QQQ Options History — January 2012

In January 2012, QQQ traded between $56.90 and $60.53. ATM implied volatility averaged 17.2%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.2% (HV 20d: 15.1%). Max pain ranged from $55.00 to $59.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.60.

Notable Days

2012-01-18: Highest Volume — 662,386 contracts
2012-01-12: Largest IV spike — 22.0% change
2012-01-13: Highest IV Rank — 11.7%
2012-01-13: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.96	$56.90	$60.53	$56.90	$60.53
Max Pain	$57.30	$55.00	$59.00	$55.00	$59.00
ATM IV	17.2%	15.4%	19.4%	18.7%	18.2%
Expected Move	5.1%	4.5%	5.6%	5.4%	4.6%
HV 20d	15.1%	9.7%	20.1%	20.1%	9.7%
HV 60d	23.5%	21.2%	25.4%	25.4%	21.2%
IV Rank	7.6%	4.3%	11.7%	10.3%	9.4%
IV Percentile	25.7%	11.3%	43.3%	36.5%	36.1%
Term Structure	1.6%	1.1%	3.2%	2.5%	1.1%
VWIV	19.0%	16.7%	21.6%	19.8%	17.4%
Skew 25d	4.9%	3.1%	6.1%	4.5%	3.1%
Skew 10d	9.9%	6.2%	12.4%	8.9%	6.2%
Call IV 25d	15.7%	14.1%	17.3%	17.0%	15.6%
Put IV 25d	20.6%	18.5%	23.0%	21.5%	18.7%
Bid-Ask Spread %	3.42	2.06	10.55	3.15	3.88
Gamma HHI	0.13	0.09	0.31	0.09	0.10
Net GEX	36.6M	-78.5M	295.7M	-15.6M	-74.0M
Net DEX	-2.21B	-4.43B	-1.16B	-1.21B	-1.66B
Net VEX	-20.1M	-21.8M	-18.9M	-19.9M	-21.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.60	0.61	2.67	1.82	1.13
Total Volume	370,207.7	201,341	662,386	281,517	393,675
Total OI	3,447,620.25	2,686,204	4,297,109	3,158,120	3,372,809

Daily Data (20 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
2012-01-03	$56.90	$55.00	18.7%	5.4%	20.1%	10.3%	19.8%	4.5%	2.5%	-15.6M	-1.21B	-19.9M	1.82	3.15	N/A	N/A	99,937	181,580	1,272,550	1,885,570
2012-01-04	$57.14	$55.00	17.3%	5.1%	19.8%	7.8%	18.8%	4.8%	3.0%	-6.1M	-1.29B	-19.7M	1.46	2.93	N/A	N/A	81,781	119,560	1,270,679	1,913,768
2012-01-05	$57.61	$55.00	16.2%	4.6%	19.9%	5.7%	17.1%	3.6%	3.2%	8.0M	-1.78B	-18.9M	0.98	2.96	N/A	N/A	182,936	178,911	1,281,527	1,951,448
2012-01-06	$57.81	$56.00	15.4%	5.4%	20.0%	4.3%	20.3%	5.8%	1.3%	32.0M	-2.03B	-19.4M	0.92	2.97	N/A	N/A	160,914	147,331	1,349,776	2,033,956
2012-01-09	$57.62	$56.00	16.2%	5.4%	18.9%	5.8%	20.8%	6.1%	1.2%	16.4M	-1.80B	-19.6M	1.28	2.76	N/A	N/A	113,818	145,147	1,373,522	2,032,697
2012-01-10	$58.04	$56.00	16.0%	5.4%	18.3%	5.4%	20.3%	5.9%	1.3%	43.3M	-2.23B	-19.5M	1.11	2.87	N/A	N/A	163,012	180,725	1,420,018	2,096,205
2012-01-11	$58.16	$56.00	15.8%	5.5%	17.7%	4.9%	20.3%	5.9%	1.1%	54.0M	-2.36B	-19.9M	1.50	2.80	N/A	N/A	87,457	131,120	1,470,604	2,150,998
2012-01-12	$58.39	$57.00	19.2%	5.5%	17.1%	11.3%	18.9%	5.8%	1.3%	55.5M	-2.56B	-19.7M	1.46	2.32	N/A	N/A	92,480	135,281	1,469,540	2,210,601
2012-01-13	$58.18	$57.00	19.4%	5.6%	15.9%	11.7%	20.8%	5.8%	1.2%	13.2M	-2.30B	-20.0M	1.79	3.12	N/A	N/A	122,241	218,626	1,486,046	2,264,804
2012-01-17	$58.71	$57.00	19.4%	5.6%	15.9%	11.6%	21.0%	5.8%	1.2%	59.4M	-2.71B	-19.3M	0.61	2.85	N/A	N/A	261,185	159,977	1,461,555	2,269,194
2012-01-18	$59.49	$58.00	19.0%	5.4%	16.2%	10.8%	21.6%	5.8%	1.5%	295.7M	-4.08B	-18.9M	1.57	3.02	N/A	N/A	257,981	404,405	1,599,771	2,317,839
2012-01-19	$59.86	$58.00	17.1%	4.9%	15.4%	7.3%	18.2%	4.7%	1.8%	259.4M	-4.43B	-19.4M	1.00	4.19	N/A	N/A	271,927	271,816	1,657,610	2,527,665
2012-01-20	$59.77	$58.00	15.7%	4.5%	12.5%	4.8%	18.7%	4.9%	2.4%	230.8M	-4.26B	-19.9M	2.33	10.55	N/A	N/A	133,389	311,316	1,705,900	2,591,209
2012-01-23	$59.79	$58.00	15.9%	4.6%	10.7%	5.1%	18.4%	4.6%	2.0%	-9.5M	-1.40B	-19.6M	2.29	2.64	N/A	N/A	138,033	316,779	1,024,268	1,661,936
2012-01-24	$59.68	$59.00	16.2%	4.6%	10.8%	5.7%	17.9%	5.1%	1.8%	-53.1M	-1.16B	-21.1M	2.31	4.08	N/A	N/A	107,933	249,135	1,088,867	1,880,606
2012-01-25	$60.43	$59.00	16.8%	4.8%	11.1%	6.7%	18.0%	4.6%	1.2%	-8.4M	-1.88B	-20.6M	2.31	3.11	N/A	N/A	153,339	354,065	1,146,356	1,945,235
2012-01-26	$60.22	$59.00	16.7%	4.8%	11.4%	6.7%	17.5%	4.3%	1.5%	-78.5M	-1.55B	-21.4M	2.39	2.06	N/A	N/A	114,070	272,284	1,172,070	2,043,036
2012-01-27	$60.40	$59.00	16.4%	4.8%	10.0%	6.1%	16.7%	3.5%	1.3%	-64.8M	-1.73B	-21.4M	1.15	3.41	N/A	N/A	132,284	152,432	1,204,270	2,117,832
2012-01-30	$60.45	$59.00	19.1%	4.9%	9.9%	11.1%	17.6%	3.7%	1.1%	-26.4M	-1.73B	-21.3M	2.67	2.76	N/A	N/A	110,414	294,858	1,189,347	2,040,721
2012-01-31	$60.53	$59.00	18.2%	4.6%	9.7%	9.4%	17.4%	3.1%	1.1%	-74.0M	-1.66B	-21.8M	1.13	3.88	N/A	N/A	184,987	208,688	1,235,231	2,137,578