QQQ Options History — July 2017

In July 2017, QQQ traded between $136.19 and $144.81. ATM implied volatility averaged 14.1%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 0.7% (HV 20d: 14.8%). Max pain ranged from $140.00 to $143.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.94.

Notable Days

2017-07-27: Highest Volume — 1,493,271 contracts
2017-07-07: Largest IV drop — 10.5% change
2017-07-03: Highest IV Rank — 76.5%
2017-07-03: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$141.60	$136.19	$144.81	$136.19	$143.41
Max Pain	$140.90	$140.00	$143.00	$140.00	$143.00
ATM IV	14.1%	12.4%	17.6%	17.6%	13.9%
Expected Move	4.0%	3.5%	5.1%	5.1%	4.0%
HV 20d	14.8%	10.9%	18.0%	16.6%	11.1%
HV 60d	13.1%	12.6%	13.4%	12.6%	13.1%
IV Rank	46.6%	31.9%	76.5%	76.5%	44.5%
IV Percentile	69.9%	43.3%	98.4%	98.4%	73.8%
Term Structure	0.1%	-0.1%	0.4%	-0.0%	-0.0%
VWIV	14.9%	12.4%	18.0%	17.3%	14.6%
Skew 25d	4.2%	3.2%	5.5%	5.5%	4.6%
Skew 10d	8.3%	6.4%	10.4%	10.1%	9.9%
Call IV 25d	12.2%	10.8%	14.9%	14.9%	12.0%
Put IV 25d	16.4%	14.3%	20.4%	20.4%	16.6%
Bid-Ask Spread %	1.38	1.01	2.01	2.01	1.43
Gamma HHI	0.07	0.04	0.11	0.07	0.04
Net GEX	-599.2M	-2.89B	1.19B	-2.43B	-1.21B
Net DEX	663.3M	-11.07B	18.72B	18.06B	2.48B
Net VEX	-80.0M	-90.5M	-71.2M	-90.5M	-84.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.94	1.22	2.99	2.36	2.33
Total Volume	763,250.65	400,907	1,493,271	597,092	538,685
Total OI	7,163,023.8	5,893,382	8,295,446	6,812,585	6,600,352

Daily Data (20 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
2017-07-03	$136.19	$140.00	17.6%	5.1%	16.6%	76.5%	17.3%	5.5%	-0.0%	-2.43B	18.06B	-90.5M	2.36	2.01	N/A	N/A	177,617	419,475	2,063,278	4,749,307
2017-07-05	$137.62	$140.00	16.0%	4.5%	17.3%	62.9%	16.1%	5.1%	0.0%	-2.27B	13.07B	-86.5M	2.12	1.23	N/A	N/A	288,831	610,888	2,109,693	4,811,283
2017-07-06	$136.23	$140.00	17.3%	4.9%	17.3%	73.9%	18.0%	5.5%	-0.1%	-2.89B	18.72B	-89.0M	2.52	1.51	N/A	N/A	297,114	747,800	2,211,235	4,992,477
2017-07-07	$137.80	$140.00	15.5%	4.5%	18.0%	58.6%	15.8%	5.0%	-0.0%	-2.57B	12.18B	-90.1M	1.38	1.46	N/A	N/A	356,788	491,283	2,318,253	5,219,722
2017-07-10	$138.89	$140.00	15.3%	4.4%	15.7%	57.0%	17.4%	4.8%	0.1%	-1.43B	7.45B	-87.2M	2.44	1.68	N/A	N/A	152,160	371,723	2,216,046	4,987,699
2017-07-11	$139.02	$140.00	15.5%	4.5%	15.5%	58.3%	16.4%	4.8%	0.1%	-1.37B	6.94B	-86.7M	1.64	1.41	N/A	N/A	201,708	331,534	2,254,540	5,064,993
2017-07-12	$140.82	$140.00	14.0%	4.0%	15.6%	45.7%	15.4%	4.1%	0.0%	-147.7M	-946.3M	-81.7M	1.74	1.36	N/A	N/A	268,331	468,025	2,314,900	5,119,822
2017-07-13	$141.08	$140.00	13.4%	3.9%	15.4%	40.8%	14.3%	3.9%	0.2%	-133.7M	-1.81B	-79.9M	1.81	1.18	N/A	N/A	224,186	406,370	2,369,089	5,219,696
2017-07-14	$142.22	$140.00	12.8%	3.7%	15.6%	35.2%	13.8%	3.3%	0.2%	764.6M	-7.05B	-75.0M	1.82	1.18	N/A	N/A	271,684	493,730	2,399,324	5,308,172
2017-07-17	$142.20	$140.00	13.5%	3.9%	15.4%	41.9%	14.3%	3.8%	0.1%	215.0M	-4.49B	-74.5M	1.85	1.15	N/A	N/A	268,019	495,124	2,286,540	5,123,273
2017-07-18	$143.02	$140.00	12.8%	3.7%	14.6%	35.8%	14.0%	3.5%	0.2%	699.5M	-7.66B	-71.8M	1.74	1.33	N/A	N/A	252,278	439,665	2,334,393	5,351,111
2017-07-19	$144.03	$140.00	12.8%	3.7%	14.4%	35.8%	14.0%	3.2%	0.2%	1.19B	-11.07B	-71.2M	1.45	1.01	N/A	N/A	366,561	530,315	2,357,591	5,522,331
2017-07-20	$144.19	$142.00	13.2%	3.8%	14.1%	39.2%	14.3%	3.3%	0.2%	933.4M	-10.35B	-73.8M	1.22	1.24	N/A	N/A	426,059	518,750	2,457,940	5,714,196
2017-07-21	$143.95	$142.00	12.9%	3.7%	14.2%	36.8%	14.8%	3.4%	0.4%	255.9M	-10.18B	-75.0M	2.76	1.15	N/A	N/A	248,558	686,350	2,462,300	5,833,146
2017-07-24	$144.81	$142.00	13.0%	3.6%	14.3%	36.9%	13.5%	3.9%	0.2%	60.2M	-4.91B	-72.0M	1.49	1.30	N/A	N/A	226,223	337,188	1,660,632	4,232,750
2017-07-25	$144.35	$142.00	12.4%	3.5%	14.2%	31.9%	12.7%	3.5%	0.3%	-72.6M	-3.51B	-73.3M	1.38	1.34	N/A	N/A	227,847	314,901	1,708,073	4,374,261
2017-07-26	$144.69	$142.00	12.5%	3.5%	12.7%	33.4%	12.4%	3.6%	0.3%	-9.7M	-4.09B	-75.0M	1.78	1.21	N/A	N/A	144,106	256,801	1,769,021	4,452,049
2017-07-27	$143.67	$142.00	13.7%	3.9%	12.7%	43.5%	14.1%	4.3%	0.2%	-578.6M	-218.9M	-79.5M	2.07	1.83	N/A	N/A	486,863	1,006,408	1,870,038	4,554,660
2017-07-28	$143.87	$143.00	13.8%	3.9%	10.9%	43.9%	14.7%	4.7%	0.2%	-996.6M	659.0M	-83.6M	2.99	1.56	N/A	N/A	229,325	685,740	1,959,624	4,906,666
2017-07-31	$143.41	$143.00	13.9%	4.0%	11.1%	44.5%	14.6%	4.6%	-0.0%	-1.21B	2.48B	-84.7M	2.33	1.43	N/A	N/A	161,905	376,780	1,789,587	4,810,765