QQQ Options History — July 2012

In July 2012, QQQ traded between $62.40 and $65.20. ATM implied volatility averaged 17.6%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 2.8% (HV 20d: 20.4%). Max pain ranged from $63.00 to $64.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.54.

Notable Days

2012-07-19: Highest Volume — 587,492 contracts
2012-07-23: Largest IV spike — 27.6% change
2012-07-31: Highest IV Rank — 17.9%
2012-07-24: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.94	$62.40	$65.20	$64.35	$64.80
Max Pain	$63.33	$63.00	$64.00	$64.00	$63.00
ATM IV	17.6%	14.6%	23.1%	14.6%	23.1%
Expected Move	5.0%	4.2%	5.8%	4.5%	5.2%
HV 20d	20.4%	18.7%	21.8%	21.8%	18.8%
HV 60d	19.6%	18.8%	20.4%	20.0%	19.7%
IV Rank	7.7%	1.9%	17.9%	2.8%	17.9%
IV Percentile	28.6%	5.2%	61.1%	6.7%	61.1%
Term Structure	1.2%	0.3%	2.6%	2.1%	0.3%
VWIV	18.1%	15.3%	20.9%	16.4%	18.6%
Skew 25d	4.3%	2.6%	5.5%	3.3%	3.6%
Skew 10d	8.6%	5.5%	10.7%	7.7%	6.8%
Call IV 25d	15.6%	13.5%	18.1%	14.0%	16.9%
Put IV 25d	20.0%	16.7%	23.6%	17.3%	20.5%
Bid-Ask Spread %	4.81	2.02	15.20	3.21	2.49
Gamma HHI	0.10	0.08	0.14	0.08	0.10
Net GEX	-87.0M	-291.3M	133.0M	-72.3M	69.7M
Net DEX	-68.8M	-2.50B	2.49B	-463.1M	-1.31B
Net VEX	-27.5M	-29.9M	-24.3M	-29.9M	-26.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.54	0.79	2.82	1.98	2.82
Total Volume	387,790.286	140,972	587,492	279,585	352,956
Total OI	4,059,298.714	3,185,614	4,642,799	4,114,960	3,507,812

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
2012-07-02	$64.35	$64.00	14.6%	4.5%	21.8%	2.8%	16.4%	3.3%	2.1%	-72.3M	-463.1M	-29.9M	1.98	3.21	N/A	N/A	93,960	185,625	1,603,607	2,511,353
2012-07-03	$64.89	$64.00	15.0%	4.2%	21.8%	2.6%	16.9%	3.5%	2.1%	-38.6M	-1.22B	-29.7M	1.49	3.90	N/A	N/A	56,552	84,420	1,604,757	2,586,527
2012-07-05	$64.93	$64.00	14.8%	4.3%	20.6%	2.3%	16.0%	3.3%	2.0%	-42.7M	-1.29B	-29.2M	2.07	3.92	N/A	N/A	94,106	195,038	1,610,037	2,616,344
2012-07-06	$64.12	$63.00	15.1%	5.0%	21.1%	2.9%	18.4%	4.9%	1.3%	-143.8M	-59.7M	-29.4M	1.46	15.20	N/A	N/A	192,901	280,962	1,634,493	2,682,356
2012-07-09	$64.00	$63.00	16.9%	5.2%	20.9%	6.3%	19.2%	4.8%	0.9%	-146.2M	113.6M	-29.0M	1.31	3.08	N/A	N/A	86,629	113,350	1,628,059	2,664,672
2012-07-10	$63.37	$64.00	19.0%	5.6%	20.3%	10.1%	19.4%	5.1%	0.8%	-198.7M	1.16B	-28.8M	1.57	3.66	N/A	N/A	126,238	197,867	1,636,950	2,667,176
2012-07-11	$63.02	$64.00	17.3%	5.4%	20.0%	7.1%	19.6%	4.9%	1.1%	-244.1M	1.66B	-28.5M	1.35	2.75	N/A	N/A	119,691	161,017	1,653,381	2,690,964
2012-07-12	$62.40	$63.00	19.6%	5.6%	20.1%	11.2%	19.2%	4.9%	0.8%	-291.3M	2.49B	-27.9M	1.69	2.06	N/A	N/A	161,799	272,870	1,681,300	2,712,915
2012-07-13	$63.38	$63.00	18.1%	5.2%	20.9%	8.4%	18.8%	4.5%	1.0%	-201.9M	918.5M	-27.9M	1.29	6.89	N/A	N/A	129,490	167,152	1,712,045	2,768,993
2012-07-16	$63.21	$63.00	18.3%	5.3%	20.6%	9.0%	18.7%	4.5%	1.0%	-213.2M	1.22B	-27.1M	2.47	2.13	N/A	N/A	95,512	236,005	1,677,676	2,766,198
2012-07-17	$63.64	$63.00	17.0%	4.9%	20.5%	6.4%	18.5%	4.4%	1.3%	-209.8M	564.0M	-26.6M	1.17	2.31	N/A	N/A	249,666	291,593	1,694,660	2,788,475
2012-07-18	$64.45	$63.00	17.2%	4.9%	20.6%	6.7%	17.0%	4.1%	1.1%	19.4M	-1.20B	-26.2M	0.79	9.61	N/A	N/A	248,312	196,281	1,753,810	2,693,786
2012-07-19	$65.20	$63.00	16.3%	4.7%	21.0%	5.2%	16.5%	4.0%	1.5%	85.0M	-2.50B	-26.1M	1.19	3.79	N/A	N/A	268,005	319,487	1,766,018	2,738,272
2012-07-20	$65.13	$64.00	14.6%	4.2%	18.7%	1.9%	15.3%	2.6%	2.6%	-96.7M	-1.21B	-24.3M	2.25	8.84	N/A	N/A	170,338	382,695	1,807,485	2,835,314
2012-07-23	$63.40	$64.00	18.6%	5.3%	21.0%	9.5%	18.6%	5.1%	1.1%	-79.4M	499.0M	-26.0M	1.32	2.61	N/A	N/A	223,888	296,545	1,378,309	1,807,305
2012-07-24	$62.95	$63.00	20.2%	5.8%	19.9%	12.4%	20.9%	5.5%	0.7%	-94.6M	896.6M	-26.5M	1.27	14.83	N/A	N/A	171,670	218,101	1,453,163	1,862,777
2012-07-25	$62.57	$63.00	18.5%	5.3%	19.9%	9.3%	19.2%	5.1%	1.3%	-111.2M	1.18B	-26.5M	1.59	3.26	N/A	N/A	185,665	294,995	1,505,477	1,923,655
2012-07-26	$63.27	$63.00	18.2%	5.2%	20.2%	8.7%	18.8%	4.8%	1.0%	-14.9M	250.5M	-26.8M	1.47	2.29	N/A	N/A	172,488	254,201	1,540,829	1,916,783
2012-07-27	$64.95	$63.00	16.9%	4.6%	21.7%	6.2%	17.2%	4.0%	1.5%	133.0M	-1.76B	-27.4M	0.81	2.09	N/A	N/A	269,491	218,869	1,586,800	1,999,525
2012-07-30	$64.80	$63.00	21.3%	5.0%	18.9%	14.6%	17.8%	4.0%	0.7%	66.4M	-1.36B	-27.6M	0.91	2.02	N/A	N/A	161,230	145,936	1,578,832	1,996,383
2012-07-31	$64.80	$63.00	23.1%	5.2%	18.8%	17.9%	18.6%	3.6%	0.3%	69.7M	-1.31B	-26.8M	2.82	2.49	N/A	N/A	92,333	260,623	1,562,644	1,945,168