QQQ Options History — August 2019 In August 2019, QQQ traded between $181.06 and $190.72. ATM implied volatility averaged 21.1%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.4% (HV 20d: 21.4%). Max pain ranged from $185.00 to $190.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 2.05.
Notable Days 2019-08-05 : Highest Volume — 1,385,297 contracts2019-08-05 : Largest IV spike — 26.3% change2019-08-05 : Highest IV Rank — 55.4%2019-08-14 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $185.91 $181.06 $190.72 $190.72 $187.19 Max Pain $186.05 $185.00 $190.00 $190.00 $186.00 ATM IV 21.1% 18.3% 25.4% 18.7% 20.3% Expected Move 6.1% 5.3% 7.0% 5.7% 6.0% HV 20d 21.4% 9.8% 26.8% 9.8% 26.0% HV 60d 18.2% 16.8% 19.7% 16.8% 18.1% IV Rank 35.4% 23.1% 55.4% 27.0% 29.4% IV Percentile 65.9% 48.8% 87.7% 56.3% 61.5% Term Structure -0.2% -0.8% 0.5% -0.3% 0.4% VWIV 22.7% 19.8% 25.5% 20.6% 22.1% Skew 25d 7.7% 6.7% 8.5% 6.7% 8.0% Skew 10d 13.5% 11.7% 14.8% 12.5% 13.9% Call IV 25d 17.3% 15.1% 21.0% 15.7% 16.3% Put IV 25d 25.0% 21.9% 29.3% 22.4% 24.3% Bid-Ask Spread % 1.64 1.26 2.35 2.35 1.50 Gamma HHI 0.04 0.03 0.07 0.04 0.03 Net GEX -1.09B -2.12B -354.0M -1.17B -747.5M Net DEX 7.64B 389.9M 20.22B 2.35B 3.39B Net VEX -123.9M -129.0M -118.9M -125.5M -122.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.05 1.30 2.87 2.34 1.60 Total Volume 729,172.045 237,145 1,385,297 999,972 530,913 Total OI 6,612,604.136 5,910,238 7,385,751 6,539,048 6,699,719
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 2019-08-01 $190.72 $190.00 18.7% 5.7% 9.8% 27.0% 20.6% 6.7% -0.3% -1.17B 2.35B -125.5M 2.34 2.35 N/A N/A 299,295 700,677 2,149,655 4,389,393 2019-08-02 $187.33 $190.00 20.1% 6.0% 11.7% 33.0% 21.7% 7.0% -0.5% -2.12B 11.40B -126.4M 2.46 2.00 N/A N/A 374,892 921,850 2,214,886 4,470,172 2019-08-05 $181.06 $187.00 25.4% 6.9% 16.5% 55.4% 25.4% 8.3% -0.6% -1.60B 20.22B -125.1M 2.29 1.84 N/A N/A 421,546 963,751 2,112,775 4,227,491 2019-08-06 $183.12 $186.00 22.9% 6.4% 17.1% 44.6% 22.7% 8.3% -0.4% -1.52B 15.20B -126.3M 1.63 1.64 N/A N/A 277,478 451,720 2,275,897 4,349,128 2019-08-07 $184.26 $186.00 21.7% 6.2% 16.8% 39.7% 22.8% 8.2% -0.2% -1.49B 12.49B -126.9M 1.56 1.79 N/A N/A 317,629 496,118 2,335,563 4,467,875 2019-08-08 $188.12 $186.00 18.7% 5.5% 18.6% 26.9% 21.3% 7.4% 0.1% -780.7M 2.01B -127.1M 2.10 1.64 N/A N/A 251,961 530,230 2,473,230 4,548,428 2019-08-09 $187.21 $186.00 19.6% 5.7% 18.5% 30.3% 22.1% 7.3% 0.1% -903.3M 4.36B -126.9M 1.70 1.44 N/A N/A 282,409 480,016 2,503,567 4,649,110 2019-08-12 $184.44 $185.00 23.0% 6.6% 19.0% 43.3% 24.7% 8.2% 0.3% -1.38B 11.33B -128.2M 2.63 1.45 N/A N/A 131,724 346,431 2,400,985 4,517,883 2019-08-13 $188.29 $185.00 19.9% 5.9% 20.7% 30.0% 24.2% 7.7% 0.5% -645.8M 1.40B -126.0M 2.74 1.57 N/A N/A 230,543 631,363 2,440,562 4,539,839 2019-08-14 $182.97 $185.00 24.6% 7.0% 22.8% 50.2% 25.5% 8.2% -0.1% -1.61B 15.26B -129.0M 1.81 1.95 N/A N/A 336,394 610,058 2,468,696 4,675,996 2019-08-15 $182.89 $185.00 23.5% 6.7% 22.8% 45.8% 24.1% 8.1% -0.1% -1.73B 14.63B -128.0M 1.98 2.01 N/A N/A 239,925 476,140 2,576,510 4,733,685 2019-08-16 $185.53 $185.00 20.2% 5.8% 23.6% 31.1% 21.9% 7.4% -0.0% -1.13B 7.07B -123.3M 1.70 1.69 N/A N/A 252,855 428,928 2,618,887 4,766,864 2019-08-19 $188.50 $185.00 18.3% 5.3% 24.3% 23.1% 21.8% 7.1% 0.0% -354.0M 509.9M -120.3M 2.57 1.37 N/A N/A 158,763 408,537 2,080,095 3,830,143 2019-08-20 $187.54 $185.00 19.4% 5.6% 24.1% 27.7% 21.0% 7.1% -0.1% -590.3M 2.64B -121.0M 1.68 1.57 N/A N/A 151,505 254,905 2,130,356 3,929,343 2019-08-21 $188.51 $185.00 18.5% 5.3% 24.1% 23.9% 21.8% 6.7% -0.1% -406.0M 389.9M -119.0M 2.87 1.40 N/A N/A 121,496 349,048 2,149,225 3,986,759 2019-08-22 $188.38 $186.00 19.2% 5.5% 23.9% 26.7% 19.8% 7.3% -0.1% -494.7M 1.16B -120.2M 1.72 1.31 N/A N/A 172,405 296,511 2,176,800 4,055,512 2019-08-23 $182.47 $186.00 23.0% 6.6% 25.8% 43.2% 22.6% 7.7% -0.4% -1.55B 14.06B -121.4M 1.74 2.02 N/A N/A 446,916 776,560 2,197,604 4,118,660 2019-08-26 $184.01 $186.00 22.6% 6.6% 26.2% 41.7% 24.0% 8.2% -0.5% -1.14B 9.85B -120.6M 1.53 1.26 N/A N/A 93,575 143,570 2,126,700 3,970,370 2019-08-27 $184.67 $186.00 22.6% 6.6% 26.2% 41.7% 23.7% 8.5% -0.8% -1.10B 8.63B -121.8M 2.67 1.54 N/A N/A 168,242 450,047 2,152,187 4,063,115 2019-08-28 $185.01 $186.00 21.8% 6.4% 26.2% 38.2% 24.1% 8.4% -0.5% -1.13B 8.19B -121.7M 2.53 1.38 N/A N/A 104,248 263,766 2,174,529 4,250,779 2019-08-29 $187.89 $186.00 19.3% 5.6% 26.8% 26.9% 21.0% 7.8% -0.4% -437.9M 1.61B -118.9M 1.30 1.37 N/A N/A 302,847 393,998 2,206,138 4,272,180 2019-08-30 $187.19 $186.00 20.3% 6.0% 26.0% 29.4% 22.1% 8.0% 0.4% -747.5M 3.39B -122.4M 1.60 1.50 N/A N/A 204,533 326,380 2,311,027 4,388,692
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