QQQ Options History — March 2012 In March 2012, QQQ traded between $63.57 and $68.21. ATM implied volatility averaged 14.8%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.5% (HV 20d: 11.3%). Max pain ranged from $63.00 to $66.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.46.
Notable Days 2012-03-14 : Highest Volume — 789,775 contracts2012-03-08 : Largest IV drop — 13.8% change2012-03-06 : Highest IV Rank — 7.1%2012-03-06 : Largest Expected Move — 4.9%Monthly Statistics Metric Avg Min Max Open Close Price $66.23 $63.57 $68.21 $64.92 $67.55 Max Pain $64.45 $63.00 $66.00 $63.00 $66.00 ATM IV 14.8% 13.6% 17.0% 15.3% 13.8% Expected Move 4.3% 3.9% 4.9% 4.4% 4.0% HV 20d 11.3% 9.9% 12.3% 9.9% 11.9% HV 60d 11.9% 10.0% 14.0% 13.7% 10.0% IV Rank 3.1% 0.8% 7.1% 4.0% 1.2% IV Percentile 8.8% 1.2% 27.2% 9.2% 3.2% Term Structure 1.4% 0.6% 2.2% 0.9% 1.7% VWIV 16.3% 14.8% 18.4% 16.6% 15.6% Skew 25d 4.3% 3.7% 5.2% 4.2% 3.9% Skew 10d 8.7% 7.1% 11.9% 10.1% 8.3% Call IV 25d 13.5% 12.1% 15.6% 13.8% 12.8% Put IV 25d 17.8% 15.8% 20.7% 18.0% 16.6% Bid-Ask Spread % 3.57 1.88 8.93 2.52 6.90 Gamma HHI 0.17 0.10 0.62 0.17 0.10 Net GEX 48.6M -127.0M 635.0M 27.0M -27.3M Net DEX -3.83B -6.75B -1.18B -4.10B -3.31B Net VEX -30.6M -35.1M -27.2M -27.4M -35.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.46 0.72 2.12 1.30 1.38 Total Volume 506,399.273 256,399 789,775 547,548 379,649 Total OI 4,428,463.5 3,493,110 5,166,373 4,331,845 4,666,081
Daily Data (22 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 2012-03-01 $64.92 $63.00 15.3% 4.4% 9.9% 4.0% 16.6% 4.2% 0.9% 27.0M -4.10B -27.4M 1.30 2.52 N/A N/A 237,892 309,656 1,622,702 2,709,143 2012-03-02 $64.87 $63.00 14.8% 4.3% 10.0% 3.2% 15.9% 4.2% 1.0% 32.5M -4.00B -28.8M 1.62 2.14 N/A N/A 147,197 237,776 1,723,256 2,796,188 2012-03-05 $64.20 $64.00 16.6% 4.8% 10.2% 6.4% 16.6% 4.6% 0.6% 956.4K -2.89B -28.6M 1.90 2.07 N/A N/A 149,543 284,515 1,676,037 2,688,243 2012-03-06 $63.57 $64.00 17.0% 4.9% 11.0% 7.1% 18.4% 5.2% 0.7% -114.5M -1.18B -30.5M 1.01 2.51 N/A N/A 286,445 289,095 1,693,727 2,778,952 2012-03-07 $64.06 $63.00 16.7% 4.8% 11.2% 6.7% 18.1% 5.0% 0.7% -30.8M -2.34B -29.9M 1.00 2.33 N/A N/A 213,627 212,659 1,752,065 2,805,427 2012-03-08 $64.75 $63.00 14.4% 4.4% 11.6% 2.4% 17.1% 4.7% 0.9% 31.7M -3.76B -29.5M 1.20 2.85 N/A N/A 207,504 248,730 1,794,365 2,880,417 2012-03-09 $65.02 $63.00 13.8% 4.3% 11.5% 1.1% 15.0% 4.0% 0.9% 635.0M -4.47B -28.9M 1.11 1.88 N/A N/A 170,825 189,049 1,815,907 2,942,296 2012-03-12 $65.05 $64.00 13.9% 4.4% 11.0% 1.5% 18.1% 5.0% 1.9% 106.0M -4.51B -28.4M 2.12 2.52 N/A N/A 82,259 174,140 1,808,237 2,873,975 2012-03-13 $66.26 $64.00 14.9% 4.4% 12.3% 3.3% 15.5% 4.7% 1.5% 78.8M -6.19B -27.2M 0.72 3.82 N/A N/A 421,372 304,573 1,801,860 2,957,208 2012-03-14 $66.49 $64.00 16.0% 4.8% 12.3% 5.3% 17.8% 4.7% 1.5% 137.2M -6.75B -28.4M 1.99 3.95 N/A N/A 263,787 525,988 1,954,441 3,039,408 2012-03-15 $66.68 $65.00 15.3% 4.4% 11.7% 3.9% 16.3% 4.1% 1.8% 13.6M -6.72B -29.0M 1.13 3.43 N/A N/A 341,658 384,393 1,961,685 3,204,688 2012-03-16 $66.52 $65.00 14.5% 4.2% 11.2% 2.6% 16.0% 4.2% 2.2% -49.8M -2.24B -30.3M 1.20 2.76 N/A N/A 204,665 245,254 1,411,160 3,405,473 2012-03-19 $66.99 $65.00 14.7% 4.2% 11.1% 2.9% 16.1% 4.1% 1.9% 30.7M -3.01B -30.3M 1.86 3.43 N/A N/A 235,527 436,944 1,364,631 2,128,479 2012-03-20 $67.11 $65.00 14.5% 4.2% 11.1% 2.5% 15.1% 4.1% 1.8% 33.3M -3.15B -32.0M 1.44 3.30 N/A N/A 142,584 205,379 1,442,708 2,305,214 2012-03-21 $67.12 $65.00 14.3% 4.1% 10.8% 2.1% 15.7% 3.8% 1.6% 30.8M -3.21B -32.2M 1.95 3.74 N/A N/A 170,044 331,594 1,492,652 2,383,476 2012-03-22 $66.98 $65.00 14.7% 4.2% 10.9% 2.8% 16.2% 4.3% 1.6% -26.9M -2.86B -33.4M 1.50 3.21 N/A N/A 203,757 306,015 1,543,686 2,518,025 2012-03-23 $66.94 $65.00 14.4% 4.1% 10.9% 2.4% 15.7% 4.0% 1.6% -127.0M -2.79B -33.5M 1.61 3.78 N/A N/A 153,968 247,531 1,565,479 2,561,440 2012-03-26 $68.11 $65.00 13.6% 3.9% 12.2% 0.8% 14.8% 3.7% 1.3% 100.0M -4.69B -30.7M 0.95 8.93 N/A N/A 286,599 272,001 1,557,748 2,519,306 2012-03-27 $68.21 $65.00 14.6% 4.2% 11.9% 2.7% 16.1% 3.7% 1.3% 103.9M -4.61B -31.7M 1.86 4.14 N/A N/A 178,493 331,769 1,624,740 2,618,760 2012-03-28 $67.94 $66.00 14.4% 4.1% 11.8% 2.4% 15.4% 4.2% 1.7% 54.6M -4.03B -33.4M 1.58 4.65 N/A N/A 213,168 336,335 1,657,143 2,773,049 2012-03-29 $67.68 $66.00 14.0% 4.0% 11.9% 1.7% 15.7% 3.9% 1.6% 30.3M -3.54B -34.6M 1.73 3.59 N/A N/A 211,072 365,753 1,704,836 2,901,884 2012-03-30 $67.55 $66.00 13.8% 4.0% 11.9% 1.2% 15.6% 3.9% 1.7% -27.3M -3.31B -35.1M 1.38 6.90 N/A N/A 159,782 219,867 1,740,293 2,925,788
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