QQQ Options History — March 2011

Name: QQQ Options Analytics - March 2011
Creator: Options Analysis Suite

In March 2011, QQQ traded between $55.71 and $57.43. ATM implied volatility averaged 18.6%. The 30-day expected move averaged 5.1%. Max pain ranged from $56.00 to $56.00. Net GEX was positive for 0 of 7 trading days. Term structure was in contango for 7 of 7 days. Put/call ratio averaged 2.11.

Notable Days

2011-03-23: Highest Volume — 798,596 contracts
2011-03-28: Largest IV spike — 17.8% change
2011-03-23: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.81	$55.71	$57.43	$55.71	$57.43
Max Pain	$56.00	$56.00	$56.00	$56.00	$56.00
ATM IV	18.6%	17.4%	20.9%	18.8%	17.6%
Expected Move	5.1%	4.8%	5.4%	5.4%	4.8%
Term Structure	1.3%	1.0%	1.5%	1.2%	1.5%
VWIV	19.7%	17.5%	22.4%	22.4%	17.5%
Skew 25d	5.5%	4.6%	6.3%	6.3%	4.7%
Skew 10d	10.8%	9.3%	11.8%	11.8%	9.5%
Call IV 25d	15.8%	14.5%	16.9%	16.8%	14.5%
Put IV 25d	21.3%	19.2%	23.0%	23.0%	19.2%
Bid-Ask Spread %	4.04	2.42	6.55	6.55	2.42
Gamma HHI	0.15	0.13	0.17	0.17	0.13
Net GEX	-224.3M	-336.7M	-181.9M	-216.2M	-181.9M
Net DEX	-284.5M	-1.20B	933.3M	933.3M	-1.20B
Net VEX	-28.1M	-29.3M	-26.4M	-26.4M	-28.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.11	1.36	4.50	4.50	1.70
Total Volume	526,000.286	270,932	798,596	798,596	398,532
Total OI	4,571,216.571	3,878,598	4,953,962	3,878,598	4,953,962

Daily Data (7 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
2011-03-23	$55.71	$56.00	18.8%	5.4%	0.0%	0.0%	22.4%	6.3%	1.2%	-216.2M	933.3M	-26.4M	4.50	6.55	N/A	N/A	145,070	653,526	1,549,900	2,328,698
2011-03-24	$56.70	$56.00	17.4%	5.0%	0.0%	0.0%	19.3%	5.8%	1.5%	-221.2M	-91.4M	-28.6M	1.41	5.72	N/A	N/A	230,056	324,385	1,621,991	2,852,067
2011-03-25	$56.84	$56.00	17.8%	5.1%	0.0%	0.0%	19.1%	5.6%	1.4%	-207.9M	-338.0M	-29.3M	1.36	4.20	N/A	N/A	210,307	286,215	1,680,314	2,985,665
2011-03-28	$56.53	$56.00	20.9%	5.3%	0.0%	0.0%	20.5%	5.9%	1.0%	-336.7M	500.4M	-28.3M	2.36	3.78	N/A	N/A	80,536	190,396	1,640,943	2,938,067
2011-03-29	$57.08	$56.00	18.4%	5.2%	0.0%	0.0%	19.3%	5.6%	1.3%	-221.0M	-681.7M	-27.9M	1.50	2.83	N/A	N/A	201,691	303,378	1,661,976	2,983,984
2011-03-30	$57.35	$56.00	19.2%	5.1%	0.0%	0.0%	19.8%	4.6%	1.3%	-185.5M	-1.11B	-28.0M	1.95	2.78	N/A	N/A	223,331	434,579	1,720,977	3,079,972
2011-03-31	$57.43	$56.00	17.6%	4.8%	0.0%	0.0%	17.5%	4.7%	1.5%	-181.9M	-1.20B	-28.4M	1.70	2.42	N/A	N/A	147,844	250,688	1,751,292	3,202,670