QQQ Options History — April 2011

In April 2011, QQQ traded between $56.25 and $59.22. ATM implied volatility averaged 15.3%. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 9.7% (HV 20d: 25.0%). Max pain ranged from $56.00 to $57.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.83.

Notable Days

  • 2011-04-01: Highest Volume — 707,063 contracts
  • 2011-04-13: Largest IV drop — 24.8% change
  • 2011-04-12: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.52$56.25$59.22$57.46$59.08
Max Pain$56.80$56.00$57.00$56.00$57.00
ATM IV15.3%13.2%18.0%16.3%13.2%
Expected Move4.6%3.9%5.3%4.7%4.0%
HV 20d25.0%10.8%43.3%43.3%10.8%
Term Structure1.6%0.9%2.4%1.9%1.9%
VWIV17.0%13.8%19.0%18.1%14.8%
Skew 25d4.9%3.4%6.0%4.5%3.6%
Skew 10d10.1%6.7%12.8%9.1%6.9%
Call IV 25d13.9%12.0%15.5%13.9%12.5%
Put IV 25d18.8%15.6%21.5%18.4%16.1%
Bid-Ask Spread %3.532.067.507.382.51
Gamma HHI0.130.080.430.120.10
Net GEX-195.4M-1.06B31.4M-171.9M17.2M
Net DEX-776.3M-2.90B1.34B-817.6M-2.74B
Net VEX-28.9M-30.2M-27.5M-28.5M-29.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.831.272.961.631.52
Total Volume422,529.5279,262707,063707,063328,396
Total OI4,367,358.53,464,2715,123,9274,447,4984,201,043

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$57.46$56.0016.3%4.7%0.0%0.0%18.1%4.5%1.9%-171.9M-817.6M-28.5M1.637.38N/AN/A268,860438,2031,498,9872,948,511
2011-04-04$57.27$56.0018.0%5.3%0.0%0.0%19.0%5.8%1.6%-185.1M-661.4M-29.3M2.272.95N/AN/A102,632232,9611,593,7972,940,864
2011-04-05$57.12$56.0017.1%5.0%0.0%0.0%18.5%5.4%0.9%-227.5M-350.1M-28.7M1.913.18N/AN/A107,220204,2561,625,3073,066,498
2011-04-06$57.26$57.0015.7%5.0%0.0%0.0%17.8%5.1%1.1%-363.5M-491.4M-28.7M2.112.10N/AN/A118,802251,1601,654,5773,099,069
2011-04-07$57.22$57.0015.6%5.0%0.0%0.0%19.0%5.3%1.2%-224.5M-553.0M-29.5M2.112.21N/AN/A133,053280,0881,676,9453,190,309
2011-04-08$56.95$57.0015.5%5.0%43.3%0.0%18.4%5.6%1.2%-1.06B442.1M-30.2M2.963.75N/AN/A128,471380,9211,709,2553,217,093
2011-04-11$56.76$57.0016.5%5.0%42.4%0.0%18.2%5.7%1.2%-303.5M316.7M-29.1M1.452.93N/AN/A137,669199,2291,686,6963,137,723
2011-04-12$56.37$57.0017.6%5.3%41.8%0.0%18.5%6.0%1.1%-383.3M1.01B-29.1M2.302.44N/AN/A130,525300,1301,735,0523,207,724
2011-04-13$56.85$57.0013.2%4.8%40.6%0.0%18.0%5.6%1.5%-231.0M-212.2M-28.8M1.762.53N/AN/A161,577284,5181,750,6623,226,079
2011-04-14$56.75$57.0016.1%4.6%39.8%0.0%17.8%5.5%1.8%-112.7M21.1M-28.8M1.576.27N/AN/A167,897264,2271,772,7883,253,811
2011-04-15$56.65$57.0015.3%4.4%39.0%0.0%16.5%5.6%2.1%-355.5M1.34B-29.6M1.312.36N/AN/A228,620298,3901,811,0613,312,866
2011-04-18$56.25$57.0016.8%4.8%29.4%0.0%17.8%5.7%1.6%-129.1M752.0M-29.1M1.522.18N/AN/A191,834290,8601,411,0602,053,211
2011-04-19$56.60$56.0014.3%4.1%20.5%0.0%15.8%5.2%2.3%-114.7M9.4M-28.8M1.496.11N/AN/A117,051173,9211,443,2422,095,865
2011-04-20$57.88$57.0014.5%4.2%12.4%0.0%16.4%4.5%1.8%-2.6M-1.54B-29.0M1.867.50N/AN/A242,002450,1061,467,0362,182,638
2011-04-21$58.34$57.0013.9%4.0%11.2%0.0%14.9%4.0%2.4%-13.0M-2.25B-28.5M1.702.06N/AN/A139,800237,7711,517,2112,319,157
2011-04-25$58.49$57.0014.8%4.2%11.2%0.0%16.5%4.2%1.7%-40.7M-1.90B-28.3M2.872.64N/AN/A72,085207,1771,476,5712,247,645
2011-04-26$58.82$57.0013.9%4.0%11.0%0.0%14.9%3.6%1.9%-54.5M-2.35B-27.5M1.703.05N/AN/A166,948283,3001,491,8802,298,660
2011-04-27$59.22$57.0014.6%4.2%10.8%0.0%15.4%4.0%1.7%31.4M-2.90B-28.4M1.272.64N/AN/A170,189216,5451,551,6052,390,714
2011-04-28$59.13$57.0013.7%3.9%10.8%0.0%13.8%3.4%1.8%17.7M-2.65B-28.9M1.273.75N/AN/A151,238191,9581,596,9582,487,000
2011-04-29$59.08$57.0013.2%4.0%10.8%0.0%14.8%3.6%1.9%17.2M-2.74B-29.6M1.522.51N/AN/A130,237198,1591,651,0452,549,998