QQQ Options History — December 2016

In December 2016, QQQ traded between $115.37 and $121.00. ATM implied volatility averaged 13.4%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 0.3% (HV 20d: 13.6%). Max pain ranged from $115.00 to $119.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.39.

Notable Days

2016-12-13: Highest Volume — 970,723 contracts
2016-12-28: Largest IV spike — 8.7% change
2016-12-30: Highest IV Rank — 22.2%
2016-12-01: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$119.09	$115.37	$121.00	$115.37	$118.35
Max Pain	$117.14	$115.00	$119.00	$117.00	$119.00
ATM IV	13.4%	12.2%	15.4%	15.2%	15.4%
Expected Move	3.9%	3.5%	4.9%	4.9%	4.1%
HV 20d	13.6%	11.3%	16.6%	16.6%	11.3%
HV 60d	12.8%	12.5%	13.9%	13.9%	12.8%
IV Rank	11.5%	5.3%	22.2%	21.2%	22.2%
IV Percentile	21.8%	5.6%	54.4%	44.0%	54.4%
Term Structure	0.4%	-0.2%	0.9%	-0.1%	0.4%
VWIV	14.1%	12.7%	17.2%	17.2%	14.8%
Skew 25d	3.6%	2.8%	4.9%	4.9%	4.5%
Skew 10d	6.8%	5.2%	9.4%	9.4%	8.7%
Call IV 25d	12.0%	10.8%	13.5%	13.4%	13.5%
Put IV 25d	15.6%	13.7%	18.3%	18.3%	18.0%
Bid-Ask Spread %	1.75	1.43	2.22	1.43	1.95
Gamma HHI	0.09	0.06	0.13	0.07	0.06
Net GEX	342.2M	-505.1M	1.21B	-469.6M	-363.4M
Net DEX	-1.48B	-6.41B	4.20B	4.20B	3.26B
Net VEX	-32.3M	-34.6M	-30.4M	-32.8M	-32.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.39	0.61	2.78	1.63	2.78
Total Volume	443,330.762	207,061	970,723	789,927	715,613
Total OI	4,024,511.714	3,531,148	4,822,869	3,886,238	3,890,199

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
2016-12-01	$115.37	$117.00	15.2%	4.9%	16.6%	21.2%	17.2%	4.9%	-0.1%	-469.6M	4.20B	-32.8M	1.63	1.43	N/A	N/A	300,350	489,577	1,498,347	2,387,891
2016-12-02	$115.62	$117.00	14.9%	4.7%	16.0%	19.6%	17.0%	4.8%	-0.0%	-505.1M	3.74B	-33.0M	1.10	1.56	N/A	N/A	240,234	263,546	1,585,072	2,478,030
2016-12-05	$116.63	$115.00	13.8%	4.0%	16.2%	13.7%	14.5%	4.5%	0.4%	-198.9M	1.55B	-31.7M	1.40	1.65	N/A	N/A	154,662	216,789	1,488,270	2,402,794
2016-12-06	$116.76	$115.00	13.0%	3.9%	14.1%	9.5%	14.4%	4.2%	0.5%	-87.3M	1.24B	-31.9M	1.32	1.59	N/A	N/A	110,737	145,906	1,531,043	2,472,942
2016-12-07	$118.36	$115.00	12.9%	3.9%	14.5%	9.2%	14.9%	3.6%	0.4%	410.4M	-2.23B	-31.1M	1.24	1.85	N/A	N/A	233,703	290,871	1,559,683	2,500,812
2016-12-08	$118.55	$115.00	12.9%	3.8%	14.5%	9.1%	14.3%	3.3%	0.4%	386.8M	-2.31B	-32.3M	0.86	1.78	N/A	N/A	221,147	190,765	1,589,701	2,622,537
2016-12-09	$119.41	$115.00	12.4%	3.8%	13.4%	6.6%	13.3%	2.9%	0.5%	665.9M	-4.20B	-30.8M	0.65	1.86	N/A	N/A	366,738	237,793	1,623,278	2,661,783
2016-12-12	$118.87	$116.00	13.2%	3.9%	13.5%	10.9%	14.1%	3.6%	0.2%	436.9M	-2.56B	-31.0M	1.36	1.90	N/A	N/A	155,049	211,461	1,660,803	2,543,070
2016-12-13	$120.79	$116.00	13.7%	4.0%	13.8%	13.2%	14.5%	3.3%	0.1%	964.0M	-6.41B	-30.5M	0.61	1.93	N/A	N/A	603,508	367,215	1,687,378	2,585,823
2016-12-14	$120.53	$117.00	13.8%	3.9%	12.9%	13.5%	14.3%	3.3%	-0.2%	1.02B	-5.75B	-34.6M	1.04	2.22	N/A	N/A	235,264	244,685	1,907,242	2,767,667
2016-12-15	$120.55	$117.00	13.3%	3.8%	12.8%	11.1%	14.4%	2.9%	-0.1%	1.21B	-5.99B	-34.1M	0.95	1.65	N/A	N/A	261,619	248,757	1,984,200	2,838,669
2016-12-16	$119.52	$118.00	12.8%	3.6%	13.2%	8.5%	13.4%	3.0%	-0.2%	158.7M	-278.1M	-33.5M	1.77	1.55	N/A	N/A	188,308	334,254	1,723,618	2,901,777
2016-12-19	$119.94	$118.00	12.4%	3.6%	13.1%	6.7%	13.2%	2.9%	0.7%	440.4M	-1.76B	-32.9M	1.69	1.63	N/A	N/A	167,312	283,175	1,433,012	2,098,136
2016-12-20	$120.50	$118.00	12.2%	3.5%	12.9%	5.3%	12.7%	2.9%	0.8%	619.6M	-2.82B	-32.3M	0.98	1.71	N/A	N/A	115,808	113,098	1,481,474	2,186,986
2016-12-21	$120.50	$118.00	12.2%	3.5%	12.9%	5.4%	13.1%	2.8%	0.9%	610.8M	-2.89B	-32.9M	2.28	1.75	N/A	N/A	78,820	180,063	1,506,186	2,207,008
2016-12-22	$119.96	$118.00	12.4%	3.5%	12.8%	6.7%	13.1%	2.9%	0.9%	449.3M	-1.55B	-33.4M	1.44	1.80	N/A	N/A	98,932	142,167	1,523,893	2,242,411
2016-12-23	$120.12	$119.00	12.4%	3.5%	12.8%	6.5%	12.8%	3.0%	0.9%	328.0M	-1.77B	-33.0M	1.26	2.01	N/A	N/A	91,446	115,615	1,543,561	2,278,626
2016-12-27	$121.00	$119.00	12.9%	3.5%	12.9%	9.3%	12.8%	3.3%	0.6%	730.9M	-3.70B	-30.4M	1.26	1.73	N/A	N/A	109,046	137,831	1,466,451	2,150,963
2016-12-28	$119.86	$119.00	14.1%	3.8%	13.5%	15.1%	13.7%	4.1%	0.5%	348.7M	-998.9M	-31.1M	2.33	1.66	N/A	N/A	98,119	228,447	1,492,158	2,188,772
2016-12-29	$119.67	$119.00	14.6%	3.9%	13.0%	17.7%	13.7%	4.3%	0.4%	26.1M	172.1M	-32.2M	1.31	1.56	N/A	N/A	139,409	182,107	1,509,975	2,312,505
2016-12-30	$118.35	$119.00	15.4%	4.1%	11.3%	22.2%	14.8%	4.5%	0.4%	-363.4M	3.26B	-32.1M	2.78	1.95	N/A	N/A	189,109	526,504	1,525,344	2,364,855