QQQ Options History — November 2019 In November 2019, QQQ traded between $198.46 and $205.92. ATM implied volatility averaged 13.8%, placing in the 2.0% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 4.5% (HV 20d: 9.3%). Max pain ranged from $191.50 to $197.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.94.
Notable Days 2019-11-07 : Highest Volume — 629,609 contracts2019-11-15 : Largest IV drop — 8.5% change2019-11-21 : Highest IV Rank — 5.5%2019-11-05 : Largest Expected Move — 4.4%Monthly Statistics Metric Avg Min Max Open Close Price $201.91 $198.46 $205.92 $198.46 $205.11 Max Pain $194.43 $191.50 $197.00 $191.50 $197.00 ATM IV 13.8% 12.3% 14.7% 13.7% 13.3% Expected Move 4.0% 3.5% 4.4% 3.7% 3.8% HV 20d 9.3% 7.2% 13.1% 13.0% 7.5% HV 60d 14.7% 12.5% 17.5% 17.5% 12.5% IV Rank 2.0% 0.0% 5.5% 0.0% 4.0% IV Percentile 3.4% 0.0% 11.1% 0.4% 1.6% Term Structure 0.3% -0.2% 0.8% 0.4% 0.0% VWIV 15.5% 13.2% 17.0% 13.2% 14.2% Skew 25d 4.5% 3.9% 5.3% 4.0% 4.8% Skew 10d 9.0% 7.3% 10.2% 8.5% 9.6% Call IV 25d 11.9% 10.7% 12.6% 11.7% 11.4% Put IV 25d 16.3% 15.1% 17.5% 15.7% 16.2% Bid-Ask Spread % 1.61 1.43 1.96 1.56 1.96 Gamma HHI 0.06 0.04 0.08 0.07 0.08 Net GEX 425.0M -729.9M 1.34B 1.34B 386.6M Net DEX -11.68B -15.35B -5.91B -11.56B -12.34B Net VEX -90.7M -94.5M -85.6M -93.4M -90.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.94 0.82 3.40 1.13 2.44 Total Volume 463,384.6 226,578 629,609 608,965 271,242 Total OI 5,978,738.75 5,299,427 6,613,893 6,008,489 6,187,681
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 2019-11-01 $198.46 $191.50 13.7% 3.7% 13.0% 0.0% 13.2% 4.0% 0.4% 1.34B -11.56B -93.4M 1.13 1.56 N/A N/A 285,526 323,439 2,034,828 3,973,661 2019-11-04 $200.03 $193.00 14.0% 4.3% 13.1% 1.4% 16.2% 4.2% 0.5% 870.6M -12.89B -90.7M 1.05 1.66 N/A N/A 298,717 314,394 1,930,527 3,745,306 2019-11-05 $200.36 $193.00 14.4% 4.4% 11.4% 2.9% 15.7% 4.3% 0.5% 872.7M -13.09B -93.3M 1.56 1.89 N/A N/A 127,600 198,662 2,078,802 3,862,500 2019-11-06 $199.53 $193.00 13.9% 4.3% 11.5% 0.7% 15.2% 4.1% 0.8% 640.9M -11.25B -93.2M 1.24 1.50 N/A N/A 196,386 243,150 2,082,700 3,950,822 2019-11-07 $200.08 $193.00 14.2% 4.3% 11.5% 2.2% 16.0% 4.0% 0.6% 1.07B -12.28B -94.5M 0.82 1.57 N/A N/A 345,834 283,775 2,146,039 4,044,352 2019-11-08 $201.00 $193.00 13.6% 4.2% 10.1% 0.0% 16.2% 3.9% 0.7% 1.03B -14.12B -92.2M 2.08 1.44 N/A N/A 157,204 326,387 2,161,763 4,126,991 2019-11-11 $200.81 $193.00 14.2% 4.2% 10.0% 2.5% 16.9% 4.5% 0.4% 639.5M -12.45B -91.6M 1.86 1.54 N/A N/A 79,346 147,232 2,088,123 4,045,963 2019-11-12 $201.33 $194.00 14.4% 4.2% 9.2% 3.4% 16.3% 4.3% 0.4% 741.8M -13.45B -90.5M 1.48 1.54 N/A N/A 149,692 221,671 2,111,144 4,100,231 2019-11-13 $201.40 $194.00 14.7% 4.3% 9.0% 4.8% 16.9% 4.5% 0.4% 550.5M -13.14B -91.6M 2.63 1.49 N/A N/A 108,266 285,126 2,135,947 4,196,329 2019-11-14 $201.38 $194.00 14.4% 4.2% 9.0% 3.4% 16.1% 4.6% 0.3% 210.4M -12.51B -91.2M 1.73 1.55 N/A N/A 168,614 291,816 2,146,531 4,314,737 2019-11-15 $202.39 $194.00 13.2% 3.9% 8.4% 0.0% 14.8% 4.1% 0.7% 472.2M -15.35B -88.5M 1.37 1.54 N/A N/A 194,070 266,142 2,173,325 4,440,568 2019-11-18 $202.97 $195.00 13.4% 3.9% 8.3% 1.0% 15.3% 4.4% 0.1% 109.3M -10.06B -86.4M 2.21 1.43 N/A N/A 131,271 289,720 1,684,061 3,615,366 2019-11-19 $203.50 $195.00 13.6% 3.9% 7.5% 2.0% 15.6% 4.6% 0.1% 128.9M -10.87B -87.8M 2.43 1.53 N/A N/A 123,278 299,898 1,749,782 3,739,050 2019-11-20 $201.86 $195.00 14.0% 4.0% 8.4% 3.7% 16.0% 5.1% 0.0% -355.5M -7.05B -91.4M 2.03 1.81 N/A N/A 166,498 337,737 1,781,015 3,810,718 2019-11-21 $201.61 $196.00 14.4% 4.1% 8.2% 5.5% 17.0% 5.3% -0.1% -420.5M -6.51B -92.9M 3.40 1.52 N/A N/A 135,310 460,349 1,820,881 3,890,233 2019-11-22 $201.64 $196.00 13.9% 4.0% 7.8% 3.3% 16.1% 5.2% 0.1% -729.9M -5.91B -94.3M 2.16 1.56 N/A N/A 171,434 369,593 1,858,597 4,035,117 2019-11-25 $204.03 $196.00 13.1% 3.7% 8.0% 0.0% 15.0% 4.9% 0.1% 105.6M -11.33B -88.1M 3.05 1.60 N/A N/A 127,992 390,139 1,818,889 3,899,955 2019-11-26 $204.75 $196.00 12.7% 3.6% 7.2% 0.0% 13.5% 4.7% -0.2% 298.4M -12.57B -86.5M 2.30 1.80 N/A N/A 109,969 252,794 1,864,929 3,956,008 2019-11-27 $205.92 $197.00 12.3% 3.5% 7.2% 0.0% 13.7% 4.3% 0.1% 541.9M -14.86B -85.6M 1.86 1.67 N/A N/A 216,157 401,262 1,915,287 4,056,017 2019-11-29 $205.11 $197.00 13.3% 3.8% 7.5% 4.0% 14.2% 4.8% 0.0% 386.6M -12.34B -90.5M 2.44 1.96 N/A N/A 78,842 192,400 2,017,743 4,169,938
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