QQQ Options History — March 2018

In March 2018, QQQ traded between $157.54 and $174.10. ATM implied volatility averaged 19.4%, placing in the 52.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 1.6% (HV 20d: 21.0%). Max pain ranged from $164.00 to $170.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.96.

Notable Days

2018-03-01: Highest Volume — 1,737,532 contracts
2018-03-19: Largest IV spike — 28.1% change
2018-03-28: Highest IV Rank — 95.9%
2018-03-28: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$166.85	$157.54	$174.10	$164.61	$160.40
Max Pain	$168.19	$164.00	$170.00	$164.00	$167.00
ATM IV	19.4%	14.0%	28.3%	21.1%	25.0%
Expected Move	5.7%	4.2%	8.3%	6.5%	7.3%
HV 20d	21.0%	15.1%	27.0%	26.8%	27.0%
HV 60d	18.8%	17.3%	22.5%	17.4%	22.5%
IV Rank	52.3%	26.6%	95.9%	60.9%	79.4%
IV Percentile	92.0%	71.8%	99.6%	98.0%	97.6%
Term Structure	0.2%	-0.6%	0.9%	-0.0%	-0.2%
VWIV	21.3%	16.7%	29.7%	23.9%	26.8%
Skew 25d	6.6%	3.9%	9.1%	7.1%	7.5%
Skew 10d	13.3%	8.8%	18.0%	15.8%	13.9%
Call IV 25d	16.7%	12.5%	24.2%	18.5%	21.4%
Put IV 25d	23.3%	16.4%	32.8%	25.6%	28.9%
Bid-Ask Spread %	3.19	1.83	6.99	6.20	2.37
Gamma HHI	0.04	0.03	0.06	0.04	0.06
Net GEX	-993.6M	-2.23B	804.6M	-1.85B	-1.82B
Net DEX	3.85B	-18.22B	29.31B	8.32B	21.05B
Net VEX	-121.0M	-136.6M	-104.3M	-128.6M	-136.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.96	1.50	2.70	2.70	1.58
Total Volume	1,114,373.81	713,408	1,737,532	1,737,532	1,354,278
Total OI	7,837,369.571	6,266,058	9,127,294	7,934,962	8,037,890

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
2018-03-01	$164.61	$164.00	21.1%	6.5%	26.8%	60.9%	23.9%	7.1%	-0.0%	-1.85B	8.32B	-128.6M	2.70	6.20	N/A	N/A	469,470	1,268,062	2,413,710	5,521,252
2018-03-02	$166.13	$164.00	18.0%	5.3%	27.0%	46.0%	20.3%	6.3%	-0.1%	-1.38B	2.49B	-120.3M	2.29	6.99	N/A	N/A	404,967	927,084	2,498,249	5,630,862
2018-03-05	$167.88	$167.00	16.8%	5.0%	26.2%	40.2%	19.2%	6.1%	0.4%	-744.4M	-2.95B	-113.3M	2.03	2.00	N/A	N/A	302,854	614,704	2,363,659	5,275,840
2018-03-06	$168.32	$167.00	16.9%	5.1%	23.0%	40.5%	18.9%	6.0%	0.3%	-589.9M	-4.28B	-114.3M	1.61	1.83	N/A	N/A	316,811	508,922	2,419,673	5,402,010
2018-03-07	$168.90	$167.00	16.5%	5.0%	22.4%	38.7%	18.5%	5.9%	0.3%	-372.5M	-6.08B	-111.9M	2.18	2.26	N/A	N/A	270,476	590,588	2,467,620	5,491,400
2018-03-08	$169.58	$168.00	16.1%	4.7%	22.1%	36.6%	17.7%	5.7%	0.4%	-192.5M	-7.78B	-112.7M	1.69	4.24	N/A	N/A	283,883	481,124	2,521,433	5,643,208
2018-03-09	$172.95	$168.00	14.0%	4.2%	16.1%	26.6%	16.7%	3.9%	0.3%	804.6M	-18.22B	-104.3M	1.50	2.80	N/A	N/A	457,589	686,510	2,595,020	5,790,368
2018-03-12	$174.10	$169.00	15.6%	4.6%	15.9%	34.4%	18.6%	4.7%	0.4%	591.6M	-17.63B	-105.4M	1.69	2.18	N/A	N/A	300,565	508,057	2,524,832	5,630,715
2018-03-13	$171.73	$169.00	17.0%	4.9%	16.7%	41.1%	18.1%	5.1%	0.2%	55.2M	-11.79B	-110.3M	1.75	2.42	N/A	N/A	418,652	731,022	2,611,712	5,739,774
2018-03-14	$171.65	$170.00	17.0%	5.0%	16.8%	40.9%	19.7%	5.1%	0.3%	-90.3M	-10.35B	-117.6M	2.17	2.09	N/A	N/A	279,227	605,917	2,758,750	6,037,112
2018-03-15	$171.55	$170.00	16.2%	4.7%	15.9%	37.1%	19.7%	5.0%	0.4%	-392.0M	-9.73B	-119.0M	2.01	2.26	N/A	N/A	237,051	476,801	2,815,927	6,207,235
2018-03-16	$171.41	$170.00	14.8%	4.4%	15.1%	30.6%	17.7%	4.7%	0.9%	-838.5M	-9.40B	-116.3M	1.93	2.83	N/A	N/A	258,313	498,099	2,834,764	6,292,530
2018-03-19	$167.21	$170.00	19.0%	5.5%	17.8%	50.9%	20.9%	7.2%	0.6%	-1.31B	10.15B	-121.5M	2.34	2.19	N/A	N/A	418,302	978,554	1,834,491	4,431,567
2018-03-20	$167.65	$170.00	18.5%	5.3%	17.8%	48.4%	20.4%	7.4%	0.4%	-1.33B	9.29B	-124.1M	1.99	2.47	N/A	N/A	238,237	475,171	1,931,548	4,747,354
2018-03-21	$166.83	$170.00	18.6%	5.3%	17.9%	46.7%	19.6%	7.5%	0.6%	-1.48B	11.18B	-125.3M	1.78	3.18	N/A	N/A	331,263	590,450	2,019,760	4,871,696
2018-03-22	$162.92	$169.00	23.0%	6.6%	19.9%	69.0%	24.4%	8.8%	0.0%	-2.09B	20.73B	-131.2M	2.35	3.04	N/A	N/A	408,278	961,318	2,158,690	5,080,834
2018-03-23	$158.86	$169.00	25.8%	7.4%	20.3%	83.1%	25.8%	9.1%	-0.6%	-2.23B	29.31B	-131.2M	1.92	3.11	N/A	N/A	539,821	1,038,152	2,299,998	5,252,576
2018-03-26	$164.59	$168.00	22.2%	6.4%	23.9%	64.9%	24.1%	8.1%	0.1%	-1.55B	13.13B	-130.9M	1.58	1.96	N/A	N/A	426,224	673,679	2,226,073	5,055,292
2018-03-27	$159.14	$168.00	26.3%	7.8%	26.4%	86.0%	26.6%	8.8%	-0.3%	-2.00B	25.01B	-132.2M	1.81	6.34	N/A	N/A	485,338	878,454	2,308,784	5,144,801
2018-03-28	$157.54	$168.00	28.3%	8.3%	26.5%	95.9%	29.7%	8.6%	-0.4%	-2.05B	28.29B	-134.1M	2.21	4.26	N/A	N/A	531,678	1,175,905	2,426,679	5,269,073
2018-03-29	$160.40	$167.00	25.0%	7.3%	27.0%	79.4%	26.8%	7.5%	-0.2%	-1.82B	21.05B	-136.6M	1.58	2.37	N/A	N/A	525,003	829,275	2,578,728	5,459,162