QQQ Options History — September 2016 In September 2016, QQQ traded between $114.67 and $119.15. ATM implied volatility averaged 13.7%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.4% (HV 20d: 11.3%). Max pain ranged from $114.00 to $117.50. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.83.
Notable Days 2016-09-09 : Highest Volume — 835,035 contracts2016-09-09 : Largest IV spike — 32.1% change2016-09-13 : Highest IV Rank — 29.7%2016-09-13 : Largest Expected Move — 4.8%Monthly Statistics Metric Avg Min Max Open Close Price $117.38 $114.67 $119.15 $116.66 $118.93 Max Pain $116.69 $114.00 $117.50 $114.00 $117.50 ATM IV 13.7% 11.6% 16.9% 13.3% 12.8% Expected Move 3.9% 3.1% 4.8% 3.7% 3.4% HV 20d 11.3% 4.9% 14.9% 5.9% 14.9% HV 60d 12.9% 10.5% 15.0% 14.1% 10.6% IV Rank 13.4% 2.5% 29.7% 11.0% 8.9% IV Percentile 21.0% 0.4% 56.0% 12.3% 10.3% Term Structure 0.4% -0.2% 0.8% 0.6% 0.5% VWIV 14.4% 10.8% 17.2% 13.2% 12.7% Skew 25d 5.1% 4.2% 6.2% 5.1% 4.9% Skew 10d 10.0% 8.6% 11.9% 9.9% 9.8% Call IV 25d 11.5% 9.9% 14.2% 11.3% 10.6% Put IV 25d 16.6% 14.1% 20.4% 16.4% 15.4% Bid-Ask Spread % 1.77 1.48 1.98 1.67 1.74 Gamma HHI 0.08 0.05 0.28 0.05 0.26 Net GEX 61.7M -385.5M 925.3M -54.1M 925.3M Net DEX -867.1M -4.10B 3.74B -1.66B -2.09B Net VEX -39.5M -42.7M -37.2M -40.8M -41.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.83 1.01 3.00 1.23 2.01 Total Volume 508,734.095 331,039 835,035 404,849 499,075 Total OI 4,107,066.667 3,304,695 4,669,806 4,298,106 4,131,648
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 2016-09-01 $116.66 $114.00 13.3% 3.7% 5.9% 11.0% 13.2% 5.1% 0.6% -54.1M -1.66B -40.8M 1.23 1.67 N/A N/A 181,893 222,956 1,583,510 2,714,596 2016-09-02 $117.05 $114.50 12.3% 3.1% 4.9% 5.7% 10.8% 4.5% 0.4% 897.7M -2.89B -39.0M 1.13 1.48 N/A N/A 293,773 333,374 1,615,378 2,775,957 2016-09-06 $117.76 $116.00 12.0% 3.7% 5.3% 4.3% 15.0% 4.8% 0.4% 225.0M -4.00B -37.6M 1.65 1.57 N/A N/A 125,044 205,995 1,539,287 2,718,197 2016-09-07 $117.86 $117.00 11.6% 3.5% 5.2% 2.5% 15.0% 4.5% 0.3% 180.2M -4.10B -37.2M 2.33 1.67 N/A N/A 118,148 274,903 1,570,422 2,774,857 2016-09-08 $117.29 $117.00 11.9% 3.7% 5.5% 4.2% 14.0% 4.6% 0.2% -58.8M -2.51B -37.5M 1.51 1.87 N/A N/A 135,367 204,812 1,591,772 2,823,039 2016-09-09 $114.67 $117.00 15.8% 4.4% 9.5% 24.0% 16.0% 5.7% -0.2% -385.5M 3.74B -38.8M 1.52 1.64 N/A N/A 330,919 504,116 1,626,551 2,866,407 2016-09-12 $116.38 $116.00 14.1% 4.2% 11.1% 15.2% 15.5% 5.4% 0.6% -64.9M -565.3M -37.2M 1.57 1.86 N/A N/A 234,767 369,561 1,549,474 2,772,251 2016-09-13 $115.11 $116.00 16.9% 4.8% 11.5% 29.7% 16.7% 6.2% 0.0% -270.4M 2.28B -38.7M 2.13 1.84 N/A N/A 170,385 362,747 1,594,762 2,834,792 2016-09-14 $115.86 $117.00 16.2% 4.7% 11.7% 26.3% 17.2% 6.1% 0.0% -120.2M 866.5M -38.7M 1.57 1.96 N/A N/A 192,611 302,346 1,637,812 2,896,834 2016-09-15 $117.73 $117.00 14.6% 4.1% 13.1% 17.9% 16.4% 5.5% -0.2% 245.9M -3.06B -39.7M 1.01 1.72 N/A N/A 341,266 345,499 1,675,683 2,994,123 2016-09-16 $117.39 $117.00 14.0% 4.1% 13.2% 14.9% 13.7% 5.1% 0.5% 164.0M 883.6M -38.9M 1.26 1.73 N/A N/A 239,495 301,152 1,419,555 3,083,010 2016-09-19 $116.86 $117.00 14.6% 4.2% 13.3% 17.7% 15.1% 5.5% 0.4% -188.4M 660.1M -38.7M 1.93 1.72 N/A N/A 144,024 277,762 1,142,389 2,162,306 2016-09-20 $117.16 $117.00 15.1% 4.3% 13.3% 20.6% 15.3% 5.6% 0.4% -189.2M 475.3M -39.4M 1.76 1.67 N/A N/A 123,994 218,252 1,173,862 2,249,467 2016-09-21 $118.25 $117.00 13.4% 3.9% 13.7% 11.9% 14.6% 5.0% 0.5% -10.0M -1.19B -38.7M 2.28 1.95 N/A N/A 175,281 399,277 1,191,971 2,318,661 2016-09-22 $119.15 $117.00 12.0% 3.4% 13.7% 4.7% 12.8% 4.3% 0.8% 328.4M -2.88B -39.0M 1.30 1.98 N/A N/A 269,047 349,090 1,258,150 2,484,813 2016-09-23 $118.35 $117.00 12.2% 3.4% 13.9% 5.4% 12.3% 4.2% 0.8% -41.0M -1.12B -40.8M 3.00 1.98 N/A N/A 131,596 394,769 1,325,155 2,597,554 2016-09-26 $117.37 $117.50 14.5% 4.1% 14.3% 17.7% 15.5% 5.3% 0.4% -302.2M 1.20B -42.5M 2.61 1.76 N/A N/A 132,984 347,151 1,248,270 2,519,156 2016-09-27 $118.51 $117.00 13.4% 3.7% 14.6% 11.5% 13.5% 4.7% 0.4% 41.9M -1.07B -41.2M 2.50 1.73 N/A N/A 119,946 299,740 1,301,291 2,540,484 2016-09-28 $118.64 $117.50 13.3% 3.6% 14.5% 11.1% 12.5% 4.7% 0.5% 139.1M -1.25B -41.2M 1.84 1.76 N/A N/A 160,258 294,902 1,328,572 2,576,515 2016-09-29 $118.00 $117.50 14.4% 4.0% 14.7% 17.0% 15.4% 5.4% 0.3% -166.8M 68.8M -42.7M 2.32 1.93 N/A N/A 166,994 388,145 1,396,599 2,643,268 2016-09-30 $118.93 $117.50 12.8% 3.4% 14.9% 8.9% 12.7% 4.9% 0.5% 925.3M -2.09B -41.6M 2.01 1.74 N/A N/A 165,685 333,390 1,416,219 2,715,429
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