QQQ Options History — May 2012 In May 2012, QQQ traded between $60.81 and $67.06. ATM implied volatility averaged 21.4%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.5% (HV 20d: 17.9%). Max pain ranged from $65.00 to $66.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.93.
Notable Days 2012-05-17 : Highest Volume — 987,014 contracts2012-05-21 : Largest IV drop — 15.0% change2012-05-18 : Highest IV Rank — 22.1%2012-05-18 : Largest Expected Move — 7.2%Monthly Statistics Metric Avg Min Max Open Close Price $63.56 $60.81 $67.06 $66.87 $62.06 Max Pain $65.50 $65.00 $66.00 $66.00 $65.00 ATM IV 21.4% 17.8% 25.0% 18.0% 24.1% Expected Move 6.0% 4.6% 7.2% 4.6% 6.9% HV 20d 17.9% 15.5% 20.2% 18.2% 17.5% HV 60d 15.2% 13.8% 16.4% 13.8% 16.3% IV Rank 15.4% 8.6% 22.1% 9.0% 20.3% IV Percentile 56.0% 38.5% 65.1% 40.5% 63.1% Term Structure 0.2% -0.7% 1.4% 1.4% -0.6% VWIV 21.8% 16.3% 26.3% 16.3% 26.3% Skew 25d 6.0% 3.6% 7.2% 3.8% 7.2% Skew 10d 11.5% 6.2% 14.9% 7.0% 14.9% Call IV 25d 18.5% 14.2% 22.0% 14.7% 21.1% Put IV 25d 24.5% 18.3% 29.0% 18.5% 28.3% Bid-Ask Spread % 5.48 2.47 16.89 7.79 2.47 Gamma HHI 0.12 0.09 0.22 0.09 0.12 Net GEX -383.3M -630.9M -192.6M -192.6M -338.8M Net DEX 4.06B -917.9M 9.55B -838.3M 4.72B Net VEX -36.2M -38.7M -34.2M -35.6M -36.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.93 1.14 4.26 2.44 1.65 Total Volume 609,029.955 300,536 987,014 555,114 556,827 Total OI 5,191,285.136 4,466,362 5,889,672 4,789,340 5,152,480
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 2012-05-01 $66.87 $66.00 18.0% 4.6% 18.2% 9.0% 16.3% 3.8% 1.4% -192.6M -838.3M -35.6M 2.44 7.79 N/A N/A 161,406 393,708 1,692,577 3,096,763 2012-05-02 $67.06 $66.00 19.0% 4.6% 18.3% 10.8% 16.7% 4.1% 1.1% -210.8M -917.9M -37.0M 1.46 6.67 N/A N/A 122,127 178,409 1,729,410 3,312,693 2012-05-03 $66.35 $66.00 17.8% 4.8% 18.0% 8.6% 16.3% 3.6% 0.9% -336.7M 462.2M -36.4M 1.14 7.22 N/A N/A 222,200 253,511 1,744,729 3,284,138 2012-05-04 $64.70 $66.00 18.8% 5.5% 19.8% 10.5% 19.8% 5.9% 0.1% -419.0M 3.81B -36.5M 1.60 6.92 N/A N/A 250,833 400,901 1,816,689 3,321,695 2012-05-07 $64.76 $66.00 20.6% 5.5% 19.7% 14.0% 19.9% 5.9% 0.1% -395.8M 2.96B -36.5M 1.31 4.81 N/A N/A 185,921 243,401 1,832,727 3,300,603 2012-05-08 $64.52 $66.00 20.8% 5.4% 19.0% 14.2% 20.2% 5.9% 0.1% -439.8M 3.61B -35.7M 1.40 3.11 N/A N/A 275,405 385,644 1,856,657 3,361,601 2012-05-09 $64.32 $66.00 21.1% 5.9% 18.9% 14.8% 21.7% 6.1% -0.0% -415.0M 3.70B -36.2M 1.76 3.68 N/A N/A 327,972 578,048 1,897,392 3,388,149 2012-05-10 $64.19 $66.00 20.2% 5.8% 18.2% 13.2% 20.1% 5.8% -0.1% -460.5M 3.85B -38.7M 1.89 3.79 N/A N/A 149,952 283,763 2,041,473 3,626,377 2012-05-11 $64.18 $66.00 20.5% 5.9% 17.6% 13.8% 22.2% 5.7% 0.1% -468.9M 4.08B -38.5M 2.80 4.00 N/A N/A 238,330 667,390 2,055,111 3,684,000 2012-05-14 $63.58 $66.00 21.4% 6.1% 17.5% 15.3% 22.2% 6.0% -0.1% -557.2M 5.58B -38.0M 1.89 2.56 N/A N/A 172,659 326,992 2,022,232 3,725,306 2012-05-15 $63.37 $65.00 22.5% 6.5% 15.5% 17.5% 22.5% 6.1% 0.0% -532.0M 5.68B -37.5M 2.09 3.65 N/A N/A 237,241 496,389 2,058,270 3,652,478 2012-05-16 $62.94 $65.00 22.3% 6.4% 15.6% 17.0% 22.5% 6.2% 0.3% -578.7M 6.54B -36.8M 2.10 14.07 N/A N/A 200,028 420,115 2,097,768 3,666,495 2012-05-17 $61.61 $65.00 24.1% 6.9% 16.7% 20.4% 24.1% 6.7% 0.3% -525.9M 8.26B -35.5M 1.98 3.03 N/A N/A 330,772 656,242 2,132,297 3,591,253 2012-05-18 $60.81 $65.00 25.0% 7.2% 17.0% 22.1% 24.8% 7.0% 0.2% -630.9M 9.55B -34.2M 1.60 11.30 N/A N/A 360,607 577,205 2,247,764 3,641,908 2012-05-21 $62.51 $65.00 21.3% 6.1% 20.2% 15.1% 23.4% 6.7% 0.6% -254.9M 3.88B -35.1M 1.32 3.29 N/A N/A 228,170 300,646 1,621,675 2,844,687 2012-05-22 $62.44 $65.00 22.7% 6.5% 20.2% 17.7% 22.1% 6.5% 0.4% -266.8M 4.09B -35.3M 1.38 3.19 N/A N/A 172,374 238,072 1,680,336 2,904,835 2012-05-23 $62.56 $65.00 21.3% 6.0% 17.3% 15.2% 22.6% 6.1% 0.8% -266.6M 3.95B -35.4M 2.05 2.84 N/A N/A 180,761 370,869 1,722,719 2,954,608 2012-05-24 $62.15 $66.00 22.6% 6.6% 17.0% 17.6% 24.5% 7.2% 0.0% -266.0M 4.05B -35.4M 1.31 3.11 N/A N/A 218,547 287,240 1,754,491 3,009,158 2012-05-25 $62.07 $65.00 22.5% 6.4% 16.7% 17.4% 23.3% 6.8% -0.1% -280.1M 4.49B -35.3M 2.75 16.89 N/A N/A 120,421 331,243 1,827,432 3,110,236 2012-05-29 $62.86 $65.00 21.3% 6.1% 17.6% 15.2% 21.9% 6.8% -0.1% -277.9M 3.35B -35.0M 2.26 3.20 N/A N/A 95,492 216,076 1,780,334 3,072,038 2012-05-30 $62.33 $65.00 23.8% 6.8% 17.7% 19.9% 25.4% 7.0% -0.7% -318.6M 4.44B -34.4M 4.26 3.03 N/A N/A 187,131 797,619 1,801,387 3,093,302 2012-05-31 $62.06 $65.00 24.1% 6.9% 17.5% 20.3% 26.3% 7.2% -0.6% -338.8M 4.72B -36.6M 1.65 2.47 N/A N/A 210,105 346,722 1,852,273 3,300,207
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