QQQ Options History — June 2015 In June 2015, QQQ traded between $106.77 and $110.81. ATM implied volatility averaged 14.0%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.3% (HV 20d: 11.6%). Max pain ranged from $109.00 to $110.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.36.
Notable Days 2015-06-29 : Highest Volume — 633,784 contracts2015-06-29 : Largest IV spike — 31.0% change2015-06-29 : Highest IV Rank — 52.3%2015-06-29 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $109.35 $106.77 $110.81 $110.31 $107.35 Max Pain $109.86 $109.00 $110.00 $109.00 $110.00 ATM IV 14.0% 11.9% 18.0% 13.4% 17.2% Expected Move 4.1% 3.3% 5.5% 4.0% 5.2% HV 20d 11.6% 10.0% 13.2% 13.0% 13.2% HV 60d 13.1% 12.3% 13.8% 13.8% 13.2% IV Rank 24.7% 10.8% 52.3% 21.0% 47.0% IV Percentile 50.7% 15.5% 90.5% 49.6% 87.3% Term Structure 0.0% -0.4% 0.7% -0.3% -0.2% VWIV 14.7% 12.4% 19.2% 13.9% 18.4% Skew 25d 4.7% 3.9% 6.1% 4.7% 6.1% Skew 10d 8.9% 7.6% 11.9% 8.6% 11.9% Call IV 25d 12.1% 10.3% 15.3% 11.3% 14.7% Put IV 25d 16.7% 14.4% 21.4% 16.0% 20.8% Bid-Ask Spread % 2.20 1.96 2.67 2.07 2.07 Gamma HHI 0.07 0.05 0.14 0.06 0.09 Net GEX -111.3M -481.9M 716.6M 104.6M -481.9M Net DEX 510.6M -2.41B 4.12B -1.12B 3.23B Net VEX -29.2M -30.6M -27.8M -28.2M -30.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.36 0.85 2.85 1.25 1.34 Total Volume 431,164.364 282,343 633,784 323,985 407,235 Total OI 2,990,474.773 2,394,097 3,436,430 2,776,345 2,756,667
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 2015-06-01 $110.31 $109.00 13.4% 4.0% 13.0% 21.0% 13.9% 4.7% -0.3% 104.6M -1.12B -28.2M 1.25 2.07 N/A N/A 143,890 180,095 1,178,444 1,597,901 2015-06-02 $109.95 $109.00 13.9% 4.1% 13.0% 23.8% 15.1% 4.7% -0.2% 12.0M -539.9M -28.3M 2.85 2.42 N/A N/A 98,144 279,280 1,197,983 1,645,643 2015-06-03 $110.28 $109.00 13.5% 4.0% 11.6% 21.4% 14.5% 4.8% 0.0% 71.5M -831.6M -29.9M 1.28 2.15 N/A N/A 136,173 174,905 1,226,404 1,790,414 2015-06-04 $109.41 $110.00 14.4% 4.2% 11.5% 27.8% 15.0% 4.7% -0.2% -199.1M 674.0M -30.1M 1.04 1.98 N/A N/A 233,772 243,693 1,250,098 1,836,753 2015-06-05 $109.34 $110.00 14.1% 4.2% 11.3% 25.8% 14.6% 4.7% -0.2% -147.7M 658.6M -30.6M 1.40 2.17 N/A N/A 198,077 276,859 1,339,321 1,888,151 2015-06-08 $108.25 $110.00 15.5% 4.5% 11.1% 35.3% 15.8% 4.9% 0.1% -224.4M 1.92B -29.9M 1.18 1.96 N/A N/A 188,239 222,530 1,236,427 1,759,098 2015-06-09 $108.07 $110.00 15.1% 4.4% 11.1% 32.1% 16.0% 4.6% 0.2% -257.6M 2.15B -30.0M 0.85 2.22 N/A N/A 271,857 230,532 1,301,306 1,814,935 2015-06-10 $109.59 $110.00 13.5% 3.9% 12.1% 21.2% 14.4% 4.4% 0.0% 120.4M -549.4M -29.6M 0.88 2.01 N/A N/A 236,281 208,583 1,343,213 1,841,814 2015-06-11 $109.53 $110.00 13.1% 3.7% 12.1% 18.7% 14.5% 4.3% -0.1% -29.9M -158.1M -29.3M 1.28 1.99 N/A N/A 198,387 254,804 1,332,469 1,900,734 2015-06-12 $108.81 $110.00 13.4% 3.9% 11.1% 20.9% 13.7% 4.4% 0.3% -184.3M 1.41B -29.5M 1.56 2.13 N/A N/A 193,156 300,555 1,363,509 1,978,121 2015-06-15 $108.27 $110.00 15.0% 4.3% 11.2% 31.9% 16.2% 5.0% -0.4% -283.7M 1.75B -28.8M 1.39 2.10 N/A N/A 195,779 273,089 1,298,266 1,852,601 2015-06-16 $108.75 $110.00 14.5% 4.1% 11.2% 28.2% 15.4% 5.0% 0.4% -244.5M 1.05B -29.4M 1.16 2.03 N/A N/A 153,921 178,206 1,345,379 1,966,935 2015-06-17 $109.17 $110.00 13.9% 4.0% 11.3% 24.3% 14.2% 4.2% 0.1% -63.9M 63.6M -28.4M 1.05 2.64 N/A N/A 200,600 210,203 1,366,742 2,000,191 2015-06-18 $110.57 $110.00 12.2% 3.5% 12.2% 12.4% 13.5% 3.9% 0.7% 716.6M -2.41B -27.8M 1.03 2.06 N/A N/A 297,060 307,442 1,405,773 2,030,657 2015-06-19 $110.07 $110.00 13.1% 3.7% 12.2% 18.6% 13.5% 4.3% 0.2% -340.2M 675.4M -28.5M 1.36 2.18 N/A N/A 225,432 306,643 1,200,602 2,136,895 2015-06-22 $110.78 $110.00 12.1% 3.4% 12.4% 11.6% 13.1% 4.2% 0.2% 51.5M -1.02B -28.1M 1.23 2.19 N/A N/A 145,995 179,825 901,446 1,492,651 2015-06-23 $110.81 $110.00 11.9% 3.3% 11.5% 10.8% 12.4% 4.1% 0.3% 109.3M -1.15B -28.6M 1.44 2.33 N/A N/A 115,644 166,699 962,936 1,571,749 2015-06-24 $110.29 $110.00 12.6% 3.5% 10.1% 15.2% 12.5% 4.3% 0.2% -101.9M -301.7M -29.2M 1.72 2.33 N/A N/A 117,766 202,875 1,005,400 1,639,755 2015-06-25 $110.06 $110.00 13.3% 3.8% 10.0% 20.1% 13.8% 4.5% 0.1% -189.8M 203.2M -29.5M 1.74 2.23 N/A N/A 107,975 188,395 1,027,727 1,676,936 2015-06-26 $109.26 $110.00 13.8% 3.9% 10.2% 23.1% 14.2% 4.7% 0.1% -411.7M 1.41B -29.1M 1.36 2.37 N/A N/A 254,627 346,609 1,048,525 1,678,830 2015-06-29 $106.77 $110.00 18.0% 5.5% 13.0% 52.3% 19.2% 6.1% -0.3% -473.3M 4.12B -29.4M 1.49 2.67 N/A N/A 254,156 379,628 1,013,178 1,587,866 2015-06-30 $107.35 $110.00 17.2% 5.2% 13.2% 47.0% 18.4% 6.1% -0.2% -481.9M 3.23B -30.3M 1.34 2.07 N/A N/A 174,143 233,092 1,120,692 1,635,975
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