QQQ Options History — April 2012

In April 2012, QQQ traded between $64.73 and $68.25. ATM implied volatility averaged 17.7%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.1% (HV 20d: 14.7%). Max pain ranged from $66.00 to $66.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.69.

Notable Days

  • 2012-04-20: Highest Volume — 956,842 contracts
  • 2012-04-09: Largest IV spike — 31.8% change
  • 2012-04-10: Highest IV Rank — 15.2%
  • 2012-04-16: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.61$64.73$68.25$68.25$66.76
Max Pain$66.00$66.00$66.00$66.00$66.00
ATM IV17.7%14.3%21.3%15.2%17.8%
Expected Move5.0%4.0%6.0%4.0%4.7%
HV 20d14.7%10.3%18.6%11.3%18.6%
HV 60d12.1%10.1%14.0%10.1%14.0%
IV Rank8.6%2.2%15.2%3.8%8.6%
IV Percentile37.6%6.3%58.3%14.3%39.7%
Term Structure0.9%0.2%1.9%1.5%0.9%
VWIV18.1%14.5%20.9%14.7%16.4%
Skew 25d4.8%3.2%6.1%3.3%4.1%
Skew 10d9.4%6.6%12.2%6.6%7.6%
Call IV 25d15.4%12.2%17.8%12.3%14.8%
Put IV 25d20.1%15.6%23.9%15.6%18.9%
Bid-Ask Spread %8.853.6142.164.727.66
Gamma HHI0.110.080.140.100.09
Net GEX-178.0M-340.3M22.2M22.2M-171.0M
Net DEX-588.1M-4.00B2.61B-4.00B-858.9M
Net VEX-36.0M-37.9M-32.3M-32.3M-36.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.882.821.971.42
Total Volume557,234.15221,680956,842667,591221,680
Total OI4,727,641.54,152,9725,123,4454,152,9724,681,906

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$68.25$66.0015.2%4.0%11.3%3.8%14.7%3.3%1.5%22.2M-4.00B-32.3M1.974.72N/AN/A224,589443,0021,594,2512,558,721
2012-04-03$68.23$66.0015.5%4.0%10.3%4.4%14.5%3.7%1.9%-23.3M-3.68B-33.8M1.434.05N/AN/A130,517187,2361,633,4892,754,857
2012-04-04$67.30$66.0016.2%4.2%11.9%5.7%14.8%3.2%1.7%-177.0M-1.76B-35.5M1.498.35N/AN/A250,711373,0671,655,1952,802,574
2012-04-05$67.72$66.0014.3%4.0%11.6%2.2%15.3%3.4%1.9%-73.1M-2.70B-35.7M2.074.20N/AN/A110,045228,0611,711,8372,882,329
2012-04-09$67.21$66.0018.9%5.2%12.1%10.7%19.7%4.9%0.7%-153.0M-1.64B-35.2M1.757.00N/AN/A166,728291,4831,668,7122,884,129
2012-04-10$66.13$66.0021.3%5.6%13.6%15.2%19.5%5.8%0.6%-228.0M286.0M-37.1M1.513.95N/AN/A285,231430,5521,708,5392,974,062
2012-04-11$66.45$66.0018.3%5.7%12.1%9.6%19.9%5.9%0.6%-130.7M-450.0M-36.5M2.046.47N/AN/A138,937283,8801,761,6352,963,191
2012-04-12$67.20$66.0018.2%5.2%12.6%9.4%20.5%5.7%0.5%-78.3M-1.96B-36.0M1.9642.16N/AN/A219,551430,3231,782,6023,057,010
2012-04-13$66.19$66.0019.6%5.6%13.8%12.0%19.7%5.8%0.7%-232.9M662.2M-37.7M1.918.28N/AN/A169,609323,1201,829,9213,226,028
2012-04-16$65.45$66.0020.9%6.0%14.3%14.5%20.2%6.1%0.2%-299.9M2.02B-37.0M1.285.60N/AN/A308,370394,5311,783,3513,170,873
2012-04-17$66.78$66.0018.0%5.2%15.9%9.1%18.8%5.5%0.7%-120.1M-948.0M-35.7M1.847.84N/AN/A171,232315,6961,814,1203,172,268
2012-04-18$66.61$66.0017.8%5.1%15.9%8.6%18.7%4.8%0.9%-207.1M-206.6M-35.6M1.463.94N/AN/A178,677259,9991,828,9513,230,612
2012-04-19$65.86$66.0018.6%5.3%16.4%10.2%19.0%5.8%0.7%-292.9M974.0M-36.0M1.163.61N/AN/A286,292330,8371,850,2153,249,237
2012-04-20$65.68$66.0017.7%5.1%16.4%8.4%18.8%5.4%0.9%-340.3M1.41B-35.2M2.114.12N/AN/A307,684649,1581,844,9833,278,462
2012-04-23$65.08$66.0019.6%5.6%16.6%11.9%20.2%5.3%0.2%-313.2M2.16B-37.9M2.046.62N/AN/A247,063505,0821,489,1442,867,171
2012-04-24$64.73$66.0019.1%5.5%15.1%11.1%20.9%4.6%0.5%-320.3M2.61B-37.2M2.8221.82N/AN/A193,682545,3181,559,2022,908,852
2012-04-25$66.45$66.0017.0%4.9%18.2%7.2%17.7%4.3%1.0%-169.8M-501.1M-37.6M1.387.10N/AN/A251,929347,9611,631,2223,090,669
2012-04-26$66.84$66.0015.6%4.5%18.4%4.5%16.9%3.8%1.1%-127.8M-1.16B-36.6M1.3812.46N/AN/A200,426277,2881,649,0903,142,785
2012-04-27$67.24$66.0015.3%4.5%18.5%4.0%16.1%3.8%1.0%-123.8M-2.02B-36.1M0.887.10N/AN/A248,026217,1101,678,9133,181,722
2012-04-30$66.76$66.0017.8%4.7%18.6%8.6%16.4%4.1%0.9%-171.0M-858.9M-36.2M1.427.66N/AN/A91,787129,8931,641,1143,040,792