QQQ Options History — October 2014 In October 2014, QQQ traded between $91.50 and $101.43. ATM implied volatility averaged 18.1%, placing in the 60.0% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 1.6% (HV 20d: 19.7%). Max pain ranged from $91.00 to $100.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 1.46.
Notable Days 2014-10-10 : Highest Volume — 1,308,739 contracts2014-10-17 : Largest IV drop — 18.7% change2014-10-10 : Highest IV Rank — 100.0%2014-10-16 : Largest Expected Move — 6.2%Monthly Statistics Metric Avg Min Max Open Close Price $96.74 $91.50 $101.43 $97.36 $101.43 Max Pain $95.41 $91.00 $100.00 $96.00 $100.00 ATM IV 18.1% 13.7% 25.0% 17.3% 13.7% Expected Move 5.2% 4.6% 6.2% 5.0% 4.6% HV 20d 19.7% 12.9% 24.1% 12.9% 23.5% HV 60d 13.9% 10.9% 16.0% 11.0% 15.9% IV Rank 60.0% 22.6% 100.0% 65.7% 22.6% IV Percentile 87.6% 55.6% 100.0% 94.0% 55.6% Term Structure -0.1% -1.7% 2.6% -0.1% 0.5% VWIV 19.5% 15.4% 23.2% 17.3% 20.8% Skew 25d 5.3% 3.2% 8.3% 5.4% 3.2% Skew 10d 9.8% 6.2% 14.4% 10.4% 6.2% Call IV 25d 15.8% 12.3% 21.4% 15.1% 12.3% Put IV 25d 21.1% 15.5% 29.7% 20.6% 15.5% Bid-Ask Spread % 10.46 6.02 21.45 9.14 6.30 Gamma HHI 0.06 0.03 0.25 0.06 0.09 Net GEX -223.1M -778.4M 387.6M -491.2M 387.6M Net DEX 941.6M -9.03B 9.72B 2.16B -9.03B Net VEX -42.4M -44.1M -38.1M -44.1M -38.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.46 0.96 1.95 1.39 1.11 Total Volume 693,762.435 313,814 1,308,739 701,042 621,997 Total OI 4,629,964.478 4,139,933 5,151,180 4,208,067 5,146,958
Daily Data (23 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 2014-10-01 $97.36 $96.00 17.3% 5.0% 12.9% 65.7% 17.3% 5.4% -0.1% -491.2M 2.16B -44.1M 1.39 9.14 N/A N/A 293,404 407,638 1,615,037 2,593,030 2014-10-02 $97.23 $96.00 17.1% 5.0% 12.9% 63.4% 19.2% 5.0% -0.0% -507.6M 2.19B -44.0M 1.33 11.27 N/A N/A 286,622 382,235 1,697,004 2,645,207 2014-10-03 $98.14 $96.00 16.2% 4.8% 13.3% 55.4% 20.7% 4.8% -0.1% -778.4M -257.5M -43.8M 1.91 9.15 N/A N/A 205,273 392,416 1,733,313 2,690,275 2014-10-06 $97.92 $96.00 16.4% 4.8% 13.3% 57.3% 17.3% 4.9% -0.1% -307.4M 454.7M -42.9M 1.36 11.76 N/A N/A 179,994 244,020 1,591,035 2,548,898 2014-10-07 $96.57 $96.00 18.0% 5.0% 13.9% 71.6% 18.2% 5.1% -0.2% -499.5M 2.98B -43.0M 1.30 10.81 N/A N/A 216,131 281,915 1,653,949 2,624,590 2014-10-08 $98.62 $96.00 16.0% 4.7% 15.8% 52.8% 16.7% 4.4% -0.1% -142.0M -1.35B -42.5M 1.41 6.90 N/A N/A 313,259 441,443 1,699,465 2,648,949 2014-10-09 $96.95 $96.00 18.5% 5.0% 16.8% 77.4% 16.6% 5.4% -0.3% -516.1M 2.31B -43.6M 1.46 11.14 N/A N/A 358,866 525,239 1,725,582 2,704,356 2014-10-10 $94.25 $96.00 21.7% 5.5% 19.3% 100.0% 20.0% 5.8% -0.7% -604.0M 7.88B -42.3M 1.91 11.81 N/A N/A 450,084 858,655 1,818,422 2,781,479 2014-10-13 $92.93 $96.00 23.5% 5.7% 19.6% 100.0% 20.2% 6.7% -0.9% -465.8M 8.16B -40.6M 1.95 21.03 N/A N/A 314,729 614,174 1,769,140 2,649,096 2014-10-14 $94.02 $96.00 21.7% 5.6% 19.9% 86.3% 21.3% 6.5% -0.7% -475.8M 6.67B -42.9M 1.75 8.41 N/A N/A 157,148 274,257 1,858,587 2,772,018 2014-10-15 $92.53 $96.00 24.4% 5.9% 20.3% 100.0% 21.2% 8.0% -1.7% -510.4M 8.95B -42.8M 1.42 12.95 N/A N/A 523,778 742,466 1,918,757 2,905,194 2014-10-16 $91.50 $96.00 25.0% 6.2% 20.0% 100.0% 23.2% 8.3% -1.4% -468.0M 9.72B -41.6M 1.17 21.45 N/A N/A 401,875 470,968 2,021,745 2,965,662 2014-10-17 $93.02 $96.00 20.3% 5.9% 21.4% 68.0% 20.1% 8.0% 2.6% -339.6M 7.06B -42.4M 1.48 21.17 N/A N/A 377,050 558,474 2,127,073 3,024,107 2014-10-20 $94.45 $0.00 19.1% 5.5% 22.3% 59.9% 20.9% 5.7% -0.1% -209.9M 2.66B -42.1M 1.55 7.98 N/A N/A 176,917 274,592 1,677,347 2,545,118 2014-10-21 $96.69 $95.00 16.9% 5.0% 24.1% 44.6% 22.0% 4.8% 0.1% -19.8M -952.8M -41.9M 0.96 8.66 N/A N/A 369,845 353,369 1,715,116 2,632,949 2014-10-22 $96.36 $94.00 18.0% 5.3% 23.6% 52.5% 22.0% 5.2% -0.2% -105.3M -267.8M -43.7M 1.83 7.47 N/A N/A 253,180 464,302 1,903,872 2,762,798 2014-10-23 $97.81 $91.00 16.8% 5.0% 23.2% 44.1% 19.6% 4.7% -0.2% 42.3M -2.87B -44.1M 1.57 6.77 N/A N/A 294,857 463,706 1,956,411 2,889,608 2014-10-24 $98.56 $94.00 16.2% 4.9% 23.4% 39.8% 17.9% 4.4% -0.0% 137.8M -4.06B -44.0M 1.43 6.78 N/A N/A 234,670 336,001 1,996,998 2,997,532 2014-10-27 $98.72 $93.00 16.0% 4.9% 23.3% 38.7% 15.4% 4.1% 0.4% 61.7M -3.45B -42.4M 1.13 10.55 N/A N/A 147,368 166,446 1,895,223 2,805,119 2014-10-28 $100.18 $93.00 14.5% 4.7% 23.8% 28.5% 21.2% 3.6% 0.5% 245.5M -6.03B -40.5M 1.51 6.97 N/A N/A 212,230 319,450 1,942,052 2,851,532 2014-10-29 $99.79 $94.00 14.1% 4.7% 23.3% 25.5% 19.0% 3.9% 0.6% 167.3M -5.38B -40.8M 1.27 6.02 N/A N/A 260,629 330,927 1,983,691 2,949,421 2014-10-30 $100.02 $97.00 14.3% 4.7% 23.3% 26.9% 18.2% 3.8% 0.5% 268.7M -5.91B -40.7M 1.32 6.10 N/A N/A 173,757 230,180 2,044,214 3,011,254 2014-10-31 $101.43 $100.00 13.7% 4.6% 23.5% 22.6% 20.8% 3.2% 0.5% 387.6M -9.03B -38.1M 1.11 6.30 N/A N/A 294,563 327,434 2,070,622 3,076,336
« Sep 2014 | All History | Nov 2014 » Home QQQ History October 2014