QQQ Options History — October 2017 In October 2017, QQQ traded between $145.54 and $152.09. ATM implied volatility averaged 12.4%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 3.8% (HV 20d: 8.6%). Max pain ranged from $145.00 to $148.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.87.
Notable Days 2017-10-27 : Highest Volume — 1,706,268 contracts2017-10-27 : Largest IV drop — 11.3% change2017-10-26 : Highest IV Rank — 49.4%2017-10-26 : Largest Expected Move — 4.3%Monthly Statistics Metric Avg Min Max Open Close Price $148.19 $145.54 $152.09 $145.54 $152.09 Max Pain $146.55 $145.00 $148.00 $145.00 $148.00 ATM IV 12.4% 11.3% 14.4% 12.6% 13.3% Expected Move 3.6% 3.0% 4.3% 3.3% 3.9% HV 20d 8.6% 6.2% 11.0% 9.9% 11.0% HV 60d 10.6% 10.3% 11.7% 10.8% 11.7% IV Rank 32.1% 23.0% 49.4% 33.6% 39.8% IV Percentile 46.7% 28.6% 83.7% 45.2% 66.7% Term Structure 0.2% -0.3% 0.6% 0.2% 0.2% VWIV 13.5% 11.1% 16.1% 12.2% 15.5% Skew 25d 4.4% 3.3% 5.5% 4.7% 3.6% Skew 10d 9.0% 6.9% 11.4% 8.9% 7.4% Call IV 25d 10.6% 9.6% 12.2% 10.6% 11.8% Put IV 25d 15.0% 13.4% 17.7% 15.3% 15.4% Bid-Ask Spread % 1.53 1.28 2.05 2.05 1.54 Gamma HHI 0.06 0.05 0.08 0.05 0.06 Net GEX -36.7M -1.65B 749.0M -949.1M 206.3M Net DEX -4.22B -10.10B 5.26B 1.06B -8.67B Net VEX -77.9M -89.1M -72.3M -75.0M -86.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.87 1.02 2.93 2.22 1.54 Total Volume 789,135.045 441,577 1,706,268 950,149 701,071 Total OI 6,873,901.773 5,710,373 7,770,503 6,289,719 7,078,257
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 2017-10-02 $145.54 $145.00 12.6% 3.3% 9.9% 33.6% 12.2% 4.7% 0.2% -949.1M 1.06B -75.0M 2.22 2.05 N/A N/A 294,871 655,278 1,821,217 4,468,502 2017-10-03 $145.84 $145.00 12.0% 3.1% 9.3% 29.3% 11.1% 4.5% 0.3% -946.0M 278.4M -76.3M 1.58 1.34 N/A N/A 277,074 437,300 1,933,244 4,681,007 2017-10-04 $146.00 $145.00 12.0% 3.0% 9.2% 29.1% 11.2% 4.3% 0.3% -665.9M -656.8M -77.1M 1.58 1.28 N/A N/A 333,200 527,517 2,026,608 4,745,273 2017-10-05 $147.45 $146.00 11.4% 3.5% 9.8% 23.6% 12.4% 4.0% 0.4% 584.9M -6.33B -72.3M 1.13 1.56 N/A N/A 455,009 514,020 2,066,779 4,914,459 2017-10-06 $147.60 $146.00 11.3% 3.3% 9.2% 23.0% 12.9% 3.8% 0.4% 644.2M -7.08B -73.6M 1.90 1.40 N/A N/A 279,386 531,911 2,140,775 5,014,888 2017-10-09 $147.47 $146.00 12.1% 3.6% 8.5% 29.9% 13.3% 4.3% 0.5% 88.5M -4.47B -73.6M 1.40 1.45 N/A N/A 223,467 312,880 2,030,648 4,615,376 2017-10-10 $147.54 $146.00 12.1% 3.5% 8.5% 30.1% 13.0% 4.5% -0.0% 78.4M -4.58B -74.1M 1.68 1.45 N/A N/A 195,257 327,632 2,085,812 4,792,834 2017-10-11 $148.05 $146.00 11.8% 3.5% 8.5% 27.1% 13.0% 4.3% 0.3% 507.1M -6.39B -72.5M 1.96 1.46 N/A N/A 156,263 305,790 2,103,400 4,910,301 2017-10-12 $147.76 $146.00 11.8% 3.5% 8.3% 27.6% 14.0% 4.4% 0.4% 129.6M -5.13B -73.9M 1.86 1.98 N/A N/A 275,403 513,173 2,117,735 5,013,750 2017-10-13 $148.26 $146.00 11.6% 3.4% 8.3% 25.3% 13.6% 4.2% 0.6% 648.6M -6.84B -79.2M 2.30 1.55 N/A N/A 217,687 500,135 2,184,122 5,217,739 2017-10-16 $148.85 $146.00 11.9% 3.4% 8.3% 28.0% 13.5% 4.5% -0.2% 567.2M -7.66B -76.2M 2.93 1.54 N/A N/A 150,789 441,953 2,089,358 4,905,377 2017-10-17 $149.06 $146.00 11.9% 3.4% 8.3% 28.2% 12.8% 4.5% -0.1% 749.0M -8.63B -75.1M 2.21 1.61 N/A N/A 137,412 304,165 2,120,199 5,056,165 2017-10-18 $148.83 $146.00 11.7% 3.4% 8.2% 26.4% 13.7% 4.1% -0.1% 666.6M -7.90B -75.8M 1.81 1.67 N/A N/A 196,201 355,215 2,142,343 5,150,729 2017-10-19 $148.21 $147.00 12.5% 3.6% 7.9% 33.3% 14.3% 4.7% -0.3% 338.4M -5.43B -77.0M 2.11 1.53 N/A N/A 329,591 696,365 2,187,194 5,238,058 2017-10-20 $148.55 $147.00 11.8% 3.4% 7.9% 26.9% 13.1% 4.5% 0.2% 484.8M -7.27B -73.9M 1.82 1.54 N/A N/A 266,814 485,449 2,271,138 5,499,365 2017-10-23 $147.64 $147.00 13.1% 3.8% 6.9% 37.9% 13.8% 5.0% 0.1% -835.6M 1.05B -79.0M 2.15 1.53 N/A N/A 291,856 626,184 1,768,106 3,942,267 2017-10-24 $147.92 $148.00 12.9% 3.8% 6.9% 36.8% 13.6% 4.7% 0.2% -1.04B 1.38B -82.9M 1.53 1.56 N/A N/A 206,652 315,378 1,891,896 4,261,869 2017-10-25 $147.39 $148.00 14.0% 4.1% 6.2% 45.4% 16.1% 5.4% 0.2% -1.49B 4.01B -86.4M 2.39 1.51 N/A N/A 314,575 751,986 1,940,369 4,383,813 2017-10-26 $147.15 $148.00 14.4% 4.3% 6.2% 49.4% 15.3% 5.5% 0.1% -1.65B 5.26B -89.1M 1.69 1.40 N/A N/A 303,784 514,332 2,039,238 4,601,496 2017-10-27 $151.25 $148.00 12.8% 3.8% 11.0% 35.5% 13.8% 3.3% 0.2% 646.8M -10.10B -80.6M 1.02 1.34 N/A N/A 844,890 861,378 2,145,263 4,813,125 2017-10-30 $151.71 $148.00 13.3% 4.0% 11.0% 39.7% 15.1% 3.8% 0.2% 426.5M -8.71B -84.5M 2.22 1.38 N/A N/A 289,373 642,305 2,147,836 4,667,909 2017-10-31 $152.09 $148.00 13.3% 3.9% 11.0% 39.8% 15.5% 3.6% 0.2% 206.3M -8.67B -86.2M 1.54 1.54 N/A N/A 275,694 425,377 2,188,686 4,889,571
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