QQQ Options History — February 2017

In February 2017, QQQ traded between $125.34 and $130.46. ATM implied volatility averaged 10.7%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 4.5% (HV 20d: 6.2%). Max pain ranged from $122.00 to $128.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 2.13.

Notable Days

  • 2017-02-24: Highest Volume — 546,824 contracts
  • 2017-02-17: Largest IV drop — 7.3% change
  • 2017-02-28: Highest IV Rank — 10.9%
  • 2017-02-02: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$128.17$125.34$130.46$125.54$129.87
Max Pain$125.08$122.00$128.00$123.50$128.00
ATM IV10.7%10.2%11.5%11.1%11.5%
Expected Move3.2%2.9%3.6%3.1%3.3%
HV 20d6.2%5.3%7.1%7.1%5.3%
HV 60d10.2%9.4%12.0%12.0%9.4%
IV Rank3.2%0.0%10.9%3.6%10.9%
IV Percentile2.9%0.0%9.1%1.6%9.1%
Term Structure0.4%-0.3%1.4%0.4%0.2%
VWIV12.0%11.1%13.3%11.4%12.9%
Skew 25d2.8%2.3%3.4%3.2%3.2%
Skew 10d5.5%4.4%7.5%6.0%6.2%
Call IV 25d9.6%9.0%10.5%9.8%10.5%
Put IV 25d12.4%11.3%13.7%13.0%13.7%
Bid-Ask Spread %1.501.241.741.541.56
Gamma HHI0.080.060.200.080.06
Net GEX90.8M-297.2M586.8M274.6M-286.8M
Net DEX-4.80B-7.56B-2.55B-3.66B-2.55B
Net VEX-30.5M-37.1M-27.3M-28.7M-37.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.131.113.241.111.83
Total Volume423,891.947278,937546,824426,643473,392
Total OI3,331,236.5792,995,1693,996,1963,038,6213,437,111

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$125.54$123.5011.1%3.1%7.1%3.6%11.4%3.2%0.4%274.6M-3.66B-28.7M1.111.54N/AN/A202,173224,470998,9902,039,631
2017-02-02$125.34$122.0011.1%3.6%6.9%3.4%13.3%3.2%0.5%88.7M-2.88B-30.1M1.751.56N/AN/A124,054216,6621,022,8492,124,878
2017-02-03$125.67$122.0010.3%3.2%6.8%0.0%12.1%2.8%0.6%214.0M-3.90B-28.4M1.891.67N/AN/A152,831288,8871,033,7552,179,624
2017-02-06$125.72$122.0010.7%3.3%6.2%2.1%13.3%3.1%0.6%184.0M-3.28B-29.5M3.241.70N/AN/A65,837213,100954,9072,041,020
2017-02-07$126.18$123.0010.7%3.4%6.2%2.2%12.9%3.0%0.9%189.7M-3.94B-29.0M1.931.62N/AN/A127,153244,804967,2432,095,621
2017-02-08$126.65$123.0010.5%3.2%6.3%1.2%12.3%2.9%0.7%357.4M-4.85B-29.0M2.511.44N/AN/A83,090208,3011,018,4672,189,066
2017-02-09$126.98$124.0010.4%3.2%6.3%0.3%12.6%2.6%1.0%350.3M-5.30B-28.1M2.801.52N/AN/A136,787382,7131,034,5872,218,825
2017-02-10$127.37$124.0010.3%3.2%6.2%0.0%11.9%2.4%1.4%586.8M-5.93B-28.6M1.711.50N/AN/A162,615278,1171,068,4442,378,545
2017-02-13$128.14$125.0010.8%3.2%6.3%3.2%11.3%2.6%-0.1%193.3M-6.31B-27.3M1.331.74N/AN/A232,194308,7641,032,5532,291,660
2017-02-14$128.44$125.0010.4%3.0%5.9%1.1%11.1%2.4%-0.1%140.4M-6.59B-29.6M1.901.36N/AN/A102,103193,5541,128,5812,479,331
2017-02-15$129.29$125.0010.8%3.1%6.0%3.2%11.8%2.3%-0.3%153.0M-7.20B-29.6M2.101.29N/AN/A151,952318,6991,130,7552,534,268
2017-02-16$129.16$126.0011.0%3.1%6.1%4.8%11.6%2.6%-0.1%28.3M-6.98B-31.2M2.091.27N/AN/A155,215324,6011,191,1632,673,532
2017-02-17$129.60$127.0010.2%2.9%6.1%0.0%11.1%2.4%0.4%-30.9M-7.56B-31.3M1.761.24N/AN/A153,383269,4651,223,7612,772,435
2017-02-21$130.41$127.0010.4%3.0%6.2%1.4%11.3%2.4%0.5%43.5M-4.91B-29.7M3.021.43N/AN/A112,256338,478929,5512,065,618
2017-02-22$130.46$127.0010.6%3.1%6.1%3.1%11.4%2.5%0.5%-49.2M-4.69B-30.8M2.401.56N/AN/A120,079288,244960,2552,142,404
2017-02-23$129.88$127.0011.1%3.2%6.0%7.4%11.9%2.9%0.3%-270.7M-3.51B-33.0M2.721.52N/AN/A133,223362,2181,015,5932,235,530
2017-02-24$130.10$128.0010.7%3.1%6.0%4.4%11.7%2.9%0.3%-297.2M-3.71B-34.6M1.971.51N/AN/A183,858362,9661,048,9972,388,750
2017-02-27$130.35$128.0011.1%3.1%6.0%8.0%11.6%3.4%-0.1%-144.6M-3.52B-34.6M2.381.38N/AN/A105,947251,7621,005,0632,240,132
2017-02-28$129.87$128.0011.5%3.3%5.3%10.9%12.9%3.2%0.2%-286.8M-2.55B-37.1M1.831.56N/AN/A167,054306,3381,041,1352,395,976