QQQ Options History — March 2017 In March 2017, QQQ traded between $129.89 and $132.63. ATM implied volatility averaged 10.2%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 2.5% (HV 20d: 7.7%). Max pain ranged from $128.00 to $132.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.83.
Notable Days 2017-03-21 : Highest Volume — 847,904 contracts2017-03-21 : Largest IV spike — 24.8% change2017-03-23 : Highest IV Rank — 23.0%2017-03-23 : Largest Expected Move — 3.3%Monthly Statistics Metric Avg Min Max Open Close Price $131.29 $129.89 $132.63 $131.61 $132.63 Max Pain $130.22 $128.00 $132.00 $128.00 $132.00 ATM IV 10.2% 8.6% 11.7% 10.5% 10.8% Expected Move 2.9% 2.5% 3.3% 3.2% 2.5% HV 20d 7.7% 6.5% 9.1% 6.5% 7.5% HV 60d 7.9% 7.1% 8.7% 8.5% 7.1% IV Rank 7.5% 0.0% 23.0% 2.6% 16.7% IV Percentile 5.0% 0.0% 17.5% 2.8% 13.5% Term Structure 0.4% -0.1% 1.3% 0.5% -0.1% VWIV 10.6% 9.1% 12.3% 12.3% 9.3% Skew 25d 2.9% 2.3% 3.4% 2.5% 3.1% Skew 10d 5.8% 4.5% 7.7% 4.7% 5.8% Call IV 25d 9.2% 7.9% 10.3% 9.7% 9.6% Put IV 25d 12.0% 10.3% 13.7% 12.2% 12.7% Bid-Ask Spread % 1.70 1.23 4.14 1.37 1.69 Gamma HHI 0.07 0.05 0.14 0.06 0.09 Net GEX 19.4M -602.5M 562.9M 162.2M 468.9M Net DEX -2.86B -6.43B 2.15B -5.89B -3.64B Net VEX -41.0M -47.2M -36.0M -36.0M -43.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.83 0.82 3.07 2.42 2.52 Total Volume 496,616.522 298,890 847,904 563,916 622,883 Total OI 3,977,009.522 3,415,698 4,408,798 3,648,410 4,249,877
Daily Data (23 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 2017-03-01 $131.61 $128.00 10.5% 3.2% 6.5% 2.6% 12.3% 2.5% 0.5% 162.2M -5.89B -36.0M 2.42 1.37 N/A N/A 164,806 399,110 1,135,584 2,512,826 2017-03-02 $130.72 $128.00 10.5% 3.1% 7.0% 2.8% 11.3% 2.7% 0.7% -151.8M -3.96B -37.6M 1.01 1.31 N/A N/A 252,979 255,811 1,165,233 2,618,292 2017-03-03 $130.92 $128.00 9.8% 2.7% 6.9% 0.0% 10.0% 2.3% 0.5% 334.5M -4.93B -38.5M 1.36 1.23 N/A N/A 223,431 304,639 1,296,194 2,652,903 2017-03-06 $130.90 $130.00 9.8% 3.0% 6.9% 0.3% 11.4% 2.5% 0.3% -117.1M -4.18B -37.5M 1.85 1.48 N/A N/A 120,410 222,937 1,196,082 2,507,605 2017-03-07 $130.35 $130.00 10.0% 3.1% 7.3% 1.5% 10.9% 2.7% 0.4% -349.5M -3.20B -38.0M 1.74 1.59 N/A N/A 136,005 237,033 1,240,703 2,570,909 2017-03-08 $130.69 $130.00 10.1% 3.0% 7.2% 2.6% 11.1% 2.7% 0.3% -253.8M -3.76B -38.5M 2.09 1.37 N/A N/A 163,417 341,517 1,288,995 2,630,361 2017-03-09 $130.90 $130.00 10.2% 3.0% 7.2% 3.0% 10.5% 2.7% 0.2% -187.3M -4.08B -40.0M 2.12 1.50 N/A N/A 170,384 360,724 1,333,654 2,804,834 2017-03-10 $131.29 $130.00 9.6% 3.0% 7.2% 0.0% 10.8% 3.3% 0.3% 192.4M -4.89B -40.2M 2.41 1.45 N/A N/A 167,647 404,099 1,398,814 2,902,464 2017-03-13 $131.64 $130.00 9.8% 2.9% 7.2% 1.4% 11.2% 2.9% 0.2% 204.1M -5.02B -38.7M 1.88 1.50 N/A N/A 103,651 195,239 1,322,298 2,770,559 2017-03-14 $131.25 $130.00 10.3% 3.0% 7.2% 5.5% 11.0% 3.1% 0.3% 6.6M -4.13B -39.6M 1.77 1.54 N/A N/A 150,992 266,520 1,347,628 2,824,132 2017-03-15 $132.27 $130.00 9.5% 2.9% 7.5% 0.0% 9.9% 2.9% 0.7% 562.9M -6.43B -38.6M 0.98 1.37 N/A N/A 291,327 285,850 1,395,284 2,859,952 2017-03-16 $131.99 $130.00 9.3% 2.8% 7.4% 0.0% 9.5% 2.5% 0.4% 285.2M -6.03B -38.0M 0.82 1.53 N/A N/A 317,952 260,270 1,450,112 2,958,686 2017-03-17 $131.69 $130.00 9.1% 2.6% 7.5% 0.0% 10.0% 2.6% 0.1% -58.4M -1.26B -40.5M 1.58 1.44 N/A N/A 215,907 340,592 1,232,164 3,047,396 2017-03-20 $131.76 $131.00 8.6% 2.5% 7.4% 0.0% 9.7% 2.3% 1.3% 204.2M -1.67B -40.4M 3.07 1.58 N/A N/A 106,657 327,765 1,139,634 2,276,064 2017-03-21 $129.89 $131.00 10.7% 3.1% 8.9% 15.9% 11.1% 3.1% 0.7% -602.5M 2.15B -42.4M 2.08 2.40 N/A N/A 275,065 572,839 1,162,343 2,361,015 2017-03-22 $130.63 $131.00 10.9% 3.1% 9.1% 17.2% 11.3% 3.3% 0.7% -318.9M 600.7M -46.0M 1.63 1.97 N/A N/A 201,588 327,796 1,291,256 2,557,232 2017-03-23 $130.30 $131.00 11.7% 3.3% 9.0% 23.0% 11.4% 3.4% 0.6% -536.3M 1.80B -47.2M 1.45 1.67 N/A N/A 181,140 262,911 1,319,941 2,642,286 2017-03-24 $130.77 $131.00 11.5% 3.2% 9.1% 21.6% 10.9% 3.3% 0.7% -226.3M 562.8M -47.2M 1.68 4.14 N/A N/A 210,953 353,841 1,377,058 2,676,134 2017-03-27 $131.01 $131.00 11.3% 3.0% 9.1% 20.6% 11.1% 3.3% 0.1% -223.9M -52.1M -44.2M 2.33 1.63 N/A N/A 137,358 320,385 1,318,650 2,553,576 2017-03-28 $131.79 $131.00 10.4% 2.7% 9.1% 13.7% 10.1% 3.0% 0.2% 227.2M -1.90B -43.8M 1.91 1.64 N/A N/A 128,687 245,818 1,357,265 2,593,407 2017-03-29 $132.22 $131.00 10.3% 2.6% 7.9% 12.6% 9.8% 2.8% 0.3% 336.6M -2.65B -43.7M 1.87 1.83 N/A N/A 115,437 215,782 1,368,771 2,664,383 2017-03-30 $132.40 $131.00 10.1% 2.5% 7.5% 11.1% 9.1% 2.8% 0.4% 488.2M -3.14B -42.9M 1.61 1.84 N/A N/A 176,791 285,235 1,387,908 2,710,755 2017-03-31 $132.63 $132.00 10.8% 2.5% 7.5% 16.7% 9.3% 3.1% -0.1% 468.9M -3.64B -43.9M 2.52 1.69 N/A N/A 176,896 445,987 1,464,881 2,784,996
« Feb 2017 | All History | Apr 2017 » Home QQQ History March 2017