QQQ Options History — November 2016

In November 2016, QQQ traded between $113.62 and $118.93. ATM implied volatility averaged 15.6%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.9% (HV 20d: 13.7%). Max pain ranged from $116.00 to $118.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.29.

Notable Days

2016-11-10: Highest Volume — 979,466 contracts
2016-11-07: Largest IV drop — 15.8% change
2016-11-04: Highest IV Rank — 48.0%
2016-11-02: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$116.87	$113.62	$118.93	$116.07	$117.73
Max Pain	$116.38	$116.00	$118.00	$118.00	$117.00
ATM IV	15.6%	12.5%	20.4%	18.1%	13.4%
Expected Move	4.6%	3.7%	5.9%	5.8%	4.1%
HV 20d	13.7%	9.8%	15.4%	9.8%	15.0%
HV 60d	12.4%	10.6%	13.3%	10.6%	13.3%
IV Rank	23.1%	7.3%	48.0%	36.0%	11.5%
IV Percentile	45.0%	9.1%	82.9%	76.2%	21.4%
Term Structure	0.0%	-0.7%	1.1%	-0.3%	0.0%
VWIV	17.1%	13.3%	21.8%	20.9%	15.0%
Skew 25d	5.3%	3.8%	7.7%	6.2%	3.9%
Skew 10d	10.5%	7.9%	14.3%	12.0%	8.0%
Call IV 25d	13.4%	11.2%	17.0%	15.2%	11.6%
Put IV 25d	18.7%	15.0%	24.7%	21.4%	15.6%
Bid-Ask Spread %	1.63	1.23	1.94	1.94	1.53
Gamma HHI	0.07	0.05	0.12	0.05	0.08
Net GEX	-98.1M	-698.1M	483.2M	-548.9M	55.7M
Net DEX	1.21B	-2.94B	7.31B	3.81B	-168.8M
Net VEX	-35.1M	-37.7M	-32.1M	-36.9M	-32.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.29	0.88	1.76	1.38	1.43
Total Volume	462,822.19	263,590	979,466	439,876	436,392
Total OI	3,956,069.143	3,586,951	4,566,130	3,586,951	3,793,003

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
2016-11-01	$116.07	$118.00	18.1%	5.8%	9.8%	36.0%	20.9%	6.2%	-0.3%	-548.9M	3.81B	-36.9M	1.38	1.94	N/A	N/A	184,624	255,252	1,249,009	2,337,942
2016-11-02	$115.36	$118.00	18.2%	5.9%	9.8%	36.7%	21.8%	6.2%	-0.2%	-593.7M	4.80B	-36.2M	1.58	1.67	N/A	N/A	170,989	269,448	1,297,604	2,363,248
2016-11-03	$114.00	$116.00	19.9%	5.7%	10.5%	45.3%	21.3%	7.1%	-0.5%	-698.1M	6.96B	-36.5M	1.26	1.74	N/A	N/A	224,784	283,860	1,377,217	2,439,002
2016-11-04	$113.62	$116.00	20.4%	5.7%	10.5%	48.0%	21.0%	7.7%	-0.6%	-647.4M	7.31B	-36.5M	1.37	1.47	N/A	N/A	171,819	235,103	1,480,730	2,467,613
2016-11-07	$116.21	$116.00	17.2%	5.0%	13.4%	31.3%	17.9%	6.8%	0.3%	-316.5M	2.82B	-35.6M	1.76	1.60	N/A	N/A	190,704	335,173	1,369,245	2,339,430
2016-11-08	$117.40	$116.00	16.6%	5.0%	12.8%	28.4%	17.7%	6.8%	0.7%	-91.2M	783.2M	-37.1M	1.17	1.76	N/A	N/A	222,512	261,164	1,455,415	2,418,678
2016-11-09	$117.45	$116.00	14.9%	4.6%	12.8%	19.4%	17.6%	5.6%	1.1%	-88.1M	343.0M	-36.3M	1.24	1.89	N/A	N/A	324,932	403,131	1,546,793	2,511,390
2016-11-10	$115.65	$116.00	16.6%	4.9%	13.9%	28.4%	18.5%	6.2%	0.4%	-489.9M	3.72B	-36.2M	1.73	1.72	N/A	N/A	359,429	620,037	1,589,950	2,540,570
2016-11-11	$115.75	$117.00	16.5%	4.9%	13.8%	27.8%	18.6%	5.7%	0.6%	-468.1M	3.79B	-37.7M	1.25	1.78	N/A	N/A	268,745	335,401	1,685,873	2,717,463
2016-11-14	$114.57	$116.00	17.3%	5.0%	14.2%	31.8%	18.3%	5.9%	-0.1%	-693.7M	5.62B	-36.1M	1.12	1.79	N/A	N/A	233,293	261,860	1,562,547	2,612,848
2016-11-15	$116.46	$116.00	16.3%	4.7%	15.1%	26.5%	16.9%	5.1%	-0.7%	-256.6M	1.52B	-36.1M	0.93	1.66	N/A	N/A	279,487	259,370	1,626,850	2,627,727
2016-11-16	$116.91	$116.00	15.7%	4.5%	15.2%	23.4%	16.8%	4.9%	-0.1%	36.6M	207.3M	-36.0M	1.26	1.41	N/A	N/A	149,787	189,296	1,699,582	2,649,779
2016-11-17	$117.71	$116.00	14.7%	4.2%	15.4%	18.6%	16.5%	4.5%	0.2%	265.8M	-1.48B	-35.5M	1.46	1.23	N/A	N/A	181,506	264,107	1,741,128	2,705,742
2016-11-18	$117.46	$116.00	14.7%	4.3%	15.3%	18.3%	16.0%	4.4%	-0.5%	316.4M	-877.4M	-34.9M	1.39	1.23	N/A	N/A	185,245	257,234	1,776,863	2,789,267
2016-11-21	$118.50	$116.00	13.2%	3.8%	15.1%	10.9%	14.3%	4.2%	-0.0%	371.5M	-2.30B	-33.5M	1.54	1.55	N/A	N/A	139,875	215,975	1,390,495	2,232,662
2016-11-22	$118.93	$116.00	12.9%	3.7%	15.2%	9.0%	14.8%	4.1%	0.1%	483.2M	-2.94B	-33.5M	1.12	1.41	N/A	N/A	173,756	195,456	1,415,206	2,314,285
2016-11-23	$118.33	$116.00	12.6%	3.7%	15.2%	7.7%	13.3%	3.9%	0.0%	271.0M	-1.93B	-33.4M	1.05	1.70	N/A	N/A	173,086	181,708	1,462,575	2,297,883
2016-11-25	$118.80	$116.00	12.5%	3.7%	15.1%	7.3%	13.9%	3.8%	0.0%	476.7M	-2.61B	-33.4M	1.11	1.93	N/A	N/A	129,027	143,139	1,483,202	2,343,734
2016-11-28	$118.54	$117.00	13.2%	4.0%	14.9%	10.5%	13.4%	4.1%	0.1%	254.9M	-1.73B	-32.5M	0.88	1.61	N/A	N/A	153,328	135,642	1,382,562	2,250,864
2016-11-29	$118.81	$117.00	12.8%	3.9%	14.9%	8.7%	14.0%	4.2%	0.2%	301.0M	-2.31B	-32.1M	1.02	1.65	N/A	N/A	130,727	132,863	1,432,653	2,298,823
2016-11-30	$117.73	$117.00	13.4%	4.1%	15.0%	11.5%	15.0%	3.9%	0.0%	55.7M	-168.8M	-32.2M	1.43	1.53	N/A	N/A	179,922	256,470	1,463,289	2,329,714