QQQ Options History — September 2014 In September 2014, QQQ traded between $97.85 and $100.32. ATM implied volatility averaged 13.0%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 5.2% (HV 20d: 7.8%). Max pain ranged from $93.00 to $96.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.25.
Notable Days 2014-09-19 : Highest Volume — 855,933 contracts2014-09-25 : Largest IV spike — 21.6% change2014-09-30 : Highest IV Rank — 57.5%2014-09-30 : Largest Expected Move — 4.7%Monthly Statistics Metric Avg Min Max Open Close Price $99.35 $97.85 $100.32 $100.03 $98.73 Max Pain $94.14 $93.00 $96.00 $93.00 $96.00 ATM IV 13.0% 11.0% 16.5% 11.2% 16.5% Expected Move 4.4% 4.0% 4.7% 4.3% 4.7% HV 20d 7.8% 5.5% 12.1% 7.0% 12.1% HV 60d 9.6% 8.8% 10.8% 8.9% 10.8% IV Rank 24.9% 6.3% 57.5% 8.0% 57.5% IV Percentile 39.3% 6.3% 90.9% 7.1% 90.9% Term Structure 0.3% -0.1% 0.8% 0.4% -0.1% VWIV 15.9% 13.9% 19.2% 15.1% 15.6% Skew 25d 4.1% 3.0% 5.5% 3.3% 5.3% Skew 10d 8.2% 5.9% 10.6% 5.9% 9.8% Call IV 25d 11.4% 9.7% 14.1% 10.0% 14.1% Put IV 25d 15.5% 13.1% 19.3% 13.2% 19.3% Bid-Ask Spread % 8.21 5.01 12.81 5.01 10.43 Gamma HHI 0.08 0.04 0.38 0.05 0.05 Net GEX 21.6M -952.7M 781.8M 247.2M -230.4M Net DEX -3.73B -7.88B 1.94B -6.73B -783.8M Net VEX -41.2M -44.0M -38.2M -38.2M -44.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.25 0.57 1.77 1.28 1.27 Total Volume 525,824 265,834 855,933 265,834 478,892 Total OI 4,682,965.143 3,906,893 5,337,347 4,339,806 4,302,859
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 2014-09-02 $100.03 $93.00 11.2% 4.3% 7.0% 8.0% 15.1% 3.3% 0.4% 247.2M -6.73B -38.2M 1.28 5.01 N/A N/A 116,503 149,331 1,647,356 2,692,450 2014-09-03 $99.56 $93.00 11.8% 4.3% 6.0% 13.6% 14.8% 3.5% 0.4% 136.4M -5.45B -40.8M 1.26 5.19 N/A N/A 171,933 216,826 1,690,496 2,768,539 2014-09-04 $99.48 $93.00 11.9% 4.4% 6.1% 14.8% 16.2% 3.5% 0.3% 145.7M -5.31B -40.9M 1.77 5.69 N/A N/A 138,988 246,312 1,754,414 2,840,068 2014-09-05 $99.92 $93.00 11.0% 4.2% 5.7% 6.3% 15.3% 3.4% 0.5% 257.3M -6.51B -39.1M 1.02 10.02 N/A N/A 204,564 209,313 1,798,535 2,922,676 2014-09-08 $100.05 $93.00 11.7% 4.3% 5.7% 12.0% 14.6% 3.6% 0.2% 264.9M -6.61B -39.2M 1.06 8.45 N/A N/A 217,884 231,394 1,780,690 2,849,507 2014-09-09 $99.38 $93.00 12.3% 4.4% 6.3% 18.3% 15.7% 4.1% 0.5% 149.2M -4.76B -41.2M 1.64 6.10 N/A N/A 195,852 321,180 1,869,342 2,956,949 2014-09-10 $100.04 $93.00 12.1% 4.3% 6.4% 16.4% 18.9% 3.9% 0.0% 200.6M -6.39B -40.4M 1.38 7.94 N/A N/A 197,584 273,420 1,939,033 3,055,597 2014-09-11 $100.00 $93.00 11.9% 4.3% 5.5% 14.3% 16.1% 3.9% 0.2% 18.2M -6.00B -41.5M 0.90 6.01 N/A N/A 288,192 258,828 1,970,926 3,150,801 2014-09-12 $99.47 $93.00 12.7% 4.4% 5.9% 22.1% 16.3% 4.3% 0.4% -952.7M -4.45B -41.6M 1.23 7.61 N/A N/A 238,389 293,746 2,015,125 3,192,899 2014-09-15 $98.53 $94.00 13.9% 4.5% 6.9% 33.2% 14.9% 4.5% 0.7% 61.6M -2.46B -42.1M 1.12 5.74 N/A N/A 281,704 314,443 1,952,171 3,032,824 2014-09-16 $99.38 $94.00 13.0% 4.4% 7.1% 24.9% 17.3% 4.0% 0.1% 354.6M -4.93B -41.0M 0.91 7.19 N/A N/A 225,237 204,018 2,071,360 3,130,878 2014-09-17 $99.56 $94.00 11.8% 4.3% 6.9% 13.4% 13.9% 3.5% 0.8% 425.0M -5.38B -39.6M 1.04 7.64 N/A N/A 263,699 274,101 2,108,418 3,190,458 2014-09-18 $100.32 $94.00 11.5% 4.2% 7.3% 10.8% 16.3% 3.0% 0.3% 781.8M -7.88B -39.3M 0.57 12.60 N/A N/A 527,284 299,869 2,121,528 3,215,819 2014-09-19 $99.98 $95.00 11.7% 4.0% 7.5% 12.5% 14.3% 3.6% 0.5% 884.7K -2.11B -39.7M 1.24 12.81 N/A N/A 382,701 473,232 1,687,279 3,341,319 2014-09-22 $99.02 $95.00 13.4% 4.4% 8.3% 28.5% 15.5% 4.2% 0.2% -103.6M -840.4M -41.2M 1.43 6.82 N/A N/A 217,554 311,638 1,526,376 2,380,517 2014-09-23 $98.66 $95.00 14.5% 4.5% 8.3% 38.8% 16.3% 4.6% 0.2% -266.7M -91.9M -42.6M 1.43 10.16 N/A N/A 185,875 265,538 1,594,470 2,497,132 2014-09-24 $99.86 $95.00 13.2% 4.4% 9.4% 26.3% 15.5% 4.1% 0.3% 245.4M -2.90B -42.1M 1.21 8.10 N/A N/A 234,089 282,580 1,657,801 2,571,793 2014-09-25 $97.85 $96.00 16.0% 4.7% 11.9% 53.1% 15.5% 5.2% 0.1% -631.0M 1.94B -43.8M 1.60 10.18 N/A N/A 303,082 486,305 1,680,619 2,656,562 2014-09-26 $98.00 $96.00 15.0% 4.6% 11.9% 44.0% 17.0% 5.5% 0.3% -372.3M -340.7M -43.8M 1.56 10.44 N/A N/A 260,919 407,458 1,795,125 2,708,817 2014-09-29 $98.61 $96.00 16.0% 4.7% 12.1% 53.5% 19.2% 5.2% -0.0% -279.6M -319.3M -43.9M 1.27 8.27 N/A N/A 172,343 219,504 1,600,594 2,622,146 2014-09-30 $98.73 $96.00 16.5% 4.7% 12.1% 57.5% 15.6% 5.3% -0.1% -230.4M -783.8M -44.0M 1.27 10.43 N/A N/A 210,946 267,946 1,625,573 2,677,286
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