QQQ Options History — July 2013

In July 2013, QQQ traded between $71.60 and $75.91. ATM implied volatility averaged 13.0%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 0.3% (HV 20d: 13.3%). Max pain ranged from $70.50 to $75.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.50.

Notable Days

2013-07-11: Highest Volume — 686,081 contracts
2013-07-10: Largest IV drop — 7.4% change
2013-07-02: Highest IV Rank — 24.5%
2013-07-02: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$74.30	$71.60	$75.91	$71.60	$75.91
Max Pain	$72.90	$70.50	$75.00	$70.50	$75.00
ATM IV	13.0%	11.9%	15.0%	14.9%	12.7%
Expected Move	3.7%	3.4%	4.3%	4.3%	3.6%
HV 20d	13.3%	9.7%	16.3%	16.3%	9.7%
HV 60d	13.0%	11.9%	14.9%	14.9%	11.9%
IV Rank	11.7%	5.3%	24.5%	24.0%	9.8%
IV Percentile	19.6%	2.8%	54.0%	50.8%	17.1%
Term Structure	0.4%	-0.2%	1.2%	-0.2%	0.6%
VWIV	13.4%	12.2%	15.0%	14.4%	12.3%
Skew 25d	2.8%	2.3%	3.9%	3.9%	2.8%
Skew 10d	5.7%	4.6%	7.7%	7.2%	5.8%
Call IV 25d	11.8%	10.5%	13.3%	13.3%	11.6%
Put IV 25d	14.6%	12.9%	17.1%	17.1%	14.4%
Bid-Ask Spread %	6.48	2.79	13.77	6.77	11.99
Gamma HHI	0.09	0.06	0.17	0.06	0.08
Net GEX	14.8M	-202.7M	160.4M	556.3K	56.0M
Net DEX	-2.28B	-4.51B	364.4M	364.4M	-2.87B
Net VEX	-28.7M	-30.0M	-26.9M	-29.8M	-29.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.50	0.76	2.36	1.32	0.76
Total Volume	317,639.455	189,835	686,081	270,020	507,376
Total OI	3,349,972.227	3,091,382	3,824,961	3,111,195	3,370,047

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
2013-07-01	$71.60	$70.50	14.9%	4.3%	16.3%	24.0%	14.4%	3.9%	-0.2%	556.3K	364.4M	-29.8M	1.32	6.77	N/A	N/A	116,316	153,704	1,407,660	1,703,535
2013-07-02	$71.75	$71.00	15.0%	4.3%	16.2%	24.5%	14.9%	3.8%	-0.2%	-12.2M	319.4M	-30.0M	1.26	5.16	N/A	N/A	120,117	151,260	1,443,839	1,752,275
2013-07-03	$72.18	$71.00	14.7%	4.2%	16.0%	22.5%	15.0%	3.6%	0.2%	867.9K	-206.5M	-29.7M	1.34	7.40	N/A	N/A	81,120	108,715	1,435,964	1,787,133
2013-07-05	$72.59	$71.00	13.7%	3.9%	16.1%	16.2%	13.7%	3.2%	-0.2%	68.0M	-1.02B	-28.9M	1.45	6.67	N/A	N/A	140,022	203,015	1,447,670	1,798,697
2013-07-08	$72.65	$71.00	13.6%	3.9%	15.5%	16.0%	14.4%	3.0%	-0.2%	34.9M	-868.1M	-28.3M	1.38	5.55	N/A	N/A	125,964	174,145	1,384,123	1,732,507
2013-07-09	$73.05	$71.00	13.0%	3.7%	15.6%	12.0%	12.7%	2.9%	0.2%	39.5M	-1.45B	-28.3M	2.08	5.18	N/A	N/A	87,998	182,699	1,432,631	1,793,639
2013-07-10	$73.51	$71.50	12.0%	3.5%	15.4%	6.0%	12.2%	2.7%	0.3%	22.8M	-2.07B	-28.0M	1.38	8.98	N/A	N/A	155,813	215,467	1,435,180	1,848,149
2013-07-11	$75.00	$0.00	12.7%	3.6%	16.0%	9.9%	14.1%	2.7%	-0.1%	158.0M	-4.43B	-26.9M	1.33	6.92	N/A	N/A	294,524	391,557	1,499,767	1,934,532
2013-07-12	$75.20	$73.00	12.9%	3.7%	15.5%	11.6%	14.2%	2.5%	-0.1%	103.8M	-4.45B	-28.4M	1.04	7.87	N/A	N/A	136,100	141,955	1,550,574	2,061,684
2013-07-15	$75.43	$73.00	13.3%	3.8%	15.2%	13.5%	13.3%	2.4%	1.1%	142.7M	-4.25B	-27.5M	1.62	2.79	N/A	N/A	82,038	132,812	1,502,741	1,954,427
2013-07-16	$75.41	$73.00	13.5%	3.8%	14.9%	14.9%	14.2%	2.5%	1.1%	125.1M	-4.15B	-28.0M	1.35	3.10	N/A	N/A	113,825	154,147	1,528,510	2,016,397
2013-07-17	$75.62	$73.00	12.5%	3.6%	14.8%	9.1%	13.2%	2.3%	1.2%	160.4M	-4.51B	-28.2M	1.65	3.70	N/A	N/A	111,911	185,030	1,582,508	2,057,631
2013-07-18	$74.81	$73.00	13.0%	3.7%	14.7%	12.2%	13.4%	2.8%	0.5%	7.2M	-3.00B	-29.3M	2.09	13.77	N/A	N/A	119,114	248,669	1,573,979	2,115,582
2013-07-19	$74.69	$73.00	12.2%	3.5%	11.1%	6.8%	12.9%	2.5%	0.5%	-202.7M	-2.45B	-28.5M	2.36	3.56	N/A	N/A	151,500	356,886	1,595,463	2,229,498
2013-07-22	$74.81	$75.00	11.9%	3.5%	10.3%	5.3%	12.7%	2.4%	1.0%	-93.3M	-1.96B	-27.8M	1.54	4.50	N/A	N/A	76,629	118,114	1,258,009	1,833,373
2013-07-23	$74.28	$75.00	12.7%	3.7%	10.1%	10.3%	13.0%	2.4%	0.9%	-161.4M	-1.15B	-28.2M	1.35	13.46	N/A	N/A	116,421	156,899	1,294,864	1,868,140
2013-07-24	$74.81	$75.00	12.0%	3.4%	10.1%	5.6%	12.8%	2.5%	1.1%	-68.7M	-2.19B	-28.2M	1.60	4.99	N/A	N/A	109,012	174,486	1,340,136	1,913,664
2013-07-25	$74.89	$74.00	12.0%	3.4%	9.8%	5.7%	12.7%	2.5%	0.3%	-74.6M	-2.16B	-28.8M	1.62	4.93	N/A	N/A	106,607	173,004	1,355,959	1,973,300
2013-07-26	$75.38	$74.00	12.0%	3.4%	9.8%	5.6%	12.2%	2.4%	0.3%	96.1M	-3.00B	-29.2M	2.13	5.05	N/A	N/A	96,760	206,247	1,381,529	2,042,246
2013-07-29	$75.31	$74.00	12.4%	3.6%	9.7%	8.2%	13.0%	2.8%	0.8%	-76.2M	-2.06B	-29.3M	1.46	5.27	N/A	N/A	84,349	123,232	1,261,597	1,939,079
2013-07-30	$75.75	$74.00	12.3%	3.5%	9.7%	7.3%	13.0%	3.0%	0.5%	-1.5M	-2.66B	-29.3M	0.80	5.02	N/A	N/A	168,032	134,477	1,289,384	1,971,767
2013-07-31	$75.91	$75.00	12.7%	3.6%	9.7%	9.8%	12.3%	2.8%	0.6%	56.0M	-2.87B	-29.8M	0.76	11.99	N/A	N/A	288,878	218,498	1,355,636	2,014,411