QQQ Options History — January 2017

In January 2017, QQQ traded between $119.29 and $125.67. ATM implied volatility averaged 12.3%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 2.6% (HV 20d: 9.6%). Max pain ranged from $119.00 to $124.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.59.

Notable Days

2017-01-06: Highest Volume — 604,581 contracts
2017-01-30: Largest IV spike — 12.6% change
2017-01-03: Highest IV Rank — 19.4%
2017-01-05: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$123.09	$119.29	$125.67	$119.29	$124.56
Max Pain	$121.45	$119.00	$124.00	$119.00	$124.00
ATM IV	12.3%	10.4%	14.9%	14.9%	11.8%
Expected Move	3.5%	2.9%	4.0%	3.9%	3.4%
HV 20d	9.6%	7.1%	11.6%	11.6%	7.1%
HV 60d	12.6%	12.2%	13.0%	12.9%	12.2%
IV Rank	6.7%	0.0%	19.4%	19.4%	7.3%
IV Percentile	11.5%	0.0%	46.4%	46.4%	6.0%
Term Structure	0.3%	0.0%	0.6%	0.2%	0.3%
VWIV	12.9%	10.8%	15.9%	14.7%	12.6%
Skew 25d	3.4%	2.3%	4.5%	4.5%	3.4%
Skew 10d	6.7%	4.4%	8.5%	8.5%	6.7%
Call IV 25d	10.9%	9.3%	13.1%	13.1%	10.5%
Put IV 25d	14.3%	11.6%	17.6%	17.6%	13.9%
Bid-Ask Spread %	1.45	1.24	1.63	1.62	1.63
Gamma HHI	0.08	0.05	0.12	0.05	0.06
Net GEX	234.9M	-393.4M	594.6M	-393.4M	-51.4M
Net DEX	-3.32B	-5.53B	1.37B	1.37B	-1.51B
Net VEX	-28.3M	-31.4M	-26.1M	-31.4M	-31.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.59	1.22	2.12	1.75	1.35
Total Volume	378,143.85	245,323	604,581	365,292	357,515
Total OI	3,394,504.7	2,431,884	3,971,190	3,448,776	2,966,055

Daily Data (20 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
2017-01-03	$119.29	$119.00	14.9%	3.9%	11.6%	19.4%	14.7%	4.5%	0.2%	-393.4M	1.37B	-31.4M	1.75	1.62	N/A	N/A	132,981	232,311	1,188,015	2,260,761
2017-01-04	$120.30	$119.00	13.8%	3.5%	11.6%	13.5%	13.2%	3.9%	0.4%	-70.4M	-791.9M	-30.4M	2.12	1.62	N/A	N/A	108,061	229,354	1,231,900	2,296,104
2017-01-05	$120.94	$120.00	13.3%	4.0%	11.6%	11.2%	15.9%	3.7%	0.3%	123.4M	-2.02B	-29.5M	1.83	1.34	N/A	N/A	158,342	290,409	1,268,389	2,352,442
2017-01-06	$122.06	$120.00	12.7%	3.8%	11.1%	7.8%	13.5%	3.0%	0.4%	594.6M	-4.72B	-28.1M	1.30	1.46	N/A	N/A	263,001	341,580	1,330,658	2,432,673
2017-01-09	$122.45	$120.00	12.9%	3.9%	11.1%	9.2%	14.2%	3.5%	0.6%	495.8M	-4.43B	-28.0M	1.23	1.38	N/A	N/A	135,008	166,664	1,251,025	2,330,464
2017-01-10	$122.67	$120.00	13.0%	3.8%	10.9%	9.5%	13.9%	3.3%	0.2%	535.5M	-4.71B	-28.5M	2.04	1.39	N/A	N/A	115,885	236,661	1,304,372	2,386,728
2017-01-11	$122.86	$121.00	12.7%	3.8%	10.7%	8.2%	13.9%	3.3%	0.4%	410.8M	-4.86B	-28.3M	1.91	1.31	N/A	N/A	133,398	255,239	1,310,454	2,484,534
2017-01-12	$122.68	$121.00	12.6%	3.7%	9.3%	7.6%	13.1%	3.5%	0.2%	335.0M	-4.60B	-28.5M	1.48	1.36	N/A	N/A	169,094	249,913	1,338,692	2,574,919
2017-01-13	$123.22	$121.00	12.3%	3.6%	9.3%	5.8%	12.4%	3.2%	0.5%	438.0M	-5.53B	-27.9M	1.36	1.24	N/A	N/A	175,713	238,819	1,333,487	2,637,703
2017-01-17	$122.70	$122.00	12.6%	3.6%	9.5%	7.3%	13.1%	3.9%	0.4%	242.0M	-3.56B	-28.1M	1.43	1.55	N/A	N/A	118,813	170,447	1,261,319	2,456,880
2017-01-18	$123.00	$122.00	12.3%	3.5%	8.9%	6.0%	13.3%	3.8%	0.1%	265.2M	-4.07B	-27.8M	1.80	1.27	N/A	N/A	87,574	157,749	1,284,276	2,491,745
2017-01-19	$122.97	$122.00	12.6%	3.6%	8.8%	7.7%	13.2%	3.7%	0.0%	244.9M	-4.08B	-27.9M	1.54	1.42	N/A	N/A	147,528	226,932	1,300,300	2,564,074
2017-01-20	$123.14	$122.00	11.7%	3.3%	8.7%	2.9%	11.7%	3.5%	0.1%	232.1M	-4.58B	-27.3M	1.41	1.42	N/A	N/A	167,830	236,626	1,326,311	2,633,127
2017-01-23	$123.40	$122.00	11.5%	3.3%	8.7%	2.0%	12.0%	3.5%	0.4%	41.7M	-1.31B	-27.1M	1.70	1.55	N/A	N/A	121,022	205,732	768,265	1,663,619
2017-01-24	$124.27	$122.00	10.8%	3.1%	8.7%	0.0%	12.3%	3.0%	0.3%	215.2M	-2.55B	-26.5M	1.76	1.51	N/A	N/A	113,371	199,494	809,938	1,741,988
2017-01-25	$125.41	$122.00	10.7%	3.1%	9.1%	0.0%	11.6%	2.3%	0.3%	315.9M	-4.08B	-26.1M	1.38	1.51	N/A	N/A	196,905	272,119	844,050	1,796,965
2017-01-26	$125.56	$123.00	10.9%	3.1%	8.9%	1.1%	11.4%	2.4%	0.3%	332.8M	-4.23B	-26.8M	1.22	1.44	N/A	N/A	161,137	196,408	923,766	1,917,792
2017-01-27	$125.67	$123.00	10.4%	2.9%	7.8%	0.0%	10.8%	2.3%	0.5%	414.1M	-4.29B	-27.3M	1.41	1.44	N/A	N/A	172,217	243,125	973,761	1,997,293
2017-01-30	$124.72	$124.00	11.7%	3.4%	8.5%	6.5%	12.1%	3.4%	0.3%	-23.2M	-1.81B	-29.5M	1.71	1.54	N/A	N/A	139,331	238,569	929,718	1,925,532
2017-01-31	$124.56	$124.00	11.8%	3.4%	7.1%	7.3%	12.6%	3.4%	0.3%	-51.4M	-1.51B	-31.3M	1.35	1.63	N/A	N/A	152,016	205,499	976,859	1,989,196