QQQ Options History — August 2013

In August 2013, QQQ traded between $75.17 and $77.03. ATM implied volatility averaged 13.5%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 3.6% (HV 20d: 10.0%). Max pain ranged from $74.00 to $77.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.40.

Notable Days

2013-08-15: Highest Volume — 634,094 contracts
2013-08-15: Largest IV spike — 18.8% change
2013-08-30: Highest IV Rank — 41.1%
2013-08-28: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$76.18	$75.17	$77.03	$76.50	$75.46
Max Pain	$76.33	$74.00	$77.00	$77.00	$74.00
ATM IV	13.5%	11.5%	16.5%	12.9%	16.5%
Expected Move	3.9%	3.3%	4.7%	3.7%	4.7%
HV 20d	10.0%	7.8%	12.6%	9.8%	12.4%
HV 60d	12.4%	11.9%	13.2%	11.9%	13.1%
IV Rank	18.2%	2.3%	41.1%	11.2%	41.1%
IV Percentile	34.7%	1.6%	79.0%	22.6%	79.0%
Term Structure	0.3%	-0.4%	1.0%	0.0%	0.2%
VWIV	13.7%	11.4%	15.9%	12.5%	15.9%
Skew 25d	3.2%	2.2%	4.6%	2.5%	4.5%
Skew 10d	6.4%	4.3%	9.1%	4.8%	9.1%
Call IV 25d	12.2%	10.6%	14.6%	11.6%	13.9%
Put IV 25d	15.4%	12.8%	18.8%	14.1%	18.4%
Bid-Ask Spread %	6.31	2.46	13.81	5.46	3.37
Gamma HHI	0.12	0.07	0.22	0.16	0.08
Net GEX	71.4M	-195.2M	355.9M	315.2M	-195.2M
Net DEX	-2.19B	-4.81B	441.3M	-4.02B	-214.1M
Net VEX	-30.1M	-31.9M	-28.1M	-29.6M	-31.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.40	0.77	1.97	0.77	1.94
Total Volume	331,242.682	185,507	634,094	387,606	417,104
Total OI	3,561,464.909	3,107,626	3,984,865	3,550,033	3,641,567

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
2013-08-01	$76.50	$77.00	12.9%	3.7%	9.8%	11.2%	12.5%	2.5%	0.0%	315.2M	-4.02B	-29.6M	0.77	5.46	N/A	N/A	219,322	168,284	1,496,382	2,053,651
2013-08-02	$77.01	$77.00	11.5%	3.3%	9.9%	2.6%	12.1%	2.2%	0.1%	299.2M	-4.81B	-29.3M	0.89	3.88	N/A	N/A	132,837	118,763	1,568,031	2,122,377
2013-08-05	$77.01	$77.00	11.5%	3.3%	9.9%	2.3%	12.3%	2.2%	0.7%	355.9M	-4.48B	-28.1M	1.32	4.03	N/A	N/A	116,171	152,934	1,492,692	1,961,076
2013-08-06	$76.56	$77.00	11.6%	3.3%	10.3%	3.9%	12.1%	2.3%	0.8%	241.9M	-3.59B	-29.6M	1.67	4.31	N/A	N/A	112,187	187,081	1,537,856	2,026,354
2013-08-07	$76.47	$77.00	12.3%	3.5%	10.3%	9.5%	12.4%	2.6%	0.8%	185.1M	-3.27B	-30.2M	1.47	4.38	N/A	N/A	102,805	150,853	1,572,026	2,085,230
2013-08-08	$76.81	$77.00	11.5%	3.3%	7.8%	3.0%	11.4%	2.4%	0.9%	329.7M	-4.07B	-29.8M	0.96	4.19	N/A	N/A	193,137	185,503	1,601,538	2,115,419
2013-08-09	$76.46	$77.00	12.4%	3.6%	8.1%	9.8%	12.7%	2.6%	0.7%	54.4M	-3.18B	-30.0M	1.67	13.81	N/A	N/A	128,481	214,339	1,647,697	2,184,269
2013-08-12	$76.70	$77.00	11.9%	3.4%	8.1%	6.3%	12.2%	2.8%	0.8%	207.8M	-3.53B	-29.9M	1.44	4.33	N/A	N/A	82,947	119,309	1,591,645	2,096,634
2013-08-13	$77.03	$77.00	11.6%	3.3%	8.1%	3.9%	12.2%	2.6%	1.0%	296.0M	-4.18B	-28.9M	1.19	9.06	N/A	N/A	194,942	231,077	1,598,673	2,133,079
2013-08-14	$76.81	$77.00	11.8%	3.4%	8.2%	5.5%	12.4%	2.7%	0.9%	155.6M	-3.53B	-29.6M	1.20	4.42	N/A	N/A	128,303	154,406	1,608,115	2,191,711
2013-08-15	$75.44	$0.00	14.0%	4.0%	9.8%	22.3%	14.3%	3.5%	0.7%	-158.7M	-1.01B	-30.3M	1.07	12.13	N/A	N/A	306,983	327,111	1,655,975	2,219,765
2013-08-16	$75.37	$77.00	13.9%	3.9%	9.8%	21.0%	13.7%	3.6%	0.8%	-162.1M	-934.8M	-30.2M	1.40	8.86	N/A	N/A	152,808	213,752	1,733,069	2,251,796
2013-08-19	$75.39	$75.00	14.7%	4.3%	9.8%	27.3%	14.8%	3.6%	-0.1%	-48.3M	-493.4M	-30.0M	1.97	2.66	N/A	N/A	101,242	199,904	1,313,598	1,794,028
2013-08-20	$75.66	$75.00	14.0%	4.0%	9.4%	21.9%	14.2%	3.5%	-0.0%	-44.2M	-702.9M	-30.4M	1.04	6.28	N/A	N/A	90,937	94,570	1,352,551	1,869,330
2013-08-21	$75.28	$75.00	15.1%	4.3%	9.4%	30.0%	15.2%	3.7%	-0.1%	-98.5M	-149.4M	-30.2M	1.81	10.93	N/A	N/A	141,151	255,556	1,374,240	1,893,701
2013-08-22	$76.19	$75.00	14.4%	4.1%	10.2%	25.3%	14.5%	3.7%	0.2%	30.9M	-1.42B	-30.9M	1.87	8.30	N/A	N/A	83,563	156,136	1,419,685	1,956,510
2013-08-23	$76.65	$75.00	13.2%	3.8%	10.2%	16.1%	14.1%	3.4%	0.4%	89.8M	-2.13B	-30.2M	1.55	2.46	N/A	N/A	139,213	215,258	1,439,326	2,010,502
2013-08-26	$76.73	$77.00	13.9%	4.0%	10.2%	21.4%	14.3%	3.6%	-0.4%	22.5M	-1.88B	-30.1M	1.41	6.53	N/A	N/A	102,980	144,921	1,410,971	1,939,606
2013-08-27	$75.17	$76.00	16.2%	4.6%	12.5%	38.6%	15.9%	4.6%	-0.2%	-160.9M	441.3M	-30.6M	1.54	7.80	N/A	N/A	172,712	266,792	1,424,851	1,978,728
2013-08-28	$75.38	$77.00	16.5%	4.7%	12.6%	40.5%	15.6%	4.3%	-0.4%	-96.3M	-145.7M	-31.3M	1.52	5.63	N/A	N/A	104,365	158,837	1,483,201	1,976,159
2013-08-29	$75.93	$77.00	16.0%	4.6%	12.5%	36.7%	15.8%	4.1%	-0.4%	-48.8M	-865.6M	-31.9M	1.18	5.96	N/A	N/A	159,551	188,212	1,501,951	2,026,663
2013-08-30	$75.46	$74.00	16.5%	4.7%	12.4%	41.1%	15.9%	4.5%	0.2%	-195.2M	-214.1M	-31.7M	1.94	3.37	N/A	N/A	141,645	275,459	1,547,356	2,094,211