QQQ Options History — March 2016 In March 2016, QQQ traded between $104.02 and $109.40. ATM implied volatility averaged 17.2%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.3% (HV 20d: 17.0%). Max pain ranged from $102.00 to $107.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.46.
Notable Days 2016-03-04 : Highest Volume — 755,076 contracts2016-03-11 : Largest IV drop — 8.5% change2016-03-08 : Highest IV Rank — 35.1%2016-03-08 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $106.70 $104.02 $109.40 $105.59 $109.28 Max Pain $104.23 $102.00 $107.00 $104.00 $107.00 ATM IV 17.2% 14.7% 20.8% 18.1% 15.0% Expected Move 4.9% 3.8% 6.0% 5.7% 3.8% HV 20d 17.0% 10.7% 24.9% 24.9% 10.7% HV 60d 23.2% 22.0% 24.5% 24.5% 22.0% IV Rank 21.4% 11.8% 35.1% 24.9% 12.8% IV Percentile 55.2% 31.0% 73.4% 65.5% 33.7% Term Structure 0.3% -0.4% 0.9% 0.6% 0.2% VWIV 18.6% 14.1% 22.7% 22.7% 14.1% Skew 25d 5.5% 4.6% 6.3% 5.9% 4.7% Skew 10d 10.5% 9.2% 12.1% 11.0% 9.2% Call IV 25d 14.8% 12.6% 18.1% 15.9% 13.0% Put IV 25d 20.3% 17.3% 24.4% 21.8% 17.7% Bid-Ask Spread % 1.72 1.49 2.07 1.78 1.80 Gamma HHI 0.07 0.05 0.16 0.06 0.09 Net GEX -35.3M -523.9M 461.1M 121.3M 145.0M Net DEX -206.2M -2.68B 3.31B -1.19B -2.01B Net VEX -29.8M -33.8M -26.7M -31.6M -28.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.46 0.95 2.01 1.90 1.03 Total Volume 402,063.864 196,459 755,076 574,855 443,078 Total OI 3,778,016.909 2,676,010 4,452,754 4,010,422 3,253,534
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 2016-03-01 $105.59 $104.00 18.1% 5.7% 24.9% 24.9% 22.7% 5.9% 0.6% 121.3M -1.19B -31.6M 1.90 1.78 N/A N/A 198,059 376,796 1,422,480 2,587,942 2016-03-02 $105.71 $105.00 18.5% 5.7% 23.4% 26.3% 22.1% 6.2% 0.3% 121.7M -1.21B -31.9M 2.00 1.70 N/A N/A 193,449 386,911 1,450,156 2,701,730 2016-03-03 $105.58 $102.00 18.6% 5.3% 23.4% 26.7% 21.5% 5.7% 0.0% 9.5M -818.5M -32.2M 1.59 1.79 N/A N/A 135,166 214,251 1,475,066 2,845,415 2016-03-04 $105.71 $102.00 18.6% 5.3% 23.3% 26.8% 21.6% 6.0% 0.3% 35.8M -1.12B -32.0M 1.56 2.07 N/A N/A 294,929 460,147 1,501,702 2,911,872 2016-03-07 $104.92 $103.00 19.5% 5.6% 18.6% 30.2% 20.9% 6.1% 0.1% -369.6M 1.96B -33.1M 1.51 1.66 N/A N/A 143,349 215,965 1,233,749 2,866,217 2016-03-08 $104.02 $103.00 20.8% 6.0% 18.2% 35.1% 21.7% 6.3% 0.1% -523.9M 3.31B -33.8M 2.01 1.96 N/A N/A 148,935 298,908 1,248,636 2,905,553 2016-03-09 $104.65 $103.00 20.2% 5.7% 18.1% 32.6% 21.4% 6.2% -0.4% -465.3M 2.51B -33.8M 1.41 1.64 N/A N/A 132,659 186,656 1,273,582 2,981,866 2016-03-10 $104.51 $103.00 19.4% 5.5% 18.2% 29.8% 20.1% 6.3% -0.2% -435.5M 2.69B -32.8M 1.33 1.62 N/A N/A 245,400 325,916 1,317,923 3,031,318 2016-03-11 $106.39 $103.00 17.8% 5.3% 18.8% 23.5% 19.1% 5.7% 0.9% -111.2M -220.0M -31.1M 1.13 1.61 N/A N/A 224,186 253,207 1,362,445 3,090,309 2016-03-14 $106.77 $104.00 17.5% 5.0% 18.7% 22.3% 20.2% 6.1% 0.3% -97.5M -343.3M -29.3M 1.26 1.49 N/A N/A 87,067 109,392 1,270,906 2,917,581 2016-03-15 $106.59 $104.00 17.2% 4.9% 17.7% 21.4% 19.2% 5.7% 0.8% -135.1M -130.8M -29.0M 1.17 1.57 N/A N/A 94,510 110,956 1,285,495 2,955,370 2016-03-16 $107.47 $104.00 16.4% 4.7% 16.1% 18.0% 17.8% 5.1% 0.0% 71.0M -1.47B -27.2M 1.09 1.60 N/A N/A 170,871 186,875 1,292,118 2,965,602 2016-03-17 $107.45 $104.00 15.8% 4.5% 15.2% 16.0% 18.0% 4.6% 0.0% 114.4M -1.46B -27.2M 1.52 1.64 N/A N/A 116,821 178,140 1,329,654 3,007,198 2016-03-18 $107.38 $105.00 15.8% 4.5% 15.3% 15.9% 15.9% 4.6% 0.0% 73.9M 827.5M -27.2M 1.26 1.57 N/A N/A 206,175 260,360 1,150,025 3,055,567 2016-03-21 $107.76 $105.00 15.4% 4.3% 14.6% 14.5% 16.8% 4.9% 0.7% -8.7M -589.0M -27.2M 1.87 1.62 N/A N/A 95,450 178,756 870,085 1,805,925 2016-03-22 $108.02 $105.00 15.3% 4.2% 13.2% 14.1% 15.8% 4.9% 0.7% 41.1M -927.1M -27.5M 1.53 1.76 N/A N/A 130,683 199,443 924,872 1,899,765 2016-03-23 $107.24 $105.00 16.1% 4.5% 13.5% 17.2% 16.6% 5.0% 0.7% -109.7M 83.9M -29.0M 1.01 1.73 N/A N/A 176,211 178,298 942,534 1,996,078 2016-03-24 $107.22 $105.00 15.9% 4.3% 13.3% 16.2% 15.7% 4.8% 0.7% -87.7M -22.9M -29.2M 1.90 1.78 N/A N/A 115,953 220,754 1,016,910 2,028,796 2016-03-28 $107.09 $105.50 16.7% 4.5% 13.4% 19.4% 16.1% 5.5% 0.2% -11.2M 115.3M -28.3M 1.34 1.82 N/A N/A 101,849 136,093 968,721 1,945,255 2016-03-29 $108.75 $105.50 15.4% 4.0% 13.9% 14.4% 15.5% 5.0% 0.2% 384.4M -1.85B -27.3M 0.95 1.82 N/A N/A 209,346 198,395 989,308 1,977,606 2016-03-30 $109.40 $106.00 14.7% 3.8% 10.7% 11.8% 15.5% 4.7% 0.2% 461.1M -2.68B -26.7M 1.69 1.81 N/A N/A 188,098 316,942 1,015,126 2,044,380 2016-03-31 $109.28 $107.00 15.0% 3.8% 10.7% 12.8% 14.1% 4.7% 0.2% 145.0M -2.01B -28.0M 1.03 1.80 N/A N/A 217,990 225,088 1,032,309 2,221,225
« Feb 2016 | All History | Apr 2016 » Home QQQ History March 2016