QQQ Options History — May 2013

In May 2013, QQQ traded between $70.33 and $74.28. ATM implied volatility averaged 13.3%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 0.8% (HV 20d: 12.5%). Max pain ranged from $69.00 to $74.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.10.

Notable Days

2013-05-03: Highest Volume — 808,121 contracts
2013-05-13: Largest IV spike — 8.1% change
2013-05-31: Highest IV Rank — 22.0%
2013-05-31: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.11	$70.33	$74.28	$70.33	$73.13
Max Pain	$71.26	$69.00	$74.00	$70.00	$69.00
ATM IV	13.3%	12.6%	14.8%	13.7%	14.8%
Expected Move	3.8%	3.5%	4.3%	3.9%	4.3%
HV 20d	12.5%	8.1%	18.6%	18.1%	8.5%
HV 60d	12.7%	12.0%	13.3%	13.0%	12.2%
IV Rank	13.2%	8.8%	22.0%	15.6%	22.0%
IV Percentile	22.8%	10.7%	46.8%	25.0%	46.8%
Term Structure	0.4%	-0.3%	1.2%	1.2%	-0.3%
VWIV	13.5%	12.2%	15.1%	15.1%	14.5%
Skew 25d	2.7%	1.8%	3.7%	3.7%	3.6%
Skew 10d	5.2%	3.2%	7.3%	7.3%	6.2%
Call IV 25d	12.3%	11.6%	13.4%	12.4%	13.4%
Put IV 25d	15.0%	13.5%	17.0%	16.1%	17.0%
Bid-Ask Spread %	10.22	2.45	41.90	8.92	19.90
Gamma HHI	0.18	0.13	0.25	0.18	0.13
Net GEX	335.5M	23.6M	586.5M	153.6M	23.6M
Net DEX	-4.40B	-7.39B	-1.31B	-1.68B	-1.31B
Net VEX	-29.5M	-30.6M	-27.5M	-29.1M	-29.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.10	0.40	1.70	1.66	1.15
Total Volume	430,703.273	279,604	808,121	290,888	478,306
Total OI	3,834,661.455	3,477,969	4,348,738	3,477,969	3,816,247

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
2013-05-01	$70.33	$70.00	13.7%	3.9%	18.1%	15.6%	15.1%	3.7%	1.2%	153.6M	-1.68B	-29.1M	1.66	8.92	N/A	N/A	109,277	181,611	1,535,347	1,942,622
2013-05-02	$71.25	$70.00	13.5%	3.8%	18.6%	14.3%	14.5%	3.3%	0.4%	325.9M	-3.42B	-28.1M	1.23	6.33	N/A	N/A	220,647	270,966	1,550,563	1,953,236
2013-05-03	$72.10	$70.50	13.2%	3.8%	18.5%	12.7%	12.2%	2.5%	0.2%	284.1M	-4.97B	-27.5M	0.61	6.62	N/A	N/A	502,964	305,157	1,612,029	2,045,931
2013-05-06	$72.38	$72.00	12.9%	3.7%	18.4%	11.0%	13.2%	2.8%	0.8%	388.4M	-4.74B	-28.8M	1.37	5.93	N/A	N/A	120,903	166,134	1,737,302	1,968,101
2013-05-07	$72.35	$72.50	12.6%	3.6%	18.5%	9.1%	12.5%	2.7%	1.0%	376.5M	-4.70B	-28.7M	1.45	6.53	N/A	N/A	114,069	165,535	1,756,446	2,031,465
2013-05-08	$72.69	$72.50	13.0%	3.7%	17.1%	11.7%	13.2%	2.8%	0.2%	392.2M	-5.29B	-28.6M	1.19	5.03	N/A	N/A	167,776	199,864	1,783,559	2,062,076
2013-05-09	$72.64	$72.50	13.0%	3.7%	17.1%	11.4%	12.5%	2.7%	0.2%	362.2M	-5.20B	-29.1M	1.03	5.12	N/A	N/A	190,961	197,639	1,825,992	2,123,888
2013-05-10	$73.05	$72.50	12.7%	3.6%	17.1%	9.4%	12.7%	2.4%	0.7%	348.6M	-5.89B	-28.3M	0.45	5.56	N/A	N/A	350,600	156,984	1,830,764	2,178,640
2013-05-13	$73.18	$73.00	13.7%	3.9%	14.0%	15.5%	13.1%	2.1%	0.5%	530.1M	-6.07B	-29.6M	0.63	6.35	N/A	N/A	213,010	134,579	1,969,998	2,100,250
2013-05-14	$73.54	$73.00	13.1%	3.7%	13.0%	11.8%	13.5%	2.0%	0.6%	586.5M	-6.66B	-30.6M	0.40	6.18	N/A	N/A	525,015	211,257	2,034,857	2,143,236
2013-05-15	$73.66	$73.00	12.8%	3.7%	10.0%	10.1%	13.5%	2.1%	0.5%	547.8M	-6.85B	-30.5M	0.76	22.48	N/A	N/A	240,066	182,235	2,096,267	2,204,107
2013-05-16	$73.61	$0.00	12.6%	3.6%	8.5%	9.1%	12.8%	2.1%	0.6%	450.3M	-6.34B	-30.5M	1.17	38.33	N/A	N/A	186,323	217,182	2,057,874	2,248,821
2013-05-17	$74.27	$74.00	12.6%	3.5%	8.5%	8.8%	12.5%	1.8%	0.6%	453.5M	-7.39B	-29.9M	0.66	41.90	N/A	N/A	287,980	190,638	2,045,625	2,303,113
2013-05-20	$74.07	$71.00	12.8%	3.7%	8.4%	10.1%	13.4%	2.1%	0.2%	432.2M	-4.53B	-30.0M	0.89	2.45	N/A	N/A	195,579	174,401	1,696,747	1,810,016
2013-05-21	$74.28	$71.00	13.4%	3.9%	8.3%	13.9%	14.3%	2.2%	0.3%	358.0M	-4.46B	-30.0M	1.70	3.18	N/A	N/A	112,484	191,242	1,730,949	1,874,825
2013-05-22	$73.74	$71.00	13.5%	3.9%	9.1%	14.5%	14.0%	2.1%	0.2%	236.1M	-3.28B	-30.6M	1.46	3.00	N/A	N/A	211,979	310,507	1,737,471	1,957,642
2013-05-23	$73.43	$71.00	14.1%	4.1%	9.3%	18.2%	14.3%	2.6%	0.2%	158.9M	-2.60B	-30.5M	1.50	9.42	N/A	N/A	173,174	260,024	1,747,033	2,014,372
2013-05-24	$73.48	$71.00	13.7%	3.9%	9.0%	15.7%	13.5%	3.0%	0.2%	206.3M	-2.64B	-30.2M	0.76	3.28	N/A	N/A	292,489	222,865	1,784,490	2,056,538
2013-05-28	$73.74	$69.00	13.5%	3.9%	8.6%	14.5%	14.0%	3.1%	0.2%	301.8M	-3.09B	-29.5M	1.58	7.70	N/A	N/A	110,282	174,092	1,708,793	1,935,130
2013-05-29	$73.54	$69.00	13.6%	3.9%	8.6%	14.8%	14.3%	3.3%	0.2%	175.3M	-2.39B	-29.3M	1.31	6.69	N/A	N/A	157,765	207,325	1,643,329	2,000,954
2013-05-30	$73.93	$69.00	13.7%	3.9%	8.1%	15.8%	14.3%	3.4%	-0.1%	288.1M	-3.21B	-29.1M	1.19	3.90	N/A	N/A	180,093	213,493	1,676,490	2,029,417
2013-05-31	$73.13	$69.00	14.8%	4.3%	8.5%	22.0%	14.5%	3.6%	-0.3%	23.6M	-1.31B	-29.7M	1.15	19.90	N/A	N/A	222,426	255,880	1,722,422	2,093,825