QQQ Options History — June 2011 In June 2011, QQQ traded between $53.79 and $57.21. ATM implied volatility averaged 18.7%. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.6% (HV 20d: 17.1%). Max pain ranged from $56.00 to $58.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.61.
Notable Days 2011-06-16 : Highest Volume — 932,068 contracts2011-06-24 : Largest IV spike — 26.6% change2011-06-16 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $55.39 $53.79 $57.21 $57.09 $57.05 Max Pain $56.82 $56.00 $58.00 $57.00 $56.00 ATM IV 18.7% 13.7% 25.2% 17.0% 13.7% Expected Move 5.2% 3.9% 6.0% 4.9% 3.9% HV 20d 17.1% 15.6% 19.9% 15.6% 19.1% HV 60d 20.7% 13.3% 27.9% 27.9% 15.4% Term Structure 0.6% -0.5% 2.5% -0.2% 2.5% VWIV 18.3% 14.9% 23.1% 17.3% 14.9% Skew 25d 5.0% 3.9% 7.1% 4.4% 3.9% Skew 10d 10.5% 7.2% 14.4% 10.3% 9.1% Call IV 25d 15.9% 12.5% 18.2% 15.1% 12.5% Put IV 25d 20.9% 16.4% 25.3% 19.5% 16.4% Bid-Ask Spread % 4.33 2.39 15.89 4.20 2.75 Gamma HHI 0.17 0.10 0.35 0.12 0.12 Net GEX -309.6M -513.9M 195.1M -325.7M -22.7M Net DEX 3.57B -1.57B 7.35B 2.13B -1.57B Net VEX -28.2M -29.6M -26.6M -29.3M -28.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.61 0.78 2.70 1.49 1.72 Total Volume 489,482.5 237,000 932,068 589,582 489,259 Total OI 4,597,892.773 3,791,250 5,196,661 4,345,452 4,653,358
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 2011-06-01 $57.09 $57.00 17.0% 4.9% 15.6% 0.0% 17.3% 4.4% -0.2% -325.7M 2.13B -29.3M 1.49 4.20 N/A N/A 236,595 352,987 1,572,713 2,772,739 2011-06-02 $57.21 $57.00 16.8% 4.8% 15.7% 0.0% 16.7% 4.4% -0.0% -339.1M 1.89B -29.6M 1.49 3.27 N/A N/A 167,737 250,249 1,669,082 2,830,890 2011-06-03 $56.35 $57.00 17.2% 4.9% 16.4% 0.0% 16.7% 3.9% -0.0% -393.7M 3.47B -28.9M 1.80 4.52 N/A N/A 203,689 366,687 1,726,484 2,870,931 2011-06-06 $55.89 $57.00 17.7% 5.1% 16.5% 0.0% 17.8% 4.4% -0.1% -399.8M 3.70B -28.9M 1.95 3.44 N/A N/A 146,061 285,151 1,755,792 2,823,931 2011-06-07 $55.79 $57.00 17.3% 5.0% 16.3% 0.0% 17.7% 4.5% -0.2% -399.9M 3.80B -29.2M 2.02 4.29 N/A N/A 121,098 244,828 1,808,774 2,924,683 2011-06-08 $55.39 $57.00 19.1% 5.3% 15.8% 0.0% 18.0% 3.9% -0.5% -477.4M 4.83B -28.3M 1.48 3.02 N/A N/A 191,160 282,056 1,834,577 3,000,568 2011-06-09 $55.48 $58.00 17.6% 5.0% 15.9% 0.0% 17.7% 4.1% 1.1% -479.0M 4.67B -28.1M 1.62 3.65 N/A N/A 93,207 151,268 1,898,645 3,034,771 2011-06-10 $54.64 $58.00 17.3% 5.0% 16.1% 0.0% 17.8% 4.5% 1.2% -475.7M 6.19B -27.2M 2.70 3.85 N/A N/A 177,325 479,557 1,911,748 3,059,353 2011-06-13 $54.64 $58.00 17.6% 5.0% 15.9% 0.0% 19.6% 4.8% 1.0% -487.3M 5.86B -27.1M 1.67 4.53 N/A N/A 147,364 246,617 1,914,854 3,037,958 2011-06-14 $55.34 $58.00 17.1% 4.9% 15.9% 0.0% 17.1% 4.5% 1.1% -463.9M 4.59B -27.1M 1.74 4.61 N/A N/A 130,322 226,466 1,955,800 3,073,761 2011-06-15 $54.29 $58.00 19.9% 5.7% 16.9% 0.0% 19.5% 5.7% 0.6% -513.9M 6.55B -26.6M 2.24 3.02 N/A N/A 178,057 398,717 1,957,777 3,084,945 2011-06-16 $54.08 $57.00 21.0% 6.0% 16.4% 0.0% 23.1% 7.1% 0.5% -493.9M 6.53B -27.0M 1.60 4.69 N/A N/A 357,936 574,132 1,981,700 3,078,399 2011-06-17 $53.79 $57.00 20.3% 5.8% 16.2% 0.0% 20.3% 6.8% 0.5% -441.0M 7.35B -27.4M 2.31 4.07 N/A N/A 223,228 516,677 2,002,885 3,193,776 2011-06-20 $54.07 $56.00 19.6% 5.6% 16.5% 0.0% 19.6% 6.2% 0.5% -280.8M 4.08B -27.0M 1.31 3.64 N/A N/A 120,864 158,469 1,372,111 2,419,139 2011-06-21 $55.23 $56.00 18.3% 5.2% 18.0% 0.0% 18.7% 5.3% 0.7% -259.5M 2.71B -28.0M 1.39 3.66 N/A N/A 274,852 380,924 1,422,842 2,488,437 2011-06-22 $54.83 $56.00 17.4% 5.0% 18.1% 0.0% 17.8% 4.9% 1.3% -263.1M 3.15B -28.3M 1.85 2.58 N/A N/A 83,079 153,921 1,513,900 2,581,011 2011-06-23 $55.34 $56.00 18.3% 5.2% 18.4% 0.0% 18.3% 4.5% 0.5% -263.6M 2.63B -28.0M 1.20 7.05 N/A N/A 307,440 369,935 1,525,737 2,598,562 2011-06-24 $54.38 $56.00 23.2% 5.9% 19.0% 0.0% 20.1% 5.6% -0.0% -257.3M 3.80B -29.0M 0.78 3.62 N/A N/A 294,272 228,503 1,683,237 2,674,460 2011-06-27 $55.24 $56.00 25.2% 5.7% 19.9% 0.0% 20.3% 6.1% 0.1% -38.6M 2.05B -29.1M 1.25 2.52 N/A N/A 160,297 200,684 1,768,637 2,595,178 2011-06-28 $56.07 $56.00 22.7% 5.0% 19.8% 0.0% 18.2% 5.4% 0.9% 69.4M 482.6M -29.2M 0.83 2.39 N/A N/A 244,873 202,708 1,815,456 2,656,186 2011-06-29 $56.30 $56.00 18.3% 4.5% 18.4% 0.0% 16.2% 4.5% 1.7% 195.1M -247.2M -28.8M 1.03 15.89 N/A N/A 171,686 177,678 1,880,147 2,727,707 2011-06-30 $57.05 $56.00 13.7% 3.9% 19.1% 0.0% 14.9% 3.9% 2.5% -22.7M -1.57B -28.3M 1.72 2.75 N/A N/A 179,675 309,584 1,898,540 2,754,818
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