QQQ Options History — June 2012

In June 2012, QQQ traded between $60.41 and $64.29. ATM implied volatility averaged 19.9%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 0.6% (HV 20d: 20.5%). Max pain ranged from $64.00 to $65.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.70.

Notable Days

2012-06-01: Highest Volume — 1,104,458 contracts
2012-06-11: Largest IV spike — 27.6% change
2012-06-01: Highest IV Rank — 27.3%
2012-06-01: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.57	$60.41	$64.29	$60.41	$64.16
Max Pain	$64.10	$64.00	$65.00	$65.00	$64.00
ATM IV	19.9%	14.4%	27.8%	27.8%	14.4%
Expected Move	5.9%	4.6%	8.0%	8.0%	4.6%
HV 20d	20.5%	18.1%	21.9%	19.2%	21.8%
HV 60d	18.1%	17.0%	20.1%	17.1%	20.1%
IV Rank	12.6%	2.3%	27.3%	27.3%	2.3%
IV Percentile	40.9%	4.0%	73.8%	73.8%	4.0%
Term Structure	0.6%	-1.1%	2.1%	-1.1%	2.1%
VWIV	21.9%	16.9%	30.1%	28.6%	16.9%
Skew 25d	6.0%	4.0%	7.8%	7.8%	4.0%
Skew 10d	11.2%	7.4%	14.4%	13.9%	7.4%
Call IV 25d	18.0%	14.0%	23.9%	23.9%	14.1%
Put IV 25d	24.0%	18.1%	31.7%	31.7%	18.1%
Bid-Ask Spread %	6.26	2.72	15.86	3.89	12.36
Gamma HHI	0.10	0.07	0.13	0.11	0.08
Net GEX	-269.5M	-455.6M	-61.5M	-358.1M	-61.5M
Net DEX	2.97B	-798.2M	7.24B	7.24B	-798.2M
Net VEX	-33.5M	-36.4M	-30.4M	-35.6M	-30.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.70	1.00	3.01	3.01	1.14
Total Volume	484,265.381	228,074	1,104,458	1,104,458	461,814
Total OI	5,066,485.333	4,144,232	5,936,549	5,270,840	4,517,760

Daily Data (21 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
2012-06-01	$60.41	$65.00	27.8%	8.0%	19.2%	27.3%	28.6%	7.8%	-1.1%	-358.1M	7.24B	-35.6M	3.01	3.89	N/A	N/A	275,626	828,832	1,903,364	3,367,476
2012-06-04	$60.87	$65.00	26.0%	7.4%	18.1%	23.8%	30.1%	7.2%	-0.9%	-445.6M	6.74B	-36.1M	2.52	15.86	N/A	N/A	128,299	323,017	1,892,946	3,580,815
2012-06-05	$61.12	$64.00	25.2%	7.2%	18.2%	22.4%	25.8%	6.6%	-0.9%	-455.6M	6.14B	-36.4M	1.33	3.05	N/A	N/A	140,930	188,001	1,908,530	3,680,792
2012-06-06	$62.52	$64.00	22.1%	6.3%	20.3%	16.6%	25.2%	6.4%	-0.9%	-323.2M	3.41B	-36.4M	2.15	3.67	N/A	N/A	176,989	381,247	1,959,801	3,692,896
2012-06-07	$62.27	$64.00	20.2%	6.6%	20.3%	13.1%	22.1%	6.4%	-1.0%	-386.1M	4.18B	-35.8M	1.94	13.29	N/A	N/A	198,608	385,696	1,970,346	3,748,128
2012-06-08	$62.87	$64.00	17.0%	6.0%	20.7%	7.3%	24.5%	6.4%	-0.4%	-312.5M	3.02B	-35.7M	2.02	3.60	N/A	N/A	117,862	238,499	2,023,021	3,853,361
2012-06-11	$61.81	$64.00	21.8%	6.5%	21.5%	16.0%	22.9%	7.3%	0.4%	-453.7M	5.13B	-34.8M	1.73	3.77	N/A	N/A	134,946	233,801	1,997,268	3,772,871
2012-06-12	$62.56	$64.00	17.3%	6.1%	21.8%	7.6%	23.4%	7.2%	0.7%	-358.5M	3.59B	-34.5M	1.22	4.39	N/A	N/A	186,206	227,475	2,019,202	3,768,588
2012-06-13	$62.13	$64.00	20.0%	6.6%	21.9%	12.7%	24.4%	7.5%	0.3%	-450.3M	4.59B	-34.4M	1.41	4.35	N/A	N/A	199,378	280,985	2,031,382	3,800,342
2012-06-14	$62.36	$64.00	22.7%	6.5%	21.9%	17.7%	23.1%	7.3%	0.4%	-384.5M	3.85B	-34.5M	1.07	12.10	N/A	N/A	268,345	286,510	2,088,511	3,848,038
2012-06-15	$62.99	$64.00	20.4%	5.8%	20.7%	13.5%	21.6%	7.0%	0.6%	-192.7M	3.03B	-33.8M	1.29	5.87	N/A	N/A	237,528	306,987	2,029,162	3,851,525
2012-06-18	$63.58	$64.00	17.5%	5.0%	20.2%	8.0%	20.1%	6.0%	1.4%	-142.8M	821.3M	-32.0M	1.73	4.21	N/A	N/A	124,518	215,843	1,451,319	2,692,913
2012-06-19	$64.24	$64.00	17.6%	5.1%	18.1%	8.4%	17.6%	5.9%	1.3%	-101.7M	-41.0M	-31.8M	2.32	4.82	N/A	N/A	236,512	548,403	1,493,867	2,732,525
2012-06-20	$64.29	$64.00	16.6%	4.8%	18.1%	6.4%	18.0%	4.8%	1.5%	-85.0M	-88.7M	-31.5M	1.98	3.69	N/A	N/A	171,804	339,497	1,568,603	2,726,262
2012-06-21	$62.69	$64.00	18.5%	5.3%	20.4%	10.0%	19.7%	5.3%	1.4%	-219.3M	2.14B	-32.4M	1.27	12.58	N/A	N/A	286,745	365,509	1,633,371	2,768,253
2012-06-22	$63.35	$64.00	17.6%	5.0%	20.6%	8.3%	18.5%	4.5%	1.7%	-154.5M	1.08B	-32.1M	1.69	4.93	N/A	N/A	84,719	143,355	1,644,984	2,782,774
2012-06-25	$62.13	$64.00	19.4%	5.6%	21.8%	11.6%	18.9%	4.6%	1.3%	-224.5M	2.61B	-31.3M	1.51	4.12	N/A	N/A	129,397	195,491	1,589,036	2,700,929
2012-06-26	$62.52	$64.00	18.3%	5.3%	21.4%	9.6%	19.5%	4.7%	1.4%	-181.8M	1.90B	-31.4M	1.00	2.72	N/A	N/A	158,726	158,228	1,628,229	2,732,207
2012-06-27	$62.90	$64.00	18.3%	5.2%	21.3%	9.6%	19.7%	4.5%	1.7%	-140.9M	1.36B	-31.9M	1.96	4.33	N/A	N/A	95,365	187,088	1,701,187	2,761,142
2012-06-28	$62.20	$64.00	19.3%	5.5%	21.7%	11.4%	19.6%	4.6%	1.5%	-225.8M	2.48B	-31.2M	1.30	3.84	N/A	N/A	226,006	294,786	1,712,911	2,769,555
2012-06-29	$64.16	$64.00	14.4%	4.6%	21.8%	2.3%	16.9%	4.0%	2.1%	-61.5M	-798.2M	-30.4M	1.14	12.36	N/A	N/A	215,989	245,825	1,725,298	2,792,462