QQQ Options History — December 2013

In December 2013, QQQ traded between $84.90 and $88.07. ATM implied volatility averaged 13.1%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.6% (HV 20d: 9.5%). Max pain ranged from $84.00 to $84.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.20.

Notable Days

2013-12-18: Highest Volume — 715,601 contracts
2013-12-18: Largest IV drop — 9.8% change
2013-12-17: Highest IV Rank — 36.5%
2013-12-17: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$86.20	$84.90	$88.07	$85.50	$88.07
Max Pain	$84.00	$84.00	$84.00	$84.00	$84.00
ATM IV	13.1%	11.8%	14.7%	12.7%	13.4%
Expected Move	5.6%	5.3%	5.8%	5.3%	5.6%
HV 20d	9.5%	7.9%	10.9%	10.9%	9.6%
HV 60d	11.4%	11.2%	11.7%	11.4%	11.3%
IV Rank	20.2%	7.8%	36.5%	16.5%	23.7%
IV Percentile	39.0%	5.2%	75.0%	29.8%	53.2%
Term Structure	0.4%	-0.1%	0.9%	0.1%	-0.1%
VWIV	20.7%	16.8%	22.8%	16.8%	19.1%
Skew 25d	2.8%	2.2%	3.3%	2.6%	3.0%
Skew 10d	5.7%	4.0%	7.3%	4.8%	7.2%
Call IV 25d	12.0%	11.0%	13.7%	11.4%	12.3%
Put IV 25d	14.8%	13.4%	16.7%	14.1%	15.4%
Bid-Ask Spread %	8.06	3.68	20.00	17.93	7.77
Gamma HHI	0.17	0.11	0.29	0.17	0.25
Net GEX	414.1M	185.9M	959.4M	327.3M	586.3M
Net DEX	-4.95B	-7.70B	-2.01B	-6.57B	-4.09B
Net VEX	-40.4M	-42.9M	-34.5M	-34.5M	-41.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.46	2.56	1.87	0.99
Total Volume	370,832.381	98,320	715,601	392,098	451,762
Total OI	4,855,028.667	4,102,211	5,802,780	4,439,666	4,331,647

Daily Data (21 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
2013-12-02	$85.50	$84.00	12.7%	5.3%	10.9%	16.5%	16.8%	2.6%	0.1%	327.3M	-6.57B	-34.5M	1.87	17.93	N/A	N/A	136,639	255,459	1,919,409	2,520,257
2013-12-03	$85.33	$84.00	12.7%	5.6%	10.9%	16.6%	17.7%	2.7%	0.4%	208.3M	-5.76B	-36.7M	1.35	7.25	N/A	N/A	112,929	152,704	1,961,778	2,652,298
2013-12-04	$85.49	$84.00	12.9%	5.7%	10.9%	18.6%	22.6%	2.9%	0.5%	221.7M	-6.06B	-37.7M	0.97	14.51	N/A	N/A	176,255	171,361	2,018,776	2,690,461
2013-12-05	$85.40	$84.00	13.8%	5.6%	10.9%	27.4%	21.1%	3.3%	0.4%	241.9M	-5.97B	-38.1M	0.86	4.87	N/A	N/A	237,744	203,904	2,057,898	2,697,988
2013-12-06	$86.05	$84.00	12.5%	5.4%	8.7%	14.6%	21.6%	3.1%	0.9%	553.9M	-7.67B	-37.8M	0.81	20.00	N/A	N/A	327,258	263,641	2,151,662	2,772,437
2013-12-09	$86.40	$84.00	12.5%	5.6%	8.0%	14.6%	21.3%	2.9%	0.7%	388.1M	-7.70B	-38.4M	1.07	4.32	N/A	N/A	132,492	141,188	2,149,833	2,679,372
2013-12-10	$86.32	$84.00	12.6%	5.6%	7.9%	15.6%	21.9%	2.8%	0.7%	363.2M	-7.46B	-38.5M	1.22	5.19	N/A	N/A	158,237	193,614	2,184,471	2,720,406
2013-12-11	$85.22	$84.00	13.7%	5.7%	9.6%	26.1%	20.6%	3.0%	0.5%	199.0M	-5.02B	-39.9M	1.35	5.58	N/A	N/A	213,760	288,178	2,276,379	2,841,154
2013-12-12	$84.94	$84.00	14.1%	5.6%	9.0%	30.4%	20.9%	2.9%	0.1%	185.9M	-3.93B	-42.1M	1.51	5.45	N/A	N/A	141,397	213,097	2,416,717	2,951,519
2013-12-13	$84.90	$84.00	14.0%	5.7%	9.0%	29.7%	19.0%	2.9%	0.1%	186.2M	-3.40B	-42.9M	1.54	5.52	N/A	N/A	140,817	216,898	2,495,796	3,040,315
2013-12-16	$85.32	$84.00	14.7%	5.7%	9.1%	36.3%	21.9%	3.1%	0.4%	314.1M	-4.57B	-41.9M	0.64	6.14	N/A	N/A	144,199	92,111	2,453,655	2,950,832
2013-12-17	$85.08	$84.00	14.7%	5.8%	8.4%	36.5%	21.4%	2.9%	0.5%	288.8M	-4.26B	-41.6M	1.38	5.98	N/A	N/A	122,353	169,404	2,497,188	2,970,438
2013-12-18	$86.25	$84.00	13.3%	5.6%	9.3%	22.0%	20.7%	2.7%	0.7%	562.8M	-6.71B	-42.7M	0.96	19.96	N/A	N/A	364,919	350,682	2,550,658	3,048,977
2013-12-19	$85.89	$84.00	12.8%	5.6%	9.5%	17.1%	20.1%	2.5%	0.3%	594.0M	-6.07B	-42.1M	0.80	6.82	N/A	N/A	311,325	250,388	2,626,987	3,175,793
2013-12-20	$86.57	$84.00	11.9%	5.6%	9.3%	8.4%	21.1%	2.6%	0.4%	959.4M	-2.01B	-42.8M	0.46	8.23	N/A	N/A	386,235	175,803	1,972,730	3,263,907
2013-12-23	$87.38	$84.00	12.2%	5.6%	9.6%	11.2%	22.8%	2.5%	0.7%	541.6M	-3.25B	-41.9M	0.79	4.15	N/A	N/A	154,713	122,022	1,804,665	2,297,546
2013-12-24	$87.45	$84.00	12.3%	5.6%	9.6%	12.1%	21.6%	2.6%	0.7%	534.0M	-3.38B	-42.4M	0.98	4.77	N/A	N/A	49,680	48,640	1,827,854	2,359,116
2013-12-26	$87.78	$84.00	11.8%	5.5%	9.5%	7.8%	21.2%	2.2%	0.6%	578.8M	-3.94B	-41.6M	1.51	3.68	N/A	N/A	73,834	111,799	1,836,933	2,366,767
2013-12-27	$87.49	$84.00	12.6%	5.6%	9.5%	15.6%	21.0%	2.4%	0.4%	403.7M	-3.29B	-41.3M	1.54	5.35	N/A	N/A	96,341	148,358	1,834,986	2,402,589
2013-12-30	$87.38	$84.00	13.4%	5.6%	9.4%	23.1%	19.8%	2.8%	0.1%	457.7M	-2.79B	-40.9M	2.56	5.77	N/A	N/A	80,190	205,150	1,811,777	2,371,631
2013-12-31	$88.07	$84.00	13.4%	5.6%	9.6%	23.7%	19.1%	3.0%	-0.1%	586.3M	-4.09B	-41.7M	0.99	7.77	N/A	N/A	227,562	224,200	1,842,658	2,488,989