QQQ Options History — January 2018

In January 2018, QQQ traded between $158.45 and $170.72. ATM implied volatility averaged 14.3%, placing in the 63.4% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 4.7% (HV 20d: 9.6%). Max pain ranged from $155.00 to $165.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.06.

Notable Days

2018-01-24: Highest Volume — 1,440,633 contracts
2018-01-16: Largest IV spike — 14.7% change
2018-01-30: Highest IV Rank — 100.0%
2018-01-30: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$165.30	$158.45	$170.72	$158.45	$169.11
Max Pain	$160.71	$155.00	$165.00	$155.00	$165.00
ATM IV	14.3%	11.6%	17.8%	12.2%	17.6%
Expected Move	4.2%	3.0%	5.4%	3.2%	5.4%
HV 20d	9.6%	9.1%	10.7%	9.9%	9.6%
HV 60d	10.4%	9.5%	10.9%	10.3%	10.1%
IV Rank	63.4%	33.6%	100.0%	40.3%	97.6%
IV Percentile	79.4%	38.1%	100.0%	53.2%	99.2%
Term Structure	0.1%	-0.4%	0.4%	0.3%	0.1%
VWIV	15.5%	11.5%	20.4%	12.7%	20.2%
Skew 25d	3.3%	2.8%	4.4%	4.4%	4.3%
Skew 10d	6.5%	5.5%	8.8%	8.4%	8.8%
Call IV 25d	13.1%	10.4%	16.1%	10.6%	15.8%
Put IV 25d	16.3%	13.6%	20.2%	15.0%	20.0%
Bid-Ask Spread %	2.56	1.52	4.55	1.70	3.38
Gamma HHI	0.04	0.03	0.05	0.05	0.03
Net GEX	-151.1M	-672.4M	289.0M	-390.7M	-672.4M
Net DEX	-11.00B	-16.69B	-3.65B	-3.65B	-6.85B
Net VEX	-85.8M	-111.9M	-74.3M	-79.7M	-111.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.06	1.31	3.73	1.82	1.89
Total Volume	973,633.286	581,556	1,440,633	581,556	986,951
Total OI	7,105,645.667	5,961,108	8,569,818	5,961,108	7,755,034

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
2018-01-02	$158.45	$155.00	12.2%	3.2%	9.9%	40.3%	12.7%	4.4%	0.3%	-390.7M	-3.65B	-79.7M	1.82	1.70	N/A	N/A	206,248	375,308	1,642,172	4,318,936
2018-01-03	$160.02	$155.00	11.8%	3.0%	9.1%	35.6%	11.5%	3.7%	0.4%	101.8M	-8.02B	-75.9M	2.27	2.00	N/A	N/A	238,825	540,976	1,689,328	4,429,070
2018-01-04	$160.36	$157.00	11.6%	3.6%	9.1%	33.6%	13.3%	3.1%	0.4%	-214.0M	-8.32B	-75.6M	1.66	2.19	N/A	N/A	288,579	477,821	1,732,250	4,644,091
2018-01-05	$161.90	$158.00	12.1%	3.6%	9.4%	38.6%	13.7%	3.0%	0.2%	170.2M	-11.21B	-76.2M	2.34	2.24	N/A	N/A	344,765	806,423	1,813,852	4,814,233
2018-01-08	$162.52	$158.00	12.3%	3.6%	9.4%	41.1%	13.7%	3.1%	0.1%	167.9M	-11.90B	-74.3M	2.13	1.52	N/A	N/A	195,307	415,615	1,840,186	4,836,864
2018-01-09	$162.59	$158.00	12.9%	3.7%	9.4%	47.9%	13.9%	3.1%	0.0%	15.1M	-11.11B	-78.7M	1.99	2.33	N/A	N/A	245,490	488,824	1,893,274	4,959,059
2018-01-10	$162.16	$159.00	13.5%	3.9%	9.4%	54.5%	14.3%	3.4%	0.2%	-234.8M	-9.65B	-82.4M	2.84	2.02	N/A	N/A	267,621	760,222	1,938,606	5,119,487
2018-01-11	$163.24	$160.00	13.1%	3.8%	9.4%	49.4%	14.8%	3.2%	0.3%	-21.3M	-12.42B	-81.0M	3.73	1.72	N/A	N/A	194,987	727,078	1,995,845	5,376,069
2018-01-12	$164.41	$160.00	13.0%	3.8%	9.6%	48.9%	14.3%	2.9%	0.3%	-86.9M	-14.67B	-78.8M	2.54	1.93	N/A	N/A	294,996	747,834	2,021,640	5,747,498
2018-01-16	$164.14	$160.00	14.9%	4.3%	9.6%	70.1%	14.9%	3.1%	-0.4%	-536.7M	-11.93B	-81.2M	1.34	1.96	N/A	N/A	537,729	718,250	1,929,606	5,630,930
2018-01-17	$165.73	$161.00	14.7%	4.2%	9.6%	67.7%	15.6%	3.3%	-0.1%	-228.2M	-15.25B	-82.4M	1.52	1.69	N/A	N/A	347,018	527,517	2,124,121	5,883,336
2018-01-18	$165.84	$161.00	15.3%	4.4%	9.5%	73.7%	16.1%	3.4%	-0.2%	-317.4M	-15.71B	-84.0M	2.18	4.20	N/A	N/A	310,957	677,639	2,206,979	6,030,744
2018-01-19	$166.26	$162.00	14.4%	4.2%	9.1%	64.3%	15.1%	3.3%	-0.4%	-123.5M	-16.69B	-84.3M	2.38	4.25	N/A	N/A	269,843	642,092	2,276,169	6,293,649
2018-01-22	$168.12	$163.00	14.3%	4.2%	9.5%	63.5%	15.8%	3.1%	0.2%	11.6M	-9.64B	-82.3M	1.68	4.55	N/A	N/A	294,232	492,845	1,638,153	4,468,111
2018-01-23	$169.55	$163.00	14.8%	4.3%	9.6%	68.7%	15.9%	3.0%	0.2%	54.0M	-12.12B	-85.6M	1.31	2.26	N/A	N/A	489,903	641,957	1,788,819	4,620,750
2018-01-24	$168.53	$163.00	15.9%	4.7%	10.0%	80.8%	17.2%	3.0%	0.1%	-89.0M	-10.07B	-91.6M	2.22	4.43	N/A	N/A	447,906	992,727	1,936,252	4,820,134
2018-01-25	$168.40	$164.00	16.1%	4.8%	9.6%	82.8%	17.1%	2.9%	0.1%	-305.3M	-8.76B	-98.8M	1.89	3.48	N/A	N/A	325,203	613,021	2,065,443	5,195,510
2018-01-26	$170.72	$164.00	15.6%	4.6%	10.2%	77.1%	16.6%	2.8%	0.2%	289.0M	-14.92B	-92.6M	1.47	1.56	N/A	N/A	435,372	639,033	2,146,749	5,356,384
2018-01-29	$170.31	$164.00	17.2%	5.2%	10.4%	95.3%	19.1%	3.0%	0.3%	-91.5M	-11.50B	-95.5M	2.07	2.44	N/A	N/A	355,577	737,650	2,058,664	4,830,058
2018-01-30	$168.89	$165.00	17.8%	5.4%	10.7%	100.0%	20.4%	4.1%	0.2%	-670.0M	-6.64B	-108.6M	2.12	1.99	N/A	N/A	431,955	914,003	2,209,548	5,140,956
2018-01-31	$169.11	$165.00	17.6%	5.4%	9.6%	97.6%	20.2%	4.3%	0.1%	-672.4M	-6.85B	-111.9M	1.89	3.38	N/A	N/A	341,881	645,070	2,316,730	5,438,304