QQQ Options History — May 2015 In May 2015, QQQ traded between $106.59 and $111.00. ATM implied volatility averaged 13.6%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 1.2% (HV 20d: 14.8%). Max pain ranged from $107.00 to $109.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.28.
Notable Days 2015-05-06 : Highest Volume — 696,871 contracts2015-05-26 : Largest IV spike — 14.7% change2015-05-06 : Highest IV Rank — 40.3%2015-05-06 : Largest Expected Move — 4.8%Monthly Statistics Metric Avg Min Max Open Close Price $109.19 $106.59 $111.00 $109.05 $110.17 Max Pain $108.21 $107.00 $109.00 $108.00 $109.00 ATM IV 13.6% 12.2% 16.3% 13.1% 13.4% Expected Move 4.0% 3.5% 4.8% 3.8% 3.9% HV 20d 14.8% 13.5% 16.4% 13.8% 13.9% HV 60d 13.3% 12.9% 13.8% 13.0% 13.8% IV Rank 22.1% 12.7% 40.3% 18.8% 20.6% IV Percentile 46.8% 23.4% 81.3% 38.5% 47.6% Term Structure 0.2% -0.6% 0.9% 0.4% -0.1% VWIV 14.6% 13.0% 17.5% 14.0% 13.6% Skew 25d 4.3% 3.8% 4.9% 4.0% 4.4% Skew 10d 8.5% 7.3% 9.4% 7.9% 8.4% Call IV 25d 11.7% 10.5% 14.0% 11.3% 11.6% Put IV 25d 16.0% 14.4% 18.8% 15.2% 15.9% Bid-Ask Spread % 2.28 1.60 5.31 2.20 2.25 Gamma HHI 0.06 0.05 0.10 0.10 0.10 Net GEX 94.2M -265.6M 557.9M 470.8M -223.3M Net DEX -823.0M -2.46B 2.30B -1.89B -739.8M Net VEX -28.1M -30.3M -27.0M -28.1M -28.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.28 0.92 1.81 1.45 1.44 Total Volume 405,997.95 239,042 696,871 525,015 481,927 Total OI 3,045,911.35 2,441,617 3,554,697 3,239,732 3,016,663
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 2015-05-01 $109.05 $108.00 13.1% 3.8% 13.8% 18.8% 14.0% 4.0% 0.4% 470.8M -1.89B -28.1M 1.45 2.20 N/A N/A 214,264 310,751 1,448,880 1,790,852 2015-05-04 $109.23 $107.00 13.4% 4.2% 13.7% 20.6% 14.8% 4.0% 0.3% 375.4M -2.04B -27.9M 1.08 5.31 N/A N/A 141,574 152,303 1,264,027 1,633,355 2015-05-05 $107.52 $107.63 14.9% 4.5% 14.9% 31.3% 16.3% 4.5% 0.2% -102.1M 866.6M -28.4M 1.44 1.61 N/A N/A 233,107 335,734 1,296,631 1,699,891 2015-05-06 $106.59 $107.63 16.3% 4.8% 15.2% 40.3% 16.1% 4.9% 0.1% -265.6M 2.30B -28.8M 1.43 1.63 N/A N/A 286,517 410,354 1,357,867 1,772,231 2015-05-07 $107.35 $107.63 15.6% 4.6% 15.1% 35.5% 17.5% 4.9% 0.1% -97.4M 1.01B -30.3M 1.27 1.64 N/A N/A 189,856 240,872 1,455,300 1,879,521 2015-05-08 $108.64 $107.00 13.5% 4.2% 15.7% 21.6% 14.5% 4.1% 0.3% 285.9M -1.19B -29.0M 0.95 2.13 N/A N/A 287,656 274,601 1,477,341 1,932,992 2015-05-11 $108.20 $108.00 14.2% 4.3% 15.7% 26.5% 15.7% 4.4% 0.8% 11.0M -100.1M -29.2M 1.81 5.09 N/A N/A 99,689 180,255 1,403,261 1,897,451 2015-05-12 $107.93 $108.00 14.4% 4.3% 15.7% 27.7% 16.3% 4.5% 0.6% -165.4M 695.0M -28.9M 1.14 1.61 N/A N/A 192,827 220,347 1,415,119 1,955,534 2015-05-13 $107.97 $108.00 14.2% 4.3% 15.5% 26.5% 15.7% 4.5% 0.5% -83.3M 587.3M -28.1M 1.33 1.60 N/A N/A 144,672 192,513 1,454,710 1,982,114 2015-05-14 $109.62 $108.00 13.1% 3.9% 16.4% 18.4% 14.4% 4.0% 0.7% 557.9M -2.46B -27.7M 0.92 1.66 N/A N/A 241,615 223,094 1,466,230 2,013,912 2015-05-15 $109.58 $108.00 12.6% 3.8% 15.2% 15.4% 14.6% 3.9% 0.9% 284.0M -2.32B -27.0M 0.92 1.73 N/A N/A 228,308 210,747 1,481,782 2,072,915 2015-05-18 $110.04 $108.00 12.9% 3.8% 14.3% 17.5% 13.8% 4.2% 0.1% 89.2M -1.33B -27.1M 1.30 2.18 N/A N/A 104,129 134,913 1,020,791 1,420,826 2015-05-19 $109.85 $108.63 13.1% 3.8% 14.3% 18.4% 13.0% 4.3% -0.0% 35.9M -1.10B -27.3M 1.21 2.31 N/A N/A 140,114 170,190 1,053,024 1,475,763 2015-05-20 $110.05 $108.63 13.1% 3.8% 14.2% 18.6% 13.7% 4.0% -0.1% 27.9M -1.20B -28.2M 1.15 2.01 N/A N/A 126,512 145,843 1,135,772 1,578,192 2015-05-21 $110.56 $109.00 12.4% 3.6% 14.2% 14.2% 13.6% 4.0% 0.2% 191.6M -1.91B -27.7M 1.49 2.05 N/A N/A 116,276 173,279 1,152,685 1,616,694 2015-05-22 $110.54 $109.00 12.2% 3.5% 13.5% 12.7% 13.5% 3.8% 0.0% 192.1M -1.88B -28.0M 1.20 2.13 N/A N/A 142,899 171,888 1,171,921 1,673,553 2015-05-26 $109.19 $109.00 14.0% 4.1% 14.1% 25.0% 14.3% 4.6% -0.2% -136.5M 255.2M -27.4M 1.66 2.05 N/A N/A 187,075 311,197 1,113,396 1,561,346 2015-05-27 $111.00 $109.00 12.5% 3.6% 15.3% 14.5% 13.5% 4.3% -0.1% 360.9M -2.38B -27.0M 1.20 2.15 N/A N/A 184,083 220,976 1,161,636 1,659,973 2015-05-28 $110.74 $109.00 12.9% 3.8% 15.2% 17.5% 13.6% 4.2% -0.6% 74.5M -1.62B -27.7M 1.20 2.31 N/A N/A 135,114 161,888 1,189,735 1,764,341 2015-05-29 $110.17 $109.00 13.4% 3.9% 13.9% 20.6% 13.6% 4.4% -0.1% -223.3M -739.8M -28.1M 1.44 2.25 N/A N/A 197,601 284,326 1,214,660 1,802,003
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