QQQ Options History — September 2019 In September 2019, QQQ traded between $185.86 and $193.75. ATM implied volatility averaged 17.7%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 0.8% (HV 20d: 18.5%). Max pain ranged from $186.00 to $191.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.81.
Notable Days 2019-09-24 : Highest Volume — 1,031,244 contracts2019-09-24 : Largest IV spike — 14.4% change2019-09-03 : Highest IV Rank — 34.7%2019-09-03 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $190.57 $185.86 $193.75 $185.86 $188.75 Max Pain $189.30 $186.00 $191.00 $186.00 $190.00 ATM IV 17.7% 15.4% 21.4% 21.4% 19.4% Expected Move 5.0% 4.4% 6.4% 6.4% 5.4% HV 20d 18.5% 12.8% 23.8% 23.0% 15.3% HV 60d 18.1% 17.7% 18.4% 17.8% 18.4% IV Rank 17.9% 7.5% 34.7% 34.7% 25.7% IV Percentile 40.4% 19.8% 67.1% 67.1% 54.0% Term Structure 0.3% -0.1% 0.7% -0.1% -0.1% VWIV 19.5% 16.7% 23.7% 23.7% 19.9% Skew 25d 6.4% 5.1% 8.3% 8.3% 7.1% Skew 10d 11.8% 9.5% 15.0% 15.0% 12.5% Call IV 25d 14.9% 12.9% 17.8% 17.8% 16.0% Put IV 25d 21.2% 18.6% 26.1% 26.1% 23.0% Bid-Ask Spread % 1.73 1.35 2.06 1.37 1.77 Gamma HHI 0.04 0.03 0.06 0.03 0.04 Net GEX -380.9M -2.07B 849.5M -1.09B -1.07B Net DEX -1.31B -10.62B 10.95B 6.82B 5.60B Net VEX -108.0M -118.5M -101.5M -118.5M -108.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.81 1.17 2.29 1.78 2.19 Total Volume 586,228.9 380,025 1,031,244 478,657 480,093 Total OI 6,486,668.8 5,274,525 7,347,417 6,329,085 5,919,840
Daily Data (20 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 2019-09-03 $185.86 $186.00 21.4% 6.4% 23.0% 34.7% 23.7% 8.3% -0.1% -1.09B 6.82B -118.5M 1.78 1.37 N/A N/A 172,138 306,519 2,167,034 4,162,051 2019-09-04 $188.39 $186.00 19.3% 5.7% 23.1% 25.0% 22.3% 7.8% 0.1% -531.0M 984.3M -115.5M 1.89 1.35 N/A N/A 171,271 324,176 2,234,348 4,212,070 2019-09-05 $191.75 $188.00 17.4% 5.0% 23.8% 16.8% 20.4% 6.9% 0.2% 397.7M -6.61B -112.0M 1.60 2.02 N/A N/A 253,287 404,742 2,272,145 4,275,552 2019-09-06 $191.82 $188.00 16.1% 4.8% 22.7% 10.8% 20.0% 6.2% 0.4% 293.0M -6.41B -109.9M 1.96 1.62 N/A N/A 161,805 316,490 2,287,768 4,364,980 2019-09-09 $190.99 $188.00 17.0% 5.0% 22.7% 14.8% 19.6% 6.7% 0.3% -149.6M -3.52B -108.3M 1.44 1.77 N/A N/A 185,266 266,040 2,216,353 4,210,422 2019-09-10 $189.90 $188.00 17.6% 5.1% 22.1% 17.6% 19.7% 6.9% 0.2% -609.4M -617.7M -109.5M 1.51 1.83 N/A N/A 263,931 397,966 2,242,597 4,317,745 2019-09-11 $191.97 $189.00 16.5% 4.8% 21.2% 12.4% 20.0% 6.3% 0.3% 179.8M -6.24B -108.1M 1.79 1.50 N/A N/A 178,773 320,231 2,355,513 4,442,155 2019-09-12 $193.75 $190.00 15.4% 4.4% 18.2% 7.5% 16.7% 5.7% 0.1% 849.5M -10.62B -103.9M 1.17 1.90 N/A N/A 257,483 302,295 2,375,572 4,602,853 2019-09-13 $192.68 $190.00 15.9% 4.6% 18.4% 10.0% 18.4% 5.8% 0.1% 252.1M -7.74B -105.9M 1.71 2.06 N/A N/A 225,975 387,130 2,422,418 4,686,146 2019-09-16 $191.61 $190.00 17.2% 4.9% 18.1% 15.7% 19.7% 5.9% 0.7% -125.4M -4.30B -106.2M 1.97 1.70 N/A N/A 131,141 258,633 2,321,376 4,473,914 2019-09-17 $192.49 $190.00 17.1% 4.9% 17.4% 15.2% 18.2% 6.1% 0.3% 87.6M -6.22B -105.5M 2.13 1.60 N/A N/A 121,379 258,646 2,361,672 4,574,171 2019-09-18 $192.46 $190.00 16.9% 4.8% 17.2% 14.2% 18.4% 5.4% 0.4% 122.6M -6.52B -103.4M 1.44 1.71 N/A N/A 235,899 339,970 2,392,611 4,674,293 2019-09-19 $192.92 $191.00 15.7% 4.5% 17.2% 9.1% 18.3% 5.1% 0.7% 410.5M -8.03B -101.5M 2.17 1.75 N/A N/A 188,027 407,620 2,451,641 4,782,034 2019-09-20 $190.94 $191.00 17.3% 4.9% 17.6% 16.3% 18.5% 5.8% 0.6% -970.0M -2.57B -104.2M 1.82 1.61 N/A N/A 243,849 444,531 2,481,070 4,866,347 2019-09-23 $190.78 $191.00 17.3% 4.8% 12.8% 16.0% 17.9% 6.1% 0.6% -546.5M 2.36B -101.9M 1.68 1.41 N/A N/A 189,098 317,901 1,739,532 3,534,993 2019-09-24 $187.69 $190.00 19.8% 5.5% 14.2% 27.1% 19.5% 6.5% 0.4% -1.27B 8.34B -107.4M 1.85 2.03 N/A N/A 361,886 669,358 1,844,547 3,694,983 2019-09-25 $190.26 $190.00 17.9% 4.8% 14.8% 18.6% 18.8% 6.1% 0.6% -727.6M 3.11B -109.8M 1.83 1.77 N/A N/A 217,935 397,789 1,976,302 3,850,157 2019-09-26 $189.49 $190.00 18.3% 5.0% 15.0% 20.5% 19.1% 6.3% 0.6% -1.06B 5.00B -110.6M 2.05 1.85 N/A N/A 181,712 371,809 2,009,471 3,946,340 2019-09-27 $186.83 $190.00 20.3% 5.7% 14.9% 29.6% 20.9% 6.8% 0.3% -2.07B 10.95B -110.3M 2.29 2.04 N/A N/A 307,262 704,522 2,024,156 3,966,204 2019-09-30 $188.75 $190.00 19.4% 5.4% 15.3% 25.7% 19.9% 7.1% -0.1% -1.07B 5.60B -108.3M 2.19 1.77 N/A N/A 150,566 329,527 1,947,584 3,972,256
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