QQQ Options History — August 2017 In August 2017, QQQ traded between $141.04 and $146.01. ATM implied volatility averaged 13.9%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.9% (HV 20d: 11.0%). Max pain ranged from $142.00 to $143.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 2.32.
Notable Days 2017-08-17 : Highest Volume — 1,543,241 contracts2017-08-10 : Largest IV spike — 27.6% change2017-08-10 : Highest IV Rank — 68.6%2017-08-10 : Largest Expected Move — 4.9%Monthly Statistics Metric Avg Min Max Open Close Price $143.18 $141.04 $146.01 $143.44 $146.01 Max Pain $142.41 $142.00 $143.00 $143.00 $143.00 ATM IV 13.9% 12.2% 16.7% 13.4% 12.3% Expected Move 4.0% 3.3% 4.9% 3.8% 3.3% HV 20d 11.0% 6.5% 14.2% 9.7% 14.2% HV 60d 13.5% 13.1% 14.0% 13.1% 14.0% IV Rank 44.8% 30.7% 68.6% 40.8% 31.5% IV Percentile 66.4% 38.9% 95.6% 65.5% 38.9% Term Structure 0.4% -0.7% 1.1% 0.0% 0.6% VWIV 14.8% 12.8% 18.0% 14.3% 12.8% Skew 25d 5.1% 4.3% 6.2% 4.4% 4.4% Skew 10d 10.2% 8.4% 12.3% 8.8% 9.3% Call IV 25d 11.6% 10.2% 13.9% 11.6% 10.2% Put IV 25d 16.7% 14.6% 20.1% 16.0% 14.6% Bid-Ask Spread % 1.65 1.06 4.58 1.42 2.26 Gamma HHI 0.06 0.05 0.09 0.05 0.07 Net GEX -1.44B -2.90B 202.6M -1.26B 202.6M Net DEX 4.13B -6.76B 14.69B 2.13B -6.76B Net VEX -84.7M -95.1M -75.1M -83.5M -75.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.32 1.38 3.19 2.78 1.71 Total Volume 799,549.174 387,759 1,543,241 487,479 1,079,667 Total OI 7,326,002.652 6,423,129 8,513,522 6,776,745 7,320,315
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 2017-08-01 $143.44 $143.00 13.4% 3.8% 9.7% 40.8% 14.3% 4.4% 0.0% -1.26B 2.13B -83.5M 2.78 1.42 N/A N/A 129,067 358,412 1,852,691 4,924,054 2017-08-02 $143.88 $143.00 13.2% 3.6% 9.2% 38.9% 14.1% 4.3% 0.0% -1.05B 710.6M -82.5M 2.54 1.39 N/A N/A 248,843 632,240 1,885,738 5,068,124 2017-08-03 $143.45 $142.00 13.1% 4.1% 8.2% 38.5% 14.7% 4.4% 0.2% -1.34B 2.49B -84.3M 2.25 1.63 N/A N/A 267,063 599,574 1,932,071 5,210,317 2017-08-04 $143.42 $142.00 12.7% 4.0% 7.6% 34.9% 15.1% 4.3% 0.2% -1.35B 2.27B -86.2M 2.29 1.23 N/A N/A 232,614 532,231 2,066,927 5,421,452 2017-08-07 $144.45 $142.00 12.2% 3.8% 7.5% 30.7% 15.1% 4.4% 1.1% -630.1M -1.44B -82.2M 3.03 1.06 N/A N/A 126,373 382,944 1,970,582 5,212,830 2017-08-08 $144.20 $142.00 13.0% 3.9% 7.6% 37.4% 14.7% 4.8% 0.7% -1.06B 475.6M -85.6M 2.83 2.82 N/A N/A 182,763 517,044 1,993,299 5,365,188 2017-08-09 $144.06 $142.00 13.1% 3.9% 6.5% 38.0% 14.8% 5.1% 0.7% -1.24B 1.64B -86.5M 3.19 1.17 N/A N/A 150,594 480,440 2,021,701 5,509,762 2017-08-10 $141.14 $142.00 16.7% 4.9% 10.0% 68.6% 18.0% 6.2% 0.4% -2.76B 14.69B -95.1M 3.04 1.89 N/A N/A 315,751 960,496 2,064,031 5,633,806 2017-08-11 $142.10 $142.00 16.0% 4.7% 9.9% 62.8% 16.7% 6.0% 0.3% -2.65B 9.86B -92.2M 2.31 1.34 N/A N/A 310,906 717,949 2,152,869 5,737,345 2017-08-14 $143.84 $142.00 13.7% 4.0% 10.8% 43.0% 14.0% 5.4% 0.1% -953.4M 1.68B -84.0M 1.80 4.58 N/A N/A 271,572 489,200 2,100,932 5,601,947 2017-08-15 $144.24 $143.00 12.9% 3.7% 10.7% 36.7% 14.2% 4.8% 0.6% -863.4M -156.8M -81.6M 2.06 1.35 N/A N/A 179,617 370,393 2,134,568 5,698,019 2017-08-16 $144.20 $143.00 12.9% 3.7% 10.4% 36.2% 13.8% 4.9% 0.6% -634.4M -516.7M -81.3M 1.75 1.28 N/A N/A 219,800 384,085 2,200,861 5,825,401 2017-08-17 $141.62 $143.00 15.9% 4.5% 12.2% 62.3% 16.5% 6.1% 0.5% -2.90B 12.60B -85.9M 2.80 1.85 N/A N/A 406,542 1,136,699 2,248,700 5,891,885 2017-08-18 $141.64 $143.00 15.8% 4.5% 12.2% 60.7% 16.8% 6.0% 0.7% -2.46B 12.83B -86.9M 2.41 1.31 N/A N/A 420,472 1,011,923 2,397,033 6,116,489 2017-08-21 $141.04 $143.00 16.2% 4.6% 12.0% 64.0% 16.5% 5.7% 0.6% -1.99B 11.09B -87.9M 1.91 1.23 N/A N/A 369,701 705,938 1,695,881 4,727,248 2017-08-22 $143.29 $143.00 13.5% 3.8% 13.4% 41.8% 14.2% 4.9% -0.7% -1.10B 3.31B -86.4M 2.33 1.97 N/A N/A 191,615 446,542 1,919,444 4,937,990 2017-08-23 $142.88 $142.00 14.0% 3.9% 13.4% 45.8% 14.4% 5.0% 0.3% -1.41B 4.76B -86.0M 1.76 1.20 N/A N/A 177,125 311,784 1,882,940 4,940,379 2017-08-24 $142.30 $142.00 14.3% 3.9% 13.2% 48.1% 14.3% 4.9% 0.5% -1.66B 6.60B -86.0M 2.34 1.21 N/A N/A 221,787 519,265 1,936,942 4,984,574 2017-08-25 $142.13 $142.00 13.9% 3.8% 13.2% 45.3% 13.2% 4.6% 0.3% -2.29B 7.09B -84.4M 1.38 1.23 N/A N/A 287,932 397,698 1,970,718 5,131,466 2017-08-28 $142.31 $142.50 13.8% 3.7% 13.2% 44.3% 14.2% 5.0% 0.2% -1.70B 6.43B -82.3M 2.61 1.33 N/A N/A 107,386 280,373 1,913,195 4,875,985 2017-08-29 $143.07 $142.00 13.4% 3.7% 13.4% 40.5% 14.3% 5.3% 0.5% -1.42B 4.11B -81.8M 2.55 1.34 N/A N/A 151,129 385,311 1,951,242 4,973,996 2017-08-30 $144.50 $142.00 13.4% 3.6% 13.8% 40.4% 13.7% 5.2% 0.3% -630.8M -1.01B -79.3M 1.77 1.86 N/A N/A 259,851 460,920 1,998,700 5,098,424 2017-08-31 $146.01 $143.00 12.3% 3.3% 14.2% 31.5% 12.8% 4.4% 0.6% 202.6M -6.76B -75.1M 1.71 2.26 N/A N/A 398,069 681,598 2,090,332 5,229,983
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