QQQ Options History — October 2011

In October 2011, QQQ traded between $51.14 and $58.94. ATM implied volatility averaged 31.2%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 2.7% (HV 20d: 28.5%). Max pain ranged from $54.00 to $56.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.45.

Notable Days

2011-10-03: Highest Volume — 924,975 contracts
2011-10-31: Largest IV spike — 32.1% change
2011-10-03: Highest IV Rank — 77.5%
2011-10-03: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.40	$51.14	$58.94	$51.14	$57.95
Max Pain	$55.10	$54.00	$56.00	$54.00	$56.00
ATM IV	31.2%	21.9%	54.8%	54.8%	28.9%
Expected Move	8.6%	6.2%	12.8%	12.8%	7.3%
HV 20d	28.5%	25.9%	30.3%	26.7%	25.9%
HV 60d	35.2%	34.1%	36.0%	34.1%	34.7%
IV Rank	33.6%	16.3%	77.5%	77.5%	29.4%
IV Percentile	74.5%	55.1%	99.3%	99.3%	74.5%
Term Structure	0.0%	-2.5%	1.4%	-2.5%	-0.0%
VWIV	31.2%	22.9%	44.2%	44.2%	26.5%
Skew 25d	8.9%	6.1%	10.7%	9.3%	7.2%
Skew 10d	17.1%	11.9%	21.6%	16.5%	14.0%
Call IV 25d	25.8%	18.9%	40.0%	40.0%	22.9%
Put IV 25d	34.8%	24.9%	49.3%	49.3%	30.2%
Bid-Ask Spread %	9.06	3.19	21.89	3.84	13.19
Gamma HHI	0.08	0.06	0.17	0.09	0.09
Net GEX	-2.5M	-219.8M	194.6M	-219.8M	38.0M
Net DEX	-1.31B	-4.53B	5.24B	5.24B	-1.93B
Net VEX	-31.6M	-35.8M	-28.6M	-33.6M	-29.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.45	0.95	2.43	1.87	2.36
Total Volume	589,197.143	330,848	924,975	924,975	445,349
Total OI	5,474,677.857	4,226,384	6,152,877	5,425,977	4,631,163

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
2011-10-03	$51.14	$54.00	54.8%	12.8%	26.7%	77.5%	44.2%	9.3%	-2.5%	-219.8M	5.24B	-33.6M	1.87	3.84	N/A	N/A	321,977	602,998	2,008,377	3,417,600
2011-10-04	$52.19	$54.00	46.0%	11.4%	27.9%	61.0%	40.0%	7.8%	-0.7%	-192.6M	3.77B	-35.4M	1.30	3.85	N/A	N/A	388,195	504,504	2,115,983	3,505,163
2011-10-05	$53.53	$54.00	40.1%	10.4%	27.9%	50.1%	37.9%	6.3%	-0.8%	-121.8M	1.80B	-35.8M	1.03	5.01	N/A	N/A	390,958	400,768	2,177,182	3,566,345
2011-10-06	$54.43	$54.00	36.1%	10.0%	28.6%	42.6%	35.3%	6.6%	-0.0%	-73.3M	624.0M	-35.4M	1.47	3.22	N/A	N/A	222,158	326,279	2,240,123	3,645,894
2011-10-07	$54.07	$54.00	32.4%	9.9%	27.4%	35.8%	35.1%	10.4%	-0.5%	-71.8M	916.0M	-35.1M	1.03	5.32	N/A	N/A	274,537	282,335	2,247,581	3,666,655
2011-10-10	$55.94	$54.00	35.1%	9.0%	29.6%	40.8%	34.7%	10.4%	0.1%	-25.1M	-1.51B	-33.5M	2.43	4.72	N/A	N/A	168,147	409,062	2,160,508	3,516,242
2011-10-11	$56.32	$54.00	32.3%	8.9%	29.4%	35.5%	32.4%	10.4%	0.0%	840.5K	-1.92B	-32.6M	1.43	4.97	N/A	N/A	182,739	260,951	2,165,780	3,498,833
2011-10-12	$56.60	$54.00	26.1%	8.1%	29.0%	24.1%	31.3%	9.8%	0.3%	10.6M	-2.28B	-31.8M	1.71	8.74	N/A	N/A	306,715	525,300	2,198,455	3,582,463
2011-10-13	$57.12	$55.00	27.6%	7.9%	28.7%	26.8%	29.2%	9.6%	0.4%	55.1M	-3.06B	-31.7M	1.68	18.69	N/A	N/A	193,666	324,794	2,236,692	3,661,704
2011-10-14	$58.18	$55.00	25.9%	7.4%	29.3%	23.7%	29.2%	9.2%	0.7%	112.6M	-4.53B	-30.9M	1.31	9.53	N/A	N/A	283,129	370,183	2,267,162	3,717,183
2011-10-17	$57.28	$55.00	29.4%	8.4%	29.9%	30.2%	30.7%	10.1%	-0.3%	19.2M	-2.70B	-30.9M	1.64	18.38	N/A	N/A	192,799	315,601	2,213,881	3,716,978
2011-10-18	$57.99	$56.00	27.1%	7.8%	30.2%	26.0%	29.1%	9.6%	0.5%	61.7M	-3.94B	-30.3M	1.12	19.71	N/A	N/A	291,094	325,625	2,235,565	3,785,605
2011-10-19	$56.87	$56.00	29.9%	8.6%	30.3%	31.2%	29.6%	10.4%	-0.1%	15.9M	-2.24B	-30.8M	1.42	5.39	N/A	N/A	210,874	299,745	2,273,714	3,773,949
2011-10-20	$56.59	$56.00	30.1%	8.6%	27.6%	31.6%	31.9%	10.7%	-0.1%	-8.5M	-1.52B	-30.9M	1.85	21.89	N/A	N/A	207,201	382,980	2,261,120	3,827,796
2011-10-21	$57.30	$56.00	28.2%	8.1%	27.7%	28.1%	27.9%	9.9%	0.4%	37.9M	-2.98B	-30.1M	0.95	6.31	N/A	N/A	330,921	314,952	2,298,047	3,854,830
2011-10-24	$58.49	$56.00	25.5%	7.3%	28.3%	23.0%	26.4%	8.7%	0.4%	28.0M	-2.35B	-28.6M	1.10	6.10	N/A	N/A	216,510	237,150	1,676,145	2,550,239
2011-10-25	$57.34	$56.00	28.0%	8.0%	29.3%	27.7%	28.6%	9.4%	-0.1%	-16.4M	-1.04B	-29.6M	1.31	7.12	N/A	N/A	175,683	229,884	1,753,166	2,631,703
2011-10-26	$57.27	$56.00	27.1%	7.8%	28.6%	26.0%	27.5%	9.0%	0.2%	-3.1M	-1.19B	-30.1M	1.08	6.01	N/A	N/A	228,975	246,829	1,837,050	2,676,047
2011-10-27	$58.85	$56.00	22.5%	6.4%	29.4%	17.4%	24.6%	7.0%	1.2%	105.1M	-3.32B	-28.9M	1.15	3.19	N/A	N/A	302,882	347,843	1,888,499	2,726,568
2011-10-28	$58.94	$56.00	21.9%	6.2%	27.1%	16.3%	22.9%	6.1%	1.4%	194.6M	-3.40B	-29.2M	1.17	14.95	N/A	N/A	152,428	178,420	1,961,177	2,799,068
2011-10-31	$57.95	$56.00	28.9%	7.3%	25.9%	29.4%	26.5%	7.2%	-0.0%	38.0M	-1.93B	-29.2M	2.36	13.19	N/A	N/A	132,432	312,917	1,909,533	2,721,630