QQQ Options History — September 2017

In September 2017, QQQ traded between $142.73 and $146.39. ATM implied volatility averaged 12.6%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.1% (HV 20d: 11.5%). Max pain ranged from $143.00 to $145.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.42.

Notable Days

2017-09-29: Highest Volume — 1,300,031 contracts
2017-09-25: Largest IV spike — 18.1% change
2017-09-25: Highest IV Rank — 50.2%
2017-09-05: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$145.07	$142.73	$146.39	$146.09	$145.52
Max Pain	$144.65	$143.00	$145.00	$143.00	$145.00
ATM IV	12.6%	10.9%	14.5%	12.3%	12.4%
Expected Move	3.6%	3.2%	4.2%	3.2%	3.3%
HV 20d	11.5%	9.0%	14.5%	14.2%	9.9%
HV 60d	12.2%	11.0%	14.0%	14.0%	11.0%
IV Rank	34.0%	19.5%	50.2%	31.2%	32.0%
IV Percentile	47.5%	22.6%	81.0%	38.5%	41.7%
Term Structure	0.5%	0.3%	1.0%	0.7%	0.5%
VWIV	13.9%	11.6%	16.3%	12.3%	13.9%
Skew 25d	4.6%	3.9%	5.3%	3.9%	4.0%
Skew 10d	9.2%	7.6%	10.6%	7.6%	8.1%
Call IV 25d	10.6%	9.1%	12.2%	10.5%	10.3%
Put IV 25d	15.2%	13.1%	17.5%	14.4%	14.4%
Bid-Ask Spread %	1.33	1.11	2.65	1.72	1.32
Gamma HHI	0.07	0.05	0.20	0.09	0.05
Net GEX	-980.1M	-2.74B	811.9M	449.6M	-534.7M
Net DEX	1.03B	-7.01B	11.35B	-7.01B	-1.25B
Net VEX	-76.3M	-80.5M	-70.7M	-77.7M	-75.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.42	1.30	4.14	2.15	3.36
Total Volume	762,192.25	425,507	1,300,031	678,802	1,300,031
Total OI	6,895,201.45	5,560,132	8,098,719	7,730,338	6,700,855

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
2017-09-01	$146.09	$143.00	12.3%	3.2%	14.2%	31.2%	12.3%	3.9%	0.7%	449.6M	-7.01B	-77.7M	2.15	1.72	N/A	N/A	215,678	463,124	2,197,537	5,532,801
2017-09-05	$144.67	$144.00	14.3%	4.2%	14.5%	48.3%	16.3%	5.3%	0.3%	-988.0M	220.5M	-78.7M	2.72	2.65	N/A	N/A	240,444	652,836	2,067,812	5,193,401
2017-09-06	$145.12	$144.00	13.2%	4.0%	14.5%	39.2%	15.2%	5.0%	0.3%	-662.8M	-1.51B	-77.2M	2.04	1.15	N/A	N/A	201,039	410,929	2,130,239	5,350,138
2017-09-07	$145.48	$144.00	12.8%	4.0%	14.5%	35.9%	14.9%	5.0%	0.5%	-392.9M	-3.14B	-76.8M	2.63	1.18	N/A	N/A	123,388	324,348	2,171,429	5,457,143
2017-09-08	$144.25	$144.00	13.9%	4.1%	12.7%	44.6%	15.9%	5.3%	0.3%	-1.12B	2.60B	-79.8M	3.15	1.17	N/A	N/A	188,348	593,215	2,186,209	5,549,003
2017-09-11	$145.77	$144.00	12.1%	3.6%	13.0%	29.4%	15.5%	5.0%	0.6%	-118.2M	-3.48B	-71.9M	4.14	1.59	N/A	N/A	159,459	660,152	2,054,927	5,310,776
2017-09-12	$146.11	$145.00	11.9%	3.6%	12.4%	28.4%	13.2%	4.8%	0.6%	-48.0M	-4.37B	-70.7M	1.35	1.12	N/A	N/A	314,350	424,074	2,050,137	5,439,832
2017-09-13	$146.39	$145.00	11.2%	3.5%	12.3%	21.8%	14.3%	4.5%	1.0%	348.3M	-6.03B	-71.1M	1.99	1.19	N/A	N/A	236,741	471,706	2,159,893	5,521,084
2017-09-14	$145.53	$145.00	11.6%	3.4%	12.6%	25.7%	14.3%	4.5%	0.3%	-286.8M	-2.56B	-73.0M	2.99	1.24	N/A	N/A	218,198	652,713	2,183,031	5,631,947
2017-09-15	$145.98	$145.00	10.9%	3.3%	10.5%	19.5%	11.6%	4.0%	0.8%	811.9M	-4.66B	-72.8M	1.45	1.52	N/A	N/A	381,084	553,295	2,231,106	5,867,613
2017-09-18	$145.63	$145.00	12.0%	3.5%	10.6%	28.8%	13.6%	4.6%	0.5%	-1.14B	2.50B	-74.9M	3.09	1.18	N/A	N/A	142,598	441,074	1,540,771	4,019,361
2017-09-19	$145.75	$145.00	11.8%	3.4%	10.4%	27.5%	12.6%	4.2%	0.5%	-1.28B	2.02B	-76.1M	2.23	1.21	N/A	N/A	131,805	293,702	1,581,145	4,167,885
2017-09-20	$145.44	$145.00	11.7%	3.3%	9.0%	26.0%	12.5%	4.1%	0.5%	-1.43B	2.84B	-76.3M	1.84	1.20	N/A	N/A	253,518	465,445	1,640,697	4,212,089
2017-09-21	$144.46	$145.00	12.2%	3.5%	9.3%	30.8%	13.1%	4.3%	0.5%	-2.32B	6.32B	-78.2M	2.22	1.24	N/A	N/A	181,719	403,088	1,722,803	4,335,399
2017-09-22	$144.42	$145.00	12.3%	3.5%	9.1%	31.3%	13.2%	3.9%	0.5%	-2.11B	6.28B	-78.6M	2.93	1.11	N/A	N/A	198,044	580,736	1,767,383	4,446,422
2017-09-25	$142.73	$145.00	14.5%	4.1%	10.2%	50.2%	15.2%	4.8%	0.3%	-2.40B	11.35B	-78.0M	3.39	1.19	N/A	N/A	292,617	991,985	1,666,770	4,285,195
2017-09-26	$143.13	$145.00	14.0%	3.9%	10.2%	46.0%	14.1%	4.9%	0.4%	-2.74B	10.59B	-80.5M	2.15	1.17	N/A	N/A	250,591	538,047	1,773,585	4,646,868
2017-09-27	$144.65	$145.00	13.7%	3.8%	10.7%	43.1%	13.6%	4.9%	0.3%	-1.74B	4.19B	-79.9M	1.30	1.36	N/A	N/A	349,220	454,942	1,870,348	4,613,712
2017-09-28	$144.27	$145.00	13.4%	3.7%	10.1%	40.5%	13.4%	4.7%	0.4%	-1.90B	5.74B	-78.6M	1.38	1.15	N/A	N/A	205,812	283,750	1,960,038	4,666,645
2017-09-29	$145.52	$145.00	12.4%	3.3%	9.9%	32.0%	13.9%	4.0%	0.5%	-534.7M	-1.25B	-75.0M	3.36	1.32	N/A	N/A	298,224	1,001,807	2,001,124	4,699,731