46 $94.00 14.4% 4.8% 12.1% 37.9% 18.7% 3.9% 0.2% -52.6M -2.22B -41.1M 2.10 6.30 N/A N/A 119,820 252,120 1,633,965 2,747,898 2014-08-12 $95.37 $94.00 14.2% 4.8% 12.0% 36.2% 17.2% 3.7% 0.2% -93.0M -2.09B -41.6M 1.52 7.06 N/A N/A 125,666 190,999 1,679,067 2,842,940 2014-08-13 $96.46 $94.00 12.9% 4.6% 12.6% 23.9% 20.1% 3.4% 0.3% 258.3M -4.66B -39.3M 1.54 8.48 N/A N/A 169,838 260,731 1,728,557 2,837,705 2014-08-14 $96.99 $94.00 12.1% 4.4% 11.8% 16.5% 22.7% 3.4% 0.6% 352.1M -5.80B -37.7M 1.50 7.37 N/A N/A 143,756 215,235 1,724,851 2,872,284 2014-08-15 $97.39 $94.00 12.0% 4.4% 10.8% 15.8% 15.7% 3.8% 0.1% 289.9M -6.61B -37.9M 1.29 10.33 N/A N/A 322,215 415,538 1,745,669 2,950,187 2014-08-18 $98.10 $94.00 11.6% 4.3% 11.0% 11.2% 14.3% 3.5% 0.3% 175.6M -5.26B -36.8M 1.20 6.54 N/A N/A 238,026 285,382 1,403,040 2,336,352 2014-08-19 $98.62 $94.00 11.3% 4.2% 11.0% 8.4% 15.1% 3.3% 0.4% 280.3M -5.93B -38.4M 1.69 8.19 N/A N/A 146,470 247,959 1,534,714 2,497,290 2014-08-20 $98.73 $94.00 11.3% 4.3% 10.8% 8.4% 15.5% 3.1% 0.4% 215.8M -5.84B -39.4M 1.36 6.13 N/A N/A 139,806 189,993 1,562,819 2,669,021 2014-08-21 $98.93 $93.00 11.1% 4.3% 10.8% 6.5% 17.8% 2.9% 0.3% 270.8M -6.19B -40.3M 1.64 8.71 N/A N/A 95,480 156,966 1,633,428 2,735,370 2014-08-22 $99.05 $93.00 10.8% 4.3% 10.6% 3.9% 17.6% 3.0% 0.2% 387.2M -6.74B -39.4M 1.34 9.68 N/A N/A 150,926 202,166 1,663,140 2,777,609 2014-08-25 $99.35 $93.00 10.9% 4.3% 10.7% 4.5% 15.9% 3.0% -0.0% 288.3M -6.86B -38.0M 0.94 15.58 N/A N/A 187,317 175,299 1,618,727 2,658,500 2014-08-26 $99.50 $93.00 10.9% 4.3% 10.6% 4.6% 14.2% 3.0% -0.1% 328.6M -7.29B -38.4M 1.72 6.09 N/A N/A 105,868 181,766 1,703,585 2,752,822 2014-08-27 $99.52 $93.00 10.8% 4.2% 10.6% 3.9% 14.8% 2.9% -0.1% 269.7M -7.19B -38.5M 2.22 6.12 N/A N/A 76,044 168,607 1,739,986 2,839,171 2014-08-28 $99.47 $94.00 10.9% 4.3% 7.7% 4.6% 12.8% 3.2% -0.1% 220.7M -6.83B -40.0M 1.82 5.84 N/A N/A 101,096 183,633 1,756,597 2,875,463 2014-08-29 $99.73 $93.00 11.0% 4.2% 7.1% 5.7% 14.2% 3.0% -0.1% 190.5M -7.47B -39.6M 1.03 8.25 N/A N/A 176,077 181,925 1,793,081 2,933,470
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