QQQ Options History — December 2015 In December 2015, QQQ traded between $110.22 and $115.20. ATM implied volatility averaged 17.4%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 0.4% (HV 20d: 17.8%). Max pain ranged from $110.00 to $113.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.60.
Notable Days 2015-12-11 : Highest Volume — 955,216 contracts2015-12-03 : Largest IV spike — 35.2% change2015-12-11 : Highest IV Rank — 37.7%2015-12-11 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $112.92 $110.22 $115.20 $115.20 $112.15 Max Pain $111.68 $110.00 $113.00 $112.00 $113.00 ATM IV 17.4% 14.4% 21.5% 14.5% 17.9% Expected Move 5.0% 4.2% 6.1% 4.4% 5.0% HV 20d 17.8% 13.5% 20.3% 13.5% 20.3% HV 60d 17.6% 16.3% 18.6% 17.7% 16.4% IV Rank 22.0% 10.6% 37.7% 11.0% 23.9% IV Percentile 68.9% 36.1% 89.3% 40.1% 74.6% Term Structure 0.1% -3.3% 0.9% 0.5% 0.1% VWIV 18.2% 15.7% 22.3% 16.8% 17.7% Skew 25d 5.8% 4.4% 9.7% 4.9% 6.1% Skew 10d 11.9% 8.9% 24.5% 10.4% 12.0% Call IV 25d 14.8% 12.4% 18.9% 12.5% 15.0% Put IV 25d 20.6% 16.8% 26.1% 17.4% 21.1% Bid-Ask Spread % 2.58 2.14 3.33 3.04 3.33 Gamma HHI 0.08 0.05 0.29 0.09 0.15 Net GEX -136.6M -942.6M 422.1M 292.6M -657.3M Net DEX 76.5M -5.01B 7.32B -4.39B 2.30B Net VEX -27.1M -30.1M -23.6M -27.4M -24.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.60 0.96 2.69 1.39 2.28 Total Volume 518,739 235,024 955,216 275,583 427,389 Total OI 3,909,156.091 2,899,468 4,873,770 3,856,213 3,271,132
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 2015-12-01 $115.20 $112.00 14.5% 4.4% 13.5% 11.0% 16.8% 4.9% 0.5% 292.6M -4.39B -27.4M 1.39 3.04 N/A N/A 115,424 160,159 1,568,081 2,288,132 2015-12-02 $114.41 $112.00 15.6% 4.7% 13.5% 15.3% 17.2% 4.6% -0.6% 175.7M -3.11B -28.7M 1.99 2.62 N/A N/A 161,299 321,766 1,605,329 2,322,526 2015-12-03 $112.50 $110.00 21.1% 5.2% 14.6% 36.4% 18.2% 9.7% -3.3% -236.5M 665.2M -29.6M 1.57 2.32 N/A N/A 286,823 451,289 1,644,493 2,392,619 2015-12-04 $115.14 $110.00 14.4% 4.4% 17.0% 10.6% 16.9% 4.4% 0.3% 422.1M -5.01B -27.7M 1.35 2.14 N/A N/A 304,017 411,716 1,726,315 2,513,026 2015-12-07 $114.77 $110.00 15.1% 4.5% 17.0% 13.3% 16.1% 5.1% 0.6% 260.1M -3.52B -28.0M 1.08 2.68 N/A N/A 165,584 178,637 1,677,336 2,400,871 2015-12-08 $114.79 $111.00 15.8% 4.8% 16.5% 16.0% 17.4% 5.6% 0.7% 297.9M -3.53B -29.0M 2.15 2.22 N/A N/A 176,574 379,351 1,756,500 2,465,690 2015-12-09 $112.74 $111.00 18.2% 5.2% 17.7% 25.2% 18.7% 6.0% -0.1% -231.8M 616.2M -29.8M 1.53 2.48 N/A N/A 277,823 424,347 1,804,541 2,537,707 2015-12-10 $113.20 $111.00 18.0% 5.2% 17.7% 24.2% 19.5% 5.9% 0.3% -100.0M -521.9M -29.2M 1.92 2.20 N/A N/A 178,757 343,362 1,855,069 2,565,153 2015-12-11 $110.78 $111.00 21.5% 6.1% 18.8% 37.7% 22.3% 7.2% -0.2% -718.6M 4.55B -30.1M 1.84 2.51 N/A N/A 336,145 619,071 1,873,306 2,653,155 2015-12-14 $111.51 $111.00 20.3% 5.8% 17.7% 33.1% 22.0% 6.6% 0.1% -370.1M 2.40B -29.0M 1.99 3.19 N/A N/A 238,459 475,639 1,783,184 2,670,503 2015-12-15 $112.40 $111.00 19.6% 5.6% 17.4% 30.3% 19.4% 6.2% -0.5% -301.7M 716.0M -29.6M 1.82 2.25 N/A N/A 233,597 425,517 1,874,716 2,798,684 2015-12-16 $113.98 $112.00 17.0% 4.9% 18.0% 20.6% 18.7% 5.7% -0.3% -26.4M -2.36B -27.9M 1.32 2.74 N/A N/A 212,655 280,126 1,905,808 2,924,369 2015-12-17 $112.54 $112.00 17.6% 5.0% 17.3% 22.9% 18.4% 5.9% 0.3% -565.4M 703.4M -26.9M 0.96 2.49 N/A N/A 328,806 316,745 1,928,820 2,944,950 2015-12-18 $110.22 $113.00 19.4% 5.6% 18.8% 29.9% 20.3% 6.1% -0.2% -942.6M 7.32B -25.8M 1.31 2.85 N/A N/A 384,880 504,162 1,749,746 2,979,020 2015-12-21 $110.97 $112.00 18.5% 5.4% 18.9% 26.3% 20.1% 5.8% 0.6% -179.9M 2.07B -25.0M 1.52 2.19 N/A N/A 149,249 226,305 1,180,026 1,719,442 2015-12-22 $111.67 $113.00 17.0% 4.9% 19.1% 20.5% 18.0% 5.3% 0.6% -96.3M 1.43B -25.2M 1.20 2.29 N/A N/A 146,175 175,076 1,217,716 1,834,516 2015-12-23 $112.60 $112.00 15.8% 4.5% 19.4% 16.0% 16.8% 5.1% 0.8% 20.4M 395.5M -24.5M 1.19 2.33 N/A N/A 177,342 210,980 1,223,816 1,869,420 2015-12-24 $112.59 $112.50 15.8% 4.5% 19.4% 16.1% 15.7% 5.1% 0.9% 14.2M 548.7M -25.1M 1.42 3.11 N/A N/A 96,960 138,064 1,259,494 1,954,670 2015-12-28 $112.48 $112.00 16.9% 4.7% 19.3% 20.2% 17.4% 5.7% 0.3% -165.4M 990.3M -23.6M 2.69 2.82 N/A N/A 75,302 202,779 1,156,981 1,831,743 2015-12-29 $114.27 $112.50 15.7% 4.2% 20.2% 15.6% 15.8% 5.8% 0.2% 235.0M -1.10B -23.8M 1.07 2.42 N/A N/A 184,478 198,217 1,175,511 1,920,885 2015-12-30 $113.37 $113.00 16.7% 4.5% 20.1% 19.3% 15.9% 5.9% 0.2% -131.2M 508.6M -24.4M 1.49 2.55 N/A N/A 125,233 185,979 1,183,042 1,993,391 2015-12-31 $112.15 $113.00 17.9% 5.0% 20.3% 23.9% 17.7% 6.1% 0.1% -657.3M 2.30B -24.9M 2.28 3.33 N/A N/A 130,187 297,202 1,226,817 2,044,315
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