QQQ Options History — April 2013 In April 2013, QQQ traded between $67.35 and $70.75. ATM implied volatility averaged 14.1%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.0% (HV 20d: 13.0%). Max pain ranged from $67.00 to $70.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.32.
Notable Days 2013-04-18 : Highest Volume — 724,290 contracts2013-04-15 : Largest IV spike — 28.3% change2013-04-18 : Highest IV Rank — 38.4%2013-04-18 : Largest Expected Move — 5.0%Monthly Statistics Metric Avg Min Max Open Close Price $68.97 $67.35 $70.75 $68.46 $70.75 Max Pain $68.69 $67.00 $70.00 $68.50 $70.00 ATM IV 14.1% 12.4% 17.5% 13.4% 13.7% Expected Move 4.0% 3.6% 5.0% 3.8% 3.9% HV 20d 13.0% 6.4% 18.0% 8.3% 18.0% HV 60d 11.8% 9.9% 13.5% 10.1% 13.4% IV Rank 17.8% 8.0% 38.4% 13.8% 15.4% IV Percentile 27.3% 7.9% 65.1% 18.7% 23.8% Term Structure 0.2% -0.2% 0.8% 0.6% 0.3% VWIV 14.7% 12.8% 17.0% 15.1% 13.5% Skew 25d 3.8% 2.7% 5.3% 3.9% 3.5% Skew 10d 7.7% 5.6% 9.6% 7.9% 7.6% Call IV 25d 12.5% 10.8% 15.3% 11.8% 12.0% Put IV 25d 16.3% 14.2% 20.6% 15.7% 15.5% Bid-Ask Spread % 12.06 3.88 44.20 14.15 5.94 Gamma HHI 0.13 0.09 0.26 0.11 0.16 Net GEX 68.4M -241.4M 355.6M 9.3M 196.4M Net DEX -301.4M -2.58B 3.15B 202.5M -2.15B Net VEX -25.4M -27.8M -24.1M -24.5M -27.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.32 0.72 2.15 1.35 0.72 Total Volume 422,883.455 178,126 724,290 240,545 549,102 Total OI 3,160,299.591 2,720,877 3,722,481 2,720,877 3,255,953
Daily Data (22 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 2013-04-01 $68.46 $68.50 13.4% 3.8% 8.3% 13.8% 15.1% 3.9% 0.6% 9.3M 202.5M -24.5M 1.35 14.15 N/A N/A 102,343 138,202 1,180,394 1,540,483 2013-04-02 $68.49 $68.00 13.0% 3.7% 8.1% 11.2% 14.7% 4.2% 0.8% 112.1M -775.9M -24.6M 1.48 9.26 N/A N/A 105,307 155,649 1,229,289 1,566,973 2013-04-03 $68.44 $68.50 13.7% 3.9% 6.5% 15.6% 15.6% 3.9% 0.3% -3.9M 253.1M -24.7M 1.98 7.86 N/A N/A 102,899 203,704 1,240,815 1,600,581 2013-04-04 $68.46 $68.50 13.9% 4.0% 6.4% 16.9% 16.1% 3.9% 0.3% -37.9M 341.2M -25.0M 0.90 9.93 N/A N/A 124,066 112,256 1,256,081 1,655,130 2013-04-05 $67.86 $68.50 14.2% 4.1% 7.0% 18.7% 14.3% 3.9% -0.2% -116.5M 1.26B -24.5M 1.39 6.92 N/A N/A 158,447 220,017 1,305,890 1,666,331 2013-04-08 $68.30 $68.50 13.6% 3.9% 7.4% 15.0% 14.6% 3.7% 0.3% 44.3M 233.4M -24.2M 1.64 7.41 N/A N/A 67,426 110,700 1,283,916 1,605,081 2013-04-09 $68.48 $68.50 13.5% 3.9% 7.4% 14.3% 13.8% 3.8% 0.2% 93.2M -422.6M -24.1M 0.93 6.69 N/A N/A 227,686 210,817 1,293,218 1,653,248 2013-04-10 $69.96 $68.50 12.5% 3.6% 10.6% 8.6% 13.5% 2.8% -0.2% 320.0M -2.58B -24.4M 1.03 6.85 N/A N/A 295,108 303,650 1,389,072 1,726,020 2013-04-11 $70.02 $0.00 12.8% 3.7% 10.6% 10.0% 12.8% 2.9% -0.1% 285.5M -2.50B -25.0M 1.45 8.83 N/A N/A 136,789 197,890 1,449,583 1,823,910 2013-04-12 $69.90 $70.00 12.4% 3.6% 10.6% 8.0% 13.2% 2.7% -0.1% 355.6M -2.20B -25.4M 1.77 5.81 N/A N/A 117,855 208,392 1,501,365 1,867,322 2013-04-15 $68.23 $68.00 15.9% 4.5% 13.7% 28.9% 15.3% 3.7% 0.3% -30.8M 988.4M -25.4M 2.15 44.20 N/A N/A 212,026 455,895 1,436,944 1,809,349 2013-04-16 $69.44 $69.00 14.3% 4.1% 15.1% 19.3% 14.5% 3.4% 0.5% 144.9M -1.09B -26.0M 1.23 3.88 N/A N/A 147,754 181,486 1,485,048 1,942,954 2013-04-17 $68.10 $69.00 16.4% 4.7% 16.7% 31.7% 16.1% 4.1% -0.2% -125.1M 1.64B -25.7M 1.63 10.36 N/A N/A 250,577 407,243 1,500,051 1,974,180 2013-04-18 $67.35 $69.00 17.5% 5.0% 17.1% 38.4% 17.0% 5.3% -0.1% -241.4M 3.15B -25.5M 1.45 25.57 N/A N/A 295,715 428,575 1,540,495 2,014,474 2013-04-19 $68.03 $68.00 15.2% 4.3% 17.4% 24.7% 15.5% 4.5% 0.4% -33.6M 1.71B -25.8M 1.17 6.75 N/A N/A 262,914 307,955 1,630,841 2,091,640 2013-04-22 $68.78 $67.00 14.2% 4.1% 17.6% 18.9% 15.3% 4.2% 0.5% -20.5M 253.2M -25.3M 1.22 16.06 N/A N/A 153,331 187,502 1,247,941 1,681,421 2013-04-23 $69.32 $68.00 14.3% 4.1% 17.7% 19.3% 14.3% 3.6% 0.6% 53.0M -593.8M -25.4M 1.04 33.35 N/A N/A 303,709 316,641 1,273,569 1,720,563 2013-04-24 $69.36 $69.00 14.1% 4.1% 17.6% 18.1% 13.7% 3.7% 0.3% 78.7M -558.9M -25.7M 0.76 7.49 N/A N/A 251,146 191,594 1,361,196 1,833,180 2013-04-25 $69.82 $69.00 13.6% 3.9% 17.7% 14.8% 16.7% 3.7% -0.1% 227.0M -1.47B -26.4M 1.30 12.56 N/A N/A 124,769 161,952 1,453,397 1,882,987 2013-04-26 $69.52 $69.00 13.5% 3.8% 17.8% 14.2% 13.5% 3.8% 0.5% 61.8M -883.7M -26.2M 1.15 6.15 N/A N/A 196,753 226,281 1,475,933 1,935,129 2013-04-29 $70.21 $70.00 13.8% 3.9% 17.8% 16.0% 14.6% 3.6% 0.4% 132.2M -1.43B -27.4M 1.33 9.25 N/A N/A 167,690 223,623 1,360,052 1,784,592 2013-04-30 $70.75 $70.00 13.7% 3.9% 18.0% 15.4% 13.5% 3.5% 0.3% 196.4M -2.15B -27.8M 0.72 5.94 N/A N/A 318,494 230,608 1,401,082 1,854,871
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