QQQ Options History — February 2012 In February 2012, QQQ traded between $61.02 and $64.70. ATM implied volatility averaged 16.7%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 7.6% (HV 20d: 9.1%). Max pain ranged from $59.00 to $62.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.74.
Notable Days 2012-02-15 : Highest Volume — 921,152 contracts2012-02-06 : Largest IV spike — 14.2% change2012-02-15 : Highest IV Rank — 10.9%2012-02-15 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $63.01 $61.02 $64.70 $61.02 $64.41 Max Pain $60.65 $59.00 $62.00 $59.00 $62.00 ATM IV 16.7% 15.0% 19.0% 17.4% 16.9% Expected Move 4.8% 4.4% 5.5% 4.5% 4.9% HV 20d 9.1% 8.1% 10.0% 8.1% 9.9% HV 60d 18.1% 13.7% 21.0% 20.9% 13.7% IV Rank 6.6% 3.5% 10.9% 8.0% 7.0% IV Percentile 23.3% 7.7% 44.3% 29.1% 25.9% Term Structure 0.8% 0.4% 1.5% 1.5% 0.9% VWIV 18.0% 16.0% 20.7% 17.7% 16.7% Skew 25d 5.0% 3.7% 6.5% 3.9% 4.6% Skew 10d 10.1% 7.4% 12.2% 8.0% 8.9% Call IV 25d 14.7% 13.6% 16.9% 14.2% 14.7% Put IV 25d 19.7% 17.8% 23.3% 18.1% 19.4% Bid-Ask Spread % 2.95 1.69 14.31 2.03 2.55 Gamma HHI 0.13 0.08 0.18 0.08 0.13 Net GEX 29.5M -45.7M 107.6M -3.6M 15.4M Net DEX -3.29B -4.15B -2.36B -2.44B -3.53B Net VEX -24.2M -27.2M -21.8M -22.9M -27.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.74 0.95 2.94 1.09 2.50 Total Volume 482,181.55 190,636 921,152 547,871 521,397 Total OI 4,045,669.15 3,523,238 4,942,828 3,524,027 4,165,914
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 2012-02-01 $61.02 $59.00 17.4% 4.5% 8.1% 8.0% 17.7% 3.9% 1.5% -3.6M -2.44B -22.9M 1.09 2.03 N/A N/A 262,690 285,181 1,311,435 2,212,592 2012-02-02 $61.21 $59.00 15.8% 4.5% 8.1% 4.9% 17.8% 3.7% 1.5% 7.5M -2.36B -23.2M 1.88 2.41 N/A N/A 166,725 313,906 1,357,137 2,321,606 2012-02-03 $62.05 $59.00 15.0% 4.7% 8.7% 3.5% 17.4% 4.7% 0.6% 88.3M -3.48B -21.8M 1.22 14.31 N/A N/A 256,108 312,196 1,382,581 2,432,004 2012-02-06 $62.00 $60.00 17.2% 4.8% 8.9% 7.5% 18.5% 4.8% 0.5% 52.9M -3.08B -22.6M 1.87 2.44 N/A N/A 103,784 193,767 1,398,178 2,395,160 2012-02-07 $62.13 $60.00 17.1% 4.8% 8.5% 7.3% 18.2% 4.7% 0.4% 49.4M -3.16B -22.5M 1.75 2.15 N/A N/A 69,315 121,321 1,412,479 2,458,073 2012-02-08 $62.46 $60.00 15.6% 5.0% 8.4% 4.6% 18.3% 5.0% 0.4% 107.6M -3.71B -22.2M 2.18 2.24 N/A N/A 102,063 222,871 1,431,506 2,512,341 2012-02-09 $62.91 $60.00 16.5% 4.7% 8.5% 6.2% 17.5% 4.8% 0.6% 88.8M -3.94B -22.5M 1.46 1.78 N/A N/A 209,657 305,591 1,439,594 2,605,841 2012-02-10 $62.48 $60.00 18.6% 5.3% 9.3% 10.1% 19.0% 5.5% 0.5% 48.0M -3.37B -23.8M 2.94 2.88 N/A N/A 178,331 524,841 1,490,290 2,698,947 2012-02-13 $63.05 $61.00 17.1% 4.9% 9.2% 7.3% 18.5% 5.2% 0.7% 65.7M -3.79B -23.0M 1.68 1.79 N/A N/A 122,990 206,091 1,478,544 2,796,869 2012-02-14 $63.21 $61.00 17.7% 5.1% 9.0% 8.4% 19.7% 5.5% 0.9% 61.8M -3.92B -23.5M 1.81 2.12 N/A N/A 157,134 285,021 1,503,336 2,841,385 2012-02-15 $62.77 $61.00 19.0% 5.5% 9.0% 10.9% 20.7% 6.5% 1.0% 3.5M -3.12B -24.9M 2.30 3.05 N/A N/A 279,482 641,670 1,552,880 2,938,164 2012-02-16 $63.63 $62.00 17.2% 4.9% 9.7% 7.5% 19.1% 6.2% 1.0% 42.0M -4.15B -25.0M 1.53 1.93 N/A N/A 259,907 396,472 1,613,244 3,211,907 2012-02-17 $63.43 $62.00 17.1% 4.9% 9.8% 7.4% 17.9% 5.1% 1.2% -5.5M -3.61B -25.7M 0.95 1.69 N/A N/A 271,985 257,293 1,683,204 3,259,624 2012-02-21 $63.61 $62.00 16.0% 4.6% 9.8% 5.4% 17.4% 4.7% 1.0% 1.1M -2.76B -24.2M 1.72 2.74 N/A N/A 133,842 230,150 1,369,180 2,154,058 2012-02-22 $63.32 $62.00 17.3% 4.8% 10.0% 7.7% 17.8% 4.7% 1.0% -45.7M -2.40B -24.8M 1.72 2.27 N/A N/A 130,540 224,493 1,427,573 2,254,528 2012-02-23 $63.74 $60.00 15.3% 4.5% 9.5% 3.9% 16.8% 5.0% 0.7% -23.3M -3.09B -24.6M 2.27 2.62 N/A N/A 188,334 426,631 1,452,007 2,342,098 2012-02-24 $63.96 $61.00 15.3% 4.4% 9.2% 4.1% 16.0% 4.7% 1.1% 1.1M -2.93B -25.4M 1.12 3.03 N/A N/A 305,733 341,715 1,494,250 2,478,078 2012-02-27 $64.05 $61.00 16.3% 4.7% 9.2% 5.9% 18.2% 5.0% 0.9% 5.1M -3.04B -26.7M 1.59 2.63 N/A N/A 124,642 198,422 1,513,407 2,456,051 2012-02-28 $64.70 $61.00 15.9% 4.6% 9.5% 5.2% 17.5% 5.0% 0.8% 29.2M -3.84B -26.7M 1.18 2.26 N/A N/A 143,089 168,251 1,550,062 2,517,256 2012-02-29 $64.41 $62.00 16.9% 4.9% 9.9% 7.0% 16.7% 4.6% 0.9% 15.4M -3.53B -27.2M 2.50 2.55 N/A N/A 148,799 372,598 1,600,520 2,565,394
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