QQQ Options History — January 2016

In January 2016, QQQ traded between $100.51 and $109.39. ATM implied volatility averaged 24.5%, placing in the 49.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 0.8% (HV 20d: 23.7%). Max pain ranged from $106.00 to $112.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.57.

Notable Days

  • 2016-01-07: Highest Volume — 1,059,318 contracts
  • 2016-01-07: Largest IV spike — 16.3% change
  • 2016-01-20: Highest IV Rank — 61.5%
  • 2016-01-20: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.81$100.51$109.39$109.39$104.12
Max Pain$108.47$106.00$112.00$112.00$106.00
ATM IV24.5%20.1%27.7%20.9%22.0%
Expected Move7.0%5.7%7.9%6.0%6.3%
HV 20d23.7%19.2%28.5%21.3%28.5%
HV 60d19.5%17.2%21.4%17.3%21.4%
IV Rank49.3%32.5%61.5%35.6%39.7%
IV Percentile92.1%84.5%98.4%88.1%84.5%
Term Structure-0.4%-1.0%0.2%-0.1%0.2%
VWIV25.0%20.3%30.7%21.1%23.1%
Skew 25d7.1%5.9%8.5%6.8%5.9%
Skew 10d14.0%11.1%17.1%12.6%11.1%
Call IV 25d21.1%17.1%23.8%17.8%19.0%
Put IV 25d28.2%23.5%32.3%24.6%25.0%
Bid-Ask Spread %2.512.033.442.423.44
Gamma HHI0.090.050.220.080.11
Net GEX-451.5M-918.0M-19.9M-570.9M-19.9M
Net DEX6.85B2.72B12.11B5.18B2.72B
Net VEX-26.8M-31.3M-23.6M-23.6M-30.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.571.172.031.451.30
Total Volume705,641.526396,9341,059,318549,857606,822
Total OI3,425,548.1052,747,5594,270,9152,912,4273,686,733

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$109.39$112.0020.9%6.0%21.3%35.6%21.1%6.8%-0.1%-570.9M5.18B-23.6M1.452.42N/AN/A224,151325,7061,023,9131,888,514
2016-01-05$109.38$112.0020.1%5.7%19.2%32.5%20.3%6.4%-0.2%-546.6M4.85B-23.8M1.532.26N/AN/A188,021288,6201,114,4471,944,862
2016-01-06$108.09$111.0021.6%6.0%19.5%38.2%21.7%6.3%-0.1%-599.3M6.42B-24.4M1.712.03N/AN/A198,665340,0841,176,0522,041,755
2016-01-07$105.41$111.0025.1%7.0%21.0%51.7%24.8%7.0%-0.5%-593.4M9.01B-24.5M1.962.68N/AN/A358,239701,0791,258,0062,111,876
2016-01-08$103.98$110.0026.6%7.3%20.7%57.3%24.9%7.5%-0.6%-918.0M10.53B-25.2M1.612.70N/AN/A284,713459,7181,415,2992,324,003
2016-01-11$104.46$110.0024.3%6.8%20.7%48.5%24.2%7.1%-0.3%-560.1M8.67B-24.9M1.362.16N/AN/A326,415444,2671,328,0652,175,826
2016-01-12$105.70$110.0022.5%6.2%20.3%41.7%22.3%6.2%-0.9%-458.0M6.68B-27.0M1.332.48N/AN/A298,471397,6681,500,1942,277,017
2016-01-13$102.02$109.0025.4%7.1%23.1%53.0%24.8%6.8%-0.7%-548.4M10.78B-25.0M1.512.61N/AN/A325,019490,1631,591,9962,345,214
2016-01-14$104.06$110.0024.4%6.8%24.3%49.1%25.1%7.1%-0.8%-499.6M8.37B-27.1M1.622.49N/AN/A351,079568,4031,678,2022,439,431
2016-01-15$100.95$109.0027.2%7.6%25.1%59.8%27.0%8.3%-1.0%-578.8M12.11B-25.4M1.462.65N/AN/A399,982582,7391,743,5862,527,329
2016-01-19$101.31$108.0026.2%7.5%25.2%55.9%26.6%8.0%-0.5%-358.1M6.35B-25.5M1.172.44N/AN/A270,842316,9921,089,1571,658,402
2016-01-20$100.89$107.0027.7%7.9%24.5%61.5%30.7%8.5%-0.6%-345.5M6.56B-27.0M2.012.63N/AN/A342,930690,5691,189,0181,750,708
2016-01-21$101.24$106.0027.3%7.8%24.3%59.9%28.0%8.4%-0.5%-375.1M6.21B-28.6M1.342.03N/AN/A280,808376,3321,264,6531,940,641
2016-01-22$103.66$106.0023.6%6.8%26.1%45.7%25.5%7.1%-0.2%-183.7M3.46B-28.6M1.912.16N/AN/A291,988556,5631,309,2061,958,959
2016-01-25$102.23$106.0025.4%7.4%25.9%52.7%26.6%7.5%-0.1%-336.1M5.19B-28.9M1.852.53N/AN/A170,159315,1211,207,6101,920,987
2016-01-26$102.96$106.0024.5%7.1%26.2%49.4%25.9%7.3%-0.1%-287.3M4.39B-29.4M1.262.74N/AN/A207,949262,4771,256,4151,952,722
2016-01-27$100.51$106.0025.7%7.5%27.1%54.1%26.9%6.4%-0.2%-407.8M6.89B-28.1M2.032.54N/AN/A252,896514,6051,325,7722,017,394
2016-01-28$102.00$106.0024.6%7.2%27.0%49.5%25.6%6.1%-0.1%-392.0M5.70B-31.3M1.402.66N/AN/A165,378231,5561,401,2452,250,205
2016-01-29$104.12$106.0022.0%6.3%28.5%39.7%23.1%5.9%0.2%-19.9M2.72B-30.8M1.303.44N/AN/A264,340342,4821,423,4452,263,288