QQQ Options History — January 2015

In January 2015, QQQ traded between $99.66 and $104.16. ATM implied volatility averaged 18.0%, placing in the 52.3% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.9% (HV 20d: 16.1%). Max pain ranged from $102.00 to $104.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.18.

Notable Days

2015-01-13: Highest Volume — 712,353 contracts
2015-01-22: Largest IV drop — 15.3% change
2015-01-15: Highest IV Rank — 76.8%
2015-01-15: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$101.99	$99.66	$104.16	$103.11	$101.09
Max Pain	$102.72	$102.00	$104.00	$104.00	$102.00
ATM IV	18.0%	15.2%	21.6%	16.4%	19.7%
Expected Move	5.1%	4.3%	5.9%	4.8%	5.8%
HV 20d	16.1%	13.4%	17.9%	15.7%	16.9%
HV 60d	14.2%	13.0%	16.4%	16.4%	13.8%
IV Rank	52.3%	33.2%	76.8%	41.2%	63.9%
IV Percentile	87.0%	63.9%	98.0%	83.3%	94.8%
Term Structure	-0.1%	-1.1%	0.3%	0.3%	-0.2%
VWIV	18.4%	16.0%	20.5%	17.2%	20.3%
Skew 25d	5.8%	4.5%	6.8%	5.9%	6.3%
Skew 10d	11.3%	8.3%	12.9%	12.4%	11.6%
Call IV 25d	15.6%	13.0%	18.6%	13.9%	16.9%
Put IV 25d	21.4%	17.8%	25.4%	19.8%	23.3%
Bid-Ask Spread %	3.77	1.57	15.63	1.57	2.52
Gamma HHI	0.07	0.04	0.19	0.06	0.19
Net GEX	-9.4M	-292.0M	258.8M	-8.0M	-292.0M
Net DEX	420.3M	-2.87B	4.26B	289.0M	611.3M
Net VEX	-23.6M	-26.0M	-20.8M	-26.0M	-24.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	0.97	1.69	1.07	1.19
Total Volume	518,090.85	271,777	712,353	578,834	547,808
Total OI	3,108,481.45	2,019,997	4,063,487	3,586,779	2,608,083

Daily Data (20 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
2015-01-02	$103.11	$104.00	16.4%	4.8%	15.7%	41.2%	17.2%	5.9%	0.3%	-8.0M	289.0M	-26.0M	1.07	1.57	N/A	N/A	279,516	299,318	1,404,486	2,182,293
2015-01-05	$101.52	$104.00	18.7%	5.2%	16.5%	56.9%	18.4%	6.7%	0.0%	-157.4M	2.10B	-24.5M	0.99	6.74	N/A	N/A	249,366	245,874	1,345,343	2,146,439
2015-01-06	$101.37	$103.00	18.0%	5.3%	16.5%	52.2%	18.5%	4.5%	0.1%	-233.3M	2.18B	-20.8M	1.05	2.09	N/A	N/A	319,629	335,902	1,435,380	2,145,097
2015-01-07	$101.31	$103.00	18.2%	5.2%	16.4%	53.4%	18.8%	5.9%	0.1%	-64.0M	1.87B	-25.0M	1.04	5.65	N/A	N/A	170,136	176,307	1,491,998	2,214,005
2015-01-08	$103.29	$103.00	16.2%	4.8%	17.9%	39.8%	17.7%	5.2%	0.2%	231.9M	-1.45B	-24.5M	0.97	1.90	N/A	N/A	268,967	260,777	1,513,876	2,220,554
2015-01-09	$102.74	$103.00	16.8%	4.7%	16.9%	43.7%	17.3%	5.3%	0.3%	76.3M	-276.8M	-23.8M	1.42	2.11	N/A	N/A	240,694	341,676	1,529,586	2,264,742
2015-01-12	$101.71	$103.00	18.6%	5.2%	17.1%	56.6%	18.4%	6.2%	-0.6%	-48.3M	1.29B	-24.0M	1.39	1.77	N/A	N/A	233,009	323,401	1,493,255	2,214,010
2015-01-13	$101.39	$103.00	19.3%	5.5%	16.9%	61.0%	19.0%	6.6%	0.1%	-47.5M	1.76B	-24.3M	1.03	2.33	N/A	N/A	350,644	361,709	1,542,096	2,283,885
2015-01-14	$100.98	$103.00	20.4%	5.6%	16.7%	68.5%	20.1%	6.5%	-0.7%	-91.3M	2.37B	-24.2M	1.18	1.80	N/A	N/A	255,772	302,353	1,599,371	2,313,819
2015-01-15	$99.66	$103.00	21.6%	5.9%	16.2%	76.8%	20.5%	6.8%	-1.1%	-243.5M	4.26B	-23.3M	1.69	1.99	N/A	N/A	244,112	413,404	1,640,594	2,333,709
2015-01-16	$100.86	$102.00	19.7%	5.5%	15.5%	64.0%	19.9%	6.3%	-0.9%	-53.4M	1.98B	-23.5M	1.22	8.16	N/A	N/A	266,875	325,116	1,708,169	2,355,318
2015-01-20	$101.72	$102.00	18.9%	5.4%	13.4%	58.1%	19.1%	5.8%	-0.1%	49.3M	-476.7M	-22.8M	1.11	3.61	N/A	N/A	151,632	168,441	935,649	1,084,348
2015-01-21	$102.08	$102.00	18.1%	5.2%	13.5%	52.8%	18.7%	5.8%	-0.2%	89.1M	-863.0M	-23.0M	1.11	2.57	N/A	N/A	155,185	171,651	972,875	1,126,131
2015-01-22	$103.96	$102.00	15.3%	4.4%	15.1%	33.9%	16.8%	4.8%	0.0%	258.8M	-2.67B	-22.5M	1.23	2.38	N/A	N/A	237,131	292,469	1,017,031	1,182,641
2015-01-23	$104.14	$102.00	15.4%	4.4%	15.1%	34.2%	16.0%	5.0%	0.1%	255.2M	-2.87B	-22.7M	0.98	2.34	N/A	N/A	218,479	214,450	1,044,152	1,246,164
2015-01-26	$104.16	$102.50	15.2%	4.3%	15.1%	33.2%	16.0%	4.8%	0.3%	250.8M	-2.46B	-22.6M	1.23	5.78	N/A	N/A	121,823	149,954	1,044,409	1,167,017
2015-01-27	$101.90	$103.00	17.3%	5.0%	16.7%	47.3%	17.5%	5.6%	0.1%	-22.0M	-29.0M	-23.1M	1.17	15.63	N/A	N/A	259,231	304,468	1,092,085	1,230,320
2015-01-28	$101.02	$102.50	18.9%	5.5%	16.9%	58.7%	18.9%	6.1%	-0.1%	-95.3M	819.1M	-23.8M	1.13	2.14	N/A	N/A	250,473	283,964	1,175,438	1,301,475
2015-01-29	$101.83	$102.50	17.7%	5.1%	17.1%	50.3%	18.9%	5.7%	0.0%	-42.7M	-42.2M	-24.0M	1.44	2.38	N/A	N/A	233,519	336,582	1,214,221	1,349,565
2015-01-30	$101.09	$102.00	19.7%	5.8%	16.9%	63.9%	20.3%	6.3%	-0.2%	-292.0M	611.3M	-24.2M	1.19	2.52	N/A	N/A	250,459	297,349	1,248,275	1,359,808