QQQ Options History — August 2011 In August 2011, QQQ traded between $50.03 and $57.73. ATM implied volatility averaged 34.5%. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 5.0% (HV 20d: 39.6%). Max pain ranged from $53.00 to $58.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 1.48.
Notable Days 2011-08-05 : Highest Volume — 1,866,181 contracts2011-08-08 : Largest IV spike — 73.2% change2011-08-19 : Largest Expected Move — 11.2%Monthly Statistics Metric Avg Min Max Open Close Price $53.37 $50.03 $57.73 $57.73 $55.06 Max Pain $55.35 $53.00 $58.00 $58.00 $53.00 ATM IV 34.5% 26.9% 66.9% 28.7% 28.2% Expected Move 8.9% 6.3% 11.2% 6.5% 8.1% HV 20d 39.6% 17.8% 50.4% 17.8% 49.7% HV 60d 27.5% 17.5% 32.3% 17.5% 32.3% Term Structure -1.0% -4.5% 0.1% -1.5% -0.7% VWIV 31.8% 22.7% 38.5% 23.4% 29.4% Skew 25d 10.2% 5.0% 15.1% 6.2% 8.8% Skew 10d 19.7% 9.0% 29.5% 11.7% 17.9% Call IV 25d 26.4% 20.5% 33.8% 20.5% 24.2% Put IV 25d 36.7% 25.5% 47.1% 26.7% 33.0% Bid-Ask Spread % 9.32 3.81 21.82 3.81 5.26 Gamma HHI 0.09 0.07 0.15 0.08 0.07 Net GEX -160.8M -278.8M -23.7M -205.3M -23.7M Net DEX 3.95B -469.1M 8.76B 820.6M -469.1M Net VEX -32.7M -37.5M -27.3M -31.8M -37.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.48 0.87 3.53 1.30 3.53 Total Volume 833,089.739 478,138 1,866,181 709,861 1,134,346 Total OI 5,314,683.174 4,389,910 6,241,285 4,389,910 5,794,436
Daily Data (23 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 2011-08-01 $57.73 $58.00 28.7% 6.5% 17.8% 0.0% 23.4% 6.2% -1.5% -205.3M 820.6M -31.8M 1.30 3.81 N/A N/A 308,559 401,302 1,637,807 2,752,103 2011-08-02 $56.27 $58.00 32.9% 7.2% 19.8% 0.0% 24.3% 6.1% -1.7% -278.8M 2.94B -31.9M 0.87 11.71 N/A N/A 320,388 279,399 1,717,761 2,811,749 2011-08-03 $56.81 $58.00 27.5% 6.3% 20.1% 0.0% 22.7% 5.0% -0.1% -252.3M 1.84B -32.6M 1.42 3.82 N/A N/A 220,240 312,391 1,854,475 2,798,477 2011-08-04 $54.17 $58.00 39.5% 9.5% 25.2% 0.0% 31.8% 9.5% -4.5% -262.8M 5.01B -31.8M 1.54 14.26 N/A N/A 450,729 693,551 1,886,376 2,833,813 2011-08-05 $53.83 $57.00 38.6% 8.5% 25.2% 0.0% 30.4% 9.5% -0.4% -204.0M 5.38B -31.5M 1.45 17.85 N/A N/A 760,904 1,105,277 2,008,281 2,791,503 2011-08-08 $50.59 $57.00 66.9% 11.0% 32.2% 0.0% 38.0% 12.2% -1.9% -190.6M 8.30B -27.3M 1.70 8.49 N/A N/A 519,517 883,236 2,017,241 2,934,336 2011-08-09 $53.03 $56.00 40.7% 8.6% 37.4% 0.0% 32.4% 10.9% -0.9% -217.3M 5.87B -31.7M 1.04 11.75 N/A N/A 652,141 677,000 2,181,173 3,075,475 2011-08-10 $50.86 $56.00 47.3% 10.7% 39.6% 0.0% 37.9% 12.6% -1.3% -180.5M 7.08B -30.7M 1.17 14.23 N/A N/A 417,335 486,334 2,300,693 3,128,597 2011-08-11 $53.10 $55.00 33.5% 9.6% 43.2% 0.0% 34.2% 11.7% -1.1% -152.6M 4.76B -34.8M 1.11 9.73 N/A N/A 455,530 506,339 2,467,936 3,275,624 2011-08-12 $53.57 $55.00 31.2% 8.9% 43.0% 0.0% 33.5% 10.3% -0.8% -145.9M 3.98B -35.2M 1.49 8.08 N/A N/A 219,412 326,742 2,558,293 3,342,195 2011-08-15 $54.36 $55.00 27.9% 8.0% 43.5% 0.0% 28.7% 8.0% -0.6% -147.2M 3.37B -33.1M 1.34 21.82 N/A N/A 232,426 312,592 2,484,532 3,214,066 2011-08-16 $53.90 $55.00 28.4% 8.1% 42.5% 0.0% 29.9% 8.8% -0.1% -154.1M 3.81B -32.8M 1.80 8.36 N/A N/A 171,023 307,115 2,507,731 3,254,104 2011-08-17 $53.58 $55.00 26.9% 7.7% 42.5% 0.0% 28.0% 9.1% 0.1% -167.8M 4.79B -31.9M 1.42 7.56 N/A N/A 331,537 470,261 2,514,567 3,337,174 2011-08-18 $50.95 $55.00 36.0% 10.3% 45.2% 0.0% 36.7% 14.1% -1.4% -248.9M 7.67B -30.8M 1.98 4.66 N/A N/A 367,973 729,854 2,546,612 3,467,455 2011-08-19 $50.03 $55.00 39.2% 11.2% 44.9% 0.0% 36.8% 15.1% -0.6% -243.9M 8.76B -30.7M 1.74 19.94 N/A N/A 318,670 555,227 2,629,491 3,611,794 2011-08-22 $50.21 $55.00 38.3% 11.0% 45.0% 0.0% 38.5% 13.8% -1.2% -147.1M 5.21B -30.2M 1.11 6.49 N/A N/A 253,121 280,253 1,974,877 2,764,707 2011-08-23 $52.28 $55.00 31.7% 9.1% 48.2% 0.0% 32.6% 10.6% -0.2% -122.3M 3.44B -32.5M 1.21 6.06 N/A N/A 291,333 351,771 2,082,695 2,848,265 2011-08-24 $52.69 $55.00 30.6% 8.8% 47.8% 0.0% 32.9% 10.5% -0.3% -111.4M 2.85B -33.5M 1.31 7.51 N/A N/A 268,805 352,050 2,147,722 2,945,280 2011-08-25 $51.83 $53.00 34.8% 9.8% 47.9% 0.0% 37.8% 12.5% -1.7% -119.3M 3.59B -34.4M 1.78 5.21 N/A N/A 212,458 377,521 2,224,603 3,068,650 2011-08-26 $53.13 $53.00 30.6% 8.8% 49.2% 0.0% 32.8% 11.4% -1.2% -61.7M 1.98B -35.2M 0.87 6.93 N/A N/A 379,472 328,981 2,268,016 3,170,368 2011-08-29 $54.61 $53.00 27.2% 7.8% 50.4% 0.0% 30.2% 10.1% -0.5% -31.3M 187.7M -35.8M 0.98 4.65 N/A N/A 286,224 281,518 2,315,097 3,079,365 2011-08-30 $54.97 $53.00 28.0% 8.0% 49.8% 0.0% 29.3% 8.9% -0.9% -29.3M -256.1M -35.7M 1.89 6.18 N/A N/A 197,640 372,567 2,405,893 3,206,305 2011-08-31 $55.06 $53.00 28.2% 8.1% 49.7% 0.0% 29.4% 8.8% -0.7% -23.7M -469.1M -37.5M 3.53 5.26 N/A N/A 250,616 883,730 2,421,099 3,373,337
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