QQQ Options History — March 2019 In March 2019, QQQ traded between $170.93 and $182.68. ATM implied volatility averaged 16.1%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.7% (HV 20d: 12.4%). Max pain ranged from $168.00 to $178.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.39.
Notable Days 2019-03-22 : Highest Volume — 1,143,350 contracts2019-03-22 : Largest IV spike — 20.8% change2019-03-25 : Highest IV Rank — 27.6%2019-03-25 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $176.88 $170.93 $182.68 $174.62 $179.62 Max Pain $173.95 $168.00 $178.00 $168.00 $178.00 ATM IV 16.1% 14.0% 18.9% 14.0% 15.7% Expected Move 4.7% 3.7% 5.5% 3.7% 4.7% HV 20d 12.4% 9.6% 15.2% 10.5% 15.0% HV 60d 21.2% 17.4% 24.4% 24.4% 17.4% IV Rank 15.9% 7.1% 27.6% 7.1% 14.4% IV Percentile 35.0% 11.1% 56.3% 11.1% 36.9% Term Structure 0.2% -0.3% 0.7% 0.5% 0.7% VWIV 17.1% 13.8% 19.0% 13.8% 16.3% Skew 25d 5.0% 3.6% 6.7% 5.1% 4.7% Skew 10d 9.7% 7.3% 12.4% 10.4% 9.0% Call IV 25d 13.9% 12.0% 16.3% 12.0% 13.2% Put IV 25d 18.9% 16.3% 21.9% 17.1% 17.9% Bid-Ask Spread % 2.02 1.55 2.33 1.91 1.55 Gamma HHI 0.05 0.03 0.08 0.05 0.08 Net GEX 680.2M -708.2M 1.64B 1.02B 771.5M Net DEX -9.49B -20.30B 1.01B -12.15B -8.41B Net VEX -117.5M -134.2M -98.7M -98.7M -130.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.39 0.72 1.93 1.15 1.04 Total Volume 752,772.286 489,400 1,143,350 670,456 657,743 Total OI 6,961,700.19 5,740,171 8,208,184 6,827,032 7,082,002
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 2019-03-01 $174.62 $168.00 14.0% 3.7% 10.5% 7.1% 13.8% 5.1% 0.5% 1.02B -12.15B -98.7M 1.15 1.91 N/A N/A 312,068 358,388 2,754,900 4,072,132 2019-03-04 $174.25 $168.00 15.6% 4.4% 10.5% 13.9% 16.2% 5.9% 0.1% 515.8M -9.57B -101.9M 1.75 1.89 N/A N/A 301,571 529,190 2,675,712 3,943,365 2019-03-05 $175.00 $169.00 15.0% 4.2% 10.1% 11.5% 15.3% 5.6% 0.1% 800.8M -11.39B -104.5M 1.81 1.93 N/A N/A 174,043 315,357 2,806,749 4,168,474 2019-03-06 $173.56 $169.00 16.6% 4.8% 10.0% 18.2% 17.6% 5.9% -0.1% 280.7M -6.94B -107.7M 1.75 2.09 N/A N/A 210,324 367,103 2,865,260 4,223,056 2019-03-07 $171.35 $169.00 18.0% 5.3% 11.1% 23.9% 18.8% 6.5% -0.1% -454.8M -236.0M -111.6M 1.75 1.93 N/A N/A 344,356 601,757 2,904,442 4,340,497 2019-03-08 $170.93 $169.00 17.8% 4.9% 9.6% 23.2% 17.6% 6.7% -0.0% -708.2M 1.01B -113.0M 1.45 2.01 N/A N/A 373,328 541,205 2,948,354 4,483,933 2019-03-11 $174.69 $173.00 15.7% 4.7% 12.1% 14.4% 16.9% 5.5% -0.3% 819.4M -10.69B -110.5M 0.72 2.13 N/A N/A 414,475 297,811 2,896,436 4,442,757 2019-03-12 $175.83 $173.00 14.7% 4.5% 12.2% 10.2% 18.9% 5.1% 0.0% 1.35B -14.50B -110.7M 1.73 2.32 N/A N/A 243,164 421,733 3,018,283 4,538,330 2019-03-13 $177.39 $173.00 14.4% 4.5% 11.7% 8.6% 16.6% 4.5% 0.3% 1.64B -18.43B -109.9M 1.19 2.08 N/A N/A 407,544 482,953 3,063,916 4,668,609 2019-03-14 $176.93 $173.00 14.4% 4.5% 11.8% 9.0% 15.5% 4.2% 0.1% 1.30B -15.99B -112.9M 1.08 2.01 N/A N/A 273,098 294,746 3,191,888 4,869,879 2019-03-15 $178.32 $174.00 14.2% 4.5% 12.0% 7.8% 15.9% 3.7% 0.3% 1.56B -20.30B -113.7M 0.78 2.04 N/A N/A 496,508 389,474 3,261,498 4,946,686 2019-03-18 $178.50 $176.00 15.2% 4.7% 12.0% 12.0% 16.2% 4.0% 0.3% 916.9M -9.09B -115.5M 1.17 2.10 N/A N/A 297,230 348,465 2,352,935 3,387,236 2019-03-19 $178.53 $176.00 15.8% 4.7% 12.0% 14.7% 17.2% 4.3% 0.2% 837.2M -8.63B -119.5M 1.93 1.89 N/A N/A 260,617 503,205 2,447,760 3,524,531 2019-03-20 $180.01 $178.00 15.3% 4.6% 12.1% 12.8% 17.4% 4.1% 0.3% 1.06B -11.38B -121.4M 1.36 2.09 N/A N/A 325,109 441,007 2,494,969 3,742,871 2019-03-21 $182.68 $177.00 15.4% 4.6% 12.5% 13.2% 17.2% 3.6% 0.2% 1.40B -17.43B -121.8M 1.06 1.92 N/A N/A 519,896 552,096 2,544,767 3,868,033 2019-03-22 $178.76 $178.00 18.6% 5.3% 15.2% 26.8% 17.7% 5.3% -0.1% 108.2M -5.57B -134.2M 1.02 2.29 N/A N/A 565,842 577,508 2,607,691 4,035,813 2019-03-25 $178.44 $178.00 18.9% 5.5% 15.1% 27.6% 19.0% 5.4% 0.3% 244.5M -4.78B -134.2M 1.53 2.25 N/A N/A 262,343 400,786 2,610,737 3,940,416 2019-03-26 $178.39 $178.00 17.9% 5.3% 15.1% 23.5% 18.6% 5.2% 0.4% 297.2M -4.95B -132.3M 1.55 1.95 N/A N/A 274,310 426,325 2,672,321 3,996,005 2019-03-27 $178.33 $178.00 17.4% 5.2% 15.1% 21.5% 18.8% 5.0% 0.5% 243.9M -4.74B -132.3M 1.53 2.33 N/A N/A 262,114 400,234 2,735,010 4,111,235 2019-03-28 $178.44 $178.00 17.0% 5.1% 15.0% 19.6% 17.9% 5.0% 0.6% 276.0M -5.03B -132.0M 1.93 1.79 N/A N/A 199,139 384,053 2,779,840 4,176,376 2019-03-29 $179.62 $178.00 15.7% 4.7% 15.0% 14.4% 16.3% 4.7% 0.7% 771.5M -8.41B -130.1M 1.04 1.55 N/A N/A 322,438 335,305 2,808,037 4,273,965
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