QQQ Options History — September 2012

In September 2012, QQQ traded between $68.05 and $70.33. ATM implied volatility averaged 14.9%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.3% (HV 20d: 11.6%). Max pain ranged from $65.00 to $69.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.13.

Notable Days

2012-09-14: Highest Volume — 702,041 contracts
2012-09-10: Largest IV spike — 52.3% change
2012-09-11: Highest IV Rank — 21.9%
2012-09-04: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.26	$68.05	$70.33	$68.21	$68.57
Max Pain	$67.58	$65.00	$69.00	$65.00	$69.00
ATM IV	14.9%	12.4%	20.9%	17.2%	14.8%
Expected Move	4.2%	3.5%	4.9%	4.9%	4.0%
HV 20d	11.6%	7.3%	14.2%	7.5%	14.0%
HV 60d	15.8%	14.0%	16.9%	16.8%	14.5%
IV Rank	8.2%	2.3%	21.9%	13.5%	7.9%
IV Percentile	15.9%	1.2%	62.3%	36.1%	16.3%
Term Structure	1.2%	0.2%	2.2%	0.4%	1.4%
VWIV	15.1%	12.6%	18.9%	18.9%	14.3%
Skew 25d	3.7%	2.5%	5.0%	5.0%	3.2%
Skew 10d	7.5%	4.9%	10.3%	10.0%	7.4%
Call IV 25d	13.1%	11.3%	14.9%	14.9%	13.2%
Put IV 25d	16.8%	14.1%	19.9%	19.9%	16.4%
Bid-Ask Spread %	4.81	2.31	9.83	2.93	5.48
Gamma HHI	0.13	0.10	0.16	0.11	0.10
Net GEX	132.4M	-113.2M	303.5M	48.0M	86.2M
Net DEX	-3.25B	-6.12B	338.3M	-2.66B	-424.6M
Net VEX	-26.2M	-27.8M	-25.0M	-27.3M	-27.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.13	0.59	1.93	1.10	1.14
Total Volume	380,982.632	225,452	702,041	257,040	301,008
Total OI	4,067,940.316	3,168,518	4,681,337	3,877,205	3,638,027

Daily Data (19 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
2012-09-04	$68.21	$65.00	17.2%	4.9%	7.5%	13.5%	18.9%	5.0%	0.4%	48.0M	-2.66B	-27.3M	1.10	2.93	N/A	N/A	122,484	134,556	1,629,891	2,247,314
2012-09-05	$68.05	$65.00	16.8%	4.8%	7.3%	12.5%	17.2%	4.8%	0.5%	38.2M	-2.45B	-27.2M	1.74	2.76	N/A	N/A	102,116	178,001	1,663,798	2,295,314
2012-09-06	$69.50	$65.00	14.2%	4.4%	10.1%	6.4%	15.7%	4.2%	0.6%	161.7M	-4.49B	-25.7M	0.88	4.62	N/A	N/A	290,103	256,175	1,689,484	2,325,874
2012-09-07	$69.42	$65.00	12.7%	4.1%	10.2%	2.9%	14.5%	3.7%	0.2%	149.9M	-4.31B	-25.6M	0.59	5.23	N/A	N/A	258,014	151,902	1,757,062	2,408,548
2012-09-10	$68.48	$67.00	19.3%	4.7%	11.6%	18.2%	17.6%	4.7%	1.2%	97.5M	-2.91B	-26.0M	1.20	4.78	N/A	N/A	188,110	224,854	1,755,266	2,349,712
2012-09-11	$68.37	$68.00	20.9%	4.7%	11.6%	21.9%	16.9%	4.7%	1.2%	66.4M	-2.68B	-26.9M	1.37	4.84	N/A	N/A	130,289	178,570	1,830,240	2,433,364
2012-09-12	$68.74	$67.00	15.0%	4.3%	11.7%	8.3%	15.6%	4.2%	1.2%	78.1M	-3.15B	-26.9M	0.66	9.83	N/A	N/A	246,352	161,928	1,861,724	2,494,627
2012-09-13	$69.49	$68.00	15.0%	4.3%	12.1%	8.3%	15.4%	3.8%	1.0%	283.9M	-4.93B	-26.3M	1.21	5.43	N/A	N/A	250,757	302,556	1,941,845	2,547,053
2012-09-14	$70.15	$68.00	14.6%	4.2%	12.1%	7.5%	16.3%	3.4%	1.1%	267.2M	-6.12B	-25.9M	1.19	4.99	N/A	N/A	321,226	380,815	1,965,703	2,639,068
2012-09-17	$70.12	$68.00	14.4%	4.1%	12.1%	6.9%	14.9%	3.2%	1.3%	202.1M	-5.32B	-25.9M	1.93	5.15	N/A	N/A	76,931	148,521	1,919,352	2,610,736
2012-09-18	$70.25	$68.00	13.7%	3.9%	12.1%	5.3%	14.3%	2.9%	1.5%	230.6M	-5.54B	-25.3M	1.06	6.46	N/A	N/A	113,371	120,054	1,932,857	2,648,381
2012-09-19	$70.33	$68.00	13.5%	3.9%	12.1%	4.9%	13.7%	3.0%	1.4%	266.0M	-5.70B	-25.0M	0.88	5.59	N/A	N/A	152,618	135,010	1,949,865	2,663,301
2012-09-20	$70.32	$68.00	12.7%	3.6%	12.1%	3.0%	12.6%	2.5%	1.8%	303.5M	-5.80B	-25.1M	0.84	3.74	N/A	N/A	200,798	168,969	1,976,150	2,705,187
2012-09-21	$70.12	$69.00	12.4%	3.5%	11.7%	2.3%	12.7%	2.9%	2.2%	209.1M	-1.97B	-25.5M	1.50	2.32	N/A	N/A	133,677	201,169	1,481,352	2,738,580
2012-09-24	$69.73	$69.00	12.9%	3.7%	11.9%	3.4%	13.5%	3.4%	1.8%	90.3M	-1.78B	-25.5M	1.35	4.83	N/A	N/A	100,148	135,317	1,330,887	1,837,631
2012-09-25	$68.87	$69.00	14.2%	4.1%	12.8%	6.6%	14.3%	3.6%	1.5%	-18.8M	-732.6M	-25.9M	1.38	5.25	N/A	N/A	174,811	241,251	1,355,739	1,862,087
2012-09-26	$68.18	$69.00	15.5%	4.5%	13.3%	9.5%	14.8%	3.7%	1.3%	-113.2M	338.3M	-26.7M	0.69	2.31	N/A	N/A	292,284	201,603	1,401,387	1,928,452
2012-09-27	$69.13	$69.00	13.8%	4.0%	14.2%	5.7%	13.5%	3.3%	1.5%	69.1M	-1.18B	-27.2M	0.80	4.80	N/A	N/A	256,738	205,584	1,505,915	1,969,093
2012-09-28	$68.57	$69.00	14.8%	4.0%	14.0%	7.9%	14.3%	3.2%	1.4%	86.2M	-424.6M	-27.8M	1.14	5.48	N/A	N/A	140,590	160,418	1,611,830	2,026,197