QQQ Options History — January 2013

In January 2013, QQQ traded between $66.54 and $67.59. ATM implied volatility averaged 13.8%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 4.8% (HV 20d: 18.6%). Max pain ranged from $64.00 to $67.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.92.

Notable Days

2013-01-24: Highest Volume — 540,828 contracts
2013-01-10: Largest IV spike — 6.5% change
2013-01-02: Highest IV Rank — 25.3%
2013-01-02: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.01	$66.54	$67.59	$67.21	$66.95
Max Pain	$66.10	$64.00	$67.00	$64.00	$67.00
ATM IV	13.8%	12.5%	15.5%	15.5%	13.4%
Expected Move	4.0%	3.5%	4.5%	4.5%	3.8%
HV 20d	18.6%	8.3%	21.0%	21.0%	8.3%
HV 60d	17.3%	16.0%	18.2%	18.1%	16.0%
IV Rank	14.8%	6.6%	25.3%	25.3%	12.4%
IV Percentile	10.2%	2.0%	28.2%	28.2%	7.5%
Term Structure	0.8%	0.1%	1.7%	0.5%	0.7%
VWIV	14.2%	12.5%	16.6%	15.5%	13.6%
Skew 25d	3.0%	2.4%	3.5%	3.4%	3.0%
Skew 10d	6.1%	4.4%	7.3%	7.3%	6.3%
Call IV 25d	12.7%	11.3%	14.3%	14.0%	12.3%
Put IV 25d	15.6%	14.1%	17.4%	17.4%	15.3%
Bid-Ask Spread %	6.13	1.94	16.56	4.29	5.09
Gamma HHI	0.23	0.13	0.56	0.18	0.13
Net GEX	438.6M	171.0M	1.22B	406.2M	171.0M
Net DEX	-2.35B	-3.73B	-756.0M	-3.73B	-756.0M
Net VEX	-20.0M	-21.2M	-18.6M	-21.2M	-20.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.50	1.20	0.85	1.05
Total Volume	323,270.238	193,136	540,828	469,496	270,156
Total OI	3,447,049	2,617,019	4,031,005	3,620,761	2,974,059

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
2013-01-02	$67.21	$64.00	15.5%	4.5%	21.0%	25.3%	15.5%	3.4%	0.5%	406.2M	-3.73B	-21.2M	0.85	4.29	N/A	N/A	253,162	216,334	1,950,550	1,670,211
2013-01-03	$67.22	$64.00	15.2%	4.3%	21.0%	22.9%	15.2%	2.4%	0.6%	416.3M	-3.40B	-20.1M	0.50	4.21	N/A	N/A	250,615	124,774	1,960,847	1,734,476
2013-01-04	$66.58	$66.00	14.3%	4.1%	20.9%	17.8%	13.7%	3.0%	1.1%	365.0M	-2.53B	-21.1M	0.97	5.08	N/A	N/A	123,704	120,542	2,033,958	1,748,159
2013-01-07	$66.66	$66.00	14.3%	4.1%	20.8%	17.7%	14.2%	3.0%	0.9%	398.5M	-2.34B	-20.6M	0.99	4.39	N/A	N/A	114,315	113,343	1,996,566	1,668,205
2013-01-08	$66.54	$66.00	14.0%	4.0%	20.6%	15.9%	16.6%	2.8%	1.0%	390.6M	-2.22B	-20.1M	1.15	5.70	N/A	N/A	114,179	130,785	1,990,675	1,693,210
2013-01-09	$66.77	$66.00	13.9%	4.0%	20.6%	15.5%	14.6%	2.8%	1.0%	422.9M	-2.69B	-20.1M	1.02	4.28	N/A	N/A	95,780	97,356	1,996,862	1,707,649
2013-01-10	$67.13	$0.00	14.8%	4.2%	20.2%	21.0%	15.1%	3.0%	0.2%	479.3M	-3.38B	-20.0M	0.89	6.19	N/A	N/A	188,744	167,454	2,012,059	1,734,029
2013-01-11	$67.28	$67.00	14.9%	4.2%	20.1%	21.1%	15.5%	3.2%	0.1%	464.2M	-3.62B	-20.3M	0.75	5.44	N/A	N/A	159,472	119,855	2,052,586	1,797,141
2013-01-14	$66.94	$65.00	14.9%	4.3%	20.1%	21.6%	15.7%	3.4%	1.3%	470.2M	-2.75B	-19.9M	0.98	1.94	N/A	N/A	99,675	97,499	2,037,444	1,763,254
2013-01-15	$66.61	$65.00	14.5%	4.2%	19.8%	19.0%	15.5%	3.5%	1.5%	435.5M	-2.11B	-19.6M	0.71	4.81	N/A	N/A	234,301	166,926	2,061,761	1,779,504
2013-01-16	$66.93	$65.00	14.0%	4.0%	19.4%	15.7%	14.4%	3.0%	1.7%	594.0M	-2.92B	-19.9M	0.74	4.33	N/A	N/A	137,304	101,197	2,149,620	1,820,852
2013-01-17	$67.23	$66.00	13.8%	3.9%	18.5%	14.4%	13.6%	2.9%	0.5%	556.0M	-3.38B	-19.5M	1.03	4.08	N/A	N/A	180,369	186,565	2,116,181	1,831,331
2013-01-18	$67.03	$66.00	13.0%	3.7%	18.4%	9.5%	12.9%	2.6%	0.4%	1.22B	-3.00B	-19.0M	0.57	6.34	N/A	N/A	304,743	174,480	2,125,152	1,905,853
2013-01-22	$67.48	$67.00	13.0%	3.7%	18.6%	9.8%	12.7%	2.9%	1.2%	428.1M	-2.33B	-18.6M	1.20	12.51	N/A	N/A	160,902	193,255	1,503,369	1,113,650
2013-01-23	$67.59	$67.00	12.7%	3.6%	17.6%	8.0%	12.9%	2.8%	0.8%	464.1M	-2.61B	-19.2M	0.82	16.56	N/A	N/A	170,000	139,806	1,569,173	1,203,788
2013-01-24	$66.67	$67.00	12.5%	3.6%	18.4%	6.6%	12.6%	2.8%	0.5%	271.7M	-872.7M	-18.7M	1.16	4.70	N/A	N/A	250,783	290,045	1,644,541	1,255,115
2013-01-25	$66.94	$67.00	12.5%	3.5%	18.0%	6.9%	12.5%	2.8%	0.4%	407.6M	-1.06B	-20.5M	1.08	8.31	N/A	N/A	148,176	160,640	1,709,072	1,363,262
2013-01-28	$67.14	$67.00	13.1%	3.8%	18.0%	10.2%	14.8%	3.0%	0.7%	315.7M	-1.26B	-20.3M	0.73	11.50	N/A	N/A	218,017	158,691	1,574,980	1,286,108
2013-01-29	$67.27	$67.00	12.8%	3.7%	16.6%	8.4%	14.1%	2.9%	0.7%	300.8M	-1.31B	-20.1M	0.96	4.82	N/A	N/A	143,967	137,974	1,545,968	1,361,315
2013-01-30	$67.11	$67.00	13.1%	3.7%	13.8%	10.3%	12.9%	3.0%	0.5%	232.5M	-1.02B	-20.4M	1.20	4.13	N/A	N/A	123,920	148,870	1,541,668	1,403,826
2013-01-31	$66.95	$67.00	13.4%	3.8%	8.3%	12.4%	13.6%	3.0%	0.7%	171.0M	-756.0M	-20.6M	1.05	5.09	N/A	N/A	131,965	138,191	1,551,941	1,422,118