QQQ Options History — November 2018

In November 2018, QQQ traded between $159.21 and $175.07. ATM implied volatility averaged 24.1%, placing in the 63.6% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 7.9% (HV 20d: 32.0%). Max pain ranged from $170.00 to $176.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.41.

Notable Days

2018-11-20: Highest Volume — 1,654,039 contracts
2018-11-12: Largest IV spike — 17.9% change
2018-11-20: Highest IV Rank — 78.9%
2018-11-02: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$167.09	$159.21	$175.07	$171.84	$169.25
Max Pain	$173.67	$170.00	$176.00	$175.00	$170.00
ATM IV	24.1%	20.3%	27.3%	23.8%	22.9%
Expected Move	7.1%	5.9%	8.0%	7.7%	7.1%
HV 20d	32.0%	27.2%	34.4%	33.3%	27.2%
HV 60d	23.3%	21.2%	25.6%	21.2%	25.5%
IV Rank	63.6%	46.3%	78.9%	62.3%	57.1%
IV Percentile	89.5%	81.3%	97.6%	91.3%	82.5%
Term Structure	-0.3%	-1.0%	0.3%	-0.2%	-0.0%
VWIV	25.2%	21.5%	30.0%	30.0%	25.4%
Skew 25d	6.8%	5.1%	8.4%	8.0%	5.3%
Skew 10d	12.3%	9.2%	15.4%	14.5%	9.9%
Call IV 25d	20.7%	17.1%	23.9%	20.1%	20.0%
Put IV 25d	27.6%	23.8%	30.6%	28.1%	25.3%
Bid-Ask Spread %	2.63	2.14	3.76	2.42	2.74
Gamma HHI	0.05	0.03	0.20	0.03	0.03
Net GEX	-1.52B	-2.58B	-426.7M	-1.27B	-426.7M
Net DEX	19.80B	2.26B	31.61B	13.41B	6.22B
Net VEX	-127.4M	-150.5M	-112.9M	-150.5M	-122.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.41	0.94	2.09	2.04	1.40
Total Volume	1,017,560.19	527,496	1,654,039	1,102,348	870,436
Total OI	8,699,051	7,390,112	9,596,670	9,376,782	8,720,988

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
2018-11-01	$171.84	$175.00	23.8%	7.7%	33.3%	62.3%	30.0%	8.0%	-0.2%	-1.27B	13.41B	-150.5M	2.04	2.42	N/A	N/A	362,446	739,902	3,422,017	5,954,765
2018-11-02	$169.51	$175.00	24.7%	8.0%	33.5%	66.4%	29.1%	8.3%	-0.2%	-2.17B	21.40B	-148.8M	2.09	2.65	N/A	N/A	413,861	866,371	3,504,221	6,092,449
2018-11-05	$168.70	$176.00	25.3%	7.0%	33.5%	69.4%	25.8%	8.4%	-0.1%	-1.70B	22.19B	-141.7M	1.56	2.23	N/A	N/A	297,040	463,236	3,176,684	5,542,843
2018-11-06	$169.79	$176.00	24.1%	6.9%	33.6%	63.6%	24.1%	8.0%	-0.1%	-1.65B	19.33B	-140.5M	1.02	3.11	N/A	N/A	314,438	319,724	3,209,950	5,630,109
2018-11-07	$175.07	$176.00	20.3%	5.9%	32.7%	46.3%	21.8%	6.7%	0.2%	-516.7M	2.26B	-134.8M	1.50	2.50	N/A	N/A	430,668	647,503	3,351,358	5,699,145
2018-11-08	$173.89	$176.00	20.6%	6.0%	32.4%	47.3%	21.5%	6.8%	0.1%	-848.6M	7.32B	-135.9M	1.30	2.53	N/A	N/A	399,849	518,253	3,410,160	5,782,384
2018-11-09	$171.83	$176.00	21.6%	6.3%	32.0%	52.4%	22.5%	7.2%	0.3%	-1.44B	14.48B	-135.3M	1.64	2.62	N/A	N/A	415,653	682,307	3,454,524	5,907,053
2018-11-12	$166.84	$176.00	25.5%	7.2%	33.6%	70.5%	24.9%	8.2%	-0.2%	-2.14B	27.98B	-128.2M	1.79	2.64	N/A	N/A	398,103	711,820	3,178,964	5,533,303
2018-11-13	$166.51	$175.00	25.6%	7.2%	32.2%	70.6%	25.0%	8.1%	-0.4%	-2.16B	28.47B	-128.2M	1.21	2.32	N/A	N/A	442,684	536,629	3,297,450	5,621,268
2018-11-14	$165.73	$175.00	25.8%	7.3%	32.2%	71.8%	25.8%	7.4%	-0.4%	-2.24B	30.22B	-126.6M	1.52	3.03	N/A	N/A	455,170	691,246	3,433,059	5,657,623
2018-11-15	$167.70	$175.00	24.7%	7.0%	32.0%	66.5%	26.1%	7.2%	-0.3%	-2.01B	23.49B	-127.8M	1.45	3.76	N/A	N/A	541,147	785,421	3,574,934	5,718,907
2018-11-16	$167.98	$175.00	22.9%	6.6%	32.0%	58.3%	23.8%	6.6%	0.1%	-2.58B	21.82B	-123.9M	1.08	2.50	N/A	N/A	547,656	589,118	3,695,789	5,727,623
2018-11-19	$161.86	$174.00	26.5%	7.6%	34.2%	75.1%	26.1%	6.6%	-0.8%	-1.58B	26.79B	-116.5M	1.35	3.04	N/A	N/A	536,177	726,192	2,764,222	4,625,890
2018-11-20	$159.41	$173.00	27.3%	7.8%	34.4%	78.9%	27.0%	6.7%	-1.0%	-1.77B	31.61B	-115.3M	1.50	3.12	N/A	N/A	661,993	992,046	2,969,872	4,888,030
2018-11-21	$160.61	$172.00	25.6%	7.4%	33.1%	71.0%	24.4%	6.2%	-0.8%	-1.64B	28.20B	-118.3M	0.94	2.33	N/A	N/A	492,578	464,005	3,192,032	5,003,681
2018-11-23	$159.21	$171.00	26.4%	7.7%	32.1%	74.7%	26.1%	6.2%	-0.9%	-1.94B	31.41B	-113.1M	1.41	2.78	N/A	N/A	218,585	308,911	3,260,819	5,078,366
2018-11-26	$162.75	$171.00	24.5%	7.2%	31.8%	65.5%	25.6%	6.0%	-0.7%	-1.43B	22.48B	-112.9M	1.05	2.27	N/A	N/A	357,248	375,172	2,994,978	4,841,585
2018-11-27	$163.32	$170.00	23.1%	6.8%	29.2%	58.0%	24.8%	5.5%	-0.2%	-1.38B	21.04B	-114.2M	1.49	2.22	N/A	N/A	306,485	456,892	3,128,254	4,919,062
2018-11-28	$168.32	$170.00	22.4%	6.8%	29.5%	54.7%	24.3%	5.1%	-0.3%	-561.7M	8.32B	-120.4M	1.12	2.31	N/A	N/A	492,986	549,832	3,235,179	5,022,440
2018-11-29	$168.74	$170.00	22.7%	6.9%	27.3%	56.0%	23.9%	5.3%	-0.7%	-515.9M	7.40B	-120.4M	1.13	2.14	N/A	N/A	464,496	524,485	3,308,652	5,149,439
2018-11-30	$169.25	$170.00	22.9%	7.1%	27.2%	57.1%	25.4%	5.3%	-0.0%	-426.7M	6.22B	-122.2M	1.40	2.74	N/A	N/A	363,057	507,379	3,451,277	5,269,711