QQQ Options History — August 2016 In August 2016, QQQ traded between $115.00 and $117.71. ATM implied volatility averaged 12.5%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 5.2% (HV 20d: 7.3%). Max pain ranged from $110.00 to $114.50. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.67.
Notable Days 2016-08-26 : Highest Volume — 672,605 contracts2016-08-05 : Largest IV drop — 10.1% change2016-08-25 : Highest IV Rank — 12.5%2016-08-25 : Largest Expected Move — 3.8%Monthly Statistics Metric Avg Min Max Open Close Price $116.72 $115.00 $117.71 $115.79 $116.49 Max Pain $112.24 $110.00 $114.50 $112.00 $114.50 ATM IV 12.5% 11.1% 13.7% 12.2% 13.7% Expected Move 3.5% 3.2% 3.8% 3.3% 3.6% HV 20d 7.3% 6.0% 9.1% 9.1% 6.0% HV 60d 14.6% 14.1% 15.4% 15.3% 14.1% IV Rank 5.2% 0.0% 12.5% 1.6% 12.4% IV Percentile 5.2% 0.0% 18.7% 0.8% 18.7% Term Structure 0.3% -0.6% 0.9% 0.3% -0.3% VWIV 13.7% 12.0% 16.1% 12.3% 13.3% Skew 25d 4.5% 3.5% 5.4% 4.2% 5.0% Skew 10d 9.3% 7.4% 10.7% 7.7% 9.9% Call IV 25d 10.6% 9.7% 11.5% 10.7% 11.3% Put IV 25d 15.1% 13.3% 16.8% 14.9% 16.3% Bid-Ask Spread % 1.89 1.58 4.08 1.59 1.58 Gamma HHI 0.06 0.05 0.07 0.06 0.05 Net GEX 114.8M -225.4M 356.1M 326.5M -214.9M Net DEX -3.96B -6.73B -1.04B -5.10B -1.15B Net VEX -38.3M -41.7M -34.3M -34.5M -40.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.67 1.07 2.18 1.73 1.73 Total Volume 377,917.261 245,130 672,605 372,961 328,241 Total OI 4,083,763.304 3,596,039 4,642,451 3,678,997 4,133,002
Daily Data (23 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 2016-08-01 $115.79 $112.00 12.2% 3.3% 9.1% 1.6% 12.3% 4.2% 0.3% 326.5M -5.10B -34.5M 1.73 1.59 N/A N/A 136,687 236,274 1,344,982 2,334,015 2016-08-02 $115.00 $112.00 13.3% 3.7% 9.0% 6.2% 13.0% 4.7% 0.1% 139.5M -3.57B -36.3M 1.57 1.66 N/A N/A 170,963 267,611 1,379,410 2,428,236 2016-08-03 $115.29 $113.00 12.8% 3.4% 8.8% 4.1% 13.0% 4.5% 0.2% 186.2M -4.04B -36.7M 1.07 1.70 N/A N/A 146,027 156,543 1,431,359 2,501,149 2016-08-04 $115.64 $110.00 12.4% 3.7% 8.8% 2.6% 16.1% 4.3% 0.3% 254.9M -4.72B -35.9M 1.66 1.76 N/A N/A 104,284 173,370 1,458,325 2,546,491 2016-08-05 $116.78 $110.00 11.1% 3.5% 7.9% 0.0% 14.1% 3.5% 0.4% 294.3M -6.73B -34.3M 1.25 1.76 N/A N/A 197,382 247,214 1,473,567 2,599,618 2016-08-08 $116.58 $110.00 11.7% 3.5% 7.9% 2.1% 14.3% 3.9% 0.4% 265.9M -5.20B -34.3M 1.34 1.92 N/A N/A 138,663 185,366 1,388,613 2,475,473 2016-08-09 $116.90 $110.00 11.7% 3.6% 7.9% 1.9% 13.7% 4.0% 0.7% 356.1M -5.77B -34.8M 1.98 1.60 N/A N/A 118,629 234,884 1,454,564 2,544,919 2016-08-10 $116.59 $111.00 12.3% 3.6% 8.0% 4.2% 14.5% 4.2% 0.4% 150.5M -4.69B -37.4M 1.94 1.66 N/A N/A 160,161 310,517 1,486,335 2,651,793 2016-08-11 $117.20 $111.00 12.0% 3.6% 7.9% 3.3% 13.6% 4.0% 0.8% 247.5M -5.52B -39.5M 1.87 1.66 N/A N/A 119,811 224,229 1,496,707 2,814,025 2016-08-12 $117.18 $112.00 11.7% 3.5% 7.8% 2.2% 13.7% 4.0% 0.8% 93.3M -5.29B -40.1M 1.85 1.95 N/A N/A 161,197 298,048 1,533,197 2,882,457 2016-08-15 $117.71 $112.00 11.9% 3.5% 7.6% 3.0% 14.8% 4.3% 0.9% 286.9M -5.97B -39.1M 2.18 1.77 N/A N/A 102,000 222,829 1,508,038 2,798,948 2016-08-16 $117.11 $112.00 13.0% 3.7% 7.7% 6.9% 13.9% 4.5% 0.5% 101.5M -4.69B -40.0M 1.56 1.68 N/A N/A 131,958 205,794 1,519,092 2,870,312 2016-08-17 $117.21 $112.00 13.0% 3.7% 6.5% 6.9% 14.1% 4.4% 0.5% 168.8M -4.83B -40.0M 1.78 2.95 N/A N/A 128,399 228,645 1,555,835 2,891,003 2016-08-18 $117.31 $112.00 12.4% 3.5% 6.2% 4.9% 15.1% 4.2% 0.4% 204.1M -5.11B -39.9M 1.58 4.08 N/A N/A 113,293 179,436 1,598,003 2,948,362 2016-08-19 $117.26 $113.00 11.7% 3.3% 6.2% 2.0% 12.3% 4.1% 0.4% 94.1M -5.04B -38.9M 1.53 1.82 N/A N/A 172,108 263,998 1,612,267 3,030,184 2016-08-22 $117.28 $113.00 11.8% 3.2% 6.2% 2.7% 12.0% 4.7% 0.7% 66.3M -2.66B -38.3M 1.54 1.58 N/A N/A 140,670 217,187 1,261,906 2,334,133 2016-08-23 $117.57 $113.00 12.2% 3.3% 6.2% 3.9% 13.1% 4.7% -0.2% 155.5M -3.32B -37.9M 2.08 1.83 N/A N/A 106,668 222,333 1,309,389 2,385,099 2016-08-24 $116.78 $113.00 13.1% 3.6% 6.5% 9.2% 12.4% 5.2% 0.1% -68.1M -1.81B -39.4M 1.55 2.02 N/A N/A 196,837 304,945 1,338,327 2,442,945 2016-08-25 $116.56 $114.00 13.7% 3.8% 6.5% 12.5% 14.3% 5.3% -0.6% -90.7M -1.12B -41.7M 1.70 1.67 N/A N/A 155,419 264,978 1,452,350 2,544,595 2016-08-26 $116.79 $114.00 13.1% 3.6% 6.5% 9.7% 14.3% 5.4% 0.1% -86.0M -1.69B -41.6M 1.40 1.60 N/A N/A 280,477 392,128 1,514,568 2,621,653 2016-08-29 $116.96 $114.00 12.7% 3.5% 6.4% 7.6% 13.4% 5.1% 0.3% -67.1M -2.01B -39.9M 1.89 1.67 N/A N/A 84,718 160,412 1,427,416 2,556,873 2016-08-30 $116.49 $114.00 13.3% 3.5% 6.0% 10.4% 12.8% 5.0% -0.2% -225.4M -1.04B -40.1M 1.69 1.89 N/A N/A 111,981 188,783 1,446,416 2,600,605 2016-08-31 $116.49 $114.50 13.7% 3.6% 6.0% 12.4% 13.3% 5.0% -0.3% -214.9M -1.15B -40.1M 1.73 1.58 N/A N/A 120,406 207,835 1,483,544 2,649,458
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