QQQ Options History — February 2016

In February 2016, QQQ traded between $96.36 and $104.48. ATM implied volatility averaged 25.1%, placing in the 51.5% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 1.8% (HV 20d: 26.8%). Max pain ranged from $104.00 to $108.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.76.

Notable Days

2016-02-08: Highest Volume — 1,341,793 contracts
2016-02-05: Largest IV spike — 13.6% change
2016-02-09: Highest IV Rank — 72.2%
2016-02-09: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$100.74	$96.36	$104.48	$104.48	$102.79
Max Pain	$105.03	$104.00	$108.00	$105.50	$104.00
ATM IV	25.1%	20.9%	30.4%	21.5%	21.0%
Expected Move	7.3%	6.2%	8.7%	6.2%	6.4%
HV 20d	26.8%	22.9%	29.6%	28.5%	22.9%
HV 60d	23.0%	21.4%	23.9%	21.4%	23.8%
IV Rank	51.5%	35.5%	72.2%	37.7%	35.7%
IV Percentile	87.7%	74.2%	98.8%	82.5%	74.6%
Term Structure	-0.2%	-1.1%	0.5%	0.0%	0.2%
VWIV	26.9%	23.1%	32.1%	23.4%	24.1%
Skew 25d	7.0%	6.1%	7.8%	6.1%	6.7%
Skew 10d	12.7%	10.3%	14.9%	10.3%	12.3%
Call IV 25d	21.8%	18.1%	26.6%	18.6%	18.1%
Put IV 25d	28.7%	24.7%	34.3%	24.7%	24.8%
Bid-Ask Spread %	1.99	1.40	2.59	2.51	1.68
Gamma HHI	0.06	0.05	0.08	0.06	0.06
Net GEX	-335.5M	-669.1M	-26.3M	-148.6M	-157.8M
Net DEX	5.27B	657.7M	11.35B	2.52B	2.49B
Net VEX	-32.3M	-34.2M	-28.7M	-30.3M	-33.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.76	1.04	2.50	1.57	2.33
Total Volume	662,665.45	375,343	1,341,793	404,999	398,520
Total OI	4,156,302.8	3,393,972	5,053,670	3,393,972	3,915,632

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
2016-02-01	$104.48	$105.50	21.5%	6.2%	28.5%	37.7%	23.4%	6.1%	0.0%	-148.6M	2.52B	-30.3M	1.57	2.51	N/A	N/A	157,768	247,231	1,316,111	2,077,861
2016-02-02	$102.20	$105.00	23.9%	6.9%	28.3%	46.9%	24.6%	6.4%	-0.1%	-317.4M	5.09B	-29.7M	1.70	2.59	N/A	N/A	197,999	335,839	1,380,241	2,096,420
2016-02-03	$101.78	$105.00	23.5%	6.8%	28.2%	45.3%	24.9%	6.1%	0.1%	-388.3M	5.73B	-30.1M	1.29	2.41	N/A	N/A	296,735	382,206	1,409,235	2,183,750
2016-02-04	$101.54	$108.00	23.8%	6.8%	28.1%	46.8%	26.6%	6.3%	-0.0%	-395.2M	5.81B	-30.3M	2.50	2.23	N/A	N/A	237,376	592,473	1,500,017	2,227,089
2016-02-05	$97.85	$108.00	27.1%	7.8%	29.6%	59.2%	28.4%	6.6%	-0.2%	-669.1M	10.68B	-28.7M	1.95	2.22	N/A	N/A	380,623	743,795	1,505,170	2,395,159
2016-02-08	$96.60	$107.00	29.8%	8.4%	29.5%	69.9%	30.6%	7.2%	-0.4%	-575.8M	10.86B	-29.7M	2.27	2.36	N/A	N/A	410,533	931,260	1,452,198	2,417,988
2016-02-09	$96.36	$107.00	30.4%	8.7%	29.4%	72.2%	32.1%	7.6%	0.2%	-645.3M	11.35B	-33.2M	1.47	2.15	N/A	N/A	360,832	530,617	1,654,016	2,831,075
2016-02-10	$96.76	$105.00	29.7%	8.5%	29.0%	69.2%	30.4%	7.4%	-0.0%	-609.6M	10.61B	-34.2M	1.21	2.11	N/A	N/A	259,990	315,260	1,767,704	2,908,131
2016-02-11	$96.95	$105.00	30.2%	8.7%	26.6%	71.3%	31.0%	7.7%	0.0%	-610.5M	10.38B	-34.1M	1.15	2.31	N/A	N/A	376,312	434,383	1,810,994	2,943,250
2016-02-12	$97.98	$104.00	27.9%	8.1%	25.7%	62.3%	29.7%	7.5%	0.5%	-551.6M	8.48B	-34.1M	1.84	2.45	N/A	N/A	217,100	400,474	1,938,286	3,002,093
2016-02-16	$100.05	$104.00	26.9%	7.7%	24.9%	58.4%	29.5%	7.8%	-0.6%	-373.0M	5.35B	-32.3M	1.80	1.55	N/A	N/A	178,724	320,832	1,806,237	2,872,462
2016-02-17	$102.48	$104.00	25.9%	7.4%	26.4%	54.5%	28.4%	7.6%	-0.9%	-143.9M	1.55B	-32.8M	1.97	1.56	N/A	N/A	244,734	482,519	1,825,228	2,977,705
2016-02-18	$101.29	$104.00	25.4%	7.3%	26.7%	52.6%	27.8%	7.5%	-1.0%	-354.3M	3.79B	-34.1M	2.32	1.40	N/A	N/A	176,251	409,573	1,837,011	3,095,761
2016-02-19	$101.65	$104.00	23.5%	6.7%	26.7%	45.5%	25.9%	6.9%	-0.1%	-289.1M	3.07B	-33.8M	1.88	1.66	N/A	N/A	167,865	316,164	1,870,904	3,182,766
2016-02-22	$103.18	$105.00	22.3%	6.5%	25.9%	40.9%	23.5%	6.8%	-0.5%	-59.6M	1.06B	-32.6M	1.60	1.78	N/A	N/A	144,441	230,902	1,281,955	2,228,621
2016-02-23	$101.67	$104.00	23.7%	7.0%	25.9%	46.3%	24.6%	7.3%	-1.1%	-195.1M	2.90B	-33.5M	1.50	1.72	N/A	N/A	183,040	274,976	1,324,545	2,298,506
2016-02-24	$102.46	$104.00	22.7%	6.7%	25.9%	42.5%	26.4%	6.8%	-0.2%	-152.1M	2.20B	-33.5M	2.21	1.77	N/A	N/A	233,396	515,038	1,384,109	2,393,275
2016-02-25	$103.36	$104.00	21.5%	6.3%	24.5%	37.7%	23.6%	6.5%	-0.2%	-47.2M	868.1M	-33.7M	1.53	1.72	N/A	N/A	167,579	255,767	1,438,686	2,543,847
2016-02-26	$103.43	$104.00	20.9%	6.2%	24.0%	35.5%	23.1%	6.5%	-0.2%	-26.3M	657.7M	-32.9M	1.04	1.55	N/A	N/A	364,863	379,319	1,459,986	2,572,032
2016-02-29	$102.79	$104.00	21.0%	6.4%	22.9%	35.7%	24.1%	6.7%	0.2%	-157.8M	2.49B	-33.4M	2.33	1.68	N/A	N/A	119,773	278,747	1,405,651	2,509,981