QQQ Options History — June 2017 In June 2017, QQQ traded between $137.81 and $143.52. ATM implied volatility averaged 13.7%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 0.2% (HV 20d: 13.9%). Max pain ranged from $136.50 to $141.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.12.
Notable Days 2017-06-12 : Highest Volume — 1,977,209 contracts2017-06-09 : Largest IV spike — 43.5% change2017-06-29 : Highest IV Rank — 69.6%2017-06-29 : Largest Expected Move — 4.8%Monthly Statistics Metric Avg Min Max Open Close Price $140.52 $137.81 $143.52 $141.73 $137.93 Max Pain $140.36 $136.50 $141.00 $136.50 $140.00 ATM IV 13.7% 10.9% 16.8% 10.9% 16.0% Expected Move 4.0% 3.2% 4.8% 3.2% 4.5% HV 20d 13.9% 10.1% 16.9% 10.1% 16.2% HV 60d 10.5% 8.5% 12.3% 8.5% 12.3% IV Rank 39.0% 17.0% 69.6% 17.1% 62.5% IV Percentile 64.5% 21.8% 96.4% 21.8% 92.5% Term Structure 0.2% -0.3% 0.6% 0.3% -0.1% VWIV 14.6% 12.0% 17.9% 12.0% 16.5% Skew 25d 4.3% 3.0% 6.0% 3.4% 5.6% Skew 10d 9.0% 6.7% 12.1% 6.8% 10.9% Call IV 25d 11.9% 9.7% 14.4% 9.7% 13.5% Put IV 25d 16.3% 12.7% 20.2% 13.1% 19.1% Bid-Ask Spread % 1.61 1.13 4.79 1.28 1.19 Gamma HHI 0.07 0.05 0.18 0.07 0.18 Net GEX -739.6M -3.18B 436.0M 349.2M -3.18B Net DEX 717.2M -12.99B 14.59B -9.37B 13.50B Net VEX -73.9M -91.9M -50.0M -52.5M -90.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.12 1.08 2.84 2.12 2.78 Total Volume 945,091.455 411,058 1,977,209 505,591 1,048,971 Total OI 6,522,679.273 5,232,928 7,901,493 5,232,928 7,901,493
Daily Data (22 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 2017-06-01 $141.73 $136.50 10.9% 3.2% 10.1% 17.1% 12.0% 3.4% 0.3% 349.2M -9.37B -52.5M 2.12 1.28 N/A N/A 162,259 343,332 1,679,179 3,553,749 2017-06-02 $143.35 $136.50 10.9% 3.2% 10.7% 17.0% 12.0% 3.0% -0.3% 406.5M -12.99B -50.0M 1.08 1.47 N/A N/A 377,590 407,596 1,712,156 3,636,754 2017-06-05 $143.46 $140.00 11.0% 3.4% 10.7% 18.3% 12.4% 3.1% 0.3% 436.0M -12.35B -52.6M 1.48 1.48 N/A N/A 166,007 245,051 1,795,063 3,517,762 2017-06-06 $142.90 $140.00 11.7% 3.6% 10.9% 23.3% 12.2% 3.4% 0.4% 277.3M -10.70B -56.2M 1.16 1.45 N/A N/A 283,388 329,651 1,846,901 3,662,923 2017-06-07 $143.51 $141.00 11.8% 3.5% 10.9% 23.7% 13.2% 3.4% 0.4% 337.8M -11.67B -58.2M 2.21 1.41 N/A N/A 130,546 288,537 1,971,136 3,815,094 2017-06-08 $143.52 $141.00 11.5% 3.4% 10.9% 21.6% 13.2% 3.6% 0.4% 378.9M -11.87B -57.3M 1.83 1.35 N/A N/A 166,981 306,170 2,001,564 3,893,953 2017-06-09 $139.65 $141.00 16.5% 4.5% 15.1% 58.9% 16.3% 5.2% -0.3% -780.9M 1.53B -67.8M 2.45 4.79 N/A N/A 495,609 1,213,350 2,056,536 3,964,689 2017-06-12 $138.79 $141.00 14.8% 4.3% 15.3% 46.8% 15.6% 4.8% 0.3% -881.2M 4.05B -67.1M 2.25 1.54 N/A N/A 608,205 1,369,004 2,070,770 3,992,070 2017-06-13 $140.40 $141.00 12.7% 3.8% 15.8% 31.0% 14.6% 4.4% 0.6% -254.9M -681.1M -73.6M 2.43 1.40 N/A N/A 239,664 582,631 2,348,303 4,474,814 2017-06-14 $139.44 $141.00 14.1% 4.2% 15.9% 41.3% 15.6% 5.0% 0.3% -791.4M 3.59B -77.0M 2.38 2.14 N/A N/A 289,796 689,914 2,400,090 4,626,619 2017-06-15 $138.97 $141.00 14.1% 4.1% 13.7% 41.3% 15.3% 5.0% 0.2% -1.63B 6.78B -77.2M 1.89 2.40 N/A N/A 449,012 849,905 2,460,459 4,874,148 2017-06-16 $138.26 $141.00 14.5% 4.2% 13.7% 44.4% 14.4% 5.2% 0.4% -2.35B 12.65B -78.5M 2.23 1.35 N/A N/A 383,800 854,831 2,268,383 5,104,508 2017-06-19 $140.42 $141.00 13.3% 3.8% 14.7% 35.2% 14.6% 4.3% 0.2% -592.6M 2.72B -80.0M 1.56 1.28 N/A N/A 375,401 586,888 1,871,444 4,298,471 2017-06-20 $139.44 $141.00 14.2% 4.1% 14.6% 41.9% 15.1% 4.4% 0.1% -956.2M 5.52B -84.3M 2.84 1.39 N/A N/A 235,425 668,408 2,051,445 4,442,940 2017-06-21 $140.74 $141.00 13.8% 3.9% 15.0% 38.7% 14.3% 4.2% 0.2% -324.7M 1.39B -85.9M 1.89 1.13 N/A N/A 177,287 334,283 2,138,342 4,716,072 2017-06-22 $140.82 $141.00 13.7% 3.9% 14.8% 37.8% 15.4% 4.0% 0.1% -287.9M 977.9M -84.7M 1.94 1.29 N/A N/A 212,047 411,672 2,177,341 4,767,032 2017-06-23 $141.19 $141.00 13.5% 3.9% 14.4% 36.7% 14.8% 4.0% 0.1% 408.1M -591.4M -82.7M 2.69 1.28 N/A N/A 202,980 546,055 2,197,638 4,836,804 2017-06-26 $140.67 $141.00 14.3% 4.1% 14.5% 42.3% 14.9% 4.1% 0.0% -910.4M 2.62B -83.6M 2.42 1.29 N/A N/A 216,773 523,959 1,966,478 4,746,804 2017-06-27 $138.45 $141.00 16.1% 4.6% 15.5% 56.1% 16.1% 4.7% -0.2% -1.94B 10.86B -86.8M 2.33 1.33 N/A N/A 334,556 780,349 2,030,370 4,868,135 2017-06-28 $140.01 $140.00 14.8% 4.2% 16.1% 52.8% 15.8% 4.5% 0.2% -1.52B 5.24B -86.8M 2.43 1.40 N/A N/A 340,959 828,647 2,152,472 5,100,562 2017-06-29 $137.81 $140.00 16.8% 4.8% 16.9% 69.6% 17.9% 6.0% -0.1% -2.47B 14.59B -91.9M 2.26 1.79 N/A N/A 532,788 1,201,735 2,230,893 5,276,585 2017-06-30 $137.93 $140.00 16.0% 4.5% 16.2% 62.5% 16.5% 5.6% -0.1% -3.18B 13.50B -90.4M 2.78 1.19 N/A N/A 277,193 771,778 2,361,142 5,540,351
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