QQQ Options History — July 2019 In July 2019, QQQ traded between $189.12 and $195.43. ATM implied volatility averaged 15.3%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.0% (HV 20d: 11.4%). Max pain ranged from $184.00 to $190.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.96.
Notable Days 2019-07-10 : Highest Volume — 743,635 contracts2019-07-26 : Largest IV drop — 8.8% change2019-07-01 : Highest IV Rank — 18.4%2019-07-31 : Largest Expected Move — 4.9%Monthly Statistics Metric Avg Min Max Open Close Price $192.44 $189.12 $195.43 $189.12 $192.03 Max Pain $187.73 $184.00 $190.00 $185.00 $190.00 ATM IV 15.3% 13.7% 16.7% 16.7% 16.6% Expected Move 4.4% 3.7% 4.9% 4.5% 4.9% HV 20d 11.4% 8.8% 15.3% 15.3% 9.9% HV 60d 17.6% 17.4% 17.8% 17.5% 17.5% IV Rank 12.7% 5.9% 18.4% 18.4% 18.0% IV Percentile 27.1% 4.8% 43.3% 41.7% 43.3% Term Structure 0.0% -0.2% 0.4% -0.2% -0.2% VWIV 16.7% 14.1% 18.4% 16.3% 17.5% Skew 25d 4.8% 4.1% 5.5% 5.2% 5.5% Skew 10d 9.4% 8.2% 10.5% 10.1% 10.5% Call IV 25d 13.1% 11.9% 14.3% 14.3% 14.1% Put IV 25d 17.9% 16.0% 19.6% 19.5% 19.6% Bid-Ask Spread % 1.65 1.34 2.42 1.62 2.42 Gamma HHI 0.05 0.04 0.09 0.04 0.04 Net GEX 552.4M -599.3M 1.86B 831.0M -599.3M Net DEX -9.33B -14.88B -1.78B -7.94B -1.78B Net VEX -114.8M -122.1M -107.8M -115.3M -120.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.96 1.42 3.32 1.55 1.84 Total Volume 510,284.455 295,568 743,635 706,107 713,294 Total OI 6,431,487.045 5,896,708 7,293,660 6,145,916 6,401,448
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 2019-07-01 $189.12 $185.00 16.7% 4.5% 15.3% 18.4% 16.3% 5.2% -0.2% 831.0M -7.94B -115.3M 1.55 1.62 N/A N/A 276,461 429,646 2,311,793 3,834,123 2019-07-02 $189.71 $185.00 15.6% 4.0% 13.1% 14.0% 14.1% 5.0% -0.0% 1.02B -8.36B -113.6M 1.48 1.68 N/A N/A 155,713 230,449 2,327,165 3,932,880 2019-07-03 $191.17 $185.00 15.4% 3.7% 13.1% 13.0% 14.2% 4.7% -0.0% 1.62B -12.35B -112.1M 2.01 1.81 N/A N/A 98,195 197,373 2,376,412 4,037,990 2019-07-05 $191.07 $184.00 15.3% 4.4% 13.0% 12.5% 16.1% 4.5% -0.0% 1.86B -11.91B -110.5M 1.42 1.49 N/A N/A 212,516 302,276 2,394,000 4,145,033 2019-07-08 $189.81 $185.00 16.4% 4.7% 12.1% 17.1% 17.8% 5.4% -0.1% 462.6M -7.10B -111.0M 2.13 1.56 N/A N/A 169,427 360,187 2,225,842 3,856,660 2019-07-09 $190.50 $186.00 16.1% 4.6% 11.7% 16.1% 18.4% 5.1% 0.1% 657.0M -8.55B -112.0M 1.78 1.69 N/A N/A 139,309 248,115 2,285,558 3,985,068 2019-07-10 $192.43 $186.00 15.0% 4.4% 12.0% 11.4% 17.3% 4.7% 0.2% 1.36B -13.54B -107.8M 2.61 1.64 N/A N/A 206,156 537,479 2,297,398 4,085,992 2019-07-11 $192.22 $187.00 15.5% 4.4% 11.6% 13.4% 17.6% 4.8% 0.0% 1.03B -11.94B -113.6M 1.62 1.87 N/A N/A 246,277 399,318 2,334,003 4,299,129 2019-07-12 $193.32 $188.00 14.8% 4.3% 11.7% 10.4% 17.1% 4.7% 0.3% 1.08B -14.62B -112.0M 1.91 1.85 N/A N/A 198,040 377,491 2,371,205 4,397,187 2019-07-15 $194.11 $188.00 14.8% 4.3% 11.6% 10.7% 18.1% 4.7% 0.1% 1.13B -14.88B -111.7M 1.82 1.64 N/A N/A 143,842 262,395 2,275,740 4,306,123 2019-07-16 $193.33 $188.00 15.1% 4.3% 11.9% 11.6% 16.0% 4.7% 0.0% 862.9M -12.33B -114.3M 1.61 1.49 N/A N/A 180,363 291,005 2,290,609 4,456,816 2019-07-17 $192.64 $188.00 15.3% 4.4% 11.0% 12.5% 18.0% 5.0% 0.4% 472.7M -9.90B -119.2M 3.32 1.54 N/A N/A 116,321 386,139 2,318,395 4,610,912 2019-07-18 $192.29 $189.00 15.7% 4.5% 11.0% 14.1% 17.4% 5.0% -0.0% -41.5M -8.16B -121.3M 1.71 1.34 N/A N/A 266,484 455,519 2,320,745 4,768,840 2019-07-19 $191.36 $189.00 15.8% 4.5% 11.0% 14.7% 16.1% 5.0% -0.1% -373.2M -5.67B -122.1M 1.95 1.75 N/A N/A 224,115 437,983 2,379,841 4,913,819 2019-07-22 $192.47 $189.00 15.6% 4.5% 11.1% 14.0% 16.7% 5.1% 0.1% -317.8M -4.54B -118.8M 1.81 1.50 N/A N/A 128,014 231,160 1,899,024 3,997,684 2019-07-23 $193.68 $189.00 14.7% 4.2% 11.1% 10.1% 16.8% 4.6% 0.1% 40.0M -7.47B -116.1M 2.22 1.66 N/A N/A 110,916 246,753 1,976,035 4,052,684 2019-07-24 $195.06 $189.00 14.1% 4.1% 8.8% 7.5% 16.2% 4.3% 0.1% 340.6M -10.55B -113.1M 2.55 1.54 N/A N/A 133,976 341,086 2,003,956 4,118,479 2019-07-25 $193.43 $190.00 15.0% 4.3% 9.6% 11.5% 16.2% 4.4% 0.1% -145.1M -6.53B -117.1M 1.65 1.67 N/A N/A 188,171 310,811 2,026,274 4,182,723 2019-07-26 $195.43 $190.00 13.7% 3.9% 10.0% 5.9% 14.3% 4.1% 0.3% 704.6M -12.07B -112.6M 1.74 1.50 N/A N/A 167,758 292,264 2,097,648 4,252,398 2019-07-29 $194.75 $190.00 14.6% 4.2% 10.1% 9.7% 16.8% 4.6% -0.1% 242.3M -8.89B -113.2M 1.94 1.62 N/A N/A 147,597 286,395 2,024,143 4,059,887 2019-07-30 $193.72 $190.00 15.6% 4.7% 9.2% 13.8% 18.0% 5.0% -0.2% -77.4M -6.18B -117.4M 2.42 1.51 N/A N/A 111,098 268,371 2,070,879 4,190,175 2019-07-31 $192.03 $190.00 16.6% 4.9% 9.9% 18.0% 17.5% 5.5% -0.2% -599.3M -1.78B -120.8M 1.84 2.42 N/A N/A 251,093 462,201 2,105,240 4,296,208
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