QQQ Options History — December 2014 In December 2014, QQQ traded between $100.13 and $105.45. ATM implied volatility averaged 15.2%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.4% (HV 20d: 11.7%). Max pain ranged from $102.00 to $104.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.26.
Notable Days 2014-12-12 : Highest Volume — 799,354 contracts2014-12-10 : Largest IV spike — 25.3% change2014-12-16 : Highest IV Rank — 73.4%2014-12-16 : Largest Expected Move — 5.9%Monthly Statistics Metric Avg Min Max Open Close Price $104.02 $100.13 $105.45 $104.80 $103.29 Max Pain $103.59 $102.00 $104.00 $102.00 $104.00 ATM IV 15.2% 11.7% 21.1% 13.9% 16.8% Expected Move 4.7% 4.1% 5.9% 4.4% 4.9% HV 20d 11.7% 6.6% 16.0% 6.8% 15.8% HV 60d 16.3% 15.8% 17.3% 15.9% 16.6% IV Rank 33.0% 9.0% 73.4% 24.4% 43.8% IV Percentile 64.3% 13.1% 98.0% 57.5% 85.7% Term Structure 0.2% -0.6% 0.8% -0.3% 0.1% VWIV 16.8% 14.2% 20.7% 16.3% 17.1% Skew 25d 4.8% 3.6% 6.7% 3.9% 6.1% Skew 10d 9.6% 6.9% 13.2% 8.1% 12.6% Call IV 25d 13.3% 10.3% 18.4% 12.4% 14.6% Put IV 25d 18.1% 13.9% 24.6% 16.3% 20.7% Bid-Ask Spread % 2.22 1.52 9.50 1.53 2.14 Gamma HHI 0.06 0.04 0.15 0.05 0.06 Net GEX 147.1M -260.6M 432.0M 171.9M -20.1M Net DEX -3.49B -7.33B 2.33B -6.26B -149.2M Net VEX -29.1M -33.9M -25.8M -28.5M -26.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.26 0.78 1.89 1.51 1.05 Total Volume 515,792.773 258,342 799,354 513,855 439,186 Total OI 4,380,846.409 3,398,292 5,179,950 4,234,233 3,742,128
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 2014-12-01 $104.80 $102.00 13.9% 4.4% 6.8% 24.4% 16.3% 3.9% -0.3% 171.9M -6.26B -28.5M 1.51 1.53 N/A N/A 204,342 309,513 1,609,041 2,625,192 2014-12-02 $105.15 $102.00 13.1% 4.3% 6.9% 18.9% 15.1% 3.9% -0.2% 202.0M -6.70B -29.4M 1.13 1.69 N/A N/A 155,096 175,399 1,651,015 2,699,489 2014-12-03 $105.45 $103.00 12.2% 4.2% 6.6% 12.7% 14.2% 3.8% 0.5% 212.4M -7.05B -29.4M 0.92 1.52 N/A N/A 164,476 150,905 1,679,749 2,763,526 2014-12-04 $105.44 $104.00 12.2% 4.2% 6.6% 12.4% 14.8% 3.6% 0.5% 235.1M -7.33B -29.0M 0.79 1.84 N/A N/A 218,314 172,061 1,739,985 2,810,641 2014-12-05 $105.26 $104.00 11.7% 4.1% 6.7% 9.0% 14.5% 3.6% 0.8% 237.4M -7.26B -29.1M 1.18 1.61 N/A N/A 199,176 235,637 1,809,923 2,862,407 2014-12-08 $104.46 $104.00 13.4% 4.4% 7.5% 20.8% 15.6% 4.2% 0.2% 245.7M -5.60B -28.2M 1.81 1.62 N/A N/A 163,206 295,408 1,778,676 2,746,357 2014-12-09 $104.99 $104.00 13.5% 4.3% 7.6% 21.7% 16.8% 4.7% 0.2% 342.0M -6.40B -30.2M 1.36 1.66 N/A N/A 262,719 356,806 1,830,304 2,824,524 2014-12-10 $103.18 $104.00 17.0% 4.9% 10.1% 45.2% 17.5% 5.8% -0.1% -43.5M -2.39B -33.2M 1.58 1.68 N/A N/A 238,260 376,747 1,864,397 2,924,402 2014-12-11 $103.64 $104.00 17.2% 5.0% 10.1% 47.1% 18.1% 5.9% -0.3% 38.6M -3.24B -33.9M 1.35 1.98 N/A N/A 253,568 342,417 1,934,053 2,996,462 2014-12-12 $102.71 $104.00 19.1% 5.4% 10.6% 59.7% 20.0% 6.7% -0.6% -159.0M -1.18B -33.9M 1.24 1.64 N/A N/A 357,226 442,128 1,962,243 3,055,125 2014-12-15 $101.89 $104.00 18.9% 5.5% 10.9% 58.5% 19.9% 6.0% 0.1% -109.6M -508.4M -31.5M 1.04 1.78 N/A N/A 333,735 348,711 1,924,472 2,957,332 2014-12-16 $100.13 $103.00 21.1% 5.9% 12.5% 73.4% 20.7% 6.2% -0.1% -260.6M 2.33B -31.8M 1.21 1.83 N/A N/A 318,026 385,322 2,011,765 2,989,029 2014-12-17 $101.87 $103.00 17.8% 5.3% 13.8% 51.1% 19.0% 5.1% 0.2% -60.3M -959.8M -30.8M 1.00 1.75 N/A N/A 363,520 364,855 2,071,992 3,035,918 2014-12-18 $104.19 $103.00 15.4% 4.8% 16.0% 34.6% 17.6% 4.3% 0.1% 414.2M -6.69B -27.0M 0.78 2.33 N/A N/A 448,744 348,089 2,109,295 3,070,655 2014-12-19 $104.27 $103.00 14.7% 4.6% 15.9% 29.8% 16.6% 4.5% 0.0% 329.6M -988.7M -27.7M 1.14 9.50 N/A N/A 306,730 349,224 1,589,086 3,138,090 2014-12-22 $104.47 $104.00 14.6% 4.6% 15.9% 28.7% 15.9% 4.4% 0.5% 214.3M -2.61B -26.9M 1.30 2.42 N/A N/A 214,282 277,550 1,300,592 2,097,700 2014-12-23 $104.35 $104.00 14.3% 4.5% 15.7% 26.7% 16.0% 4.3% 0.6% 171.0M -2.31B -26.6M 1.18 1.85 N/A N/A 222,012 262,252 1,357,377 2,146,415 2014-12-24 $104.30 $104.00 14.1% 4.5% 15.7% 25.8% 16.3% 4.1% 0.5% 222.5M -2.42B -27.8M 1.60 3.02 N/A N/A 99,497 158,845 1,427,608 2,218,942 2014-12-26 $105.11 $104.00 13.9% 4.3% 15.7% 24.0% 15.7% 4.1% 0.7% 432.0M -3.87B -27.0M 1.51 1.77 N/A N/A 147,547 222,354 1,450,723 2,269,757 2014-12-29 $105.07 $104.00 14.5% 4.3% 15.7% 28.0% 15.3% 4.5% 0.3% 252.8M -3.21B -26.3M 1.89 1.64 N/A N/A 137,350 259,418 1,400,345 2,212,435 2014-12-30 $104.39 $104.00 14.5% 4.5% 15.4% 28.5% 16.0% 4.8% 0.4% 168.6M -1.96B -25.8M 1.15 2.00 N/A N/A 124,265 142,523 1,412,623 2,276,831 2014-12-31 $103.29 $104.00 16.8% 4.9% 15.8% 43.8% 17.1% 6.1% 0.1% -20.1M -149.2M -26.8M 1.05 2.14 N/A N/A 214,075 225,111 1,434,323 2,307,805
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