QQQ Options History — April 2015 In April 2015, QQQ traded between $104.96 and $110.52. ATM implied volatility averaged 14.0%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.7% (HV 20d: 13.3%). Max pain ranged from $106.00 to $108.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.21.
Notable Days 2015-04-17 : Highest Volume — 674,670 contracts2015-04-13 : Largest IV spike — 13.7% change2015-04-01 : Highest IV Rank — 41.2%2015-04-01 : Largest Expected Move — 4.6%Monthly Statistics Metric Avg Min Max Open Close Price $107.64 $104.96 $110.52 $104.96 $107.46 Max Pain $107.24 $106.00 $108.00 $106.50 $108.00 ATM IV 14.0% 12.5% 16.4% 16.4% 15.0% Expected Move 4.1% 3.6% 4.6% 4.6% 4.5% HV 20d 13.3% 11.5% 14.7% 14.7% 13.0% HV 60d 13.2% 12.3% 14.1% 14.0% 12.7% IV Rank 24.6% 14.8% 41.2% 41.2% 32.0% IV Percentile 49.0% 29.0% 77.0% 77.0% 67.1% Term Structure 0.2% -0.3% 0.6% 0.2% 0.2% VWIV 14.6% 12.9% 16.9% 16.3% 15.4% Skew 25d 4.3% 3.6% 5.0% 5.0% 4.6% Skew 10d 8.3% 7.4% 9.6% 9.6% 8.8% Call IV 25d 12.1% 10.9% 14.1% 14.1% 13.1% Put IV 25d 16.4% 14.6% 19.1% 19.1% 17.7% Bid-Ask Spread % 2.07 1.84 2.53 2.35 2.53 Gamma HHI 0.08 0.05 0.17 0.06 0.06 Net GEX 128.1M -462.7M 888.5M -360.9M -303.2M Net DEX -1.14B -6.19B 2.12B 2.12B 1.38B Net VEX -26.9M -29.0M -25.5M -28.8M -28.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.21 0.68 1.67 1.25 1.08 Total Volume 423,119.238 234,479 674,670 543,455 668,714 Total OI 2,895,488.048 2,444,459 3,221,779 2,775,042 3,125,483
Daily Data (21 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 2015-04-01 $104.96 $106.50 16.4% 4.6% 14.7% 41.2% 16.3% 5.0% 0.2% -360.9M 2.12B -28.8M 1.25 2.35 N/A N/A 241,798 301,657 1,172,851 1,602,191 2015-04-02 $105.29 $106.00 15.0% 4.5% 14.7% 31.9% 16.9% 4.9% 0.3% -266.6M 1.52B -29.0M 1.34 1.90 N/A N/A 159,467 213,752 1,250,811 1,682,885 2015-04-06 $106.07 $106.00 15.2% 4.5% 14.4% 33.3% 16.6% 4.8% 0.3% -96.7M 344.2M -27.5M 1.47 1.87 N/A N/A 143,328 210,149 1,192,205 1,646,322 2015-04-07 $105.87 $107.00 15.0% 4.4% 14.3% 31.9% 15.4% 4.6% 0.2% -193.2M 749.1M -27.7M 1.53 1.95 N/A N/A 102,511 156,561 1,211,947 1,714,311 2015-04-08 $106.43 $107.00 14.3% 4.3% 14.3% 26.9% 14.5% 4.5% 0.6% 5.4M -453.8M -27.2M 1.13 2.27 N/A N/A 110,064 124,415 1,211,592 1,748,442 2015-04-09 $107.29 $107.00 13.4% 4.0% 13.1% 21.0% 15.0% 4.3% 0.6% 189.5M -1.28B -26.8M 1.50 1.90 N/A N/A 134,091 201,528 1,234,420 1,781,795 2015-04-10 $107.69 $107.00 12.9% 3.7% 13.1% 17.0% 14.3% 4.1% 0.1% 244.0M -1.97B -26.4M 1.27 1.84 N/A N/A 156,237 198,556 1,246,978 1,839,417 2015-04-13 $107.45 $107.00 14.6% 4.2% 13.1% 29.1% 14.5% 4.6% -0.3% 56.0M -1.09B -26.1M 1.36 2.10 N/A N/A 161,659 219,824 1,139,142 1,683,607 2015-04-14 $107.04 $107.00 14.5% 4.2% 12.6% 28.2% 15.8% 4.7% 0.1% -53.2M -384.9M -26.4M 1.67 1.94 N/A N/A 130,526 217,597 1,199,218 1,738,990 2015-04-15 $107.81 $107.00 13.3% 3.8% 12.8% 20.0% 14.1% 4.2% 0.2% 169.2M -1.60B -26.0M 1.54 1.90 N/A N/A 123,248 190,344 1,222,810 1,783,438 2015-04-16 $107.69 $108.00 13.2% 3.7% 12.1% 19.0% 14.0% 4.0% 0.6% 180.8M -1.34B -26.0M 0.68 2.02 N/A N/A 226,486 154,805 1,253,671 1,835,562 2015-04-17 $106.00 $108.00 14.9% 4.3% 13.4% 31.1% 14.9% 4.5% 0.1% -462.7M 1.50B -25.8M 1.27 2.00 N/A N/A 297,691 376,979 1,357,941 1,863,838 2015-04-20 $107.63 $107.00 13.5% 3.9% 14.5% 21.6% 14.1% 4.3% -0.1% 156.9M -1.03B -25.5M 1.15 2.11 N/A N/A 182,040 210,090 1,036,916 1,407,543 2015-04-21 $108.14 $107.00 13.6% 3.9% 14.5% 21.8% 13.8% 4.0% -0.0% 259.0M -1.71B -26.1M 1.13 2.16 N/A N/A 164,085 185,584 1,089,796 1,498,478 2015-04-22 $108.64 $107.00 13.1% 3.7% 14.6% 19.0% 13.4% 4.0% -0.1% 459.1M -2.46B -26.1M 0.95 2.23 N/A N/A 152,516 145,019 1,152,171 1,541,224 2015-04-23 $109.11 $107.50 12.8% 3.7% 11.6% 16.8% 13.1% 3.9% -0.0% 674.7M -3.41B -26.1M 0.98 2.17 N/A N/A 256,004 251,085 1,198,155 1,576,501 2015-04-24 $110.52 $108.00 12.5% 3.6% 12.1% 14.8% 13.3% 3.6% -0.0% 888.5M -6.19B -26.2M 0.77 1.99 N/A N/A 345,107 266,231 1,279,915 1,661,632 2015-04-27 $110.11 $108.00 13.5% 4.0% 12.3% 21.3% 14.3% 4.0% 0.3% 453.8M -3.61B -26.9M 1.12 2.19 N/A N/A 208,616 232,635 1,169,993 1,565,583 2015-04-28 $109.86 $108.00 13.0% 3.8% 11.9% 18.2% 12.9% 3.8% 0.4% 437.4M -3.13B -27.7M 1.18 2.08 N/A N/A 248,569 293,832 1,250,439 1,645,594 2015-04-29 $109.32 $108.00 13.4% 3.9% 11.5% 20.4% 14.2% 4.1% 0.3% 251.4M -1.97B -28.0M 1.09 2.07 N/A N/A 250,059 272,045 1,280,553 1,710,889 2015-04-30 $107.46 $108.00 15.0% 4.5% 13.0% 32.0% 15.4% 4.6% 0.2% -303.2M 1.38B -28.0M 1.08 2.53 N/A N/A 321,525 347,189 1,361,722 1,763,761
« Mar 2015 | All History | May 2015 » Home QQQ History April 2015