QQQ Options History — July 2011 In July 2011, QQQ traded between $57.09 and $59.63. ATM implied volatility averaged 18.5%. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 0.0% (HV 20d: 18.6%). Max pain ranged from $56.00 to $58.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.99.
Notable Days 2011-07-27 : Highest Volume — 760,015 contracts2011-07-11 : Largest IV spike — 38.1% change2011-07-29 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $58.39 $57.09 $59.63 $57.91 $58.00 Max Pain $57.90 $56.00 $58.00 $56.00 $58.00 ATM IV 18.5% 13.1% 30.3% 13.1% 30.3% Expected Move 5.3% 3.9% 7.0% 3.9% 7.0% HV 20d 18.6% 16.3% 19.6% 18.9% 18.5% HV 60d 16.5% 15.7% 17.6% 15.7% 17.6% Term Structure 0.5% -2.0% 2.1% 2.1% -2.0% VWIV 19.6% 14.8% 25.2% 14.8% 25.2% Skew 25d 5.4% 3.0% 7.7% 3.0% 7.7% Skew 10d 11.0% 5.6% 15.3% 5.6% 15.3% Call IV 25d 16.2% 12.7% 20.9% 12.7% 20.9% Put IV 25d 21.7% 15.7% 28.6% 15.7% 28.6% Bid-Ask Spread % 3.53 2.28 8.37 6.71 4.57 Gamma HHI 0.09 0.08 0.20 0.08 0.20 Net GEX -150.6M -358.2M -36.8M -52.8M -358.2M Net DEX -910.8M -3.00B 613.0M -2.13B 544.9M Net VEX -30.8M -33.7M -27.8M -27.9M -33.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.99 1.13 3.09 1.77 2.58 Total Volume 483,532.45 297,892 760,015 621,330 631,341 Total OI 4,366,932.05 3,734,612 4,896,805 4,291,303 4,463,042
Daily Data (20 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 2011-07-01 $57.91 $56.00 13.1% 3.9% 18.9% 0.0% 14.8% 3.0% 2.1% -52.8M -2.13B -27.9M 1.77 6.71 N/A N/A 223,966 397,364 1,716,893 2,574,410 2011-07-05 $58.20 $58.00 17.5% 4.6% 18.6% 0.0% 17.0% 4.3% 0.9% -107.3M -1.56B -28.2M 2.44 2.66 N/A N/A 124,986 304,723 1,591,383 2,598,592 2011-07-06 $58.39 $58.00 14.6% 4.6% 18.6% 0.0% 16.6% 4.3% 0.9% -119.5M -1.63B -28.8M 2.59 2.73 N/A N/A 114,168 296,174 1,623,788 2,734,302 2011-07-07 $59.19 $58.00 15.0% 4.6% 18.6% 0.0% 16.8% 4.0% 1.0% -36.8M -3.00B -27.8M 1.82 2.58 N/A N/A 190,561 347,489 1,637,108 2,800,965 2011-07-08 $59.03 $58.00 13.7% 4.5% 18.7% 0.0% 16.9% 4.1% 1.2% -189.9M -2.46B -28.9M 2.18 2.60 N/A N/A 142,086 309,692 1,662,710 2,920,563 2011-07-11 $57.96 $58.00 18.9% 5.3% 19.2% 0.0% 19.1% 5.6% 1.0% -188.5M -695.5M -30.6M 1.62 2.67 N/A N/A 192,573 311,365 1,661,002 2,879,477 2011-07-12 $57.52 $58.00 19.4% 5.5% 19.5% 0.0% 20.5% 5.9% 0.6% -221.4M 213.6M -31.5M 2.33 2.29 N/A N/A 164,643 384,208 1,709,817 2,942,267 2011-07-13 $57.76 $58.00 17.8% 5.4% 19.1% 0.0% 19.7% 5.5% 0.5% -249.4M 43.1M -31.4M 1.98 3.19 N/A N/A 130,520 258,663 1,733,559 3,028,776 2011-07-14 $57.09 $58.00 19.9% 5.7% 18.2% 0.0% 19.4% 6.1% 0.8% -277.3M 613.0M -32.0M 1.47 3.79 N/A N/A 245,394 360,375 1,773,376 3,060,199 2011-07-15 $57.85 $58.00 18.3% 5.2% 18.4% 0.0% 20.3% 5.9% 0.9% -242.9M -248.5M -31.5M 1.30 2.38 N/A N/A 232,321 301,492 1,816,158 3,080,647 2011-07-18 $57.54 $58.00 19.0% 5.4% 18.4% 0.0% 20.7% 6.0% 0.7% -156.7M 567.6M -31.4M 1.29 3.29 N/A N/A 149,698 193,700 1,381,566 2,353,046 2011-07-19 $58.85 $58.00 17.6% 5.0% 19.6% 0.0% 19.6% 5.3% 1.2% -79.9M -1.14B -30.6M 1.13 8.37 N/A N/A 221,075 250,198 1,443,610 2,410,631 2011-07-20 $58.60 $58.00 18.1% 5.2% 18.8% 0.0% 19.9% 5.8% 0.7% -94.7M -737.8M -31.9M 2.26 3.65 N/A N/A 112,182 253,643 1,512,661 2,579,284 2011-07-21 $58.99 $58.00 17.7% 5.1% 18.4% 0.0% 18.4% 5.5% 0.7% -37.2M -1.61B -31.0M 1.92 4.46 N/A N/A 136,482 262,587 1,529,678 2,658,242 2011-07-22 $59.60 $58.00 16.6% 4.8% 18.5% 0.0% 19.2% 4.6% 0.6% -61.5M -2.25B -30.6M 3.09 2.35 N/A N/A 118,626 366,040 1,555,119 2,723,783 2011-07-25 $59.48 $58.00 19.4% 5.5% 16.8% 0.0% 20.0% 5.4% -0.1% -73.4M -1.74B -30.9M 1.61 4.75 N/A N/A 147,135 237,356 1,514,412 2,644,079 2011-07-26 $59.63 $58.00 18.3% 5.3% 16.3% 0.0% 22.7% 5.6% 0.4% -76.2M -1.76B -31.4M 2.91 2.97 N/A N/A 76,128 221,764 1,549,272 2,684,713 2011-07-27 $58.09 $58.00 22.6% 6.5% 18.9% 0.0% 22.6% 6.7% -0.9% -192.9M 418.6M -32.8M 1.67 2.28 N/A N/A 284,727 475,288 1,575,846 2,701,351 2011-07-28 $58.19 $58.00 23.0% 6.6% 18.9% 0.0% 22.9% 7.1% -0.9% -195.3M 350.7M -33.7M 1.76 2.31 N/A N/A 181,265 318,651 1,666,615 2,845,699 2011-07-29 $58.00 $58.00 30.3% 7.0% 18.5% 0.0% 25.2% 7.7% -2.0% -358.2M 544.9M -33.2M 2.58 4.57 N/A N/A 176,353 454,988 1,681,858 2,781,184
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