QQQ Options History — May 2018 In May 2018, QQQ traded between $161.86 and $170.19. ATM implied volatility averaged 15.5%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 1.6% (HV 20d: 17.1%). Max pain ranged from $162.00 to $166.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.80.
Notable Days 2018-05-04 : Highest Volume — 1,185,896 contracts2018-05-29 : Largest IV spike — 15.7% change2018-05-01 : Highest IV Rank — 45.0%2018-05-01 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $167.53 $161.86 $170.19 $162.14 $170.10 Max Pain $164.00 $162.00 $166.00 $162.00 $166.00 ATM IV 15.5% 13.7% 18.4% 18.4% 14.3% Expected Move 4.5% 4.0% 5.6% 5.6% 4.1% HV 20d 17.1% 11.0% 22.7% 22.7% 11.2% HV 60d 23.2% 22.1% 25.8% 25.8% 22.1% IV Rank 28.2% 17.8% 45.0% 45.0% 20.8% IV Percentile 65.9% 47.6% 84.1% 84.1% 55.2% Term Structure 0.1% -0.3% 0.8% -0.0% -0.2% VWIV 17.2% 14.7% 21.2% 21.2% 15.5% Skew 25d 4.9% 3.5% 6.2% 5.9% 5.6% Skew 10d 9.9% 6.5% 13.2% 11.2% 12.0% Call IV 25d 13.4% 11.9% 15.6% 15.6% 12.0% Put IV 25d 18.3% 15.9% 21.5% 21.5% 17.6% Bid-Ask Spread % 2.54 1.63 6.02 6.02 2.33 Gamma HHI 0.05 0.03 0.07 0.06 0.03 Net GEX -498.7M -1.52B 698.5M -1.42B -462.5M Net DEX -2.62B -12.10B 8.69B 8.66B -3.87B Net VEX -109.0M -122.8M -99.2M -121.3M -99.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.80 1.15 2.65 2.27 1.51 Total Volume 736,909.818 538,060 1,185,896 776,466 609,703 Total OI 7,904,589.909 6,934,969 9,147,222 7,804,754 7,395,332
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 2018-05-01 $162.14 $162.00 18.4% 5.6% 22.7% 45.0% 21.2% 5.9% -0.0% -1.42B 8.66B -121.3M 2.27 6.02 N/A N/A 237,430 539,036 2,536,704 5,268,050 2018-05-02 $162.14 $162.00 17.8% 5.3% 21.7% 42.2% 19.4% 5.1% 0.1% -1.47B 7.84B -121.3M 2.22 2.62 N/A N/A 244,654 542,138 2,608,141 5,360,587 2018-05-03 $161.86 $162.00 18.0% 5.2% 21.7% 43.0% 20.3% 5.8% 0.1% -1.52B 8.69B -122.8M 2.10 2.84 N/A N/A 290,170 609,691 2,672,703 5,425,341 2018-05-04 $165.01 $162.00 16.5% 4.9% 20.5% 35.2% 19.4% 5.2% 0.2% -172.7M -1.06B -118.0M 1.50 1.84 N/A N/A 474,272 711,624 2,725,468 5,478,330 2018-05-07 $166.15 $162.00 16.4% 4.9% 20.3% 35.0% 18.9% 5.1% 0.6% -257.5M -2.66B -112.9M 1.93 1.91 N/A N/A 289,798 560,280 2,548,281 5,155,600 2018-05-08 $165.84 $162.00 16.5% 4.8% 19.6% 35.6% 19.3% 5.1% 0.2% -423.5M -1.60B -114.1M 2.65 2.14 N/A N/A 185,046 489,487 2,625,102 5,348,048 2018-05-09 $167.67 $163.00 15.6% 4.5% 19.7% 30.0% 17.5% 4.4% 0.2% 104.4M -6.80B -111.0M 1.55 2.83 N/A N/A 282,109 437,428 2,659,111 5,481,402 2018-05-10 $169.44 $163.00 14.7% 4.4% 19.6% 25.3% 16.6% 3.9% 0.6% 546.7M -11.83B -105.9M 1.41 4.86 N/A N/A 348,555 492,852 2,696,077 5,598,669 2018-05-11 $169.31 $164.00 14.1% 4.2% 19.3% 21.0% 15.9% 3.5% 0.8% 698.5M -12.10B -102.5M 1.70 2.48 N/A N/A 323,385 550,013 2,761,181 5,730,145 2018-05-14 $169.77 $164.00 14.4% 4.2% 19.2% 21.7% 15.2% 3.8% 0.0% 366.6M -10.62B -105.1M 1.15 2.37 N/A N/A 291,979 335,963 2,680,726 5,599,604 2018-05-15 $167.50 $164.00 16.0% 4.6% 18.5% 30.3% 17.5% 4.6% -0.3% -599.2M -2.81B -111.0M 1.70 2.09 N/A N/A 372,058 630,909 2,752,348 5,730,296 2018-05-16 $168.88 $165.00 15.0% 4.3% 18.7% 24.7% 17.4% 4.8% -0.0% 178.4M -8.02B -106.6M 2.12 2.00 N/A N/A 211,984 448,557 2,817,083 5,834,340 2018-05-17 $168.40 $165.00 15.3% 4.4% 18.5% 26.3% 16.1% 4.8% -0.3% -231.5M -5.67B -109.2M 2.18 2.89 N/A N/A 237,685 517,905 2,858,583 6,022,468 2018-05-18 $167.69 $165.00 15.1% 4.3% 17.1% 25.2% 16.8% 4.8% 0.3% -1.36B -2.29B -109.9M 1.87 1.75 N/A N/A 234,588 438,425 2,918,687 6,228,535 2018-05-21 $168.06 $165.00 15.3% 4.4% 17.0% 25.9% 15.9% 5.0% -0.1% -1.00B 463.1M -106.5M 1.59 1.63 N/A N/A 232,559 369,595 2,094,696 4,840,273 2018-05-22 $168.31 $165.00 15.0% 4.3% 13.7% 24.4% 16.5% 4.8% 0.1% -954.8M -73.2M -107.2M 2.06 2.38 N/A N/A 175,985 362,075 2,175,641 4,909,584 2018-05-23 $169.25 $165.00 14.5% 4.2% 13.7% 21.8% 15.0% 4.8% 0.1% -637.4M -2.87B -102.4M 1.54 2.17 N/A N/A 235,206 362,401 2,219,959 4,989,494 2018-05-24 $169.49 $165.00 14.0% 4.0% 11.0% 19.0% 14.7% 4.8% 0.4% -477.6M -3.26B -103.9M 1.45 2.16 N/A N/A 247,168 357,978 2,252,592 5,047,613 2018-05-25 $169.59 $165.00 13.7% 4.0% 11.0% 17.8% 15.2% 4.9% -0.2% -550.9M -3.53B -102.6M 1.61 2.10 N/A N/A 245,148 393,755 2,291,880 5,106,749 2018-05-29 $168.80 $166.00 15.9% 4.7% 11.0% 29.4% 17.9% 6.2% -0.3% -897.3M -33.5M -104.1M 1.49 2.34 N/A N/A 279,236 416,893 2,181,931 4,960,868 2018-05-30 $170.19 $166.00 14.5% 4.2% 11.2% 21.6% 16.3% 5.5% -0.1% -427.8M -4.18B -99.7M 1.94 2.05 N/A N/A 202,911 393,382 2,259,031 5,053,725 2018-05-31 $170.10 $166.00 14.3% 4.1% 11.2% 20.8% 15.5% 5.6% -0.2% -462.5M -3.87B -99.2M 1.51 2.33 N/A N/A 243,185 366,518 2,298,050 5,097,282
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