QQQ Options History — April 2017

In April 2017, QQQ traded between $130.73 and $135.95. ATM implied volatility averaged 12.0%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 4.9% (HV 20d: 7.0%). Max pain ranged from $131.00 to $134.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.59.

Notable Days

  • 2017-04-05: Highest Volume — 817,059 contracts
  • 2017-04-24: Largest IV drop — 18.6% change
  • 2017-04-13: Highest IV Rank — 41.7%
  • 2017-04-17: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$132.68$130.73$135.95$132.35$135.95
Max Pain$132.18$131.00$134.00$131.00$134.00
ATM IV12.0%9.4%14.2%11.2%9.4%
Expected Move3.3%2.6%4.0%2.6%2.7%
HV 20d7.0%4.8%7.6%7.6%7.5%
HV 60d7.1%6.9%7.5%7.1%7.3%
IV Rank25.2%5.9%41.7%19.2%5.9%
IV Percentile30.6%1.2%65.5%17.1%1.2%
Term Structure0.0%-0.7%0.7%0.3%0.3%
VWIV12.2%9.4%15.9%9.7%10.8%
Skew 25d3.9%2.6%4.9%3.4%2.7%
Skew 10d8.2%4.8%11.1%7.9%5.5%
Call IV 25d10.3%8.2%12.2%9.9%8.2%
Put IV 25d14.2%10.9%16.9%13.3%10.9%
Bid-Ask Spread %1.551.282.381.841.43
Gamma HHI0.080.050.360.070.36
Net GEX10.3M-799.8M1.94B190.4M1.94B
Net DEX-1.78B-8.93B3.50B-2.09B-8.93B
Net VEX-45.8M-49.4M-40.2M-44.9M-42.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.992.502.201.89
Total Volume516,094.421154,897817,059468,871595,209
Total OI4,191,857.7373,571,9914,618,8103,914,7924,328,683

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$132.35$131.0011.2%2.6%7.6%19.2%9.7%3.4%0.3%190.4M-2.09B-44.9M2.201.84N/AN/A146,434322,4371,440,6642,474,128
2017-04-04$132.47$131.5011.1%2.6%7.3%18.5%9.4%3.4%0.2%105.0M-2.03B-45.7M1.601.73N/AN/A145,342232,6261,446,5632,577,332
2017-04-05$132.20$131.5011.4%2.7%7.4%20.7%9.5%3.6%0.4%-159.7M-1.08B-47.0M1.502.38N/AN/A326,615490,4441,483,8002,653,855
2017-04-06$131.98$132.0011.4%3.4%7.4%20.9%11.7%3.8%0.5%-548.2M642.7M-48.2M1.421.50N/AN/A213,978303,2121,493,1602,840,296
2017-04-07$132.08$132.0011.8%3.5%7.3%23.8%12.4%4.0%0.7%-564.8M7.3M-48.9M2.101.34N/AN/A179,706376,6301,563,6412,897,554
2017-04-10$132.05$132.0012.7%3.6%7.3%31.0%13.0%4.3%-0.3%-217.7M-299.2M-48.1M1.301.37N/AN/A167,501218,4701,497,6052,623,177
2017-04-11$131.23$132.0014.0%4.0%7.6%40.5%14.0%4.6%-0.3%-732.8M2.30B-48.6M2.021.52N/AN/A227,594459,2271,525,5232,661,982
2017-04-12$130.89$132.0014.1%3.9%7.0%40.8%14.5%4.9%-0.2%-799.8M3.12B-49.4M1.641.39N/AN/A157,983258,8841,587,3722,741,382
2017-04-13$130.73$132.0014.2%3.9%7.0%41.7%14.4%4.6%-0.7%-707.3M3.50B-49.1M1.861.45N/AN/A209,751390,4431,630,3052,757,610
2017-04-17$130.83$132.0014.1%4.0%7.0%41.4%15.9%4.6%-0.1%-642.4M2.63B-47.3M2.501.50N/AN/A44,259110,6381,556,8402,703,614
2017-04-18$131.35$132.0013.4%3.8%7.2%36.0%13.1%4.6%-0.5%-433.3M720.5M-46.2M1.201.40N/AN/A188,162226,6691,598,6282,689,355
2017-04-19$131.36$132.0013.7%3.9%4.8%38.2%14.4%4.8%-0.7%-400.2M809.4M-46.2M1.621.28N/AN/A175,790283,9981,675,7042,706,361
2017-04-20$132.83$132.0012.2%3.5%5.9%26.8%12.7%4.4%-0.1%524.2M-3.86B-44.6M1.061.57N/AN/A326,276346,7401,695,6282,752,718
2017-04-21$132.55$132.0012.4%3.5%5.8%28.8%13.5%4.8%0.3%44.3M-2.35B-45.5M1.641.56N/AN/A239,714393,2911,745,7072,873,103
2017-04-24$134.22$132.0010.1%2.9%7.1%11.6%11.2%2.9%0.2%536.7M-5.12B-41.1M1.661.66N/AN/A195,951325,8411,333,7052,238,286
2017-04-25$135.21$133.0010.1%2.9%7.4%11.4%10.6%2.7%0.1%655.5M-7.21B-40.2M1.001.44N/AN/A260,198259,2771,388,0342,377,208
2017-04-26$134.94$133.0010.0%2.8%7.3%10.2%10.6%2.6%-0.0%582.6M-6.35B-43.2M1.061.51N/AN/A229,432242,6901,488,7932,473,660
2017-04-27$135.70$133.5010.0%2.8%7.5%10.7%10.0%2.6%0.0%821.2M-8.22B-42.6M0.991.62N/AN/A267,919266,4631,559,4262,563,895
2017-04-28$135.95$134.009.4%2.7%7.5%5.9%10.8%2.7%0.3%1.94B-8.93B-42.7M1.891.43N/AN/A205,762389,4471,641,0152,687,668