QQQ Options History — October 2016 In October 2016, QQQ traded between $116.89 and $119.43. ATM implied volatility averaged 14.7%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.4% (HV 20d: 11.3%). Max pain ranged from $117.50 to $119.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.96.
Notable Days 2016-10-28 : Highest Volume — 743,258 contracts2016-10-11 : Largest IV spike — 16.0% change2016-10-31 : Highest IV Rank — 29.9%2016-10-31 : Largest Expected Move — 5.3%Monthly Statistics Metric Avg Min Max Open Close Price $118.06 $116.89 $119.43 $118.60 $117.04 Max Pain $118.17 $117.50 $119.00 $117.50 $118.00 ATM IV 14.7% 13.0% 16.9% 13.6% 16.9% Expected Move 4.3% 3.4% 5.3% 3.6% 5.3% HV 20d 11.3% 9.5% 15.0% 15.0% 9.5% HV 60d 10.4% 10.1% 10.7% 10.2% 10.5% IV Rank 18.3% 9.4% 29.9% 12.5% 29.9% IV Percentile 36.7% 10.7% 66.3% 21.0% 66.3% Term Structure 0.3% -0.6% 1.6% 1.2% -0.1% VWIV 15.6% 12.9% 18.9% 14.5% 18.9% Skew 25d 5.2% 4.5% 5.9% 5.2% 5.9% Skew 10d 10.1% 9.1% 11.1% 10.4% 10.6% Call IV 25d 12.4% 10.9% 14.4% 11.3% 14.4% Put IV 25d 17.6% 15.5% 20.3% 16.5% 20.3% Bid-Ask Spread % 1.61 1.45 1.97 1.97 1.46 Gamma HHI 0.06 0.05 0.12 0.05 0.05 Net GEX -242.0M -872.2M 176.9M 1.0M -389.7M Net DEX 629.0M -1.85B 3.16B -800.9M 2.33B Net VEX -38.0M -41.4M -33.4M -41.1M -36.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.96 1.48 2.89 2.89 1.53 Total Volume 400,140.524 251,972 743,258 391,017 251,972 Total OI 3,845,270.19 3,285,255 4,128,280 3,682,183 3,513,208
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 2016-10-03 $118.60 $117.50 13.6% 3.6% 15.0% 12.5% 14.5% 5.2% 1.2% 1.0M -800.9M -41.1M 2.89 1.97 N/A N/A 100,584 290,433 1,263,535 2,418,648 2016-10-04 $118.37 $117.50 14.1% 3.8% 14.8% 15.1% 14.1% 5.3% 1.2% -87.5M -363.7M -41.4M 2.29 1.95 N/A N/A 148,986 341,700 1,284,443 2,488,962 2016-10-05 $118.81 $117.50 13.3% 3.4% 14.9% 11.2% 12.9% 5.0% 1.5% 60.8M -1.19B -40.9M 2.66 1.80 N/A N/A 112,303 299,179 1,328,857 2,547,923 2016-10-06 $118.80 $118.00 13.2% 4.2% 14.8% 10.6% 15.5% 4.8% 1.5% 15.5M -930.7M -41.0M 2.34 1.54 N/A N/A 105,483 246,500 1,365,958 2,641,835 2016-10-07 $118.49 $118.00 13.7% 4.3% 12.1% 13.3% 15.0% 4.8% 1.6% -135.9M -285.2M -41.4M 2.05 1.45 N/A N/A 147,487 301,783 1,387,138 2,677,470 2016-10-10 $119.28 $119.00 13.6% 4.1% 11.2% 12.5% 14.4% 5.2% 0.5% 176.9M -1.85B -39.3M 2.37 1.61 N/A N/A 89,678 212,314 1,327,004 2,547,765 2016-10-11 $117.43 $119.00 15.7% 4.6% 12.0% 23.8% 16.4% 5.8% 0.3% -474.6M 2.25B -40.6M 1.80 1.59 N/A N/A 174,933 314,934 1,324,805 2,610,068 2016-10-12 $117.53 $119.00 15.9% 4.4% 11.8% 24.8% 15.5% 5.8% -0.6% -334.8M 1.75B -40.4M 2.01 1.54 N/A N/A 89,928 181,076 1,389,895 2,645,997 2016-10-13 $117.03 $119.00 16.5% 4.7% 10.4% 27.9% 17.4% 5.4% -0.2% -540.1M 2.74B -40.1M 1.93 1.68 N/A N/A 149,852 289,311 1,404,768 2,656,051 2016-10-14 $117.34 $119.00 15.7% 4.5% 10.4% 23.4% 15.9% 5.4% 0.3% -356.4M 1.93B -39.1M 1.64 1.52 N/A N/A 187,293 307,565 1,418,664 2,696,201 2016-10-17 $116.89 $118.00 16.2% 4.6% 10.4% 26.3% 17.0% 5.8% -0.5% -536.0M 2.67B -37.7M 1.58 1.52 N/A N/A 100,869 159,058 1,318,978 2,574,291 2016-10-18 $117.99 $118.00 15.3% 4.4% 10.9% 21.7% 14.7% 5.3% -0.4% -111.3M 360.6M -36.5M 1.48 1.46 N/A N/A 134,753 199,564 1,357,639 2,583,128 2016-10-19 $117.92 $118.00 14.7% 4.2% 10.3% 18.3% 14.6% 5.1% -0.4% -222.6M 611.9M -36.0M 1.69 1.49 N/A N/A 116,667 197,340 1,395,431 2,637,101 2016-10-20 $117.71 $118.00 14.4% 4.1% 9.9% 16.8% 15.4% 4.8% -0.0% -392.3M 1.19B -35.8M 1.99 1.67 N/A N/A 117,885 234,139 1,438,656 2,667,945 2016-10-21 $118.11 $118.00 13.8% 4.0% 9.8% 13.9% 16.5% 4.6% -0.3% -244.0M -73.2M -34.5M 2.18 1.48 N/A N/A 155,029 337,554 1,454,330 2,673,950 2016-10-24 $119.43 $118.00 13.0% 3.8% 10.0% 9.4% 15.0% 4.5% 0.4% 76.7M -1.33B -33.4M 1.87 1.53 N/A N/A 120,705 226,118 1,099,773 2,185,482 2016-10-25 $119.05 $118.00 13.6% 4.0% 9.6% 12.6% 15.1% 4.6% 0.3% -7.9M -769.8M -34.1M 1.91 1.77 N/A N/A 125,500 240,137 1,150,291 2,276,546 2016-10-26 $118.52 $118.00 14.0% 4.2% 9.7% 14.7% 16.1% 4.7% 0.3% -224.3M 254.5M -34.9M 1.55 1.74 N/A N/A 166,948 258,704 1,225,934 2,332,961 2016-10-27 $117.86 $118.00 14.8% 4.5% 9.7% 19.0% 15.6% 4.9% 0.3% -483.3M 1.57B -35.8M 1.49 1.52 N/A N/A 170,961 254,468 1,243,448 2,411,966 2016-10-28 $117.09 $118.00 16.1% 4.9% 9.5% 25.8% 17.3% 5.5% 0.0% -872.2M 3.16B -36.5M 1.87 1.56 N/A N/A 258,568 484,690 1,311,874 2,471,755 2016-10-31 $117.04 $118.00 16.9% 5.3% 9.5% 29.9% 18.9% 5.9% -0.1% -389.7M 2.33B -36.8M 1.53 1.46 N/A N/A 99,658 152,314 1,214,125 2,299,083
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