QQQ Options History — October 2019 In October 2019, QQQ traded between $184.17 and $197.62. ATM implied volatility averaged 17.6%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.3% (HV 20d: 16.3%). Max pain ranged from $188.00 to $191.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.81.
Notable Days 2019-10-02 : Highest Volume — 1,013,313 contracts2019-10-04 : Largest IV drop — 12.4% change2019-10-02 : Highest IV Rank — 40.8%2019-10-02 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $191.56 $184.17 $197.62 $187.47 $196.67 Max Pain $189.43 $188.00 $191.00 $190.00 $191.00 ATM IV 17.6% 14.1% 22.8% 20.6% 14.7% Expected Move 5.0% 3.9% 6.5% 5.7% 4.2% HV 20d 16.3% 13.8% 17.9% 15.3% 13.8% HV 60d 19.2% 17.9% 19.8% 18.4% 17.9% IV Rank 17.3% 1.8% 40.8% 31.0% 4.4% IV Percentile 34.7% 2.4% 73.8% 62.7% 7.9% Term Structure 0.1% -0.4% 0.7% -0.2% 0.7% VWIV 18.5% 14.8% 24.0% 21.6% 15.4% Skew 25d 6.2% 4.5% 8.1% 7.6% 4.8% Skew 10d 11.3% 9.0% 13.9% 13.3% 9.7% Call IV 25d 14.6% 12.1% 18.5% 16.9% 12.6% Put IV 25d 20.9% 16.6% 26.5% 24.5% 17.4% Bid-Ask Spread % 1.73 1.01 2.83 1.89 1.53 Gamma HHI 0.04 0.03 0.06 0.04 0.05 Net GEX -318.4M -1.83B 662.4M -1.26B 305.3M Net DEX -354.9M -9.06B 15.07B 8.04B -6.92B Net VEX -101.8M -112.6M -92.6M -110.1M -96.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.81 1.12 2.93 2.13 1.37 Total Volume 556,277.913 336,855 1,013,313 640,658 530,807 Total OI 5,851,359.217 5,052,215 6,470,370 5,569,287 5,812,805
Daily Data (23 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 2019-10-01 $187.47 $190.00 20.6% 5.7% 15.3% 31.0% 21.6% 7.6% -0.2% -1.26B 8.04B -110.1M 2.13 1.89 N/A N/A 204,612 436,046 1,832,260 3,737,027 2019-10-02 $184.17 $190.00 22.8% 6.5% 15.8% 40.8% 22.9% 7.9% -0.3% -1.83B 15.07B -111.8M 2.16 1.94 N/A N/A 320,880 692,433 1,912,086 3,869,711 2019-10-03 $185.78 $190.00 21.6% 6.1% 14.6% 35.4% 23.6% 8.0% -0.2% -1.58B 10.90B -112.6M 1.84 1.80 N/A N/A 309,065 568,851 2,024,500 3,978,866 2019-10-04 $188.83 $189.00 18.9% 5.5% 15.9% 23.4% 20.8% 7.5% 0.0% -571.5M 3.18B -109.7M 2.03 1.89 N/A N/A 195,529 396,622 2,075,792 4,009,299 2019-10-07 $188.57 $188.00 20.1% 5.6% 15.9% 28.8% 21.9% 8.0% -0.4% -914.5M 4.61B -109.3M 2.62 2.18 N/A N/A 117,777 308,130 1,956,207 3,951,754 2019-10-08 $185.83 $188.00 22.3% 6.3% 16.6% 38.4% 24.0% 8.1% -0.2% -1.58B 10.74B -110.3M 2.93 2.19 N/A N/A 176,042 515,144 1,967,076 4,051,601 2019-10-09 $187.50 $188.00 21.1% 6.1% 16.4% 33.3% 22.1% 7.7% 0.1% -1.22B 6.89B -109.8M 1.84 2.83 N/A N/A 124,412 229,506 2,032,114 4,160,195 2019-10-10 $188.50 $188.00 20.3% 5.8% 16.1% 29.6% 21.8% 7.5% 0.1% -990.2M 4.59B -108.3M 2.04 1.86 N/A N/A 170,886 349,470 2,056,534 4,192,583 2019-10-11 $191.85 $188.00 17.9% 5.1% 17.4% 18.8% 20.4% 7.0% 0.0% 58.6M -3.52B -103.8M 1.78 2.68 N/A N/A 310,167 551,539 2,096,558 4,252,242 2019-10-14 $191.17 $188.00 17.6% 5.1% 17.3% 17.6% 19.0% 7.0% 0.2% -282.0M -1.24B -99.8M 1.99 1.74 N/A N/A 125,352 249,250 1,951,928 4,075,740 2019-10-15 $193.61 $188.00 15.6% 4.5% 17.8% 8.7% 17.7% 5.9% 0.4% 604.1M -7.26B -94.6M 1.85 1.54 N/A N/A 193,734 358,089 1,979,870 4,145,983 2019-10-16 $192.93 $189.00 16.1% 4.6% 17.9% 10.9% 18.0% 5.9% 0.4% 355.9M -5.27B -96.9M 2.33 1.58 N/A N/A 179,132 418,177 2,001,712 4,256,134 2019-10-17 $193.58 $190.00 15.6% 4.4% 17.9% 8.3% 16.9% 5.4% 0.5% 649.5M -7.15B -97.5M 1.38 1.46 N/A N/A 178,412 246,487 2,073,340 4,291,569 2019-10-18 $192.14 $190.00 16.4% 4.7% 17.7% 12.2% 17.1% 5.4% 0.5% 41.4M -3.50B -98.9M 1.86 1.81 N/A N/A 266,757 495,624 2,109,342 4,361,028 2019-10-21 $193.29 $190.00 15.9% 4.4% 17.8% 9.8% 16.1% 5.5% -0.4% -98.9M -2.85B -96.4M 1.19 1.38 N/A N/A 156,185 185,880 1,671,381 3,380,834 2019-10-22 $191.96 $190.00 16.5% 4.6% 16.9% 12.5% 15.6% 5.5% -0.3% -315.9M -470.6M -99.0M 1.44 1.53 N/A N/A 199,866 288,249 1,741,446 3,443,902 2019-10-23 $192.10 $190.00 16.5% 4.6% 16.2% 12.5% 16.0% 5.7% -0.3% -349.0M -242.3M -99.9M 1.79 1.49 N/A N/A 120,743 216,112 1,820,716 3,555,047 2019-10-24 $193.83 $190.00 15.3% 4.3% 16.4% 7.3% 15.6% 5.2% -0.3% 162.1M -3.92B -97.1M 1.38 1.37 N/A N/A 179,833 247,385 1,849,955 3,640,036 2019-10-25 $195.47 $190.00 14.4% 3.9% 15.6% 2.9% 14.9% 4.5% -0.2% 662.4M -7.34B -94.7M 1.66 1.39 N/A N/A 251,916 418,590 1,884,306 3,730,710 2019-10-28 $197.62 $190.00 14.1% 4.0% 15.6% 1.8% 14.8% 4.5% 0.5% 408.8M -9.06B -92.6M 1.29 1.01 N/A N/A 219,142 282,789 1,782,730 3,613,498 2019-10-29 $196.10 $191.00 15.2% 4.3% 15.7% 6.5% 15.4% 4.5% 0.4% 100.5M -5.87B -96.5M 1.56 1.10 N/A N/A 159,725 248,593 1,852,212 3,711,213 2019-10-30 $196.97 $191.00 14.4% 4.1% 13.8% 3.1% 14.8% 4.5% 0.5% 317.1M -7.55B -96.2M 1.12 1.65 N/A N/A 188,595 211,857 1,903,906 3,783,514 2019-10-31 $196.67 $191.00 14.7% 4.2% 13.8% 4.4% 15.4% 4.8% 0.7% 305.3M -6.92B -96.6M 1.37 1.53 N/A N/A 224,357 306,450 1,966,209 3,846,596
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