QQQ Options History — March 2015 In March 2015, QQQ traded between $105.16 and $109.39. ATM implied volatility averaged 14.5%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.8% (HV 20d: 11.7%). Max pain ranged from $105.00 to $107.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.33.
Notable Days 2015-03-26 : Highest Volume — 899,901 contracts2015-03-25 : Largest IV spike — 21.0% change2015-03-11 : Highest IV Rank — 43.4%2015-03-11 : Largest Expected Move — 4.8%Monthly Statistics Metric Avg Min Max Open Close Price $107.11 $105.16 $109.39 $109.39 $105.72 Max Pain $106.68 $105.00 $107.00 $105.00 $106.50 ATM IV 14.5% 12.1% 16.7% 12.1% 16.0% Expected Move 4.1% 3.4% 4.8% 3.4% 4.5% HV 20d 11.7% 9.4% 14.6% 9.4% 14.6% HV 60d 14.3% 13.4% 14.9% 14.7% 14.3% IV Rank 28.2% 11.9% 43.4% 11.9% 38.7% IV Percentile 54.0% 21.0% 78.6% 21.0% 71.0% Term Structure 0.2% -0.2% 1.0% -0.1% 0.1% VWIV 14.9% 12.3% 16.8% 12.9% 15.3% Skew 25d 4.4% 3.3% 5.0% 3.5% 5.0% Skew 10d 8.6% 5.6% 9.8% 9.2% 9.6% Call IV 25d 12.7% 10.5% 14.7% 10.5% 13.6% Put IV 25d 17.1% 14.1% 19.6% 14.1% 18.6% Bid-Ask Spread % 2.75 2.05 6.76 2.27 2.10 Gamma HHI 0.08 0.06 0.18 0.09 0.07 Net GEX -85.4M -847.2M 398.7M 272.5M -364.0M Net DEX -795.8M -4.87B 2.51B -4.87B 1.49B Net VEX -28.3M -30.7M -23.2M -23.2M -28.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.33 0.69 2.60 1.04 1.24 Total Volume 448,873.591 234,656 899,901 401,018 395,701 Total OI 3,133,048.364 2,466,025 3,621,479 2,762,724 2,903,717
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 2015-03-02 $109.39 $105.00 12.1% 3.4% 9.4% 11.9% 12.9% 3.5% -0.1% 272.5M -4.87B -23.2M 1.04 2.27 N/A N/A 197,003 204,015 1,105,675 1,657,049 2015-03-03 $108.84 $105.00 12.7% 3.6% 9.6% 15.8% 13.2% 3.9% 0.2% 156.9M -3.91B -25.0M 1.10 2.27 N/A N/A 190,442 210,058 1,160,311 1,732,852 2015-03-04 $108.46 $105.00 13.4% 3.9% 9.7% 20.9% 14.5% 4.4% 0.1% 112.2M -3.19B -26.3M 2.37 2.23 N/A N/A 142,445 337,928 1,217,867 1,764,464 2015-03-05 $108.69 $107.00 13.3% 3.9% 9.5% 20.0% 15.6% 4.3% 0.2% 133.2M -3.29B -27.8M 1.79 2.05 N/A N/A 130,113 232,654 1,248,527 1,913,473 2015-03-06 $107.30 $107.00 14.8% 4.4% 10.7% 30.3% 14.7% 4.8% 0.0% -185.5M -417.5M -29.5M 1.17 2.05 N/A N/A 344,874 402,348 1,268,390 2,032,428 2015-03-09 $107.72 $107.00 14.6% 4.2% 10.2% 29.1% 15.1% 4.8% -0.1% -170.0M -1.56B -28.9M 1.28 2.29 N/A N/A 170,958 218,046 1,247,270 1,944,658 2015-03-10 $106.93 $107.00 14.6% 4.2% 10.7% 29.1% 15.4% 3.3% 0.1% -405.3M -241.4M -26.1M 1.45 2.77 N/A N/A 213,332 309,689 1,330,084 1,980,100 2015-03-11 $105.16 $107.00 16.7% 4.8% 11.5% 43.4% 16.8% 4.9% 0.1% -376.0M 2.19B -29.8M 1.30 2.32 N/A N/A 159,968 207,617 1,406,788 2,008,337 2015-03-12 $105.62 $107.00 15.5% 4.4% 11.5% 35.1% 15.6% 4.7% -0.2% -325.6M 1.31B -29.5M 0.96 2.86 N/A N/A 155,947 149,055 1,434,197 2,041,608 2015-03-13 $105.25 $107.00 16.1% 4.7% 10.8% 39.4% 16.2% 4.7% 0.3% -479.5M 2.09B -29.5M 1.62 6.76 N/A N/A 193,338 312,331 1,494,712 2,057,731 2015-03-16 $106.43 $107.00 15.8% 4.6% 11.2% 37.4% 15.8% 4.6% -0.2% -26.2M -716.9M -29.5M 1.04 2.38 N/A N/A 177,998 184,586 1,424,985 1,966,359 2015-03-17 $106.88 $107.00 15.1% 4.3% 11.3% 32.3% 15.5% 4.3% 0.2% -3.7M -1.31B -29.9M 0.93 2.41 N/A N/A 121,410 113,246 1,459,929 2,030,228 2015-03-18 $108.06 $107.00 13.6% 3.9% 11.9% 22.2% 14.3% 4.0% 0.3% 250.1M -3.39B -28.7M 0.69 2.59 N/A N/A 366,953 252,799 1,478,790 2,051,525 2015-03-19 $108.08 $107.00 13.2% 3.8% 11.8% 19.5% 14.1% 4.0% 0.5% 300.1M -3.52B -28.8M 0.87 4.45 N/A N/A 246,935 213,951 1,522,931 2,098,548 2015-03-20 $108.53 $107.00 12.3% 3.4% 11.7% 12.9% 12.3% 3.8% 1.0% 398.7M -1.77B -28.4M 0.77 2.92 N/A N/A 214,511 164,596 1,282,586 2,155,299 2015-03-23 $108.22 $107.00 13.2% 3.7% 11.7% 19.6% 13.8% 4.2% 0.4% 215.7M -1.73B -28.3M 1.35 2.75 N/A N/A 139,075 187,183 1,040,328 1,425,697 2015-03-24 $108.06 $107.00 13.3% 3.7% 11.7% 19.7% 14.0% 4.2% 0.4% 112.1M -1.25B -28.7M 1.43 3.11 N/A N/A 97,703 139,599 1,071,203 1,530,903 2015-03-25 $105.53 $107.00 16.0% 4.6% 14.4% 38.7% 15.0% 4.8% 0.2% -342.8M 2.23B -28.7M 1.04 2.78 N/A N/A 341,821 355,526 1,102,933 1,549,206 2015-03-26 $105.18 $107.00 16.3% 4.7% 14.2% 40.6% 16.6% 4.9% 0.1% -340.8M 2.51B -29.2M 2.60 2.11 N/A N/A 249,629 650,272 1,256,354 1,589,923 2015-03-27 $105.58 $107.00 15.5% 4.4% 14.2% 35.0% 15.7% 4.7% 0.3% -847.2M 2.17B -30.7M 1.95 2.83 N/A N/A 156,653 305,574 1,294,352 1,799,006 2015-03-30 $106.71 $106.50 14.7% 4.1% 14.3% 29.8% 14.7% 4.7% 0.2% 35.6M -314.3M -28.2M 1.25 2.15 N/A N/A 141,227 176,110 1,195,155 1,650,586 2015-03-31 $105.72 $106.50 16.0% 4.5% 14.6% 38.7% 15.3% 5.0% 0.1% -364.0M 1.49B -28.6M 1.24 2.10 N/A N/A 176,901 218,800 1,199,168 1,704,549
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