QQQ Options History — October 2015 In October 2015, QQQ traded between $101.15 and $113.92. ATM implied volatility averaged 17.8%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 2.5% (HV 20d: 20.3%). Max pain ranged from $106.00 to $110.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.67.
Notable Days 2015-10-23 : Highest Volume — 1,106,898 contracts2015-10-02 : Largest IV drop — 11.6% change2015-10-01 : Highest IV Rank — 53.5%2015-10-01 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $108.23 $101.15 $113.92 $101.15 $113.58 Max Pain $106.95 $106.00 $110.00 $106.00 $110.00 ATM IV 17.8% 14.7% 25.4% 25.4% 14.8% Expected Move 5.2% 4.2% 7.5% 7.5% 4.4% HV 20d 20.3% 14.6% 23.8% 21.5% 14.6% HV 60d 23.9% 23.5% 24.6% 23.5% 24.4% IV Rank 24.7% 12.8% 53.5% 53.5% 13.5% IV Percentile 71.4% 49.6% 94.4% 94.4% 52.0% Term Structure 0.1% -0.3% 0.6% -0.3% 0.5% VWIV 19.4% 15.9% 26.4% 26.4% 16.5% Skew 25d 5.5% 4.2% 7.3% 7.3% 4.4% Skew 10d 10.9% 8.0% 14.9% 14.9% 8.9% Call IV 25d 15.2% 12.6% 21.9% 21.9% 12.6% Put IV 25d 20.8% 17.0% 29.2% 29.2% 17.0% Bid-Ask Spread % 2.37 2.00 3.53 2.53 2.33 Gamma HHI 0.06 0.04 0.18 0.06 0.05 Net GEX 25.7M -395.5M 453.6M -395.5M 224.5M Net DEX -1.27B -7.32B 6.41B 6.41B -6.13B Net VEX -32.7M -33.9M -30.0M -33.5M -33.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.67 1.14 2.62 1.68 2.62 Total Volume 519,491.773 285,769 1,106,898 369,784 482,812 Total OI 3,946,572.818 3,431,322 4,490,597 3,564,915 4,442,207
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 2015-10-01 $101.15 $106.00 25.4% 7.5% 21.5% 53.5% 26.4% 7.3% -0.3% -395.5M 6.41B -33.5M 1.68 2.53 N/A N/A 137,781 232,003 1,265,888 2,299,027 2015-10-02 $103.80 $106.00 22.5% 6.3% 23.6% 42.3% 24.1% 6.5% -0.1% -205.9M 3.13B -33.9M 1.52 2.44 N/A N/A 363,821 552,870 1,330,663 2,344,014 2015-10-05 $105.34 $106.00 20.7% 6.1% 23.8% 35.5% 21.9% 6.4% 0.1% -185.2M 1.81B -33.3M 1.70 3.24 N/A N/A 183,029 312,000 1,277,483 2,326,493 2015-10-06 $105.00 $106.00 20.7% 6.0% 22.1% 35.8% 21.9% 6.4% 0.0% -271.7M 2.43B -33.9M 1.38 2.14 N/A N/A 213,875 295,841 1,313,939 2,432,080 2015-10-07 $105.44 $106.00 20.1% 5.9% 21.7% 33.4% 21.6% 6.1% 0.1% -198.2M 1.82B -33.3M 1.48 2.04 N/A N/A 229,750 341,152 1,367,620 2,486,547 2015-10-08 $105.95 $106.00 19.1% 5.6% 21.4% 29.8% 22.6% 5.9% 0.1% -145.2M 966.3M -33.4M 1.79 2.16 N/A N/A 252,817 452,789 1,428,667 2,567,100 2015-10-09 $106.43 $106.00 18.7% 5.5% 21.4% 27.9% 20.0% 5.8% 0.3% 1.3M 140.0M -33.4M 1.94 2.05 N/A N/A 168,359 326,873 1,487,241 2,660,261 2015-10-12 $106.73 $106.00 18.0% 5.1% 21.4% 25.6% 21.6% 6.0% -0.1% -88.7M 159.0M -31.9M 1.21 2.08 N/A N/A 155,093 187,607 1,419,117 2,553,097 2015-10-13 $106.08 $106.00 18.7% 5.4% 21.0% 28.0% 19.6% 6.1% 0.1% -149.4M 957.0M -33.1M 2.17 2.00 N/A N/A 131,935 286,853 1,504,888 2,610,606 2015-10-14 $105.78 $106.00 18.8% 5.4% 20.9% 28.6% 20.0% 6.2% 0.1% -201.9M 1.65B -33.4M 1.89 2.10 N/A N/A 172,443 326,679 1,549,306 2,698,097 2015-10-15 $107.66 $106.00 17.0% 4.8% 21.9% 21.6% 18.0% 5.5% -0.2% 147.5M -1.46B -31.9M 1.84 2.18 N/A N/A 206,549 381,057 1,570,781 2,770,352 2015-10-16 $108.12 $107.00 16.1% 4.7% 21.1% 18.3% 18.7% 5.2% 0.3% 453.6M -2.20B -32.2M 1.97 2.16 N/A N/A 160,495 315,543 1,622,449 2,868,148 2015-10-19 $108.64 $107.00 15.6% 4.5% 21.1% 16.3% 17.5% 5.1% -0.2% 93.4M -1.78B -30.6M 2.00 2.49 N/A N/A 101,290 202,540 1,272,375 2,158,947 2015-10-20 $107.91 $107.00 16.6% 4.7% 19.5% 20.0% 17.5% 5.4% -0.2% 6.5M -839.3M -31.5M 1.49 2.36 N/A N/A 114,840 170,929 1,295,847 2,209,531 2015-10-21 $107.50 $107.00 17.3% 5.0% 19.4% 22.9% 17.6% 5.5% -0.3% -32.3M -208.2M -32.6M 1.44 2.37 N/A N/A 171,260 247,409 1,348,119 2,280,882 2015-10-22 $109.59 $107.00 15.6% 4.5% 20.2% 16.5% 17.0% 5.2% -0.2% 173.1M -3.11B -31.4M 1.20 2.37 N/A N/A 302,339 364,208 1,408,872 2,320,579 2015-10-23 $112.79 $106.00 14.7% 4.2% 21.8% 12.8% 15.9% 4.5% -0.0% 282.4M -7.32B -30.0M 1.29 2.44 N/A N/A 483,662 623,236 1,509,227 2,387,723 2015-10-26 $112.88 $108.00 15.5% 4.5% 18.3% 16.0% 16.3% 4.8% 0.3% 157.7M -5.22B -32.7M 1.14 2.34 N/A N/A 178,340 203,062 1,485,185 2,444,741 2015-10-27 $113.03 $109.00 16.0% 4.7% 17.7% 17.9% 17.9% 4.7% 0.2% 197.2M -5.37B -33.0M 1.20 2.30 N/A N/A 180,789 217,064 1,530,586 2,496,802 2015-10-28 $113.92 $109.00 14.7% 4.3% 16.7% 13.0% 17.2% 4.2% 0.4% 367.5M -6.95B -32.4M 1.75 3.53 N/A N/A 206,496 360,967 1,615,424 2,554,353 2015-10-29 $113.83 $110.00 14.7% 4.3% 16.2% 13.1% 16.9% 4.4% 0.6% 335.5M -6.76B -33.0M 2.08 2.50 N/A N/A 139,796 290,566 1,644,865 2,664,473 2015-10-30 $113.58 $110.00 14.8% 4.4% 14.6% 13.5% 16.5% 4.4% 0.5% 224.5M -6.13B -33.9M 2.62 2.33 N/A N/A 133,400 349,412 1,673,944 2,768,263
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