QQQ Options History — September 2011

In September 2011, QQQ traded between $52.49 and $56.61. ATM implied volatility averaged 32.7%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 1.0% (HV 20d: 31.6%). Max pain ranged from $53.00 to $55.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.50.

Notable Days

2011-09-15: Highest Volume — 1,367,315 contracts
2011-09-30: Largest IV spike — 24.2% change
2011-09-30: Highest IV Rank — 63.1%
2011-09-30: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.62	$52.49	$56.61	$54.56	$52.49
Max Pain	$54.00	$53.00	$55.00	$53.00	$55.00
ATM IV	32.7%	26.1%	47.1%	27.6%	47.1%
Expected Move	9.3%	7.5%	12.4%	7.9%	12.4%
HV 20d	31.6%	24.2%	47.4%	46.7%	26.4%
HV 60d	33.1%	32.3%	33.8%	32.3%	33.8%
IV Rank	39.5%	24.1%	63.1%	24.1%	63.1%
IV Percentile	88.6%	73.0%	98.5%	73.0%	98.5%
Term Structure	-0.7%	-2.4%	1.1%	-0.5%	-2.4%
VWIV	34.1%	28.1%	42.2%	30.7%	42.2%
Skew 25d	10.2%	8.5%	12.2%	8.5%	11.5%
Skew 10d	19.6%	16.0%	23.0%	16.0%	18.7%
Call IV 25d	27.9%	22.5%	36.9%	24.8%	36.9%
Put IV 25d	38.2%	31.3%	48.4%	33.3%	48.4%
Bid-Ask Spread %	5.70	2.64	15.68	8.11	3.94
Gamma HHI	0.07	0.06	0.09	0.07	0.07
Net GEX	-95.7M	-193.6M	29.6M	-121.4M	-170.5M
Net DEX	1.02B	-2.28B	4.46B	966.1M	4.46B
Net VEX	-35.8M	-37.9M	-33.7M	-37.9M	-35.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.50	0.43	2.23	1.47	1.51
Total Volume	654,305.095	370,978	1,367,315	458,658	855,830
Total OI	5,767,242.095	4,558,073	6,378,689	6,143,283	6,031,521

Daily Data (21 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
2011-09-01	$54.56	$53.00	27.6%	7.9%	46.7%	0.0%	30.7%	8.5%	-0.5%	-121.4M	966.1M	-37.9M	1.47	8.11	N/A	N/A	186,016	272,642	2,475,200	3,668,083
2011-09-02	$53.28	$53.00	30.3%	8.7%	47.4%	0.0%	28.3%	9.5%	-0.8%	-172.8M	3.12B	-36.3M	1.39	13.11	N/A	N/A	222,872	310,409	2,493,601	3,591,463
2011-09-06	$53.29	$53.00	32.6%	9.4%	41.5%	0.0%	35.1%	10.0%	-1.5%	-164.5M	2.85B	-35.3M	1.67	5.28	N/A	N/A	176,903	295,754	2,424,452	3,461,611
2011-09-07	$54.64	$53.00	28.7%	8.2%	39.0%	0.0%	32.1%	9.7%	-0.5%	-83.1M	576.7M	-35.9M	1.77	5.31	N/A	N/A	133,936	237,042	2,451,057	3,528,623
2011-09-08	$54.39	$53.00	30.9%	9.0%	35.7%	0.0%	32.3%	9.3%	-1.2%	-93.8M	854.1M	-35.6M	1.66	6.73	N/A	N/A	153,525	255,064	2,469,110	3,562,730
2011-09-09	$53.18	$53.00	36.7%	10.4%	33.5%	0.0%	37.9%	11.0%	-2.2%	-193.6M	2.91B	-35.8M	1.39	9.48	N/A	N/A	262,054	364,068	2,494,002	3,643,971
2011-09-12	$53.86	$54.00	34.5%	9.5%	33.7%	0.0%	36.4%	11.3%	-0.7%	-119.0M	1.67B	-35.2M	2.20	3.01	N/A	N/A	183,203	403,842	2,514,765	3,589,529
2011-09-13	$54.58	$53.00	29.7%	9.0%	33.6%	0.0%	34.5%	10.4%	-0.2%	-73.8M	523.2M	-35.0M	1.41	3.03	N/A	N/A	162,698	229,618	2,561,985	3,627,738
2011-09-14	$55.36	$53.00	28.4%	8.8%	33.8%	0.0%	32.6%	9.5%	0.3%	7.9M	-889.1M	-34.5M	1.82	3.15	N/A	N/A	264,810	480,857	2,573,404	3,700,172
2011-09-15	$56.18	$54.00	28.1%	8.1%	34.0%	0.0%	30.6%	8.8%	1.0%	23.6M	-2.28B	-34.5M	0.43	3.07	N/A	N/A	959,344	407,971	2,588,815	3,789,874
2011-09-16	$56.59	$54.00	26.1%	7.5%	27.7%	24.1%	28.1%	8.8%	1.1%	29.6M	-1.10B	-34.2M	1.28	2.64	N/A	N/A	275,247	353,249	2,281,666	3,859,305
2011-09-19	$56.61	$54.00	27.5%	7.9%	26.4%	26.6%	29.0%	9.2%	0.7%	-18.1M	-1.22B	-33.7M	1.41	5.51	N/A	N/A	191,745	270,680	1,766,521	2,791,552
2011-09-20	$56.36	$54.00	28.6%	8.2%	26.6%	28.8%	29.5%	9.2%	0.4%	-29.1M	-893.3M	-34.3M	1.45	4.01	N/A	N/A	208,444	302,099	1,844,254	2,898,538
2011-09-21	$55.38	$55.00	31.6%	9.1%	24.5%	34.4%	30.2%	9.9%	-0.5%	-99.2M	613.6M	-34.7M	1.64	3.95	N/A	N/A	249,890	410,610	1,894,236	2,998,502
2011-09-22	$53.58	$55.00	35.4%	10.2%	27.5%	41.5%	36.2%	11.4%	-0.9%	-162.8M	2.82B	-36.1M	2.07	15.68	N/A	N/A	444,701	921,956	1,941,703	3,165,599
2011-09-23	$54.15	$55.00	36.4%	10.4%	26.9%	43.3%	36.3%	11.4%	-1.1%	-152.9M	2.13B	-37.5M	1.05	10.98	N/A	N/A	321,237	336,448	2,108,997	3,437,072
2011-09-26	$54.78	$55.00	35.4%	10.2%	25.8%	41.5%	38.4%	11.0%	-1.3%	-96.0M	849.1M	-37.1M	1.35	3.44	N/A	N/A	273,352	370,263	2,135,139	3,355,589
2011-09-27	$55.35	$55.00	35.3%	10.1%	24.2%	41.1%	38.4%	11.1%	-1.2%	-49.4M	-87.9M	-36.9M	2.23	2.78	N/A	N/A	235,560	525,473	2,181,771	3,455,729
2011-09-28	$54.53	$55.00	36.6%	10.5%	24.7%	43.7%	38.4%	12.2%	-1.1%	-127.6M	1.33B	-37.4M	0.82	3.47	N/A	N/A	232,273	190,994	2,211,461	3,635,577
2011-09-29	$53.88	$55.00	37.9%	10.9%	25.0%	46.1%	38.3%	11.5%	-1.4%	-142.8M	2.13B	-36.9M	1.42	2.98	N/A	N/A	333,865	473,863	2,276,060	3,631,107
2011-09-30	$52.49	$55.00	47.1%	12.4%	26.4%	63.1%	42.2%	11.5%	-2.4%	-170.5M	4.46B	-35.9M	1.51	3.94	N/A	N/A	340,917	514,913	2,287,213	3,744,308