QQQ Options History — February 2015

In February 2015, QQQ traded between $102.11 and $108.93. ATM implied volatility averaged 14.7%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.1% (HV 20d: 14.6%). Max pain ranged from $101.00 to $105.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.33.

Notable Days

  • 2015-02-06: Highest Volume — 520,822 contracts
  • 2015-02-03: Largest IV drop — 9.9% change
  • 2015-02-02: Highest IV Rank — 57.6%
  • 2015-02-02: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.91$102.11$108.93$102.11$108.34
Max Pain$102.68$101.00$105.00$102.00$105.00
ATM IV14.7%12.4%18.8%18.8%12.8%
Expected Move4.3%3.5%5.3%5.3%3.6%
HV 20d14.6%9.5%17.4%17.4%9.9%
HV 60d14.5%14.0%14.8%14.0%14.5%
IV Rank29.8%13.8%57.6%57.6%16.9%
IV Percentile55.6%26.2%90.9%90.9%32.1%
Term Structure0.2%-0.5%0.9%0.1%0.3%
VWIV16.1%12.7%20.1%20.1%13.6%
Skew 25d4.7%3.8%6.2%6.2%3.9%
Skew 10d9.9%8.0%12.3%12.3%8.3%
Call IV 25d12.8%11.0%16.0%16.0%11.4%
Put IV 25d17.5%14.8%22.2%22.2%15.3%
Bid-Ask Spread %2.231.774.342.932.25
Gamma HHI0.080.050.140.050.10
Net GEX230.9M-143.5M557.4M65.7M-75.7M
Net DEX-3.63B-7.24B-531.2M-531.2M-3.57B
Net VEX-23.2M-24.9M-21.3M-23.8M-24.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.841.801.511.29
Total Volume391,257.684263,773520,822466,180394,389
Total OI2,679,7792,296,3913,043,4652,320,6532,877,444

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$102.11$102.0018.8%5.3%17.4%57.6%20.1%6.2%0.1%65.7M-531.2M-23.8M1.512.93N/AN/A186,094280,0861,083,1781,237,475
2015-02-03$102.97$102.0016.9%4.7%16.7%44.8%17.7%5.6%0.2%123.1M-1.31B-24.1M1.362.47N/AN/A186,710254,1421,116,1401,350,362
2015-02-04$102.77$102.0016.8%4.8%16.7%44.1%17.8%5.5%0.2%52.4M-950.6M-24.7M1.752.66N/AN/A146,125255,0471,141,6911,430,598
2015-02-05$103.75$101.0016.2%4.7%17.0%39.6%17.7%5.2%0.2%140.0M-2.02B-24.5M1.151.85N/AN/A165,396190,9431,143,8921,493,243
2015-02-06$103.03$101.0017.0%5.0%15.8%45.3%18.1%5.4%0.2%-143.5M-1.10B-24.9M1.441.90N/AN/A213,546307,2761,182,2551,530,875
2015-02-09$102.91$102.0016.9%5.0%15.7%44.9%18.9%5.8%0.5%6.0M-744.8M-24.4M1.481.93N/AN/A123,895183,8431,121,8381,431,691
2015-02-10$104.44$102.0015.3%4.7%16.0%33.4%17.0%5.1%0.9%210.0M-2.73B-24.0M1.331.77N/AN/A161,138214,0041,164,5281,478,764
2015-02-11$104.76$102.0015.0%4.5%15.9%32.0%16.5%5.0%0.7%252.2M-3.07B-23.7M1.391.87N/AN/A153,409213,5141,175,3691,538,862
2015-02-12$106.01$102.0014.0%4.2%16.2%25.0%16.5%4.3%0.8%429.9M-4.84B-22.7M1.311.83N/AN/A188,811247,2561,200,8061,608,306
2015-02-13$106.85$102.0013.2%3.9%15.2%19.5%14.9%3.9%0.8%433.2M-5.92B-21.8M1.081.83N/AN/A244,453265,0691,223,5271,667,795
2015-02-17$106.89$103.0014.5%4.2%14.9%28.1%16.3%4.8%-0.1%438.7M-5.38B-22.1M1.371.81N/AN/A119,907164,7691,220,5671,599,554
2015-02-18$107.07$103.0014.5%4.1%14.7%28.1%16.4%4.7%0.0%478.9M-5.55B-22.0M1.361.80N/AN/A118,215160,9871,240,4321,646,502
2015-02-19$107.70$103.0013.7%3.9%14.8%22.5%15.8%4.4%0.4%557.4M-6.39B-21.6M0.841.94N/AN/A193,367162,7431,262,2091,695,902
2015-02-20$108.35$103.0013.3%3.8%13.7%20.2%14.2%4.2%-0.1%475.2M-7.24B-21.3M0.914.34N/AN/A247,008223,6111,288,1201,755,345
2015-02-23$108.52$104.0013.2%3.7%13.7%19.6%14.2%4.2%-0.5%276.8M-4.44B-21.4M1.182.01N/AN/A121,262142,511962,3361,334,055
2015-02-24$108.59$104.0012.7%3.6%13.7%16.1%13.6%3.9%-0.4%281.1M-4.59B-21.6M1.552.25N/AN/A141,295219,1431,002,5041,403,685
2015-02-25$108.36$104.0012.6%3.5%10.5%15.0%13.2%4.0%0.2%210.9M-4.10B-23.0M1.802.69N/AN/A152,344274,6971,044,9321,519,028
2015-02-26$108.93$104.0012.4%3.5%9.5%13.8%12.7%3.8%-0.1%174.6M-4.54B-23.9M1.142.18N/AN/A194,738222,1531,086,9121,655,079
2015-02-27$108.34$105.0012.8%3.6%9.9%16.9%13.6%3.9%0.3%-75.7M-3.57B-24.7M1.292.25N/AN/A171,880222,5091,141,1911,736,253