QQQ Options History — June 2013

In June 2013, QQQ traded between $69.73 and $73.54. ATM implied volatility averaged 15.7%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.5% (HV 20d: 12.3%). Max pain ranged from $70.00 to $74.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.21.

Notable Days

2013-06-20: Highest Volume — 790,035 contracts
2013-06-20: Largest IV spike — 25.6% change
2013-06-24: Highest IV Rank — 45.9%
2013-06-24: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.05	$69.73	$73.54	$73.38	$71.20
Max Pain	$72.24	$70.00	$74.00	$74.00	$70.50
ATM IV	15.7%	14.1%	18.4%	15.4%	15.4%
Expected Move	4.5%	4.0%	5.4%	4.4%	4.4%
HV 20d	12.3%	7.5%	16.5%	7.5%	16.2%
HV 60d	13.6%	12.2%	15.0%	12.2%	15.0%
IV Rank	29.0%	18.6%	45.9%	25.6%	26.8%
IV Percentile	59.9%	38.1%	89.3%	55.6%	58.3%
Term Structure	0.2%	-0.8%	0.8%	0.1%	0.3%
VWIV	16.2%	14.0%	18.6%	16.5%	15.5%
Skew 25d	4.1%	3.3%	5.3%	4.0%	3.9%
Skew 10d	8.2%	6.9%	9.6%	8.1%	7.7%
Call IV 25d	14.0%	12.6%	16.1%	13.4%	13.5%
Put IV 25d	18.2%	15.9%	21.3%	17.3%	17.3%
Bid-Ask Spread %	8.87	2.75	27.90	7.43	27.82
Gamma HHI	0.10	0.05	0.19	0.14	0.08
Net GEX	-3.1M	-282.5M	158.1M	116.9M	-54.0M
Net DEX	163.5M	-2.32B	4.61B	-1.87B	943.3M
Net VEX	-29.8M	-30.8M	-28.6M	-30.0M	-30.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.21	0.62	1.82	1.30	1.47
Total Volume	420,277.6	203,008	790,035	443,252	312,605
Total OI	3,725,325.65	3,125,469	4,150,065	3,515,998	3,444,707

Daily Data (20 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
2013-06-03	$73.38	$74.00	15.4%	4.4%	7.5%	25.6%	16.5%	4.0%	0.1%	116.9M	-1.87B	-30.0M	1.30	7.43	N/A	N/A	192,419	250,833	1,572,200	1,943,798
2013-06-04	$72.99	$73.00	15.1%	4.3%	7.8%	23.9%	15.6%	4.2%	0.3%	95.3M	-1.30B	-29.8M	1.12	6.41	N/A	N/A	172,494	193,372	1,611,853	1,984,023
2013-06-05	$72.20	$73.00	15.8%	4.5%	8.7%	28.2%	16.1%	4.1%	0.0%	-47.0M	199.2M	-29.7M	1.03	7.58	N/A	N/A	183,837	190,061	1,602,623	2,047,565
2013-06-06	$72.43	$73.00	15.4%	4.4%	8.6%	27.1%	17.3%	4.0%	0.6%	-12.6M	-263.8M	-30.2M	1.27	8.82	N/A	N/A	205,450	261,572	1,654,550	2,069,073
2013-06-07	$73.28	$73.00	14.1%	4.0%	9.6%	18.6%	14.0%	3.3%	0.4%	114.7M	-1.89B	-29.9M	1.15	27.90	N/A	N/A	221,256	253,537	1,700,578	2,111,240
2013-06-10	$73.39	$73.00	14.4%	4.1%	9.4%	20.9%	15.4%	3.7%	0.3%	99.7M	-1.74B	-29.7M	1.50	6.03	N/A	N/A	92,419	138,682	1,643,761	2,053,391
2013-06-11	$72.75	$73.00	15.3%	4.4%	9.9%	26.4%	15.4%	4.0%	-0.3%	14.1M	-788.8M	-29.9M	1.82	8.40	N/A	N/A	134,355	244,179	1,670,175	2,097,071
2013-06-12	$71.78	$73.00	16.7%	4.8%	10.7%	35.3%	17.4%	4.2%	-0.1%	-80.6M	844.4M	-30.1M	1.38	9.86	N/A	N/A	215,936	297,045	1,723,481	2,128,917
2013-06-13	$72.72	$0.00	15.4%	4.4%	11.8%	27.0%	17.2%	4.0%	-0.3%	41.3M	-1.01B	-30.8M	1.05	8.15	N/A	N/A	201,124	211,621	1,804,210	2,173,100
2013-06-14	$72.27	$72.00	15.5%	4.4%	12.0%	27.4%	15.8%	3.9%	0.5%	667.4K	-129.3M	-30.6M	1.37	8.63	N/A	N/A	182,721	250,499	1,843,880	2,214,048
2013-06-17	$73.00	$73.00	15.4%	4.4%	12.1%	26.8%	15.8%	4.1%	0.5%	99.2M	-1.43B	-30.1M	1.50	3.13	N/A	N/A	126,802	190,193	1,803,528	2,162,015
2013-06-18	$73.54	$73.00	14.5%	4.1%	12.5%	21.2%	15.3%	4.0%	0.7%	158.1M	-2.32B	-29.9M	0.89	2.75	N/A	N/A	178,339	158,846	1,806,970	2,191,049
2013-06-19	$72.73	$73.00	14.2%	4.1%	13.0%	19.5%	14.4%	3.7%	0.8%	-7.2K	-705.5M	-29.2M	1.21	3.58	N/A	N/A	220,539	265,942	1,827,903	2,240,581
2013-06-20	$70.94	$73.00	17.8%	5.1%	15.4%	42.3%	17.7%	4.5%	0.1%	-135.9M	2.52B	-28.8M	1.12	15.98	N/A	N/A	372,882	417,153	1,870,399	2,279,666
2013-06-21	$70.36	$73.00	17.8%	5.1%	15.5%	41.9%	17.2%	4.8%	-0.4%	-282.5M	4.61B	-28.9M	1.29	3.89	N/A	N/A	342,443	440,394	1,790,614	2,348,489
2013-06-24	$69.73	$70.00	18.4%	5.4%	15.7%	45.9%	18.6%	5.3%	-0.8%	-109.9M	2.97B	-28.6M	0.82	5.22	N/A	N/A	260,386	212,825	1,383,235	1,742,234
2013-06-25	$70.18	$70.00	17.4%	5.0%	15.8%	39.6%	17.4%	4.7%	-0.0%	-77.9M	2.39B	-29.3M	0.62	5.31	N/A	N/A	205,021	127,642	1,466,637	1,779,151
2013-06-26	$70.87	$70.00	15.9%	4.6%	16.4%	30.0%	17.4%	4.3%	0.1%	-28.2M	1.45B	-30.1M	1.37	5.22	N/A	N/A	85,634	117,374	1,538,093	1,807,070
2013-06-27	$71.36	$70.00	15.1%	4.3%	16.5%	25.4%	14.6%	3.9%	0.3%	26.4M	799.6M	-30.0M	0.90	5.27	N/A	N/A	146,048	131,072	1,543,817	1,830,818
2013-06-28	$71.20	$70.50	15.4%	4.4%	16.2%	26.8%	15.5%	3.9%	0.3%	-54.0M	943.3M	-30.3M	1.47	27.82	N/A	N/A	126,532	186,073	1,573,437	1,871,270