QQQ Options History — July 2016

In July 2016, QQQ traded between $107.42 and $115.34. ATM implied volatility averaged 13.5%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 5.8% (HV 20d: 19.3%). Max pain ranged from $107.00 to $111.50. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.36.

Notable Days

2016-07-20: Highest Volume — 579,895 contracts
2016-07-08: Largest IV drop — 14.2% change
2016-07-05: Highest IV Rank — 15.9%
2016-07-05: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$111.89	$107.42	$115.34	$108.21	$115.34
Max Pain	$108.65	$107.00	$111.50	$108.00	$111.50
ATM IV	13.5%	11.7%	15.8%	14.8%	11.7%
Expected Move	3.9%	3.2%	4.7%	3.8%	3.2%
HV 20d	19.3%	9.2%	22.8%	21.7%	9.2%
HV 60d	15.8%	15.3%	16.0%	15.7%	15.3%
IV Rank	7.0%	0.0%	15.9%	12.1%	0.0%
IV Percentile	9.1%	0.0%	38.1%	20.2%	0.0%
Term Structure	0.2%	-0.1%	0.5%	0.3%	0.5%
VWIV	14.4%	12.1%	17.4%	14.5%	12.1%
Skew 25d	4.2%	3.3%	5.6%	5.0%	3.6%
Skew 10d	8.6%	6.5%	10.8%	10.1%	6.8%
Call IV 25d	11.7%	10.3%	13.4%	12.3%	10.3%
Put IV 25d	15.9%	13.9%	19.0%	17.3%	13.9%
Bid-Ask Spread %	1.87	1.62	2.34	2.34	1.72
Gamma HHI	0.07	0.05	0.11	0.06	0.08
Net GEX	250.4M	-255.2M	562.3M	-75.2M	487.0M
Net DEX	-3.00B	-6.36B	1.64B	-63.6M	-6.36B
Net VEX	-31.9M	-35.8M	-28.7M	-31.7M	-34.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.36	0.80	2.02	1.88	2.02
Total Volume	404,405	280,065	579,895	395,120	449,997
Total OI	3,441,434.45	2,981,336	3,992,243	3,219,733	3,992,243

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
2016-07-01	$108.21	$108.00	14.8%	3.8%	21.7%	12.1%	14.5%	5.0%	0.3%	-75.2M	-63.6M	-31.7M	1.88	2.34	N/A	N/A	137,343	257,777	1,142,861	2,076,872
2016-07-05	$107.42	$107.00	15.8%	4.7%	21.8%	15.9%	17.4%	5.6%	0.2%	-255.2M	1.64B	-30.9M	1.81	1.76	N/A	N/A	99,772	180,293	1,055,500	1,970,166
2016-07-06	$108.33	$107.00	15.2%	4.6%	22.0%	13.7%	17.0%	5.2%	0.1%	-113.1M	496.9M	-30.7M	1.21	1.79	N/A	N/A	134,320	162,339	1,081,374	2,017,841
2016-07-07	$108.60	$107.00	15.3%	4.4%	22.0%	14.1%	16.6%	5.3%	0.1%	-52.6M	104.8M	-30.4M	1.22	1.69	N/A	N/A	164,266	200,395	1,104,723	2,046,979
2016-07-08	$110.33	$107.00	13.2%	4.0%	22.8%	5.8%	14.2%	4.4%	0.3%	143.8M	-2.48B	-29.2M	0.86	1.80	N/A	N/A	241,846	208,788	1,164,725	2,093,962
2016-07-11	$111.04	$107.00	13.7%	4.0%	22.4%	7.7%	13.9%	4.3%	0.4%	287.0M	-2.76B	-28.7M	0.80	1.81	N/A	N/A	224,702	179,940	1,138,152	2,018,660
2016-07-12	$111.51	$107.00	13.4%	3.8%	22.1%	6.8%	14.2%	3.9%	-0.1%	357.0M	-3.50B	-28.9M	1.09	1.78	N/A	N/A	181,342	197,531	1,216,272	2,091,934
2016-07-13	$111.30	$108.00	13.5%	4.0%	22.2%	7.0%	14.6%	3.9%	0.5%	241.5M	-2.91B	-30.2M	1.65	1.82	N/A	N/A	125,027	205,726	1,256,244	2,167,512
2016-07-14	$112.03	$108.00	13.2%	3.8%	22.1%	5.8%	14.5%	3.3%	0.1%	404.6M	-3.90B	-29.6M	1.40	1.75	N/A	N/A	180,567	253,164	1,291,211	2,252,163
2016-07-15	$111.78	$108.00	12.5%	3.6%	22.2%	3.2%	14.2%	3.4%	0.3%	122.6M	-3.31B	-30.3M	1.49	1.62	N/A	N/A	154,490	229,546	1,323,084	2,333,756
2016-07-18	$112.58	$108.00	13.0%	3.7%	21.4%	5.3%	13.6%	3.7%	0.2%	171.6M	-2.93B	-30.0M	0.88	1.99	N/A	N/A	223,987	196,350	1,074,968	1,906,368
2016-07-19	$112.06	$109.00	13.3%	3.8%	21.5%	6.2%	13.6%	3.9%	0.1%	126.5M	-2.36B	-31.6M	1.48	1.94	N/A	N/A	190,209	280,944	1,200,894	1,982,911
2016-07-20	$113.55	$109.00	12.5%	3.6%	21.9%	3.0%	12.9%	3.5%	0.2%	487.6M	-4.63B	-31.3M	0.92	2.08	N/A	N/A	301,879	278,016	1,290,984	2,129,720
2016-07-21	$113.17	$109.00	13.2%	3.8%	21.9%	5.7%	13.9%	4.0%	0.2%	377.4M	-3.97B	-34.9M	1.66	2.13	N/A	N/A	193,959	322,494	1,393,664	2,244,157
2016-07-22	$113.57	$110.00	12.7%	3.6%	21.6%	3.5%	13.4%	3.9%	0.3%	552.3M	-4.68B	-34.7M	1.25	1.83	N/A	N/A	195,106	244,856	1,416,197	2,353,848
2016-07-25	$113.54	$110.00	13.5%	3.8%	15.9%	6.7%	14.9%	4.4%	0.3%	347.2M	-3.77B	-34.8M	1.80	1.89	N/A	N/A	127,126	229,448	1,349,004	2,212,963
2016-07-26	$113.79	$110.00	13.6%	3.9%	12.1%	7.0%	14.9%	4.4%	0.2%	318.8M	-3.72B	-35.8M	1.20	1.78	N/A	N/A	172,037	205,745	1,401,641	2,318,784
2016-07-27	$114.59	$111.00	13.2%	3.7%	10.6%	5.7%	13.6%	4.0%	0.3%	517.2M	-5.10B	-34.7M	1.09	2.06	N/A	N/A	204,267	221,996	1,436,642	2,363,480
2016-07-28	$115.07	$111.50	13.0%	3.6%	9.5%	4.7%	14.0%	4.0%	0.3%	562.3M	-5.83B	-34.6M	1.43	1.74	N/A	N/A	136,281	194,229	1,486,568	2,429,662
2016-07-29	$115.34	$111.50	11.7%	3.2%	9.2%	0.0%	12.1%	3.6%	0.5%	487.0M	-6.36B	-34.8M	2.02	1.72	N/A	N/A	149,101	300,896	1,505,004	2,487,239