QQQ Options History — September 2018

In September 2018, QQQ traded between $181.31 and $185.91. ATM implied volatility averaged 15.2%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 4.1% (HV 20d: 11.1%). Max pain ranged from $178.00 to $184.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.86.

Notable Days

  • 2018-09-06: Highest Volume — 1,366,101 contracts
  • 2018-09-17: Largest IV spike — 18.4% change
  • 2018-09-07: Highest IV Rank — 34.9%
  • 2018-09-07: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$183.58$181.31$185.91$185.91$185.70
Max Pain$182.26$178.00$184.00$178.00$184.00
ATM IV15.2%13.9%16.9%14.5%14.6%
Expected Move4.3%3.9%5.0%4.1%3.9%
HV 20d11.1%9.1%12.5%9.1%11.1%
HV 60d12.4%11.7%13.0%12.4%11.7%
IV Rank25.5%18.8%34.9%22.0%22.3%
IV Percentile56.2%39.7%73.4%52.8%48.0%
Term Structure0.4%-0.0%1.0%0.2%0.6%
VWIV16.7%14.9%19.7%15.3%14.9%
Skew 25d5.5%4.8%6.5%5.2%5.2%
Skew 10d11.0%9.5%12.9%10.5%10.8%
Call IV 25d12.9%11.9%14.6%12.7%12.0%
Put IV 25d18.4%16.8%21.1%17.9%17.2%
Bid-Ask Spread %1.781.482.231.761.83
Gamma HHI0.030.030.040.040.03
Net GEX-799.6M-1.50B225.7M225.7M-378.8M
Net DEX-4.23B-13.38B2.66B-13.38B-5.12B
Net VEX-122.9M-135.3M-115.5M-116.6M-123.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.861.392.381.992.38
Total Volume808,787.158509,9851,366,101713,003672,020
Total OI8,640,318.8957,158,3369,723,5318,187,6438,053,581

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$185.91$178.0014.5%4.1%9.1%22.0%15.3%5.2%0.2%225.7M-13.38B-116.6M1.991.76N/AN/A238,422474,5812,689,2145,498,429
2018-09-05$183.46$178.0015.7%4.4%10.4%28.3%16.2%5.9%0.1%-682.4M-5.23B-124.3M1.791.63N/AN/A383,315687,3292,754,4415,643,677
2018-09-06$181.98$183.0016.4%4.8%10.8%31.8%18.8%6.1%0.1%-1.24B-93.8M-129.9M2.211.72N/AN/A426,049940,0522,855,9615,838,624
2018-09-07$181.31$182.0016.9%5.0%10.9%34.9%19.7%6.5%0.1%-1.45B2.66B-135.3M2.101.94N/AN/A325,062683,6742,922,7056,038,351
2018-09-10$181.64$182.0016.4%4.7%10.4%32.3%18.2%6.2%-0.0%-1.34B828.9M-131.1M2.071.95N/AN/A176,997366,4802,722,3266,018,182
2018-09-11$183.09$182.0015.3%4.5%10.8%25.9%18.0%5.7%0.4%-805.8M-5.09B-125.8M1.551.65N/AN/A274,429424,1062,755,0336,066,325
2018-09-12$182.65$182.0015.1%4.4%10.7%25.2%17.1%5.4%0.1%-905.5M-4.01B-123.7M1.461.84N/AN/A315,625460,5442,827,5076,195,470
2018-09-13$184.13$182.0014.4%4.2%9.8%21.5%16.4%4.9%0.4%-119.2M-9.71B-119.7M1.471.69N/AN/A321,628472,0362,884,1106,304,870
2018-09-14$184.04$182.0013.9%4.1%9.8%18.8%16.5%4.8%0.5%-251.7M-8.84B-121.5M2.021.74N/AN/A245,582496,2542,931,2486,408,836
2018-09-17$181.31$182.0016.5%4.8%11.3%32.5%17.9%5.8%0.2%-1.50B1.18B-124.2M2.101.53N/AN/A257,509539,6922,783,0936,201,039
2018-09-18$183.06$183.0015.3%4.4%11.8%26.2%17.7%5.5%0.6%-882.8M-4.93B-119.9M2.002.04N/AN/A251,347502,8912,842,3066,364,659
2018-09-19$182.78$183.0015.0%4.3%11.7%24.5%16.9%5.3%0.6%-1.18B-3.72B-120.7M1.391.73N/AN/A264,585368,6112,882,2196,480,108
2018-09-20$184.80$183.0014.1%4.0%12.3%19.9%16.5%4.8%0.7%14.7M-11.58B-116.6M2.131.93N/AN/A316,618674,3452,946,2886,556,960
2018-09-21$183.55$183.0014.3%4.0%12.5%20.7%15.4%5.1%1.0%-1.24B-6.90B-115.5M1.881.80N/AN/A342,064644,0422,976,0266,747,505
2018-09-24$183.72$184.0015.4%4.3%12.2%26.6%16.5%5.8%0.5%-1.28B1.56B-121.2M1.641.48N/AN/A252,548414,7761,991,5595,166,777
2018-09-25$184.21$183.0015.1%4.1%11.8%25.0%15.5%5.7%0.5%-996.4M-518.7M-119.7M1.681.55N/AN/A190,411319,5742,099,7435,284,605
2018-09-26$184.98$183.0014.8%4.0%11.8%23.6%15.2%5.5%0.6%-718.7M-2.85B-121.1M1.792.23N/AN/A307,195549,5832,170,3455,413,682
2018-09-27$185.77$184.0014.5%3.9%11.2%21.9%15.2%5.3%0.6%-457.6M-4.63B-124.1M1.781.83N/AN/A283,133503,8472,253,1825,597,073
2018-09-28$185.70$184.0014.6%3.9%11.1%22.3%14.9%5.2%0.6%-378.8M-5.12B-123.6M2.381.83N/AN/A199,085472,9352,333,7635,719,818