QQQ Options History — May 2017

In May 2017, QQQ traded between $136.44 and $141.39. ATM implied volatility averaged 10.8%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 1.8% (HV 20d: 9.0%). Max pain ranged from $132.00 to $136.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.97.

Notable Days

  • 2017-05-17: Highest Volume — 1,113,223 contracts
  • 2017-05-17: Largest IV spike — 37.9% change
  • 2017-05-17: Highest IV Rank — 42.8%
  • 2017-05-17: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$138.60$136.44$141.39$137.35$141.15
Max Pain$134.30$132.00$136.00$134.00$136.00
ATM IV10.8%9.6%14.3%10.3%11.4%
Expected Move3.2%2.8%4.1%2.9%3.3%
HV 20d9.0%7.0%11.3%8.1%10.2%
HV 60d8.0%7.4%8.9%7.5%8.6%
IV Rank16.3%7.7%42.8%12.5%20.7%
IV Percentile18.5%2.4%75.4%7.5%27.4%
Term Structure0.4%-0.6%1.6%0.3%0.0%
VWIV11.9%10.7%14.9%10.7%12.1%
Skew 25d3.2%2.4%4.9%2.9%3.4%
Skew 10d6.8%4.8%11.0%6.1%7.1%
Call IV 25d9.5%8.7%12.2%9.3%10.0%
Put IV 25d12.7%11.2%17.0%12.2%13.4%
Bid-Ask Spread %1.491.171.911.601.68
Gamma HHI0.080.050.140.080.06
Net GEX331.1M-516.0M893.2M659.7M167.9M
Net DEX-8.64B-12.49B-1.93B-10.29B-7.67B
Net VEX-48.9M-57.8M-40.3M-40.3M-54.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.971.113.421.211.48
Total Volume570,946.409354,5341,113,223609,545709,081
Total OI4,756,603.3183,979,7085,594,9093,979,7085,039,278

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$137.35$134.0010.3%2.9%8.1%12.5%10.7%2.9%0.3%659.7M-10.29B-40.3M1.211.60N/AN/A276,030333,5151,483,2802,496,428
2017-05-02$137.28$134.0010.2%2.9%8.0%12.2%11.2%2.9%0.3%596.7M-9.89B-44.4M1.591.49N/AN/A193,304306,9451,588,9512,677,147
2017-05-03$136.88$134.5010.0%2.8%8.2%10.3%10.7%2.7%0.5%438.2M-8.83B-45.9M1.711.70N/AN/A161,708276,3891,633,6902,831,046
2017-05-04$137.05$132.009.7%3.2%8.1%8.4%11.1%2.5%0.5%523.4M-9.37B-45.0M1.111.66N/AN/A259,969288,3921,662,8822,895,724
2017-05-05$137.35$132.009.8%3.3%8.0%8.9%11.6%2.6%0.6%886.8M-10.40B-46.6M1.721.48N/AN/A166,544286,6671,784,1172,996,252
2017-05-08$137.58$132.009.6%3.1%8.0%7.7%11.6%2.5%0.9%561.5M-9.93B-44.5M1.381.53N/AN/A156,248214,9641,660,1672,734,914
2017-05-09$138.15$132.0010.0%3.2%8.0%10.6%11.5%2.4%1.2%740.0M-11.60B-43.6M1.441.40N/AN/A240,766346,6621,725,5702,805,764
2017-05-10$138.24$133.009.9%3.2%7.4%9.5%12.4%2.4%1.3%647.0M-11.44B-44.3M2.981.35N/AN/A116,151346,2061,786,0472,928,998
2017-05-11$138.28$133.0010.2%3.3%7.1%11.7%12.8%2.7%1.6%460.2M-10.46B-48.5M2.361.22N/AN/A173,992410,2341,814,5053,065,676
2017-05-12$138.49$134.0010.4%3.3%7.0%13.5%11.6%2.7%1.6%893.2M-11.24B-48.1M1.941.51N/AN/A190,690369,1861,847,3953,227,933
2017-05-15$138.93$135.0010.3%3.1%7.0%13.2%12.0%2.8%0.1%420.6M-11.24B-47.4M1.891.36N/AN/A135,565255,8741,761,4773,177,660
2017-05-16$139.50$135.0010.4%3.0%7.0%13.4%11.5%2.8%-0.0%523.4M-12.49B-46.5M2.451.41N/AN/A156,590383,6561,774,2063,252,264
2017-05-17$136.44$135.0014.3%4.1%11.3%42.8%14.9%4.8%-0.6%-516.0M-1.93B-55.6M3.321.51N/AN/A257,975855,2481,828,6763,392,919
2017-05-18$137.36$135.0013.5%3.9%11.0%36.8%14.5%4.9%-0.4%-497.5M-4.73B-57.8M2.041.91N/AN/A320,964655,9251,866,7833,626,742
2017-05-19$137.78$135.0011.7%3.3%10.9%23.4%12.5%4.5%0.3%-212.0M-6.57B-56.0M1.961.68N/AN/A269,844529,8641,904,8823,690,027
2017-05-22$139.01$135.0011.1%3.1%10.5%18.6%11.1%4.2%0.2%-11.5M-4.54B-52.7M1.721.66N/AN/A130,122224,4121,392,4162,888,184
2017-05-23$138.97$135.0011.0%3.1%10.3%17.9%11.5%4.0%0.4%-75.3M-4.31B-52.6M2.271.57N/AN/A110,538250,9191,419,8552,978,310
2017-05-24$139.75$135.0010.5%3.0%10.3%14.5%11.9%3.7%0.1%227.2M-6.23B-50.8M3.421.44N/AN/A107,174366,9331,447,0363,056,542
2017-05-25$141.14$136.0010.8%3.0%10.6%16.3%11.0%3.0%0.3%354.5M-9.23B-48.7M1.141.22N/AN/A360,861412,5631,462,6103,227,752
2017-05-26$141.10$136.0010.7%3.0%10.7%15.7%12.1%3.0%0.3%201.8M-8.89B-52.6M2.601.17N/AN/A132,452344,1661,604,1273,369,685
2017-05-30$141.39$136.0011.2%3.1%10.2%19.5%12.3%3.4%-0.1%294.3M-8.90B-49.3M1.691.33N/AN/A176,468299,0651,553,2773,284,079
2017-05-31$141.15$136.0011.4%3.3%10.2%20.7%12.1%3.4%0.0%167.9M-7.67B-54.3M1.481.68N/AN/A286,421422,6601,613,9703,425,308