QQQ Options History — December 2011

In December 2011, QQQ traded between $54.32 and $57.24. ATM implied volatility averaged 22.4%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 3.6% (HV 20d: 26.0%). Max pain ranged from $54.00 to $55.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.33.

Notable Days

2011-12-14: Highest Volume — 785,326 contracts
2011-12-09: Largest IV drop — 25.9% change
2011-12-08: Highest IV Rank — 30.3%
2011-12-08: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$55.97	$54.32	$57.24	$56.78	$55.83
Max Pain	$54.71	$54.00	$55.00	$54.00	$55.00
ATM IV	22.4%	16.3%	29.5%	24.3%	16.3%
Expected Move	6.5%	5.5%	7.8%	7.0%	5.5%
HV 20d	26.0%	18.8%	30.2%	30.2%	18.8%
HV 60d	27.2%	25.4%	27.9%	27.9%	25.4%
IV Rank	17.2%	5.8%	30.3%	20.8%	5.8%
IV Percentile	47.6%	16.6%	74.5%	53.1%	16.6%
Term Structure	1.5%	-0.5%	2.7%	0.3%	2.7%
VWIV	23.8%	20.3%	28.9%	27.3%	20.3%
Skew 25d	6.0%	4.4%	7.4%	6.7%	5.0%
Skew 10d	12.7%	8.7%	16.4%	16.4%	10.2%
Call IV 25d	20.1%	17.0%	24.4%	21.8%	17.2%
Put IV 25d	26.1%	22.0%	31.0%	28.5%	22.3%
Bid-Ask Spread %	5.40	2.75	16.82	10.30	5.14
Gamma HHI	0.11	0.08	0.17	0.10	0.10
Net GEX	-21.8M	-153.9M	59.9M	59.9M	-59.8M
Net DEX	-209.5M	-1.65B	2.58B	-1.42B	-179.4M
Net VEX	-21.7M	-25.3M	-19.4M	-25.1M	-20.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.33	0.67	3.09	1.47	1.12
Total Volume	380,377.429	209,335	785,326	341,579	339,994
Total OI	4,330,199.524	3,159,710	5,137,634	4,947,564	3,743,921

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
2011-12-01	$56.78	$54.00	24.3%	7.0%	30.2%	20.8%	27.3%	6.7%	0.3%	59.9M	-1.42B	-25.1M	1.47	10.30	N/A	N/A	138,422	203,157	2,057,375	2,890,189
2011-12-02	$56.62	$54.00	24.4%	7.0%	29.2%	20.9%	26.2%	6.6%	0.3%	14.2M	-1.22B	-25.3M	1.00	11.68	N/A	N/A	173,631	172,956	2,068,724	2,892,012
2011-12-05	$57.24	$54.00	25.4%	7.3%	29.4%	22.8%	25.5%	6.7%	-0.2%	46.4M	-1.65B	-24.2M	2.05	4.25	N/A	N/A	112,085	230,093	2,016,195	2,748,310
2011-12-06	$57.08	$54.00	25.5%	7.3%	29.3%	22.9%	25.6%	6.5%	0.1%	9.0M	-1.35B	-24.2M	2.34	2.94	N/A	N/A	77,238	180,489	2,006,793	2,804,714
2011-12-07	$57.08	$54.00	25.9%	7.4%	28.9%	23.6%	28.9%	6.2%	-0.1%	6.2M	-1.40B	-24.0M	1.19	2.75	N/A	N/A	176,018	208,871	2,009,805	2,828,095
2011-12-08	$56.12	$54.00	29.5%	7.8%	26.7%	30.3%	27.5%	6.5%	-0.5%	-52.5M	-87.0M	-24.0M	1.08	2.98	N/A	N/A	158,408	171,166	2,052,075	2,866,070
2011-12-09	$57.02	$55.00	21.8%	6.7%	27.3%	16.2%	24.3%	5.3%	0.4%	58.8M	-1.59B	-22.8M	0.86	16.82	N/A	N/A	280,845	240,975	2,130,244	2,890,571
2011-12-12	$56.38	$55.00	24.3%	6.9%	26.7%	20.8%	26.1%	6.9%	1.8%	-27.0M	-473.4M	-22.0M	0.89	3.17	N/A	N/A	178,270	157,788	2,138,284	2,871,782
2011-12-13	$55.76	$55.00	22.8%	6.7%	26.9%	18.0%	26.3%	7.3%	1.7%	-75.8M	372.5M	-21.2M	1.13	4.32	N/A	N/A	231,662	262,579	2,169,506	2,878,478
2011-12-14	$54.89	$55.00	23.9%	6.9%	26.9%	20.0%	25.5%	7.4%	2.0%	-153.9M	1.67B	-20.7M	1.11	2.94	N/A	N/A	371,955	413,371	2,190,527	2,918,101
2011-12-15	$54.74	$55.00	22.9%	6.6%	26.4%	18.1%	24.1%	6.9%	2.1%	-148.9M	1.65B	-20.2M	0.77	3.14	N/A	N/A	244,225	187,221	2,236,982	2,900,652
2011-12-16	$54.86	$55.00	22.2%	6.4%	25.1%	16.8%	22.3%	6.3%	2.3%	-132.9M	2.58B	-20.0M	0.90	3.33	N/A	N/A	296,374	266,251	2,059,449	2,915,996
2011-12-19	$54.32	$55.00	23.0%	6.6%	25.2%	18.4%	23.5%	6.2%	1.9%	-41.6M	830.1M	-19.4M	1.25	3.42	N/A	N/A	105,282	131,185	1,429,066	1,730,644
2011-12-20	$55.93	$55.00	20.6%	5.9%	26.4%	14.0%	22.2%	5.4%	1.8%	48.5M	-574.9M	-19.4M	1.31	3.98	N/A	N/A	153,595	201,192	1,456,176	1,772,696
2011-12-21	$55.13	$55.00	20.5%	5.9%	27.0%	13.7%	20.8%	5.1%	2.2%	-25.8M	335.4M	-19.9M	1.04	3.91	N/A	N/A	209,188	218,241	1,498,951	1,841,730
2011-12-22	$55.60	$55.00	19.4%	5.6%	25.6%	11.7%	20.7%	5.0%	2.4%	28.9M	-307.5M	-20.2M	3.09	2.96	N/A	N/A	116,375	359,408	1,553,723	1,878,650
2011-12-23	$56.08	$55.00	19.0%	5.5%	25.5%	11.0%	20.6%	5.1%	2.6%	29.2M	-670.9M	-21.1M	0.67	7.91	N/A	N/A	151,393	101,888	1,561,895	2,055,792
2011-12-27	$56.24	$55.00	19.6%	5.6%	22.6%	12.0%	20.6%	4.4%	2.2%	26.3M	-676.9M	-20.3M	0.80	2.86	N/A	N/A	130,882	104,531	1,521,547	2,014,859
2011-12-28	$55.59	$55.00	19.9%	5.7%	23.0%	12.5%	22.0%	5.3%	2.2%	-35.6M	102.8M	-20.7M	2.73	11.78	N/A	N/A	86,273	235,114	1,571,969	2,040,230
2011-12-29	$55.99	$55.00	19.5%	5.6%	19.0%	11.8%	20.3%	5.1%	2.5%	-30.8M	-338.0M	-20.9M	1.14	2.90	N/A	N/A	97,659	111,676	1,591,617	2,129,795
2011-12-30	$55.83	$55.00	16.3%	5.5%	18.8%	5.8%	20.3%	5.0%	2.7%	-59.8M	-179.4M	-20.5M	1.12	5.14	N/A	N/A	160,417	179,577	1,607,500	2,136,421