QQQ Options History — March 2013

In March 2013, QQQ traded between $67.41 and $68.98. ATM implied volatility averaged 12.3%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.6% (HV 20d: 10.8%). Max pain ranged from $67.00 to $69.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.19.

Notable Days

  • 2013-03-01: Highest Volume — 447,825 contracts
  • 2013-03-25: Largest IV spike — 12.5% change
  • 2013-03-01: Highest IV Rank — 14.7%
  • 2013-03-01: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.49$67.41$68.98$67.41$68.98
Max Pain$67.97$67.00$69.00$67.00$68.00
ATM IV12.3%11.1%13.8%13.8%12.2%
Expected Move3.5%3.2%4.0%4.0%3.5%
HV 20d10.8%7.7%13.3%13.3%7.7%
HV 60d14.1%11.7%15.0%14.9%11.7%
IV Rank6.7%0.0%14.7%14.7%6.7%
IV Percentile5.5%0.0%17.1%15.1%4.4%
Term Structure0.4%-0.6%1.3%-0.6%0.3%
VWIV12.8%10.3%15.0%15.0%12.2%
Skew 25d3.4%2.7%4.3%4.3%3.5%
Skew 10d7.0%6.1%9.3%9.3%6.7%
Call IV 25d11.0%10.1%12.0%12.0%10.8%
Put IV 25d14.4%12.8%16.4%16.4%14.3%
Bid-Ask Spread %9.622.4320.235.9711.42
Gamma HHI0.140.080.390.080.13
Net GEX55.3M-339.8M187.9M-30.5M73.0M
Net DEX-507.0M-1.52B858.7M302.0M-777.8M
Net VEX-22.5M-24.8M-20.4M-20.4M-24.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.651.831.380.94
Total Volume290,089.85159,090447,825447,825246,200
Total OI3,099,547.32,421,6293,642,0503,171,0832,915,590

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$67.41$67.0013.8%4.0%13.3%14.7%15.0%4.3%-0.6%-30.5M302.0M-20.4M1.385.97N/AN/A188,131259,6941,490,1391,680,944
2013-03-04$67.77$67.0012.9%3.7%12.9%9.3%13.8%4.0%0.5%34.4M-102.6M-20.5M1.0812.97N/AN/A109,312117,8601,477,0251,645,462
2013-03-05$68.68$67.0012.6%3.6%12.2%7.2%13.2%3.6%0.1%184.5M-1.31B-20.7M1.3817.76N/AN/A167,494231,8881,522,7041,699,479
2013-03-06$68.44$67.5012.7%3.6%12.3%7.8%12.5%3.7%0.9%87.0M-910.1M-21.3M1.3615.45N/AN/A119,788162,9151,535,4851,787,507
2013-03-07$68.69$68.0012.5%3.6%11.9%6.8%12.7%3.4%0.1%147.0M-1.24B-21.8M0.6518.53N/AN/A150,21297,3731,572,1581,844,727
2013-03-08$68.73$68.5012.3%3.5%11.9%5.3%12.6%3.0%-0.0%156.4M-1.37B-21.7M0.7720.23N/AN/A200,861154,6001,615,4341,870,517
2013-03-11$68.95$68.5011.5%3.3%11.5%1.0%12.9%3.0%0.4%176.4M-1.52B-21.5M0.866.69N/AN/A146,097125,7171,602,2321,847,527
2013-03-12$68.74$68.5012.2%3.5%11.6%4.7%12.7%3.0%-0.2%121.6M-1.16B-21.9M1.0410.64N/AN/A110,635114,9281,640,5231,903,367
2013-03-13$68.72$68.5011.9%3.4%11.4%3.1%12.0%2.9%-0.2%109.2M-1.01B-21.9M0.9916.64N/AN/A116,545115,0761,658,0781,933,994
2013-03-14$68.85$0.0011.1%3.2%11.4%0.0%12.0%2.7%0.1%187.9M-1.44B-21.7M0.796.25N/AN/A140,017110,8931,669,9731,972,077
2013-03-15$68.51$69.0011.2%3.2%11.5%0.6%10.3%3.0%-0.4%-339.8M858.7M-21.5M0.895.22N/AN/A194,736173,0811,435,5542,006,567
2013-03-18$68.47$68.0012.5%3.6%11.5%8.5%12.5%3.2%1.3%53.8M-360.4M-21.9M1.352.43N/AN/A149,099201,2231,095,5381,326,091
2013-03-19$68.24$68.0013.2%3.8%11.4%12.3%13.4%3.7%1.0%16.4M143.9M-23.2M1.274.17N/AN/A166,125210,5121,148,2381,421,179
2013-03-20$68.38$68.0012.3%3.5%9.5%6.9%12.2%3.3%1.3%38.6M23.9M-23.9M1.835.22N/AN/A88,768162,2451,196,6211,509,342
2013-03-21$67.98$68.0012.6%3.6%9.4%9.0%13.2%3.5%0.7%-75.9M728.5M-24.0M1.362.83N/AN/A126,314171,5821,219,2411,556,555
2013-03-22$68.56$68.0011.9%3.3%9.5%4.7%12.7%3.6%1.1%-55.2M-310.3M-24.8M1.2911.38N/AN/A134,595173,1051,257,3061,601,054
2013-03-25$68.27$68.0013.4%3.9%8.2%13.6%13.1%3.7%0.4%28.1M167.4M-24.4M1.495.32N/AN/A114,834170,7371,184,0241,525,445
2013-03-26$68.72$68.0012.0%3.5%8.4%5.5%12.5%3.5%0.7%85.6M-399.4M-24.5M1.319.07N/AN/A68,90790,1831,213,8581,574,611
2013-03-27$68.80$68.0012.3%3.5%7.7%7.2%14.2%3.4%0.6%106.8M-444.7M-24.4M1.814.24N/AN/A78,102141,4131,231,8991,602,881
2013-03-28$68.98$68.0012.2%3.5%7.7%6.7%12.2%3.5%0.3%73.0M-777.8M-24.4M0.9411.42N/AN/A126,731119,4691,252,4931,663,097