QQQ Options History — July 2015 In July 2015, QQQ traded between $106.15 and $114.00. ATM implied volatility averaged 14.5%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 0.4% (HV 20d: 14.8%). Max pain ranged from $109.00 to $112.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.62.
Notable Days 2015-07-21 : Highest Volume — 698,284 contracts2015-07-08 : Largest IV spike — 18.5% change2015-07-08 : Highest IV Rank — 57.3%2015-07-09 : Largest Expected Move — 5.3%Monthly Statistics Metric Avg Min Max Open Close Price $110.37 $106.15 $114.00 $107.91 $111.90 Max Pain $110.23 $109.00 $112.00 $110.00 $112.00 ATM IV 14.5% 11.7% 18.9% 16.0% 12.8% Expected Move 4.2% 3.4% 5.3% 4.8% 3.5% HV 20d 14.8% 12.7% 16.9% 13.3% 14.7% HV 60d 13.6% 13.0% 14.1% 13.2% 13.0% IV Rank 26.2% 6.2% 57.3% 38.5% 13.9% IV Percentile 50.1% 7.1% 94.0% 76.2% 21.8% Term Structure 0.1% -0.3% 0.7% -0.1% 0.5% VWIV 15.2% 13.0% 18.6% 16.8% 13.3% Skew 25d 4.6% 3.7% 5.9% 5.3% 3.8% Skew 10d 9.3% 7.8% 11.3% 10.2% 8.6% Call IV 25d 12.4% 9.9% 16.0% 13.7% 11.1% Put IV 25d 17.0% 13.7% 22.0% 19.0% 14.9% Bid-Ask Spread % 2.14 1.78 4.04 2.06 1.96 Gamma HHI 0.07 0.05 0.22 0.07 0.10 Net GEX -113.9M -996.7M 242.9M -243.1M 161.1M Net DEX -113.1M -6.07B 4.02B 2.04B -495.4M Net VEX -30.6M -34.0M -27.4M -30.1M -33.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.62 1.06 2.38 1.15 1.93 Total Volume 518,292.182 305,882 698,284 321,242 487,604 Total OI 3,149,214.773 2,600,978 3,823,292 2,600,978 3,823,292
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 2015-07-01 $107.91 $110.00 16.0% 4.8% 13.3% 38.5% 16.8% 5.3% -0.1% -243.1M 2.04B -30.1M 1.15 2.06 N/A N/A 149,460 171,782 1,064,880 1,536,098 2015-07-02 $108.13 $110.00 16.3% 5.0% 13.1% 40.2% 17.2% 5.8% -0.2% -211.9M 1.77B -29.9M 1.50 4.04 N/A N/A 180,309 269,862 1,092,266 1,579,214 2015-07-06 $107.64 $109.00 16.8% 4.7% 13.2% 44.2% 17.0% 5.7% -0.0% -307.1M 2.29B -29.2M 1.69 2.23 N/A N/A 113,643 192,239 1,038,584 1,573,042 2015-07-07 $107.84 $109.00 16.0% 4.6% 12.7% 36.5% 17.1% 5.2% 0.0% -282.1M 1.99B -28.7M 1.26 2.06 N/A N/A 240,347 302,194 1,059,206 1,601,760 2015-07-08 $106.15 $109.00 18.9% 5.3% 13.9% 57.3% 18.6% 5.9% -0.3% -439.3M 4.02B -29.0M 1.58 1.93 N/A N/A 174,322 276,298 1,102,923 1,621,743 2015-07-09 $106.26 $109.00 18.5% 5.3% 12.8% 54.6% 18.0% 5.9% -0.2% -447.2M 3.92B -29.3M 1.63 1.78 N/A N/A 198,971 324,366 1,158,231 1,673,400 2015-07-10 $107.86 $109.00 16.1% 4.6% 14.0% 37.3% 16.9% 5.3% -0.0% -140.6M 1.57B -29.4M 1.25 2.02 N/A N/A 214,483 267,375 1,205,298 1,818,438 2015-07-13 $109.57 $109.00 14.1% 4.0% 15.0% 23.7% 16.4% 4.6% -0.3% 28.6M -429.4M -27.7M 1.78 1.95 N/A N/A 189,494 337,904 1,102,297 1,760,556 2015-07-14 $110.27 $109.00 13.1% 3.9% 15.0% 16.3% 14.2% 4.3% 0.7% 242.9M -1.66B -27.7M 1.67 2.01 N/A N/A 208,413 349,034 1,157,737 1,814,361 2015-07-15 $110.30 $109.00 13.4% 4.0% 15.0% 18.4% 14.7% 4.5% 0.4% 94.8M -1.21B -29.3M 1.79 2.17 N/A N/A 191,630 342,493 1,184,619 1,987,538 2015-07-16 $111.89 $109.00 11.7% 3.4% 15.7% 6.5% 13.3% 3.8% 0.4% 237.4M -3.79B -28.1M 1.06 1.84 N/A N/A 232,300 247,256 1,200,176 2,085,340 2015-07-17 $113.54 $109.00 11.7% 3.4% 15.9% 6.2% 13.0% 3.7% 0.0% 202.6M -6.07B -27.4M 1.07 2.25 N/A N/A 324,899 347,569 1,264,293 2,177,155 2015-07-20 $114.00 $110.00 12.7% 3.6% 15.8% 13.1% 13.3% 4.0% 0.2% 197.7M -4.10B -28.7M 1.26 2.06 N/A N/A 271,632 343,293 1,062,814 1,764,311 2015-07-21 $114.00 $110.50 13.2% 3.8% 15.7% 16.6% 14.1% 4.0% 0.1% 229.1M -4.12B -30.6M 1.46 2.44 N/A N/A 283,455 414,829 1,182,993 1,902,732 2015-07-22 $112.64 $111.00 12.8% 3.7% 16.4% 14.6% 13.9% 3.9% 0.2% -151.9M -1.47B -32.8M 1.92 2.04 N/A N/A 217,351 416,860 1,320,419 2,092,136 2015-07-23 $112.11 $112.00 13.4% 3.8% 16.4% 18.3% 14.3% 4.2% 0.1% -328.5M -272.2M -33.3M 2.38 2.02 N/A N/A 138,878 330,694 1,375,833 2,169,271 2015-07-24 $111.16 $112.00 14.5% 4.1% 16.7% 26.3% 14.7% 4.5% 0.1% -996.7M 1.68B -33.9M 2.25 2.05 N/A N/A 208,187 469,140 1,412,321 2,213,651 2015-07-27 $110.07 $112.00 16.2% 4.7% 16.9% 38.1% 16.3% 4.9% 0.1% -299.7M 2.44B -34.0M 2.30 1.99 N/A N/A 150,440 346,206 1,298,569 2,047,430 2015-07-28 $111.09 $112.00 14.1% 4.0% 14.7% 23.1% 15.0% 4.2% 0.3% -157.8M 829.8M -32.8M 1.57 2.06 N/A N/A 213,003 335,000 1,338,638 2,091,709 2015-07-29 $111.74 $111.50 13.4% 3.8% 14.7% 18.4% 14.0% 4.0% 0.3% -18.9M -395.9M -33.5M 1.73 2.12 N/A N/A 173,687 300,042 1,414,819 2,194,836 2015-07-30 $112.16 $112.00 12.8% 3.6% 14.7% 14.3% 13.2% 3.8% 0.4% 124.4M -1.02B -33.6M 1.49 1.97 N/A N/A 183,053 272,431 1,435,863 2,281,933 2015-07-31 $111.90 $112.00 12.8% 3.5% 14.7% 13.9% 13.3% 3.8% 0.5% 161.1M -495.4M -33.9M 1.93 1.96 N/A N/A 166,665 320,939 1,474,695 2,348,597
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