QQQ Options History — August 2012 In August 2012, QQQ traded between $64.35 and $68.42. ATM implied volatility averaged 15.3%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.4% (HV 20d: 14.8%). Max pain ranged from $63.00 to $66.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.56.
Notable Days 2012-08-03 : Highest Volume — 461,243 contracts2012-08-02 : Largest IV drop — 32.9% change2012-08-01 : Highest IV Rank — 25.3%2012-08-01 : Largest Expected Move — 5.2%Monthly Statistics Metric Avg Min Max Open Close Price $67.28 $64.35 $68.42 $64.57 $68.16 Max Pain $64.91 $63.00 $66.00 $63.00 $65.00 ATM IV 15.3% 11.4% 27.1% 27.1% 16.5% Expected Move 4.5% 4.0% 5.2% 5.2% 4.7% HV 20d 14.8% 7.7% 19.5% 18.6% 7.7% HV 60d 18.7% 16.9% 20.2% 19.7% 16.9% IV Rank 7.1% 0.0% 25.3% 25.3% 11.8% IV Percentile 15.1% 0.0% 71.0% 71.0% 26.6% Term Structure 0.7% 0.2% 2.2% 0.2% 0.8% VWIV 16.6% 14.4% 19.8% 19.4% 17.6% Skew 25d 3.8% 2.3% 5.0% 3.1% 4.8% Skew 10d 7.7% 4.1% 10.1% 6.4% 9.3% Call IV 25d 13.9% 12.4% 17.1% 17.1% 14.5% Put IV 25d 17.7% 15.8% 20.2% 20.2% 19.3% Bid-Ask Spread % 3.89 2.17 8.54 3.49 3.30 Gamma HHI 0.12 0.09 0.20 0.10 0.10 Net GEX 101.2M -37.7M 230.2M 53.5M -32.7M Net DEX -2.98B -5.19B -571.4M -893.6M -2.59B Net VEX -26.5M -28.3M -24.7M -28.0M -27.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.56 0.74 2.84 1.60 0.98 Total Volume 312,664.957 178,918 461,243 393,615 385,391 Total OI 3,856,868.304 3,321,984 4,362,074 3,780,887 3,913,969
Daily Data (23 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 2012-08-01 $64.57 $63.00 27.1% 5.2% 18.6% 25.3% 19.4% 3.1% 0.2% 53.5M -893.6M -28.0M 1.60 3.49 N/A N/A 151,543 242,072 1,661,451 2,119,436 2012-08-02 $64.35 $64.00 18.2% 4.9% 18.7% 8.6% 16.9% 3.1% 1.2% 31.7M -571.4M -27.4M 1.39 2.51 N/A N/A 186,809 259,092 1,687,584 2,148,389 2012-08-03 $65.65 $64.00 14.5% 4.1% 19.4% 1.7% 15.1% 2.3% 2.2% 152.4M -2.54B -26.8M 1.08 5.86 N/A N/A 221,694 239,549 1,695,361 2,193,754 2012-08-06 $66.12 $64.00 16.9% 4.7% 19.5% 6.3% 17.8% 4.0% 0.5% 173.0M -2.76B -26.3M 2.29 4.80 N/A N/A 112,057 256,658 1,651,266 2,170,964 2012-08-07 $66.59 $64.00 16.6% 4.6% 19.1% 5.7% 17.0% 3.9% 0.3% 179.0M -3.33B -26.4M 1.43 3.92 N/A N/A 96,163 137,836 1,670,248 2,234,444 2012-08-08 $66.56 $65.00 13.2% 4.5% 18.9% 0.0% 17.4% 3.8% 0.3% 159.2M -3.14B -26.3M 2.84 3.14 N/A N/A 83,686 237,282 1,684,201 2,278,395 2012-08-09 $66.82 $65.00 12.3% 4.4% 18.3% 0.0% 16.5% 3.5% 0.4% 183.9M -3.51B -26.0M 2.34 4.91 N/A N/A 53,489 125,429 1,701,926 2,333,038 2012-08-10 $66.90 $65.00 11.4% 4.3% 17.7% 0.0% 15.4% 3.5% 0.4% 211.9M -3.66B -25.6M 1.79 3.70 N/A N/A 67,325 120,752 1,711,249 2,365,469 2012-08-13 $67.04 $65.00 12.4% 4.3% 17.6% 2.3% 16.6% 3.4% 0.3% 209.5M -3.82B -24.7M 1.90 2.59 N/A N/A 91,426 173,645 1,691,774 2,331,157 2012-08-14 $67.00 $65.00 13.1% 4.4% 17.6% 3.8% 16.1% 3.6% 0.3% 187.6M -3.61B -25.3M 1.55 5.63 N/A N/A 142,411 221,003 1,704,245 2,385,464 2012-08-15 $67.34 $65.00 11.4% 4.3% 17.2% 0.0% 15.4% 3.6% 0.5% 169.8M -4.02B -25.4M 0.74 8.15 N/A N/A 186,622 138,414 1,722,846 2,457,604 2012-08-16 $67.97 $65.00 14.6% 4.2% 17.1% 7.5% 16.3% 3.6% 0.5% 230.2M -4.91B -25.2M 1.35 8.54 N/A N/A 194,262 262,229 1,750,336 2,461,045 2012-08-17 $68.23 $65.00 13.9% 4.0% 17.1% 5.9% 14.4% 3.4% 0.6% 170.8M -5.19B -25.6M 1.02 4.07 N/A N/A 130,362 133,046 1,800,669 2,561,405 2012-08-20 $68.34 $65.00 14.0% 4.0% 13.1% 6.0% 15.2% 3.6% 0.7% 70.7M -2.94B -25.3M 1.94 2.17 N/A N/A 81,484 157,680 1,420,693 1,901,291 2012-08-21 $68.42 $66.00 14.1% 4.0% 12.5% 6.3% 14.5% 3.5% 0.7% 49.3M -2.82B -25.6M 1.75 2.64 N/A N/A 157,875 276,382 1,445,809 1,978,979 2012-08-22 $68.38 $66.00 14.6% 4.2% 12.1% 7.4% 15.0% 3.7% 0.8% 22.3M -2.80B -26.8M 1.45 2.37 N/A N/A 109,274 158,560 1,485,429 2,060,475 2012-08-23 $67.85 $66.00 14.9% 4.3% 12.5% 8.1% 16.0% 3.8% 0.7% -29.6M -2.17B -27.7M 1.40 3.81 N/A N/A 160,607 224,043 1,525,796 2,094,579 2012-08-24 $68.27 $66.00 15.2% 4.3% 9.3% 8.8% 15.0% 4.1% 0.9% 27.9M -2.92B -27.3M 1.17 4.08 N/A N/A 144,623 169,915 1,567,438 2,155,647 2012-08-27 $68.37 $65.00 16.0% 4.7% 9.2% 10.7% 15.4% 4.5% 0.8% 62.1M -2.97B -27.3M 1.33 2.50 N/A N/A 88,497 117,676 1,550,969 2,116,703 2012-08-28 $68.40 $65.00 16.3% 4.7% 9.2% 11.3% 19.8% 4.8% 0.8% 41.6M -2.82B -27.5M 1.33 2.42 N/A N/A 77,671 103,121 1,565,620 2,161,699 2012-08-29 $68.37 $65.00 16.9% 4.8% 8.9% 12.6% 18.3% 4.9% 0.6% 42.0M -2.79B -27.6M 1.58 2.49 N/A N/A 70,532 111,360 1,583,043 2,182,189 2012-08-30 $67.66 $65.00 17.0% 4.9% 9.9% 12.9% 19.7% 5.0% 0.8% -37.7M -1.82B -28.3M 1.59 2.47 N/A N/A 128,001 203,746 1,599,107 2,224,816 2012-08-31 $68.16 $65.00 16.5% 4.7% 7.7% 11.8% 17.6% 4.8% 0.8% -32.7M -2.59B -27.6M 0.98 3.30 N/A N/A 194,785 190,606 1,639,556 2,274,413
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