QQQ Options History — February 2013

In February 2013, QQQ traded between $66.30 and $68.17. ATM implied volatility averaged 13.8%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.3% (HV 20d: 11.5%). Max pain ranged from $67.00 to $68.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.25.

Notable Days

2013-02-25: Highest Volume — 584,754 contracts
2013-02-25: Largest IV spike — 26.5% change
2013-02-25: Highest IV Rank — 39.7%
2013-02-25: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.29	$66.30	$68.17	$67.64	$67.17
Max Pain	$67.33	$67.00	$68.00	$67.00	$67.00
ATM IV	13.8%	12.0%	17.9%	12.0%	14.6%
Expected Move	3.9%	3.4%	5.1%	3.4%	4.2%
HV 20d	11.5%	9.1%	13.3%	9.1%	13.3%
HV 60d	15.1%	14.3%	16.4%	16.1%	14.9%
IV Rank	14.5%	3.9%	39.7%	3.9%	19.8%
IV Percentile	16.6%	0.8%	67.9%	0.8%	27.8%
Term Structure	0.2%	-0.6%	0.9%	0.9%	-0.0%
VWIV	13.7%	11.9%	17.7%	13.2%	15.3%
Skew 25d	3.7%	2.2%	5.3%	2.8%	4.6%
Skew 10d	7.4%	5.5%	10.6%	5.7%	9.5%
Call IV 25d	12.2%	10.7%	15.4%	11.2%	12.7%
Put IV 25d	15.9%	13.8%	20.7%	14.0%	17.4%
Bid-Ask Spread %	8.94	2.11	58.47	4.71	4.19
Gamma HHI	0.14	0.07	0.24	0.16	0.08
Net GEX	139.6M	-115.8M	385.2M	255.9M	-56.3M
Net DEX	-492.4M	-2.17B	1.49B	-1.71B	621.9M
Net VEX	-20.4M	-21.1M	-19.0M	-20.5M	-20.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.79	2.35	1.70	1.38
Total Volume	302,264.263	158,954	584,754	334,653	225,061
Total OI	3,060,383.526	2,643,039	3,342,788	3,090,578	3,135,227

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
2013-02-01	$67.64	$67.00	12.0%	3.4%	9.1%	3.9%	13.2%	2.8%	0.9%	255.9M	-1.71B	-20.5M	1.70	4.71	N/A	N/A	123,751	210,902	1,607,361	1,483,217
2013-02-04	$66.54	$67.00	13.5%	3.9%	10.3%	13.1%	12.8%	3.2%	0.6%	59.7M	196.0M	-20.5M	1.13	4.91	N/A	N/A	134,604	152,689	1,450,137	1,437,693
2013-02-05	$66.50	$67.00	13.7%	3.9%	10.3%	14.0%	12.0%	2.2%	-0.4%	263.9M	-1.33B	-20.3M	0.87	5.01	N/A	N/A	159,202	138,420	1,505,112	1,475,108
2013-02-06	$67.18	$67.00	13.2%	3.8%	10.9%	10.9%	13.1%	3.1%	0.8%	159.0M	-707.4M	-20.6M	0.91	14.81	N/A	N/A	146,541	132,933	1,533,311	1,525,945
2013-02-07	$67.30	$0.00	13.6%	3.9%	10.9%	13.4%	13.3%	3.1%	0.4%	193.0M	-871.2M	-21.1M	0.85	4.38	N/A	N/A	145,367	123,346	1,597,881	1,558,261
2013-02-08	$67.95	$67.00	12.7%	3.6%	11.2%	7.8%	12.7%	2.9%	0.4%	385.2M	-2.17B	-21.1M	0.79	25.19	N/A	N/A	238,153	188,024	1,634,149	1,588,688
2013-02-11	$67.98	$67.00	12.9%	3.7%	11.2%	9.5%	13.6%	3.2%	0.4%	320.7M	-1.81B	-20.8M	1.01	4.07	N/A	N/A	92,097	93,442	1,604,895	1,573,122
2013-02-12	$67.70	$67.00	12.8%	3.6%	11.1%	8.4%	13.8%	3.5%	0.5%	289.4M	-1.49B	-20.5M	1.02	4.47	N/A	N/A	116,112	118,001	1,644,553	1,591,559
2013-02-13	$67.99	$67.00	12.9%	3.7%	11.0%	9.1%	13.3%	3.1%	0.5%	354.9M	-1.94B	-20.4M	1.52	2.27	N/A	N/A	97,905	148,482	1,689,503	1,617,637
2013-02-14	$67.90	$68.00	12.3%	3.5%	11.0%	5.8%	12.5%	3.4%	0.4%	290.8M	-1.66B	-20.4M	1.80	2.27	N/A	N/A	56,678	102,276	1,685,206	1,651,282
2013-02-15	$67.76	$68.00	12.1%	3.4%	10.9%	4.2%	11.9%	3.3%	0.2%	265.0M	-1.24B	-20.1M	0.91	2.11	N/A	N/A	148,370	134,282	1,682,127	1,660,661
2013-02-19	$68.17	$68.00	12.3%	3.5%	11.0%	5.4%	12.0%	3.6%	0.2%	143.4M	-970.4M	-19.0M	1.30	7.35	N/A	N/A	82,448	106,896	1,275,069	1,367,970
2013-02-20	$67.04	$68.00	14.0%	4.0%	12.4%	15.8%	12.9%	4.3%	0.0%	-20.2M	462.0M	-19.3M	1.55	58.47	N/A	N/A	145,298	225,266	1,300,579	1,420,706
2013-02-21	$66.60	$68.00	14.9%	4.3%	12.6%	21.7%	15.5%	4.7%	-0.6%	-115.8M	1.37B	-20.0M	1.39	5.95	N/A	N/A	187,539	261,205	1,360,735	1,509,887
2013-02-22	$67.15	$68.00	14.2%	4.1%	12.0%	16.9%	14.3%	4.4%	-0.0%	11.0M	543.2M	-20.6M	1.19	5.73	N/A	N/A	133,091	158,516	1,425,616	1,568,179
2013-02-25	$66.30	$67.00	17.9%	5.1%	12.7%	39.7%	16.3%	5.3%	-0.6%	-57.3M	1.49B	-20.8M	2.35	6.01	N/A	N/A	174,451	410,303	1,369,807	1,535,239
2013-02-26	$66.50	$67.00	17.0%	4.9%	12.7%	34.0%	17.7%	5.0%	-0.4%	-77.2M	1.44B	-20.5M	1.27	2.19	N/A	N/A	145,025	183,587	1,422,650	1,596,008
2013-02-27	$67.20	$67.00	14.9%	4.3%	13.3%	21.6%	14.8%	4.5%	0.0%	-11.9M	403.8M	-20.8M	0.85	5.68	N/A	N/A	163,259	139,499	1,439,618	1,622,589
2013-02-28	$67.17	$67.00	14.6%	4.2%	13.3%	19.8%	15.3%	4.6%	-0.0%	-56.3M	621.9M	-20.8M	1.38	4.19	N/A	N/A	94,393	130,668	1,473,008	1,662,219