QQQ Options History — May 2011

In May 2011, QQQ traded between $56.57 and $59.19. ATM implied volatility averaged 16.0%. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 4.2% (HV 20d: 11.8%). Max pain ranged from $57.00 to $58.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.70.

Notable Days

  • 2011-05-20: Highest Volume — 673,829 contracts
  • 2011-05-09: Largest IV drop — 15.6% change
  • 2011-05-16: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.06$56.57$59.19$58.97$58.36
Max Pain$57.67$57.00$58.00$57.00$57.00
ATM IV16.0%14.0%18.3%16.1%14.9%
Expected Move4.6%4.1%5.2%4.4%4.3%
HV 20d11.8%10.9%13.7%10.9%13.7%
HV 60d28.1%27.5%28.8%28.8%27.5%
Term Structure0.7%0.2%2.2%1.5%0.3%
VWIV16.7%14.9%18.4%15.7%15.2%
Skew 25d4.8%4.0%5.7%4.0%4.0%
Skew 10d10.1%7.6%12.7%8.4%8.7%
Call IV 25d14.0%12.8%15.3%13.9%12.9%
Put IV 25d18.8%16.9%20.8%17.9%16.9%
Bid-Ask Spread %3.041.805.092.433.29
Gamma HHI0.110.090.140.100.10
Net GEX-184.7M-339.1M-21.8M-21.8M-169.3M
Net DEX-117.3M-2.33B2.66B-2.17B-227.3M
Net VEX-30.2M-32.4M-28.3M-30.2M-28.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.701.092.502.091.32
Total Volume391,371.524205,894673,829308,940435,084
Total OI4,540,486.2383,996,8105,085,9004,134,6874,320,307

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$58.97$57.0016.1%4.4%10.9%0.0%15.7%4.0%1.5%-21.8M-2.17B-30.2M2.092.43N/AN/A99,887209,0531,618,9862,515,701
2011-05-03$58.69$57.0015.0%4.2%11.0%0.0%16.4%4.6%1.9%-82.3M-1.55B-30.7M2.191.80N/AN/A140,585307,2851,631,5392,588,323
2011-05-04$58.60$57.0016.1%4.1%10.9%0.0%14.9%4.0%2.2%-97.9M-1.39B-31.3M1.565.09N/AN/A167,495261,3121,670,0532,755,731
2011-05-05$58.28$57.0018.1%4.8%11.2%0.0%15.9%5.0%1.3%-117.3M-795.0M-32.4M1.694.84N/AN/A207,807351,2501,710,4232,772,704
2011-05-06$58.47$58.0018.1%5.0%11.2%0.0%18.0%5.4%0.4%-128.7M-849.6M-31.8M1.482.88N/AN/A202,690299,9101,759,4622,853,738
2011-05-09$58.69$58.0015.2%4.6%11.0%0.0%16.7%5.1%0.5%-102.6M-1.26B-30.9M2.252.93N/AN/A77,700175,1481,745,0092,838,681
2011-05-10$59.19$58.0015.6%4.5%11.1%0.0%16.4%4.6%0.6%-25.9M-2.33B-29.6M1.702.54N/AN/A137,605234,3701,751,8152,882,103
2011-05-11$58.76$58.0014.0%4.5%11.2%0.0%16.9%4.8%0.4%-117.8M-1.49B-31.0M1.973.89N/AN/A132,494260,5991,813,0072,966,900
2011-05-12$59.11$58.0015.4%4.4%11.0%0.0%15.9%4.6%0.5%-43.4M-2.30B-30.0M1.322.65N/AN/A163,983217,0451,814,6822,973,415
2011-05-13$58.41$58.0016.8%4.8%12.0%0.0%16.9%4.8%0.3%-162.7M-677.7M-30.0M1.682.44N/AN/A169,430283,9631,856,9983,003,954
2011-05-16$57.40$58.0018.3%5.2%13.7%0.0%17.5%5.5%0.3%-297.7M1.38B-30.7M2.082.87N/AN/A165,858345,1831,821,6352,990,359
2011-05-17$57.56$58.0016.3%4.7%13.4%0.0%18.4%5.2%0.6%-339.1M1.21B-30.7M1.732.25N/AN/A168,491291,6881,863,5343,091,176
2011-05-18$58.04$58.0015.6%4.5%13.6%0.0%16.6%5.0%0.6%-201.8M-303.7M-30.0M1.232.70N/AN/A151,373185,4941,889,9403,071,343
2011-05-19$58.21$58.0015.1%4.3%11.1%0.0%15.8%4.8%0.7%-174.3M-779.6M-29.0M2.012.28N/AN/A108,435217,5911,934,8263,089,097
2011-05-20$57.77$58.0015.0%4.3%11.0%0.0%16.0%4.8%0.5%-313.5M578.6M-29.0M2.503.49N/AN/A192,297481,5321,942,1633,143,737
2011-05-23$56.92$58.0017.0%4.9%12.1%0.0%17.8%5.7%0.2%-290.0M2.22B-30.0M1.092.62N/AN/A147,439161,0391,440,1912,556,619
2011-05-24$56.57$58.0016.8%4.8%11.9%0.0%17.7%5.3%0.3%-310.4M2.66B-29.8M1.122.82N/AN/A113,998127,5581,460,8552,593,913
2011-05-25$56.79$58.0016.1%4.5%11.6%0.0%16.5%4.7%0.5%-306.1M2.28B-29.5M1.352.58N/AN/A129,780174,6181,489,0472,629,148
2011-05-26$57.14$57.0015.5%4.5%12.0%0.0%18.0%4.4%0.4%-283.2M1.85B-29.7M1.904.16N/AN/A108,850206,9891,521,2202,704,825
2011-05-27$57.43$57.0015.4%4.4%12.2%0.0%17.2%4.1%0.5%-293.7M1.47B-29.4M1.503.34N/AN/A82,450123,4441,538,4212,734,631
2011-05-31$58.36$57.0014.9%4.3%13.7%0.0%15.2%4.0%0.3%-169.3M-227.3M-28.3M1.323.29N/AN/A187,232247,8521,567,3522,752,955