QQQ Options History — December 2012

In December 2012, QQQ traded between $63.37 and $66.60. ATM implied volatility averaged 17.7%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.3% (HV 20d: 14.4%). Max pain ranged from $63.00 to $67.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.90.

Notable Days

2012-12-18: Highest Volume — 684,969 contracts
2012-12-28: Largest IV drop — 11.4% change
2012-12-27: Highest IV Rank — 52.9%
2012-12-27: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.29	$63.37	$66.60	$65.74	$65.16
Max Pain	$65.00	$63.00	$67.00	$66.00	$64.00
ATM IV	17.7%	15.9%	20.1%	15.9%	19.2%
Expected Move	5.1%	4.6%	5.8%	4.6%	5.5%
HV 20d	14.4%	12.8%	17.8%	16.9%	17.8%
HV 60d	15.6%	15.1%	17.0%	15.8%	17.0%
IV Rank	37.4%	25.2%	52.9%	25.2%	47.4%
IV Percentile	58.7%	32.5%	85.7%	32.5%	78.2%
Term Structure	0.3%	-0.8%	1.0%	0.4%	-0.2%
VWIV	18.4%	16.4%	23.1%	16.4%	18.8%
Skew 25d	3.9%	1.3%	5.1%	3.8%	4.9%
Skew 10d	7.6%	4.9%	11.0%	6.8%	8.4%
Call IV 25d	16.1%	14.5%	17.7%	14.5%	16.8%
Put IV 25d	20.0%	17.9%	22.7%	18.2%	21.7%
Bid-Ask Spread %	19.70	2.16	127.50	20.34	23.67
Gamma HHI	0.14	0.08	0.19	0.14	0.12
Net GEX	165.7M	-101.6M	400.0M	154.2M	214.4M
Net DEX	438.9M	-2.45B	3.71B	-162.8M	-374.1M
Net VEX	-23.9M	-25.5M	-21.4M	-24.3M	-22.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.62	1.19	1.08	0.88
Total Volume	386,246.55	121,205	684,969	211,601	437,086
Total OI	4,744,620.95	3,907,100	5,627,811	4,481,329	3,985,543

Daily Data (20 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
2012-12-03	$65.74	$66.00	15.9%	4.6%	16.9%	25.2%	16.4%	3.8%	0.4%	154.2M	-162.8M	-24.3M	1.08	20.34	N/A	N/A	101,878	109,723	2,277,001	2,204,328
2012-12-04	$65.58	$66.00	16.7%	4.8%	16.8%	29.3%	17.7%	4.4%	0.4%	140.3M	158.5M	-24.4M	1.02	3.04	N/A	N/A	183,121	187,348	2,300,273	2,234,512
2012-12-05	$64.90	$66.00	17.4%	5.0%	17.0%	33.1%	19.3%	4.2%	0.2%	92.7M	1.36B	-24.0M	1.13	6.69	N/A	N/A	192,904	217,581	2,326,691	2,277,632
2012-12-06	$65.37	$0.00	17.3%	5.0%	14.5%	32.9%	18.8%	3.9%	0.0%	138.2M	594.0M	-24.2M	0.79	69.62	N/A	N/A	166,437	132,267	2,365,664	2,314,969
2012-12-07	$64.88	$64.00	17.1%	4.9%	13.7%	31.8%	18.3%	3.8%	0.3%	100.1M	1.23B	-23.9M	1.02	11.06	N/A	N/A	167,555	170,778	2,406,799	2,331,287
2012-12-10	$65.22	$67.00	17.6%	5.1%	13.8%	34.6%	17.7%	3.6%	0.1%	142.0M	583.9M	-24.1M	0.72	4.72	N/A	N/A	231,600	167,564	2,405,905	2,335,978
2012-12-11	$66.03	$66.00	16.7%	4.8%	14.4%	29.5%	18.4%	3.5%	0.3%	247.8M	-886.0M	-25.1M	0.99	11.18	N/A	N/A	136,893	135,013	2,524,677	2,400,239
2012-12-12	$65.76	$66.00	16.9%	4.8%	14.1%	33.6%	17.4%	3.5%	0.3%	212.9M	-294.7M	-24.7M	0.95	6.88	N/A	N/A	172,849	163,513	2,563,896	2,423,063
2012-12-13	$65.33	$0.00	18.0%	5.2%	13.5%	40.5%	23.1%	4.0%	0.5%	138.1M	608.6M	-24.5M	0.96	45.85	N/A	N/A	165,221	158,310	2,627,731	2,495,704
2012-12-14	$64.68	$63.00	18.2%	5.2%	14.1%	41.4%	18.5%	3.6%	-0.1%	128.2M	1.78B	-24.8M	0.73	12.54	N/A	N/A	289,230	212,360	2,660,497	2,519,504
2012-12-17	$65.46	$65.00	18.1%	5.2%	14.5%	40.9%	17.4%	3.8%	0.9%	254.2M	-198.2M	-25.1M	0.62	3.25	N/A	N/A	208,774	128,651	2,728,052	2,477,190
2012-12-18	$66.60	$65.00	16.4%	4.7%	12.8%	30.4%	17.2%	3.1%	1.0%	400.0M	-2.45B	-25.2M	0.79	2.16	N/A	N/A	383,657	301,312	2,810,027	2,509,716
2012-12-19	$66.26	$65.00	17.4%	5.0%	13.0%	36.6%	17.7%	3.5%	0.8%	337.8M	-981.1M	-25.5M	1.16	3.74	N/A	N/A	209,112	242,310	2,920,868	2,629,431
2012-12-20	$66.22	$65.00	17.2%	4.9%	13.1%	35.1%	17.7%	3.5%	0.5%	349.0M	-1.18B	-24.4M	0.64	3.71	N/A	N/A	383,917	246,625	2,939,645	2,688,166
2012-12-21	$65.22	$66.00	18.1%	5.2%	13.6%	40.7%	18.4%	4.6%	0.5%	-101.6M	3.71B	-23.7M	0.91	2.49	N/A	N/A	322,616	294,031	2,595,599	2,784,576
2012-12-24	$65.07	$64.00	18.4%	5.3%	13.5%	42.7%	17.8%	4.9%	0.3%	167.5M	751.3M	-23.0M	1.19	11.20	N/A	N/A	55,444	65,761	2,060,780	1,870,919
2012-12-26	$64.49	$64.00	19.7%	5.7%	13.9%	50.8%	19.3%	5.1%	0.2%	96.7M	1.04B	-22.0M	0.63	18.99	N/A	N/A	141,390	88,581	2,078,234	1,828,866
2012-12-27	$64.43	$64.00	20.1%	5.8%	13.5%	52.9%	20.0%	5.0%	-0.1%	78.2M	1.19B	-22.0M	0.82	5.39	N/A	N/A	207,641	169,738	2,124,355	1,838,738
2012-12-28	$63.37	$64.00	17.8%	5.3%	14.3%	38.9%	19.1%	1.3%	-0.8%	24.1M	2.30B	-21.4M	0.93	127.50	N/A	N/A	195,029	181,111	2,155,186	1,870,178
2012-12-31	$65.16	$64.00	19.2%	5.5%	17.8%	47.4%	18.8%	4.9%	-0.2%	214.4M	-374.1M	-22.0M	0.88	23.67	N/A	N/A	232,185	204,901	2,127,361	1,858,182