QQQ Options History — November 2017 In November 2017, QQQ traded between $151.89 and $156.46. ATM implied volatility averaged 12.1%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.0% (HV 20d: 11.1%). Max pain ranged from $147.00 to $153.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.03.
Notable Days 2017-11-29 : Highest Volume — 1,664,558 contracts2017-11-29 : Largest IV spike — 23.4% change2017-11-15 : Highest IV Rank — 62.7%2017-11-29 : Largest Expected Move — 4.1%Monthly Statistics Metric Avg Min Max Open Close Price $154.18 $151.89 $156.46 $152.10 $155.25 Max Pain $150.10 $147.00 $153.00 $148.00 $153.00 ATM IV 12.1% 10.4% 14.3% 13.0% 13.3% Expected Move 3.5% 2.8% 4.1% 3.9% 4.1% HV 20d 11.1% 8.2% 12.6% 11.0% 10.6% HV 60d 10.3% 9.5% 11.7% 11.7% 10.2% IV Rank 37.4% 20.3% 62.7% 37.5% 52.1% IV Percentile 45.4% 15.1% 87.3% 62.3% 71.8% Term Structure 0.3% -0.3% 0.6% 0.3% 0.1% VWIV 13.3% 10.2% 15.5% 15.2% 14.9% Skew 25d 3.8% 2.6% 5.1% 3.4% 4.3% Skew 10d 7.7% 4.9% 10.9% 6.4% 8.1% Call IV 25d 10.7% 9.5% 12.0% 11.6% 11.6% Put IV 25d 14.4% 12.1% 16.9% 15.0% 15.9% Bid-Ask Spread % 1.47 1.28 1.87 1.56 1.46 Gamma HHI 0.06 0.04 0.12 0.05 0.04 Net GEX 152.6M -860.7M 919.0M 413.6M -297.7M Net DEX -8.94B -13.70B -351.3M -8.74B -4.77B Net VEX -81.7M -90.0M -73.2M -87.0M -88.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.03 1.13 2.77 2.04 1.13 Total Volume 732,675.476 442,146 1,664,558 875,848 1,111,147 Total OI 7,200,067.429 6,184,627 8,066,663 7,303,451 7,460,452
Daily Data (21 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 2017-11-01 $152.10 $148.00 13.0% 3.9% 11.0% 37.5% 15.2% 3.4% 0.3% 413.6M -8.74B -87.0M 2.04 1.56 N/A N/A 288,556 587,292 2,261,492 5,041,959 2017-11-02 $151.89 $147.00 12.8% 3.8% 10.7% 35.4% 14.7% 3.4% 0.2% 220.4M -7.80B -88.0M 2.62 1.34 N/A N/A 215,402 563,719 2,304,279 5,222,544 2017-11-03 $153.17 $148.00 12.1% 3.6% 10.9% 29.4% 13.4% 3.4% 0.3% 919.0M -12.75B -82.9M 2.13 1.32 N/A N/A 292,069 621,506 2,322,192 5,361,741 2017-11-06 $153.80 $148.00 11.8% 3.5% 10.9% 27.1% 13.3% 3.3% 0.4% 465.9M -11.67B -79.1M 1.85 1.39 N/A N/A 221,082 410,036 2,085,233 4,910,342 2017-11-07 $153.86 $149.00 12.1% 3.6% 10.9% 38.6% 13.2% 3.3% 0.5% 365.3M -11.64B -80.7M 2.18 1.31 N/A N/A 158,323 345,484 2,165,193 5,048,480 2017-11-08 $154.48 $149.00 12.2% 3.6% 10.9% 39.4% 13.2% 3.3% 0.5% 509.1M -13.70B -75.4M 1.70 1.28 N/A N/A 171,855 292,212 2,180,829 5,164,412 2017-11-09 $153.70 $149.00 12.5% 3.7% 11.1% 43.6% 15.5% 4.1% 0.4% 69.0M -10.12B -83.4M 2.42 1.62 N/A N/A 312,267 755,798 2,214,776 5,219,629 2017-11-10 $153.68 $150.00 12.4% 3.6% 11.1% 41.9% 14.3% 4.3% 0.4% 27.0M -10.47B -85.6M 2.52 1.35 N/A N/A 224,036 565,253 2,271,346 5,406,865 2017-11-13 $153.78 $150.00 12.5% 3.6% 11.1% 43.0% 15.2% 4.5% 0.2% 82.4M -9.92B -82.3M 2.35 1.49 N/A N/A 171,355 401,846 2,174,192 5,218,171 2017-11-14 $153.32 $150.00 12.9% 3.7% 11.2% 47.5% 13.6% 4.7% -0.0% -286.7M -7.87B -86.4M 2.36 1.38 N/A N/A 168,998 399,347 2,226,800 5,342,197 2017-11-15 $152.36 $150.00 14.3% 4.1% 11.5% 62.7% 15.5% 5.1% -0.3% -662.5M -4.44B -90.0M 2.74 1.40 N/A N/A 163,333 446,910 2,267,685 5,423,891 2017-11-16 $154.62 $150.00 12.0% 3.4% 12.3% 38.1% 13.1% 4.1% 0.6% 390.0M -12.80B -83.0M 1.75 1.44 N/A N/A 268,561 469,203 2,318,793 5,540,202 2017-11-17 $153.91 $150.00 11.7% 3.3% 12.5% 34.5% 12.7% 4.1% 0.3% -100.1M -10.86B -82.1M 2.29 1.36 N/A N/A 218,606 499,726 2,403,310 5,663,353 2017-11-20 $153.77 $150.00 11.7% 3.2% 12.2% 34.2% 12.5% 4.3% 0.3% -400.9M -3.50B -80.4M 1.66 1.34 N/A N/A 166,311 275,835 1,828,674 4,355,953 2017-11-21 $155.42 $151.00 10.9% 3.0% 12.6% 25.6% 10.9% 3.3% 0.6% 263.6M -8.02B -76.8M 1.46 1.58 N/A N/A 247,341 361,764 1,870,363 4,461,981 2017-11-22 $155.74 $151.00 10.8% 3.0% 12.4% 25.0% 10.9% 3.1% 0.1% 576.8M -8.90B -76.5M 1.63 1.50 N/A N/A 196,681 321,230 1,952,252 4,548,519 2017-11-24 $156.26 $152.00 10.4% 2.8% 12.3% 20.3% 10.2% 2.6% 0.5% 720.1M -10.58B -73.2M 1.35 1.79 N/A N/A 218,777 296,132 2,050,117 4,671,976 2017-11-27 $156.20 $152.00 10.9% 3.0% 8.2% 26.0% 11.5% 3.1% 0.4% 505.1M -9.32B -73.7M 2.77 1.50 N/A N/A 176,373 489,238 2,000,145 4,507,924 2017-11-28 $156.46 $152.00 11.1% 3.0% 8.2% 27.6% 11.4% 3.0% 0.1% 285.3M -9.58B -73.2M 2.10 1.87 N/A N/A 202,488 425,535 2,027,625 4,756,765 2017-11-29 $154.00 $153.00 13.7% 4.1% 10.3% 56.1% 14.4% 4.6% -0.0% -860.7M -351.3M -87.3M 1.56 1.50 N/A N/A 651,365 1,013,193 2,073,419 4,875,345 2017-11-30 $155.25 $153.00 13.3% 4.1% 10.6% 52.1% 14.9% 4.3% 0.1% -297.7M -4.77B -88.9M 1.13 1.46 N/A N/A 522,875 588,272 2,255,893 5,204,559
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