QQQ Options History — September 2015 In September 2015, QQQ traded between $99.51 and $107.10. ATM implied volatility averaged 24.0%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 5.6% (HV 20d: 29.6%). Max pain ranged from $106.00 to $109.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.77.
Notable Days 2015-09-01 : Highest Volume — 846,744 contracts2015-09-28 : Largest IV spike — 17.2% change2015-09-01 : Highest IV Rank — 77.3%2015-09-01 : Largest Expected Move — 9.7%Monthly Statistics Metric Avg Min Max Open Close Price $103.93 $99.51 $107.10 $101.24 $101.80 Max Pain $107.81 $106.00 $109.00 $108.00 $106.00 ATM IV 24.0% 19.7% 31.6% 31.6% 24.9% Expected Move 7.0% 5.6% 9.7% 9.7% 7.3% HV 20d 29.6% 22.5% 33.5% 30.4% 23.1% HV 60d 22.3% 20.9% 23.6% 20.9% 23.6% IV Rank 48.4% 31.8% 77.3% 77.3% 51.4% IV Percentile 94.1% 88.1% 99.2% 99.2% 94.0% Term Structure -0.0% -0.6% 0.6% 0.3% -0.4% VWIV 25.7% 21.4% 33.0% 33.0% 26.4% Skew 25d 8.1% 7.1% 10.5% 10.5% 7.6% Skew 10d 16.5% 13.8% 20.8% 20.8% 15.8% Call IV 25d 20.4% 16.6% 26.4% 26.4% 21.5% Put IV 25d 28.5% 23.9% 36.9% 36.9% 29.1% Bid-Ask Spread % 2.77 1.94 4.98 4.04 2.37 Gamma HHI 0.06 0.04 0.14 0.04 0.06 Net GEX -379.7M -496.5M -241.0M -399.5M -342.3M Net DEX 5.68B 1.94B 9.26B 9.26B 6.26B Net VEX -33.8M -37.7M -30.8M -36.6M -33.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.77 1.46 2.31 1.75 1.57 Total Volume 640,255.952 321,775 846,744 846,744 652,442 Total OI 4,013,132.476 3,089,551 4,564,910 4,015,742 3,838,972
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 2015-09-01 $101.24 $108.00 31.6% 9.7% 30.4% 77.3% 33.0% 10.5% 0.3% -399.5M 9.26B -36.6M 1.75 4.04 N/A N/A 307,748 538,996 1,574,338 2,441,404 2015-09-02 $103.61 $108.00 26.7% 7.9% 31.7% 58.8% 29.4% 9.1% -0.2% -380.9M 6.88B -37.7M 1.96 2.78 N/A N/A 233,072 457,324 1,651,438 2,542,521 2015-09-03 $103.57 $108.00 26.0% 7.3% 31.5% 56.2% 28.8% 8.5% -0.1% -422.0M 7.06B -37.6M 2.01 1.94 N/A N/A 232,171 467,355 1,703,521 2,680,236 2015-09-04 $102.45 $108.00 26.8% 7.8% 31.6% 59.1% 28.5% 8.7% 0.1% -470.2M 8.67B -36.7M 1.71 2.39 N/A N/A 302,788 518,027 1,731,447 2,753,087 2015-09-08 $105.01 $109.00 23.9% 6.9% 32.7% 47.8% 26.1% 8.3% 0.0% -358.4M 5.07B -35.5M 1.46 4.41 N/A N/A 251,278 366,869 1,567,787 2,590,581 2015-09-09 $103.71 $109.00 25.4% 7.1% 32.7% 53.7% 26.1% 8.7% -0.6% -438.6M 6.90B -35.2M 1.59 2.24 N/A N/A 262,649 417,537 1,639,009 2,691,906 2015-09-10 $104.85 $109.00 24.0% 6.9% 33.0% 48.2% 25.9% 8.3% 0.0% -411.6M 5.47B -35.4M 1.74 2.25 N/A N/A 243,850 423,487 1,673,096 2,753,905 2015-09-11 $105.41 $109.00 22.9% 6.7% 33.2% 44.1% 24.7% 8.2% 0.6% -321.1M 4.55B -35.4M 1.82 2.19 N/A N/A 232,802 422,678 1,710,239 2,854,671 2015-09-14 $105.13 $108.00 23.5% 6.7% 33.1% 46.1% 24.4% 8.4% -0.0% -390.4M 5.09B -34.1M 1.47 2.06 N/A N/A 130,415 191,360 1,605,712 2,666,054 2015-09-15 $106.52 $108.00 21.2% 6.1% 33.4% 37.6% 24.3% 8.0% 0.4% -296.6M 2.93B -33.6M 1.69 4.98 N/A N/A 140,081 236,542 1,636,141 2,695,829 2015-09-16 $107.10 $108.00 20.5% 5.9% 33.5% 35.0% 23.6% 7.7% -0.2% -275.9M 2.15B -32.9M 1.78 2.47 N/A N/A 185,431 330,817 1,648,456 2,751,739 2015-09-17 $107.08 $108.00 19.7% 5.6% 33.5% 31.8% 22.4% 7.3% -0.1% -298.0M 1.94B -31.4M 1.95 3.57 N/A N/A 268,139 522,954 1,651,481 2,815,310 2015-09-18 $105.40 $108.00 21.8% 6.3% 31.9% 39.8% 23.4% 7.9% -0.5% -474.4M 6.45B -31.5M 1.78 2.80 N/A N/A 286,522 508,966 1,572,392 2,899,249 2015-09-21 $105.58 $108.00 20.6% 5.9% 27.8% 35.3% 21.4% 7.3% 0.3% -241.0M 2.93B -30.8M 1.50 2.68 N/A N/A 197,329 295,951 1,079,738 2,009,813 2015-09-22 $103.26 $108.00 23.1% 6.7% 26.7% 44.9% 23.9% 8.0% 0.1% -351.0M 5.28B -31.1M 1.90 2.51 N/A N/A 148,151 280,905 1,133,755 2,070,276 2015-09-23 $104.25 $107.00 21.8% 6.2% 26.8% 40.0% 23.2% 7.1% 0.3% -322.0M 4.33B -31.5M 2.31 2.33 N/A N/A 148,076 341,898 1,179,262 2,142,784 2015-09-24 $103.85 $107.00 22.5% 6.4% 23.8% 42.6% 23.3% 7.2% 0.1% -363.4M 4.93B -32.3M 1.79 2.85 N/A N/A 245,424 438,779 1,211,333 2,245,853 2015-09-25 $103.00 $107.00 23.3% 6.7% 22.5% 45.4% 23.4% 7.3% 0.1% -435.3M 5.85B -32.9M 1.61 2.44 N/A N/A 294,057 474,685 1,287,269 2,337,808 2015-09-28 $100.19 $107.00 27.3% 8.1% 24.3% 60.5% 28.0% 8.3% -0.5% -484.8M 8.32B -32.1M 1.82 2.61 N/A N/A 254,545 463,572 1,226,761 2,315,630 2015-09-29 $99.51 $106.00 27.2% 8.1% 24.2% 60.5% 28.7% 8.1% -0.4% -496.5M 8.88B -31.6M 1.92 2.30 N/A N/A 250,125 479,578 1,322,268 2,372,711 2015-09-30 $101.80 $106.00 24.9% 7.3% 23.1% 51.4% 26.4% 7.6% -0.4% -342.3M 6.26B -33.1M 1.57 2.37 N/A N/A 253,930 398,512 1,382,833 2,456,139
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