QQQ Options History — May 2016

In May 2016, QQQ traded between $104.95 and $110.45. ATM implied volatility averaged 15.4%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.0% (HV 20d: 12.4%). Max pain ranged from $108.00 to $109.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.49.

Notable Days

2016-05-06: Highest Volume — 584,538 contracts
2016-05-10: Largest IV drop — 9.4% change
2016-05-04: Highest IV Rank — 23.0%
2016-05-04: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$106.86	$104.95	$110.45	$106.73	$110.45
Max Pain	$108.14	$108.00	$109.00	$109.00	$108.00
ATM IV	15.4%	13.3%	17.6%	16.3%	14.0%
Expected Move	4.5%	3.7%	5.2%	4.8%	3.8%
HV 20d	12.4%	11.0%	14.4%	13.6%	13.0%
HV 60d	13.8%	12.6%	16.8%	16.8%	12.6%
IV Rank	14.5%	6.2%	23.0%	18.0%	8.8%
IV Percentile	35.4%	6.0%	59.9%	51.2%	13.5%
Term Structure	0.4%	-0.2%	1.3%	0.1%	-0.2%
VWIV	16.5%	12.0%	18.9%	18.1%	14.0%
Skew 25d	4.8%	4.2%	5.4%	5.3%	4.5%
Skew 10d	9.2%	7.9%	10.4%	10.1%	8.8%
Call IV 25d	13.3%	11.3%	15.2%	13.8%	11.7%
Put IV 25d	18.1%	15.4%	20.4%	19.1%	16.2%
Bid-Ask Spread %	1.84	1.53	2.27	1.64	1.95
Gamma HHI	0.07	0.04	0.10	0.07	0.06
Net GEX	-290.2M	-677.7M	355.0M	-473.0M	264.5M
Net DEX	2.49B	-2.19B	5.39B	3.33B	-1.84B
Net VEX	-31.4M	-33.5M	-30.1M	-32.4M	-30.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.49	0.79	2.13	2.06	1.20
Total Volume	390,812.762	123,447	584,538	438,404	260,772
Total OI	3,462,165	3,023,934	3,878,280	3,267,670	3,278,595

Daily Data (21 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
2016-05-02	$106.73	$109.00	16.3%	4.8%	13.6%	18.0%	18.1%	5.3%	0.1%	-473.0M	3.33B	-32.4M	2.06	1.64	N/A	N/A	143,207	295,197	1,152,356	2,115,314
2016-05-03	$105.76	$109.00	16.9%	5.0%	13.6%	20.1%	18.0%	5.4%	0.1%	-575.0M	4.60B	-33.0M	1.22	1.80	N/A	N/A	180,406	220,020	1,204,231	2,181,053
2016-05-04	$105.12	$109.00	17.6%	5.2%	11.9%	23.0%	18.9%	5.2%	0.0%	-592.7M	5.32B	-33.5M	1.46	1.53	N/A	N/A	183,891	268,345	1,283,458	2,205,947
2016-05-05	$104.95	$108.00	17.4%	5.2%	11.0%	22.1%	18.8%	5.1%	0.0%	-553.2M	5.39B	-33.3M	1.78	1.77	N/A	N/A	131,674	234,532	1,330,619	2,209,153
2016-05-06	$105.51	$108.00	16.0%	4.7%	11.2%	16.7%	17.9%	4.5%	0.3%	-677.7M	4.53B	-32.5M	1.52	1.69	N/A	N/A	231,938	352,600	1,356,647	2,243,815
2016-05-09	$105.85	$108.00	15.7%	4.7%	11.4%	15.4%	17.1%	4.8%	0.6%	-414.5M	3.50B	-31.7M	1.62	1.89	N/A	N/A	149,007	241,895	1,240,492	2,126,978
2016-05-10	$107.33	$108.00	14.2%	4.4%	12.3%	9.7%	16.8%	4.4%	1.2%	-139.4M	1.32B	-31.1M	1.71	1.67	N/A	N/A	149,659	256,117	1,285,007	2,141,504
2016-05-11	$106.36	$108.00	15.0%	4.7%	11.5%	12.7%	17.3%	4.6%	1.3%	-320.3M	2.74B	-31.3M	1.33	1.68	N/A	N/A	152,201	201,853	1,303,022	2,160,168
2016-05-12	$105.88	$108.00	15.4%	4.6%	11.5%	14.5%	17.1%	4.5%	0.8%	-485.5M	3.81B	-31.1M	1.35	1.64	N/A	N/A	188,255	254,100	1,333,993	2,229,818
2016-05-13	$105.52	$108.00	15.5%	4.6%	11.5%	14.9%	17.8%	4.5%	0.5%	-475.2M	4.35B	-31.1M	2.13	1.67	N/A	N/A	168,099	358,745	1,380,614	2,266,144
2016-05-16	$106.83	$108.00	15.2%	4.4%	12.4%	13.4%	16.8%	5.0%	0.7%	-335.7M	2.52B	-30.2M	1.43	1.83	N/A	N/A	137,752	196,706	1,296,642	2,248,153
2016-05-17	$106.53	$108.00	15.4%	4.4%	12.2%	14.5%	17.4%	5.0%	1.0%	-401.0M	3.00B	-31.1M	1.62	1.68	N/A	N/A	47,145	76,302	1,332,787	2,323,394
2016-05-18	$105.70	$108.00	16.2%	4.7%	12.3%	17.6%	16.9%	4.9%	0.9%	-501.4M	4.24B	-30.9M	1.51	1.97	N/A	N/A	179,478	271,841	1,364,412	2,325,661
2016-05-19	$105.41	$108.00	17.0%	4.9%	12.3%	20.6%	17.4%	4.9%	0.2%	-626.6M	4.95B	-32.5M	1.55	1.76	N/A	N/A	172,362	266,930	1,407,614	2,435,130
2016-05-20	$106.45	$108.00	15.7%	4.5%	12.2%	15.6%	15.6%	4.6%	0.4%	-169.8M	2.82B	-31.6M	1.59	1.68	N/A	N/A	185,978	295,565	1,440,892	2,437,388
2016-05-23	$106.27	$108.00	15.8%	4.4%	12.2%	15.8%	16.0%	5.2%	0.4%	-259.7M	2.50B	-31.1M	1.43	2.12	N/A	N/A	92,742	132,185	1,095,780	1,928,154
2016-05-24	$108.51	$108.00	14.3%	3.9%	14.4%	10.2%	14.6%	4.9%	-0.2%	34.0M	-118.4M	-30.2M	1.38	2.07	N/A	N/A	168,277	232,913	1,122,173	1,952,335
2016-05-25	$109.29	$108.00	13.6%	3.7%	14.3%	7.6%	13.3%	4.4%	0.6%	101.9M	-1.06B	-30.3M	1.24	2.24	N/A	N/A	190,357	235,382	1,166,643	2,038,572
2016-05-26	$109.53	$108.00	13.5%	3.7%	13.4%	7.0%	12.0%	4.3%	-0.1%	151.5M	-1.35B	-30.7M	0.79	2.27	N/A	N/A	189,396	148,755	1,222,854	2,108,200
2016-05-27	$110.11	$108.00	13.3%	3.7%	13.2%	6.2%	13.5%	4.2%	0.3%	355.0M	-2.19B	-30.7M	1.30	2.10	N/A	N/A	158,340	206,149	1,278,717	2,151,036
2016-05-31	$110.45	$108.00	14.0%	3.8%	13.0%	8.8%	14.0%	4.5%	-0.2%	264.5M	-1.84B	-30.1M	1.20	1.95	N/A	N/A	118,797	141,975	1,231,299	2,047,296