QQQ Options History — November 2011

In November 2011, QQQ traded between $52.88 and $58.88. ATM implied volatility averaged 28.9%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 1.6% (HV 20d: 27.3%). Max pain ranged from $54.00 to $57.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.33.

Notable Days

2011-11-17: Highest Volume — 786,834 contracts
2011-11-09: Largest IV spike — 41.2% change
2011-11-01: Highest IV Rank — 50.9%
2011-11-01: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.30	$52.88	$58.88	$56.44	$56.39
Max Pain	$56.43	$54.00	$57.00	$57.00	$54.00
ATM IV	28.9%	22.5%	40.5%	40.5%	25.4%
Expected Move	8.1%	6.8%	9.0%	9.0%	7.3%
HV 20d	27.3%	24.4%	30.2%	27.8%	30.2%
HV 60d	28.4%	26.5%	32.6%	32.6%	28.3%
IV Rank	29.3%	17.4%	50.9%	50.9%	22.7%
IV Percentile	70.2%	53.9%	96.2%	96.2%	53.9%
Term Structure	0.1%	-1.6%	0.7%	-1.6%	0.4%
VWIV	28.9%	25.6%	32.4%	29.9%	26.1%
Skew 25d	8.6%	6.7%	10.9%	9.7%	6.7%
Skew 10d	16.9%	13.0%	21.0%	20.0%	15.5%
Call IV 25d	24.2%	20.3%	27.7%	25.7%	22.2%
Put IV 25d	32.8%	28.5%	36.4%	35.4%	28.9%
Bid-Ask Spread %	4.42	2.85	12.20	4.12	2.85
Gamma HHI	0.09	0.07	0.13	0.07	0.08
Net GEX	-37.7M	-204.6M	103.4M	-32.0M	23.2M
Net DEX	66.4M	-3.05B	3.50B	-182.1M	-776.4M
Net VEX	-27.9M	-30.9M	-24.9M	-30.7M	-25.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.33	0.54	2.08	1.70	0.93
Total Volume	442,167.667	255,093	786,834	675,017	544,312
Total OI	5,041,055.857	4,325,745	5,560,100	4,825,467	4,854,865

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
2011-11-01	$56.44	$57.00	40.5%	9.0%	27.8%	50.9%	29.9%	9.7%	-1.6%	-32.0M	-182.1M	-30.7M	1.70	4.12	N/A	N/A	250,348	424,669	1,964,295	2,861,172
2011-11-02	$56.92	$57.00	35.3%	8.2%	26.6%	41.3%	28.9%	8.7%	-0.4%	-17.1M	-578.3M	-30.8M	0.96	3.02	N/A	N/A	168,493	161,890	1,998,336	2,932,294
2011-11-03	$58.10	$57.00	27.1%	7.3%	26.9%	25.9%	26.5%	7.7%	0.7%	43.4M	-2.07B	-30.0M	1.96	3.66	N/A	N/A	197,875	387,886	2,018,135	2,960,006
2011-11-04	$57.80	$57.00	23.6%	7.4%	26.9%	19.5%	28.1%	8.8%	0.3%	17.6M	-1.57B	-30.9M	1.54	4.20	N/A	N/A	156,491	240,279	2,052,699	3,151,479
2011-11-07	$58.21	$57.00	26.6%	7.4%	24.4%	24.9%	29.0%	9.0%	0.3%	47.2M	-2.12B	-29.8M	1.31	3.13	N/A	N/A	155,995	204,539	2,040,008	3,147,044
2011-11-08	$58.88	$57.00	22.5%	6.8%	24.6%	17.4%	25.6%	8.2%	0.4%	103.4M	-3.05B	-29.0M	1.48	3.21	N/A	N/A	128,287	190,028	2,055,979	3,182,420
2011-11-09	$56.81	$57.00	31.8%	8.6%	28.0%	34.6%	30.4%	10.9%	-0.3%	-56.9M	-2.6M	-30.9M	1.47	5.81	N/A	N/A	203,325	297,984	2,080,636	3,188,878
2011-11-10	$56.78	$57.00	28.2%	8.1%	27.8%	28.1%	29.5%	10.2%	0.1%	-83.8M	206.6M	-30.0M	1.13	3.67	N/A	N/A	192,474	217,441	2,097,480	3,222,344
2011-11-11	$57.85	$57.00	25.8%	7.4%	27.8%	23.6%	25.9%	9.2%	0.4%	93.7M	-1.64B	-29.2M	0.81	3.86	N/A	N/A	227,670	183,794	2,129,626	3,246,538
2011-11-14	$57.49	$57.00	28.1%	8.1%	27.3%	27.8%	29.6%	9.1%	0.2%	23.3M	-1.22B	-28.7M	1.55	3.13	N/A	N/A	99,854	155,239	2,117,805	3,200,745
2011-11-15	$58.13	$57.00	26.5%	7.6%	27.2%	24.9%	29.1%	9.1%	0.4%	65.5M	-1.89B	-28.2M	1.12	2.96	N/A	N/A	149,996	167,260	2,145,762	3,228,220
2011-11-16	$57.17	$57.00	28.0%	8.0%	27.0%	27.6%	29.1%	9.0%	0.2%	-37.0M	-517.0M	-27.4M	2.08	3.11	N/A	N/A	139,893	291,671	2,175,675	3,244,675
2011-11-17	$55.83	$57.00	29.9%	8.6%	28.3%	31.2%	30.7%	9.8%	0.2%	-171.9M	1.50B	-27.6M	0.99	3.42	N/A	N/A	395,697	391,137	2,183,565	3,275,826
2011-11-18	$55.40	$57.00	29.6%	8.5%	27.9%	30.6%	29.1%	8.8%	0.3%	-137.2M	1.75B	-26.9M	1.55	9.09	N/A	N/A	212,771	328,827	2,263,336	3,296,764
2011-11-21	$54.34	$57.00	30.8%	8.8%	27.3%	32.9%	30.4%	8.5%	-0.3%	-92.4M	2.01B	-25.8M	1.25	3.53	N/A	N/A	214,963	267,853	1,776,323	2,549,422
2011-11-22	$54.52	$57.00	27.4%	7.9%	26.7%	26.5%	28.9%	7.2%	0.5%	-88.6M	1.95B	-25.3M	0.89	3.51	N/A	N/A	190,488	168,813	1,847,679	2,620,630
2011-11-23	$53.29	$57.00	30.9%	8.9%	27.6%	32.9%	31.0%	7.6%	-0.0%	-142.1M	2.99B	-25.0M	1.76	12.20	N/A	N/A	195,972	344,528	1,907,812	2,651,164
2011-11-25	$52.88	$54.00	31.1%	8.9%	25.2%	33.5%	32.4%	7.8%	-0.3%	-204.6M	3.50B	-25.0M	1.22	6.14	N/A	N/A	137,434	168,341	1,980,566	2,820,277
2011-11-28	$54.72	$54.00	28.6%	8.2%	28.8%	28.8%	26.5%	7.0%	-0.1%	-69.5M	1.37B	-25.2M	0.54	3.97	N/A	N/A	283,368	152,714	1,871,790	2,752,091
2011-11-29	$54.38	$54.00	28.7%	8.2%	28.3%	29.0%	29.3%	6.9%	0.2%	-76.3M	1.72B	-24.9M	1.74	4.28	N/A	N/A	107,733	187,189	1,968,999	2,798,813
2011-11-30	$56.39	$54.00	25.4%	7.3%	30.2%	22.7%	26.1%	6.7%	0.4%	23.2M	-776.4M	-25.2M	0.93	2.85	N/A	N/A	281,592	262,720	1,993,897	2,860,968