QQQ Options History — November 2015 In November 2015, QQQ traded between $109.96 and $115.34. ATM implied volatility averaged 15.4%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 0.5% (HV 20d: 15.0%). Max pain ranged from $110.00 to $112.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.50.
Notable Days 2015-11-13 : Highest Volume — 975,499 contracts2015-11-30 : Largest IV spike — 33.1% change2015-11-13 : Highest IV Rank — 29.2%2015-11-13 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $113.60 $109.96 $115.34 $114.52 $114.11 Max Pain $111.00 $110.00 $112.00 $110.00 $112.00 ATM IV 15.4% 11.7% 19.0% 14.1% 15.6% Expected Move 4.6% 3.9% 5.6% 4.1% 4.7% HV 20d 15.0% 13.4% 17.9% 14.2% 13.4% HV 60d 22.0% 17.8% 24.4% 24.4% 17.8% IV Rank 15.7% 1.7% 29.2% 10.8% 15.2% IV Percentile 55.0% 1.6% 83.3% 39.7% 59.9% Term Structure 0.1% -6.5% 1.3% 0.4% 0.4% VWIV 17.1% 14.8% 19.3% 14.9% 18.4% Skew 25d 5.0% 4.1% 5.8% 4.6% 5.3% Skew 10d 9.7% 8.1% 11.1% 9.4% 10.7% Call IV 25d 13.4% 12.0% 16.1% 12.3% 13.4% Put IV 25d 18.5% 16.1% 21.9% 16.9% 18.7% Bid-Ask Spread % 2.62 2.24 3.24 2.38 3.10 Gamma HHI 0.07 0.04 0.21 0.05 0.08 Net GEX 136.5M -511.0M 981.1M 214.8M 133.8M Net DEX -3.54B -6.92B 3.38B -5.94B -2.57B Net VEX -33.2M -35.8M -29.1M -32.1M -29.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.50 0.75 2.29 1.37 1.79 Total Volume 399,351.15 187,758 975,499 385,132 215,762 Total OI 4,458,716.15 3,758,276 5,237,060 4,110,278 3,758,276
Daily Data (20 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 2015-11-02 $114.52 $110.00 14.1% 4.1% 14.2% 10.8% 14.9% 4.6% 0.4% 214.8M -5.94B -32.1M 1.37 2.38 N/A N/A 162,312 222,820 1,536,084 2,574,194 2015-11-03 $115.34 $110.00 13.9% 3.9% 14.0% 9.8% 14.8% 4.4% 0.2% 264.4M -6.92B -33.0M 1.08 2.36 N/A N/A 167,974 182,176 1,583,397 2,657,613 2015-11-04 $114.85 $110.00 14.8% 4.2% 14.3% 13.3% 16.2% 4.8% 0.1% 197.7M -6.15B -34.0M 1.89 2.49 N/A N/A 127,691 240,818 1,650,707 2,733,626 2015-11-05 $114.80 $110.00 14.6% 4.6% 14.4% 12.5% 16.9% 4.4% 0.3% 166.0M -5.85B -34.6M 2.00 2.24 N/A N/A 135,606 271,879 1,669,323 2,796,501 2015-11-06 $114.82 $110.00 13.9% 4.4% 14.5% 9.9% 15.3% 4.1% 0.5% 208.9M -5.99B -33.8M 1.73 2.95 N/A N/A 201,998 349,321 1,698,267 2,848,273 2015-11-09 $113.53 $110.00 15.8% 4.7% 15.4% 16.9% 17.6% 5.0% 0.6% 42.4M -3.37B -35.8M 1.76 3.11 N/A N/A 125,878 221,710 1,666,141 2,739,425 2015-11-10 $113.13 $110.00 15.4% 4.7% 15.3% 15.7% 18.1% 4.8% 1.0% -20.8M -2.74B -35.4M 1.60 2.40 N/A N/A 147,555 235,551 1,700,532 2,791,293 2015-11-11 $113.46 $111.00 15.0% 4.7% 15.1% 14.1% 19.3% 4.7% 1.3% 35.8M -3.41B -34.7M 2.29 2.48 N/A N/A 70,013 160,331 1,726,469 2,816,249 2015-11-12 $112.04 $111.00 16.7% 5.0% 15.2% 20.5% 17.4% 5.0% 0.9% -260.5M -539.7M -35.8M 1.46 2.29 N/A N/A 172,893 252,191 1,750,250 2,866,367 2015-11-13 $109.96 $111.00 19.0% 5.6% 16.8% 29.2% 18.9% 5.8% 0.9% -511.0M 3.38B -35.8M 1.96 2.40 N/A N/A 329,386 646,113 1,782,034 2,891,147 2015-11-16 $111.32 $111.00 17.6% 5.1% 17.3% 23.8% 18.4% 5.8% -0.4% -338.9M 318.8M -33.8M 1.21 2.73 N/A N/A 204,969 248,103 1,824,138 2,960,638 2015-11-17 $111.56 $111.00 17.6% 5.1% 17.0% 24.0% 17.6% 5.6% 0.1% -286.7M -311.5M -34.4M 0.97 2.29 N/A N/A 236,347 228,293 1,898,158 3,030,710 2015-11-18 $113.71 $111.00 16.0% 4.6% 17.9% 18.0% 17.7% 5.1% 0.2% 388.0M -5.52B -32.8M 0.75 2.40 N/A N/A 290,490 218,283 2,000,743 3,063,375 2015-11-19 $113.78 $112.00 16.2% 4.7% 16.9% 18.8% 18.8% 5.5% 0.0% 579.9M -5.67B -33.4M 1.17 2.37 N/A N/A 222,523 260,072 2,061,089 3,133,309 2015-11-20 $114.34 $112.00 15.3% 4.4% 13.6% 15.4% 17.5% 5.2% -0.1% 981.1M -6.71B -32.0M 1.42 2.57 N/A N/A 195,378 276,744 2,048,198 3,188,862 2015-11-23 $114.15 $112.00 15.5% 4.5% 13.7% 16.1% 16.9% 5.1% 0.1% 264.2M -3.22B -31.0M 1.37 2.86 N/A N/A 111,727 152,520 1,582,391 2,237,791 2015-11-24 $114.05 $112.00 15.3% 4.4% 13.7% 15.1% 16.9% 5.2% 0.0% 227.4M -2.83B -31.9M 1.61 3.00 N/A N/A 114,588 184,073 1,627,635 2,285,890 2015-11-25 $114.13 $112.00 14.9% 4.3% 13.4% 13.6% 15.6% 5.3% 1.2% 224.4M -3.17B -30.4M 1.39 2.76 N/A N/A 90,138 125,039 1,645,714 2,325,237 2015-11-27 $114.31 $112.00 11.7% 4.3% 13.4% 1.7% 14.8% 5.2% -6.5% 219.8M -3.62B -29.5M 1.22 3.24 N/A N/A 84,565 103,193 1,662,792 2,361,485 2015-11-30 $114.11 $112.00 15.6% 4.7% 13.4% 15.2% 18.4% 5.3% 0.4% 133.8M -2.57B -29.1M 1.79 3.10 N/A N/A 77,278 138,484 1,538,227 2,220,049
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