QQQ Options History — November 2014

In November 2014, QQQ traded between $101.35 and $105.89. ATM implied volatility averaged 12.8%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.3% (HV 20d: 13.1%). Max pain ranged from $100.00 to $102.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.30.

Notable Days

  • 2014-11-21: Highest Volume — 660,262 contracts
  • 2014-11-07: Largest IV drop — 7.8% change
  • 2014-11-03: Highest IV Rank — 27.4%
  • 2014-11-04: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.06$101.35$105.89$101.72$105.89
Max Pain$100.68$100.00$102.00$100.00$102.00
ATM IV12.8%11.3%14.4%14.4%12.1%
Expected Move4.3%3.9%4.7%4.6%4.1%
HV 20d13.1%6.6%23.5%23.5%6.6%
HV 60d15.7%15.6%15.9%15.9%15.8%
IV Rank16.7%6.2%27.4%27.4%11.7%
IV Percentile36.4%9.1%65.5%65.5%21.0%
Term Structure0.3%-0.2%1.2%0.3%0.2%
VWIV16.4%14.1%19.7%18.8%15.0%
Skew 25d3.3%2.7%3.7%3.4%3.5%
Skew 10d6.8%5.8%8.0%6.9%6.0%
Call IV 25d11.6%10.1%12.9%12.9%10.9%
Put IV 25d14.9%13.4%16.4%16.3%14.4%
Bid-Ask Spread %5.371.748.565.538.25
Gamma HHI0.130.050.480.100.18
Net GEX436.8M74.7M852.5M368.4M554.2M
Net DEX-8.78B-10.80B-7.04B-8.15B-8.90B
Net VEX-31.0M-37.6M-26.9M-37.3M-26.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.851.741.471.42
Total Volume373,212.632274,027660,262286,839312,257
Total OI4,871,201.2113,962,6205,373,2954,814,4204,322,657

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$101.72$100.0014.4%4.6%23.5%27.4%18.8%3.4%0.3%368.4M-8.15B-37.3M1.475.53N/AN/A116,186170,6531,958,2232,856,197
2014-11-04$101.41$100.0014.3%4.7%22.8%27.0%19.3%3.5%0.3%298.2M-7.48B-37.6M1.415.36N/AN/A147,682208,7081,987,9372,903,176
2014-11-05$101.35$100.0014.0%4.7%21.8%24.7%18.6%3.6%0.4%282.6M-7.33B-37.1M1.746.27N/AN/A108,250188,1082,008,9492,927,872
2014-11-06$101.65$100.0013.7%4.5%20.6%22.6%19.7%3.4%0.4%332.5M-8.10B-35.5M1.706.66N/AN/A123,603210,7072,032,2952,963,805
2014-11-07$101.57$100.0012.6%4.4%17.3%15.3%16.9%3.0%0.6%74.7M-8.14B-34.0M1.075.86N/AN/A177,891190,8102,047,2982,993,720
2014-11-10$101.89$100.0012.1%4.3%15.9%11.8%17.4%3.0%1.1%392.0M-8.30B-30.8M1.466.75N/AN/A136,938200,4711,974,5942,836,613
2014-11-11$102.20$100.0012.2%4.2%15.7%12.8%15.7%2.7%0.4%456.5M-9.05B-28.8M1.197.46N/AN/A146,730174,7011,965,1752,810,111
2014-11-12$102.47$100.0012.1%4.3%13.8%11.7%15.9%3.2%0.9%440.0M-9.11B-30.2M1.597.09N/AN/A145,633231,7192,053,0642,967,383
2014-11-13$102.80$100.0012.2%4.2%12.4%12.7%14.6%2.9%1.2%623.7M-9.54B-30.9M1.075.68N/AN/A280,729300,3272,107,3953,042,357
2014-11-14$103.11$100.0012.6%4.2%11.8%15.4%15.6%3.1%1.0%822.8M-10.21B-29.8M0.858.56N/AN/A295,507252,3952,198,6913,140,580
2014-11-17$102.88$101.0013.3%4.3%11.5%19.7%16.3%3.5%-0.1%399.7M-9.13B-29.6M1.714.67N/AN/A108,897186,1702,052,7743,053,645
2014-11-18$103.67$101.0013.2%4.2%9.1%19.6%15.2%3.4%-0.1%648.7M-10.80B-28.3M1.253.42N/AN/A186,289232,5362,073,4703,101,554
2014-11-19$103.21$101.0013.8%4.3%9.2%23.4%16.9%3.7%-0.1%365.5M-9.46B-29.4M1.124.89N/AN/A132,619148,5002,115,0853,177,695
2014-11-20$103.59$101.0013.0%4.2%8.1%18.0%17.7%3.6%0.0%460.7M-10.07B-29.4M1.134.30N/AN/A203,514229,5252,120,3793,146,710
2014-11-21$103.80$101.0012.9%4.2%7.9%17.2%15.3%3.7%-0.2%852.5M-10.45B-29.4M0.975.13N/AN/A335,268324,9942,163,7043,209,591
2014-11-24$104.65$102.0012.0%4.0%8.2%11.1%14.1%3.5%-0.1%291.6M-7.04B-27.9M1.302.12N/AN/A118,982155,0451,527,1172,435,503
2014-11-25$104.83$102.0011.6%4.0%6.9%8.3%15.0%3.5%0.5%260.7M-7.17B-28.2M1.391.74N/AN/A132,545183,6041,552,1212,518,108
2014-11-26$105.53$102.0011.3%3.9%6.6%6.2%14.4%3.3%-0.2%373.6M-8.32B-27.6M0.902.20N/AN/A153,695138,8521,607,3202,599,955
2014-11-28$105.89$102.0012.1%4.1%6.6%11.7%15.0%3.5%0.2%554.2M-8.90B-26.9M1.428.25N/AN/A128,906183,3511,655,1962,667,461