QQQ Options History — October 2012

In October 2012, QQQ traded between $64.95 and $69.38. ATM implied volatility averaged 16.7%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.4% (HV 20d: 13.3%). Max pain ranged from $67.00 to $69.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.23.

Notable Days

2012-10-19: Highest Volume — 866,677 contracts
2012-10-08: Largest IV spike — 23.1% change
2012-10-31: Highest IV Rank — 30.8%
2012-10-24: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.07	$64.95	$69.38	$68.47	$64.95
Max Pain	$68.38	$67.00	$69.00	$69.00	$67.00
ATM IV	16.7%	12.5%	20.4%	16.5%	20.4%
Expected Move	4.8%	4.0%	5.6%	4.5%	5.4%
HV 20d	13.3%	10.9%	15.8%	13.8%	14.5%
HV 60d	13.6%	12.5%	14.3%	14.3%	12.5%
IV Rank	17.7%	3.8%	30.8%	11.8%	30.8%
IV Percentile	38.3%	2.0%	73.0%	32.9%	73.0%
Term Structure	0.7%	-0.6%	1.5%	1.0%	-0.4%
VWIV	16.8%	14.2%	19.7%	15.1%	18.8%
Skew 25d	3.9%	2.9%	4.7%	3.6%	3.1%
Skew 10d	8.0%	6.1%	9.6%	6.6%	6.1%
Call IV 25d	15.0%	12.8%	17.9%	13.7%	17.9%
Put IV 25d	18.9%	15.6%	21.9%	17.3%	21.0%
Bid-Ask Spread %	5.84	4.14	17.31	4.83	4.68
Gamma HHI	0.09	0.07	0.14	0.10	0.08
Net GEX	-57.2M	-173.9M	113.3M	16.1M	-93.6M
Net DEX	876.0M	-1.76B	3.59B	-569.2M	2.51B
Net VEX	-25.8M	-27.4M	-23.4M	-27.2M	-23.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.23	0.75	2.06	1.54	1.03
Total Volume	410,570.714	219,874	866,677	365,597	271,833
Total OI	3,752,635.619	3,330,828	4,205,116	3,330,828	3,764,191

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
2012-10-01	$68.47	$69.00	16.5%	4.5%	13.8%	11.8%	15.1%	3.6%	1.0%	16.1M	-569.2M	-27.2M	1.54	4.83	N/A	N/A	144,215	221,382	1,499,819	1,831,009
2012-10-02	$68.69	$69.00	16.4%	4.1%	13.8%	11.5%	14.9%	3.3%	1.3%	22.6M	-765.8M	-27.3M	1.62	4.92	N/A	N/A	83,794	136,080	1,533,257	1,898,183
2012-10-03	$69.06	$69.00	16.7%	4.0%	13.9%	15.4%	14.2%	3.1%	1.5%	67.0M	-1.28B	-27.2M	1.04	5.07	N/A	N/A	131,951	137,396	1,551,813	1,911,078
2012-10-04	$69.38	$69.00	13.7%	4.0%	11.8%	8.1%	14.3%	2.9%	1.5%	113.3M	-1.76B	-27.3M	0.81	5.24	N/A	N/A	210,929	170,786	1,601,795	1,956,270
2012-10-05	$68.92	$69.00	12.5%	4.4%	12.0%	3.8%	15.6%	3.8%	1.2%	70.0M	-1.19B	-27.4M	1.47	8.46	N/A	N/A	154,818	227,770	1,726,455	1,998,845
2012-10-08	$68.30	$69.00	15.4%	4.7%	11.4%	13.6%	16.7%	4.0%	0.9%	-20.1M	-103.4M	-26.6M	2.06	4.45	N/A	N/A	93,670	193,231	1,693,315	1,967,427
2012-10-09	$67.22	$69.00	18.3%	5.0%	12.7%	23.6%	17.9%	4.4%	0.5%	-131.5M	1.42B	-26.0M	1.07	4.39	N/A	N/A	309,527	330,731	1,726,588	2,021,332
2012-10-10	$66.96	$69.00	15.8%	4.9%	12.6%	15.1%	16.6%	4.2%	0.8%	-146.1M	1.79B	-25.8M	0.80	7.12	N/A	N/A	259,398	207,285	1,783,352	2,098,415
2012-10-11	$66.72	$69.00	16.5%	4.7%	11.7%	17.6%	17.2%	4.1%	0.9%	-120.2M	1.96B	-26.3M	1.23	4.14	N/A	N/A	136,749	168,422	1,864,353	2,125,789
2012-10-12	$66.66	$69.00	16.4%	4.7%	10.9%	17.1%	17.5%	4.0%	0.9%	-122.5M	2.01B	-26.2M	1.72	5.08	N/A	N/A	97,526	168,173	1,899,514	2,151,677
2012-10-15	$67.19	$69.00	16.3%	4.7%	11.5%	16.9%	15.5%	4.0%	0.9%	-83.4M	1.08B	-25.7M	0.77	4.48	N/A	N/A	147,185	113,022	1,852,829	2,120,243
2012-10-16	$67.94	$69.00	15.4%	4.4%	12.4%	13.6%	15.5%	4.0%	1.0%	16.4M	-279.7M	-26.1M	0.82	4.40	N/A	N/A	233,338	190,358	1,892,548	2,148,667
2012-10-17	$68.10	$68.00	15.3%	4.4%	12.4%	13.5%	15.6%	3.8%	1.1%	15.5M	-441.3M	-26.2M	1.27	4.21	N/A	N/A	132,497	168,589	1,882,108	2,183,245
2012-10-18	$67.11	$68.00	16.2%	4.7%	13.2%	16.7%	16.2%	4.1%	0.8%	-110.1M	1.12B	-25.2M	1.51	4.85	N/A	N/A	234,483	354,845	1,888,711	2,174,039
2012-10-19	$65.54	$68.00	17.4%	5.0%	15.3%	20.7%	17.8%	4.7%	0.5%	-173.9M	3.59B	-24.1M	1.60	4.91	N/A	N/A	333,341	533,336	1,962,480	2,242,636
2012-10-22	$66.14	$68.00	17.3%	5.0%	15.8%	20.3%	18.5%	4.2%	0.5%	-77.1M	1.20B	-24.7M	1.80	4.62	N/A	N/A	131,973	237,903	1,580,447	1,792,464
2012-10-23	$65.40	$68.00	19.3%	5.5%	15.8%	27.2%	18.7%	4.5%	-0.2%	-96.7M	1.89B	-24.5M	1.09	4.83	N/A	N/A	241,111	263,754	1,613,777	1,808,359
2012-10-24	$65.18	$67.00	19.4%	5.6%	15.5%	27.4%	18.9%	4.4%	-0.3%	-107.1M	2.06B	-24.5M	0.75	7.84	N/A	N/A	192,969	144,273	1,674,241	1,843,461
2012-10-25	$65.08	$67.00	19.4%	5.6%	14.3%	27.4%	19.7%	4.4%	-0.6%	-97.1M	2.11B	-24.8M	0.99	17.31	N/A	N/A	293,107	289,769	1,747,471	1,903,643
2012-10-26	$65.40	$67.00	17.0%	5.2%	14.4%	19.1%	18.2%	3.5%	0.1%	-143.2M	2.04B	-25.2M	0.92	6.87	N/A	N/A	275,996	254,470	1,868,774	2,020,728
2012-10-31	$64.95	$67.00	20.4%	5.4%	14.5%	30.8%	18.8%	3.1%	-0.4%	-93.6M	2.51B	-23.4M	1.03	4.68	N/A	N/A	133,678	138,155	1,825,000	1,939,191