QQQ Options History — December 2017

In December 2017, QQQ traded between $152.78 and $158.55. ATM implied volatility averaged 12.4%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.9% (HV 20d: 10.5%). Max pain ranged from $150.00 to $155.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.09.

Notable Days

2017-12-01: Highest Volume — 1,229,994 contracts
2017-12-04: Largest IV spike — 10.8% change
2017-12-04: Highest IV Rank — 72.7%
2017-12-04: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$155.88	$152.78	$158.55	$154.58	$155.79
Max Pain	$152.95	$150.00	$155.00	$153.00	$155.00
ATM IV	12.4%	10.9%	15.2%	13.7%	12.8%
Expected Move	3.6%	3.1%	4.3%	4.3%	3.5%
HV 20d	10.5%	8.1%	11.5%	10.7%	8.1%
HV 60d	10.1%	9.8%	10.4%	10.2%	9.9%
IV Rank	42.0%	26.0%	72.7%	56.3%	47.2%
IV Percentile	52.1%	25.0%	93.7%	78.2%	65.1%
Term Structure	0.3%	-0.0%	0.8%	0.2%	0.8%
VWIV	13.3%	11.7%	16.7%	16.7%	13.8%
Skew 25d	3.8%	2.8%	5.7%	5.0%	4.3%
Skew 10d	7.8%	5.5%	11.7%	10.4%	8.5%
Call IV 25d	10.9%	9.5%	13.1%	11.9%	11.0%
Put IV 25d	14.7%	12.6%	18.8%	17.0%	15.3%
Bid-Ask Spread %	2.16	1.18	3.41	1.67	2.01
Gamma HHI	0.06	0.04	0.24	0.05	0.21
Net GEX	-634.8M	-2.57B	1.50B	-1.19B	-2.57B
Net DEX	-2.09B	-12.98B	5.24B	-1.06B	4.43B
Net VEX	-83.1M	-96.1M	-70.9M	-94.5M	-87.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.09	1.16	3.00	2.77	2.59
Total Volume	739,595.3	464,795	1,229,994	1,229,994	818,388
Total OI	7,188,240.15	5,728,715	8,394,740	7,641,272	6,637,878

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
2017-12-01	$154.58	$153.00	13.7%	4.3%	10.7%	56.3%	16.7%	5.0%	0.2%	-1.19B	-1.06B	-94.5M	2.77	1.67	N/A	N/A	325,897	904,097	2,262,850	5,378,422
2017-12-04	$152.78	$150.00	15.2%	4.3%	11.2%	72.7%	15.0%	5.7%	0.1%	-1.49B	5.24B	-95.1M	1.85	1.18	N/A	N/A	364,211	672,269	2,122,649	5,304,365
2017-12-05	$152.94	$151.00	14.6%	4.2%	11.1%	66.5%	15.9%	5.3%	0.2%	-1.73B	4.90B	-96.1M	2.05	1.44	N/A	N/A	298,078	611,860	2,248,166	5,456,326
2017-12-06	$153.38	$151.00	14.4%	4.2%	11.2%	64.5%	15.7%	4.7%	0.1%	-1.62B	3.31B	-95.4M	2.02	1.91	N/A	N/A	275,208	556,736	2,303,167	5,642,349
2017-12-07	$154.12	$151.00	14.0%	4.0%	11.2%	59.3%	14.1%	4.1%	0.1%	-1.34B	214.2M	-94.3M	2.31	1.64	N/A	N/A	210,949	487,246	2,355,010	5,792,905
2017-12-08	$154.60	$151.00	12.6%	3.6%	11.1%	44.6%	13.1%	3.3%	0.3%	-754.6M	-2.70B	-88.4M	2.01	1.96	N/A	N/A	335,677	674,670	2,383,551	5,861,931
2017-12-11	$155.85	$152.00	11.6%	3.4%	11.5%	33.5%	13.5%	3.3%	0.2%	-71.0M	-6.72B	-81.1M	1.56	2.09	N/A	N/A	232,774	364,053	2,276,632	5,734,515
2017-12-12	$155.65	$152.00	11.9%	3.4%	11.5%	36.9%	13.1%	3.3%	-0.0%	-333.4M	-5.55B	-82.0M	1.16	1.61	N/A	N/A	264,332	307,413	2,299,985	5,802,769
2017-12-13	$155.93	$152.00	12.0%	3.5%	11.4%	38.0%	13.0%	3.3%	0.1%	28.5M	-6.92B	-81.0M	1.58	2.87	N/A	N/A	214,295	337,878	2,342,612	5,846,901
2017-12-14	$155.95	$152.00	11.7%	3.4%	11.1%	34.6%	13.4%	3.2%	0.2%	-163.8M	-6.64B	-79.8M	1.87	3.41	N/A	N/A	261,056	488,218	2,340,666	5,900,573
2017-12-15	$157.48	$152.00	10.9%	3.2%	10.4%	26.0%	12.0%	2.8%	0.3%	1.50B	-12.98B	-74.8M	1.64	2.44	N/A	N/A	370,525	608,425	2,364,189	6,030,551
2017-12-18	$158.55	$153.00	11.1%	3.2%	10.4%	28.0%	12.2%	3.0%	0.4%	331.5M	-5.99B	-70.9M	2.22	2.31	N/A	N/A	196,859	436,146	1,546,604	4,182,111
2017-12-19	$157.75	$154.00	11.5%	3.3%	10.6%	32.0%	12.7%	3.7%	0.5%	-52.1M	-3.86B	-75.2M	2.12	1.21	N/A	N/A	213,170	452,835	1,609,055	4,347,703
2017-12-20	$157.57	$155.00	11.5%	3.3%	10.0%	31.8%	12.1%	3.4%	0.4%	-188.4M	-2.71B	-78.3M	1.66	2.45	N/A	N/A	201,189	333,033	1,671,399	4,458,356
2017-12-21	$157.55	$155.00	11.1%	3.2%	10.0%	27.8%	11.7%	3.3%	0.4%	-109.3M	-3.36B	-75.2M	2.50	2.70	N/A	N/A	150,496	375,595	1,711,562	4,518,260
2017-12-22	$157.28	$155.00	10.9%	3.1%	10.0%	26.0%	12.7%	3.1%	0.5%	-513.1M	-1.81B	-78.3M	2.50	3.05	N/A	N/A	181,769	453,686	1,711,524	4,615,279
2017-12-26	$156.49	$155.00	11.8%	3.3%	10.2%	35.8%	12.0%	3.8%	0.6%	-845.9M	112.9M	-76.0M	2.44	3.29	N/A	N/A	135,310	329,485	1,626,247	4,476,896
2017-12-27	$156.60	$155.00	12.0%	3.4%	10.2%	38.0%	11.8%	4.0%	0.6%	-872.3M	190.1M	-77.9M	1.96	2.78	N/A	N/A	157,979	309,690	1,659,334	4,555,159
2017-12-28	$156.72	$155.00	12.3%	3.4%	8.3%	41.0%	11.7%	4.0%	0.6%	-710.1M	130.8M	-80.4M	3.00	1.18	N/A	N/A	220,240	660,169	1,711,491	4,674,861
2017-12-29	$155.79	$155.00	12.8%	3.5%	8.1%	47.2%	13.8%	4.3%	0.8%	-2.57B	4.43B	-87.9M	2.59	2.01	N/A	N/A	228,023	590,365	1,819,531	4,818,347