QQQ Options History — November 2012

In November 2012, QQQ traded between $62.04 and $66.02. ATM implied volatility averaged 17.7%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 0.4% (HV 20d: 18.1%). Max pain ranged from $62.00 to $68.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.04.

Notable Days

2012-11-16: Highest Volume — 839,551 contracts
2012-11-05: Largest IV spike — 26.8% change
2012-11-06: Highest IV Rank — 61.9%
2012-11-08: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.27	$62.04	$66.02	$66.02	$65.80
Max Pain	$66.50	$62.00	$68.00	$67.00	$66.00
ATM IV	17.7%	14.9%	24.3%	18.1%	15.4%
Expected Move	4.9%	4.3%	5.6%	4.9%	4.4%
HV 20d	18.1%	15.9%	20.2%	15.9%	17.8%
HV 60d	14.8%	12.9%	15.8%	12.9%	15.8%
IV Rank	30.3%	19.2%	61.9%	22.9%	22.3%
IV Percentile	48.1%	19.0%	88.9%	55.6%	26.2%
Term Structure	-0.2%	-0.6%	0.8%	0.0%	0.8%
VWIV	17.2%	13.8%	19.3%	17.5%	15.3%
Skew 25d	3.8%	3.1%	4.8%	3.1%	3.9%
Skew 10d	7.4%	5.6%	9.6%	6.5%	7.4%
Call IV 25d	15.5%	13.5%	17.6%	15.7%	13.8%
Put IV 25d	19.3%	16.9%	22.0%	18.8%	17.7%
Bid-Ask Spread %	4.53	2.37	9.36	5.11	7.99
Gamma HHI	0.10	0.06	0.20	0.07	0.09
Net GEX	-39.1M	-248.2M	154.8M	32.7M	110.1M
Net DEX	2.27B	-686.4M	5.42B	962.4M	-310.1M
Net VEX	-22.9M	-24.6M	-20.3M	-24.1M	-24.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.45	1.80	0.84	1.54
Total Volume	416,399.143	205,050	839,551	357,877	247,527
Total OI	4,193,821.238	3,765,360	4,642,264	3,841,344	4,552,569

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
2012-11-01	$66.02	$67.00	18.1%	4.9%	15.9%	22.9%	17.5%	3.1%	0.0%	32.7M	962.4M	-24.1M	0.84	5.11	N/A	N/A	193,986	163,891	1,860,981	1,980,363
2012-11-02	$65.00	$67.00	19.2%	5.2%	16.4%	26.9%	18.2%	3.2%	-0.3%	-89.7M	2.29B	-23.7M	1.01	8.96	N/A	N/A	199,030	201,340	1,922,379	2,028,453
2012-11-05	$65.45	$68.00	24.3%	5.2%	16.5%	54.1%	18.6%	4.6%	-0.3%	-34.5M	1.56B	-24.1M	1.63	3.92	N/A	N/A	104,387	169,910	1,926,386	1,981,653
2012-11-06	$65.84	$68.00	24.0%	5.0%	16.7%	61.9%	17.8%	4.5%	-0.4%	-6.6M	1.07B	-24.4M	0.99	9.36	N/A	N/A	121,225	120,471	1,956,789	2,024,855
2012-11-07	$64.20	$68.00	19.6%	5.5%	18.5%	40.1%	18.9%	4.8%	-0.6%	-146.3M	3.21B	-23.1M	0.93	2.98	N/A	N/A	240,171	222,368	2,009,706	2,067,636
2012-11-08	$63.28	$68.00	18.3%	5.6%	18.4%	33.9%	19.3%	4.8%	-0.4%	-165.4M	4.17B	-21.6M	1.80	2.82	N/A	N/A	152,426	274,014	2,044,283	2,071,454
2012-11-09	$63.42	$68.00	18.3%	5.5%	18.5%	34.0%	19.1%	4.5%	-0.4%	-248.2M	4.04B	-22.0M	0.91	3.56	N/A	N/A	302,956	275,736	2,091,112	2,150,762
2012-11-12	$63.48	$67.00	17.8%	5.3%	18.5%	31.7%	18.1%	4.0%	-0.3%	-179.2M	3.75B	-21.7M	1.29	2.50	N/A	N/A	132,860	171,388	2,089,783	2,122,904
2012-11-13	$63.03	$67.00	17.7%	5.2%	18.6%	32.0%	18.3%	3.8%	-0.4%	-215.4M	4.48B	-20.9M	1.02	3.37	N/A	N/A	217,003	221,493	2,132,543	2,165,965
2012-11-14	$62.27	$67.00	18.6%	5.6%	18.4%	36.5%	18.9%	3.7%	-0.5%	-191.1M	5.42B	-20.3M	0.86	2.47	N/A	N/A	292,281	250,338	2,203,846	2,210,529
2012-11-15	$62.04	$0.00	18.8%	5.4%	17.5%	37.7%	19.0%	3.7%	0.1%	-137.9M	5.40B	-20.4M	0.73	5.42	N/A	N/A	280,883	204,544	2,299,952	2,221,662
2012-11-16	$62.05	$62.00	17.8%	5.1%	17.4%	32.3%	17.3%	3.9%	0.1%	-89.7M	4.95B	-20.8M	1.31	6.44	N/A	N/A	363,461	476,090	2,388,604	2,253,660
2012-11-19	$63.70	$67.00	15.2%	4.4%	20.2%	19.2%	16.1%	3.6%	-0.2%	-18.4M	2.18B	-21.7M	0.76	2.69	N/A	N/A	222,776	168,605	1,823,183	1,942,177
2012-11-20	$63.78	$67.00	15.5%	4.4%	18.6%	20.7%	16.2%	3.5%	-0.1%	-19.7M	2.17B	-22.4M	0.45	2.37	N/A	N/A	319,679	143,958	1,889,469	2,024,829
2012-11-21	$63.97	$67.00	15.7%	4.5%	18.2%	21.7%	16.2%	3.5%	-0.4%	27.8M	1.91B	-23.5M	0.66	2.68	N/A	N/A	123,287	81,763	2,005,196	2,076,205
2012-11-23	$64.85	$67.00	15.4%	4.4%	18.6%	20.2%	16.2%	3.2%	-0.2%	106.2M	492.9M	-24.6M	0.80	3.54	N/A	N/A	167,318	134,027	2,108,997	2,090,181
2012-11-26	$65.15	$64.00	15.7%	4.5%	18.7%	21.7%	13.8%	3.7%	-0.3%	83.3M	350.7M	-24.1M	0.93	5.45	N/A	N/A	185,238	171,953	2,097,950	2,093,147
2012-11-27	$64.99	$65.00	15.7%	4.5%	18.7%	21.8%	15.3%	3.6%	-0.3%	87.9M	463.7M	-24.5M	1.29	4.40	N/A	N/A	115,488	148,564	2,168,324	2,136,277
2012-11-28	$65.48	$65.00	16.2%	4.6%	18.8%	24.2%	16.5%	3.7%	-0.3%	118.8M	-158.8M	-24.6M	1.45	5.41	N/A	N/A	167,678	243,613	2,185,266	2,191,688
2012-11-29	$65.91	$65.00	14.9%	4.3%	18.8%	19.7%	15.2%	3.4%	-0.3%	154.8M	-686.4M	-24.2M	0.64	3.70	N/A	N/A	458,994	291,662	2,221,662	2,256,866
2012-11-30	$65.80	$66.00	15.4%	4.4%	17.8%	22.3%	15.3%	3.9%	0.8%	110.1M	-310.1M	-24.5M	1.54	7.99	N/A	N/A	97,278	150,249	2,230,711	2,321,858