QQQ Options History — August 2015 In August 2015, QQQ traded between $99.37 and $112.21. ATM implied volatility averaged 19.8%, placing in the 44.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.1% (HV 20d: 17.7%). Max pain ranged from $108.00 to $112.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.66.
Notable Days 2015-08-21 : Highest Volume — 1,478,510 contracts2015-08-24 : Largest IV spike — 41.9% change2015-08-21 : Highest IV Rank — 100.0%2015-08-24 : Largest Expected Move — 11.2%Monthly Statistics Metric Avg Min Max Open Close Price $108.07 $99.37 $112.21 $111.51 $104.55 Max Pain $110.43 $108.00 $112.00 $112.00 $108.00 ATM IV 19.8% 13.5% 37.7% 13.5% 26.2% Expected Move 5.9% 3.7% 11.2% 3.7% 8.1% HV 20d 17.7% 11.6% 28.6% 14.7% 28.6% HV 60d 15.1% 12.8% 20.0% 13.0% 20.0% IV Rank 44.9% 19.0% 100.0% 19.0% 57.0% IV Percentile 74.5% 41.7% 100.0% 41.7% 98.0% Term Structure -0.1% -2.5% 1.4% 0.1% 0.6% VWIV 21.2% 12.8% 39.4% 13.5% 29.6% Skew 25d 6.8% 3.7% 14.3% 4.3% 10.1% Skew 10d 13.1% 6.8% 23.6% 8.3% 19.6% Call IV 25d 16.9% 11.6% 30.9% 11.7% 22.2% Put IV 25d 23.7% 15.8% 45.3% 16.0% 32.3% Bid-Ask Spread % 3.41 2.00 15.42 2.69 2.84 Gamma HHI 0.06 0.03 0.10 0.05 0.04 Net GEX -332.7M -847.6M 27.6M -139.7M -328.6M Net DEX 4.05B -847.9M 13.70B 261.3M 5.61B Net VEX -35.0M -40.8M -30.6M -33.2M -38.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.66 1.27 2.21 1.74 2.03 Total Volume 719,832.619 333,535 1,478,510 367,310 540,546 Total OI 3,910,910.143 3,404,853 4,319,253 3,528,321 3,918,171
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 2015-08-03 $111.51 $112.00 13.5% 3.7% 14.7% 19.0% 13.5% 4.3% 0.1% -139.7M 261.3M -33.2M 1.74 2.69 N/A N/A 134,098 233,212 1,328,456 2,199,865 2015-08-04 $111.27 $112.00 13.7% 3.8% 14.7% 20.7% 13.7% 4.4% 0.1% -273.2M 1.05B -34.3M 1.51 2.09 N/A N/A 166,202 251,002 1,366,898 2,281,573 2015-08-05 $112.21 $112.00 13.5% 3.7% 13.4% 19.2% 12.8% 4.3% 0.2% 27.6M -847.9M -34.7M 1.93 2.14 N/A N/A 187,273 361,519 1,427,713 2,331,127 2015-08-06 $110.58 $111.00 15.2% 4.4% 14.8% 31.3% 16.5% 4.8% -0.1% -535.3M 2.86B -35.7M 1.45 2.00 N/A N/A 353,245 511,665 1,439,535 2,432,689 2015-08-07 $110.21 $111.00 15.4% 4.7% 14.0% 32.5% 17.1% 4.7% -0.1% -582.9M 3.40B -36.6M 1.61 2.06 N/A N/A 267,251 429,009 1,596,400 2,505,077 2015-08-10 $111.48 $111.00 14.0% 4.4% 13.5% 22.7% 16.5% 4.4% 1.2% -88.1M 365.7M -35.5M 1.73 2.24 N/A N/A 147,822 256,022 1,472,119 2,302,154 2015-08-11 $110.12 $111.00 15.7% 4.7% 14.1% 34.3% 17.5% 4.9% 0.8% -490.3M 3.17B -35.8M 1.39 2.96 N/A N/A 262,849 364,551 1,490,199 2,354,622 2015-08-12 $110.48 $111.00 15.5% 4.8% 14.2% 33.0% 17.9% 5.0% 1.2% -348.2M 2.26B -36.1M 1.77 2.16 N/A N/A 349,909 618,085 1,548,941 2,391,159 2015-08-13 $110.40 $111.00 15.2% 4.7% 13.1% 30.8% 16.7% 4.7% 1.4% -408.4M 2.37B -35.9M 1.87 2.12 N/A N/A 232,693 435,082 1,585,870 2,492,695 2015-08-14 $110.57 $111.00 14.8% 4.4% 11.9% 28.1% 18.1% 4.7% 0.9% -245.6M 1.94B -35.5M 2.21 2.17 N/A N/A 165,353 364,640 1,618,505 2,444,284 2015-08-17 $111.41 $111.00 14.8% 4.4% 12.2% 28.0% 16.7% 5.2% -0.4% -186.6M 311.0M -33.6M 2.00 2.21 N/A N/A 131,160 261,712 1,506,529 2,331,705 2015-08-18 $110.85 $111.00 15.0% 4.3% 12.2% 29.8% 16.0% 5.1% -0.1% -328.9M 1.41B -33.6M 1.62 2.27 N/A N/A 127,226 206,309 1,534,318 2,373,165 2015-08-19 $110.87 $111.00 15.0% 4.3% 11.6% 29.7% 15.8% 3.7% -0.0% -562.3M 1.58B -30.6M 1.53 3.52 N/A N/A 248,848 381,966 1,557,478 2,409,209 2015-08-20 $107.24 $111.00 20.1% 5.8% 16.3% 65.5% 19.1% 6.3% -0.6% -847.6M 8.48B -33.6M 1.27 2.30 N/A N/A 417,360 531,288 1,611,023 2,470,037 2015-08-21 $102.80 $111.00 26.6% 7.8% 21.6% 100.0% 26.5% 9.2% -1.5% -482.1M 13.70B -31.6M 1.73 3.62 N/A N/A 541,090 937,420 1,758,857 2,515,737 2015-08-24 $99.70 $110.00 37.7% 11.2% 23.5% 100.0% 39.4% 14.3% -2.5% -323.3M 10.43B -32.1M 1.63 15.42 N/A N/A 426,709 697,112 1,372,026 2,032,827 2015-08-25 $99.37 $109.00 32.6% 10.0% 22.9% 81.1% 33.6% 12.2% -0.6% -331.2M 10.87B -31.5M 1.32 4.20 N/A N/A 383,779 505,917 1,540,470 2,163,292 2015-08-26 $102.97 $108.00 28.4% 8.6% 27.0% 65.5% 30.7% 10.7% -0.8% -294.4M 7.49B -36.8M 1.32 5.05 N/A N/A 401,418 531,012 1,684,308 2,267,176 2015-08-27 $105.29 $108.00 26.0% 7.8% 28.5% 56.6% 28.6% 9.8% -0.2% -139.4M 4.25B -39.0M 1.49 4.03 N/A N/A 409,082 611,123 1,778,525 2,375,126 2015-08-28 $105.59 $108.00 26.6% 8.1% 28.5% 58.8% 29.7% 10.5% -1.0% -78.4M 4.20B -40.8M 1.79 3.50 N/A N/A 263,443 470,483 1,791,693 2,527,560 2015-08-31 $104.55 $108.00 26.2% 8.1% 28.6% 57.0% 29.6% 10.1% 0.6% -328.6M 5.61B -38.9M 2.03 2.84 N/A N/A 178,447 362,099 1,551,830 2,366,341
« Jul 2015 | All History | Sep 2015 » Home QQQ History August 2015