QQQ Options History — June 2016 In June 2016, QQQ traded between $102.30 and $110.50. ATM implied volatility averaged 16.5%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.1% (HV 20d: 13.4%). Max pain ranged from $108.00 to $108.50. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.40.
Notable Days 2016-06-24 : Highest Volume — 687,510 contracts2016-06-24 : Largest IV spike — 29.9% change2016-06-27 : Highest IV Rank — 39.7%2016-06-27 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $107.95 $102.30 $110.50 $110.21 $107.38 Max Pain $108.02 $108.00 $108.50 $108.00 $108.00 ATM IV 16.5% 13.1% 22.0% 14.3% 15.7% Expected Move 4.7% 3.9% 6.4% 4.0% 4.2% HV 20d 13.4% 9.4% 21.5% 12.4% 21.5% HV 60d 13.0% 11.9% 16.1% 12.5% 15.9% IV Rank 18.4% 5.5% 39.7% 10.1% 15.4% IV Percentile 41.5% 4.4% 77.8% 16.3% 35.3% Term Structure 0.1% -0.4% 0.6% -0.1% 0.2% VWIV 17.3% 13.8% 23.1% 14.1% 15.6% Skew 25d 5.9% 4.3% 8.3% 4.8% 5.5% Skew 10d 12.0% 8.8% 16.3% 9.2% 10.8% Call IV 25d 13.9% 11.5% 18.7% 12.1% 13.3% Put IV 25d 19.9% 15.9% 26.4% 16.9% 18.8% Bid-Ask Spread % 2.42 1.75 5.71 2.15 2.71 Gamma HHI 0.06 0.05 0.10 0.06 0.05 Net GEX -211.2M -640.5M 285.1M 215.6M -195.0M Net DEX 1.94B -1.94B 8.16B -1.56B 804.7M Net VEX -31.6M -33.7M -29.1M -30.5M -31.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.40 0.93 2.43 1.53 1.25 Total Volume 415,792.864 233,003 687,510 289,908 515,342 Total OI 3,421,083.455 2,878,653 3,904,622 3,354,882 3,493,647
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 2016-06-01 $110.21 $108.00 14.3% 4.0% 12.4% 10.1% 14.1% 4.8% -0.1% 215.6M -1.56B -30.5M 1.53 2.15 N/A N/A 114,569 175,339 1,264,803 2,090,079 2016-06-02 $110.50 $108.00 13.7% 4.0% 12.0% 7.7% 15.6% 4.5% -0.1% 285.1M -1.94B -30.2M 1.11 1.75 N/A N/A 150,424 166,672 1,288,207 2,152,242 2016-06-03 $110.13 $108.00 13.4% 3.9% 12.1% 6.6% 15.4% 4.4% 0.0% 60.4M -1.32B -29.8M 1.91 2.04 N/A N/A 151,944 290,578 1,308,069 2,195,985 2016-06-06 $110.50 $108.00 13.4% 4.0% 12.1% 6.5% 13.8% 4.4% 0.5% 173.5M -1.43B -29.1M 1.13 1.94 N/A N/A 128,101 144,322 1,205,985 2,139,585 2016-06-07 $110.16 $108.00 13.5% 3.9% 12.2% 7.0% 14.8% 4.3% 0.1% 154.1M -1.02B -29.5M 1.25 1.90 N/A N/A 114,399 143,087 1,256,015 2,178,442 2016-06-08 $110.35 $108.00 13.1% 3.9% 11.4% 5.5% 14.5% 4.4% 0.5% 169.6M -1.29B -29.4M 1.22 1.88 N/A N/A 104,786 128,217 1,285,041 2,211,652 2016-06-09 $110.24 $108.00 13.6% 3.9% 10.8% 7.5% 16.2% 4.4% 0.1% 63.2M -1.03B -29.7M 2.21 1.82 N/A N/A 144,435 319,591 1,311,286 2,247,591 2016-06-10 $108.85 $108.00 15.3% 4.4% 11.7% 14.1% 16.6% 5.5% -0.0% -303.1M 1.68B -32.9M 1.52 2.00 N/A N/A 226,890 345,692 1,333,835 2,423,297 2016-06-13 $107.91 $108.00 17.8% 5.1% 12.2% 23.7% 18.8% 6.9% 0.1% -308.2M 3.10B -33.6M 1.45 2.32 N/A N/A 174,029 253,106 1,261,330 2,394,076 2016-06-14 $108.00 $108.00 17.8% 5.1% 11.4% 23.8% 18.7% 6.8% 0.3% -296.0M 3.13B -33.7M 0.93 2.11 N/A N/A 210,071 195,658 1,296,685 2,463,494 2016-06-15 $107.61 $108.00 17.4% 5.0% 11.5% 21.9% 18.6% 6.5% 0.6% -366.1M 3.41B -33.6M 1.19 2.12 N/A N/A 148,645 177,061 1,341,726 2,461,587 2016-06-16 $108.04 $108.00 17.1% 4.9% 11.1% 20.8% 18.9% 6.4% 0.2% -267.2M 2.93B -33.4M 1.03 2.07 N/A N/A 282,176 291,628 1,362,172 2,520,157 2016-06-17 $106.48 $108.00 18.3% 5.3% 12.3% 25.4% 18.3% 6.4% -0.4% -619.0M 5.78B -33.2M 1.26 2.21 N/A N/A 219,072 276,061 1,309,445 2,595,177 2016-06-20 $107.12 $108.00 17.0% 4.9% 12.0% 20.4% 17.3% 6.5% 0.3% -365.9M 2.81B -32.0M 1.33 2.26 N/A N/A 134,049 177,828 962,520 1,916,133 2016-06-21 $107.53 $108.00 17.2% 5.0% 12.1% 21.4% 17.4% 6.9% 0.2% -299.3M 2.26B -31.7M 1.39 2.13 N/A N/A 145,834 202,263 983,467 1,910,374 2016-06-22 $107.32 $108.50 18.7% 5.5% 9.4% 27.2% 19.2% 7.5% -0.0% -317.6M 2.86B -33.0M 2.43 2.67 N/A N/A 92,475 224,702 1,040,216 2,004,166 2016-06-23 $108.73 $108.00 16.2% 4.6% 10.2% 17.5% 17.0% 6.7% 0.3% -179.6M 1.18B -31.5M 1.17 5.71 N/A N/A 189,170 222,088 1,057,085 2,046,443 2016-06-24 $104.78 $108.00 21.1% 6.2% 16.5% 36.2% 21.2% 8.3% -0.1% -620.0M 6.33B -32.8M 1.83 3.97 N/A N/A 242,653 444,857 1,115,941 2,131,638 2016-06-27 $102.30 $108.00 22.0% 6.4% 18.0% 39.7% 23.1% 7.7% -0.3% -640.5M 8.16B -30.2M 1.53 2.76 N/A N/A 220,055 336,729 1,032,505 2,051,914 2016-06-28 $104.46 $108.00 18.5% 5.2% 19.9% 26.2% 18.5% 6.1% 0.1% -598.0M 5.32B -31.2M 1.02 2.34 N/A N/A 209,971 213,627 1,137,731 2,120,543 2016-06-29 $106.24 $108.00 17.1% 4.7% 21.1% 20.8% 16.9% 5.6% 0.1% -393.0M 2.65B -31.6M 1.15 2.50 N/A N/A 232,529 266,718 1,191,015 2,170,535 2016-06-30 $107.38 $108.00 15.7% 4.2% 21.5% 15.4% 15.6% 5.5% 0.2% -195.0M 804.7M -31.6M 1.25 2.71 N/A N/A 228,729 286,613 1,236,778 2,256,869
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