QQQ Options History — December 2019 In December 2019, QQQ traded between $201.06 and $213.47. ATM implied volatility averaged 13.9%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 4.3% (HV 20d: 9.5%). Max pain ranged from $195.00 to $205.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.82.
Notable Days 2019-12-03 : Highest Volume — 663,138 contracts2019-12-27 : Largest IV spike — 11.7% change2019-12-03 : Highest IV Rank — 19.0%2019-12-03 : Largest Expected Move — 5.0%Monthly Statistics Metric Avg Min Max Open Close Price $207.95 $201.06 $213.47 $203.15 $212.49 Max Pain $198.33 $195.00 $205.00 $197.00 $205.00 ATM IV 13.9% 11.7% 16.8% 15.1% 14.8% Expected Move 4.0% 3.3% 5.0% 4.4% 4.0% HV 20d 9.5% 8.1% 10.4% 8.1% 8.5% HV 60d 12.1% 10.0% 12.9% 12.7% 10.0% IV Rank 8.0% 0.0% 19.0% 11.6% 16.1% IV Percentile 14.1% 0.0% 42.9% 20.6% 23.0% Term Structure 0.5% 0.1% 1.1% 0.2% 0.3% VWIV 15.4% 12.7% 19.1% 17.3% 14.6% Skew 25d 5.2% 4.0% 6.3% 5.7% 5.5% Skew 10d 10.4% 8.7% 12.3% 10.9% 11.0% Call IV 25d 11.7% 10.3% 14.1% 12.6% 12.6% Put IV 25d 16.9% 14.4% 20.4% 18.3% 18.2% Bid-Ask Spread % 1.80 1.58 2.24 1.73 1.63 Gamma HHI 0.07 0.04 0.12 0.04 0.05 Net GEX 566.8M -635.2M 1.63B -257.6M 208.9M Net DEX -12.43B -24.08B -1.92B -6.66B -8.95B Net VEX -82.5M -96.3M -71.0M -92.0M -84.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.82 1.05 2.94 1.61 2.29 Total Volume 457,334.714 150,046 663,138 503,514 405,787 Total OI 6,089,469.095 4,986,464 7,092,448 5,836,520 5,525,714
Daily Data (21 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 2019-12-02 $203.15 $197.00 15.1% 4.4% 8.1% 11.6% 17.3% 5.7% 0.2% -257.6M -6.66B -92.0M 1.61 1.73 N/A N/A 192,861 310,653 1,913,237 3,923,283 2019-12-03 $201.06 $197.00 16.8% 5.0% 8.6% 19.0% 19.1% 6.3% 0.3% -635.2M -1.92B -96.3M 1.88 1.77 N/A N/A 230,492 432,646 1,999,730 4,023,802 2019-12-04 $202.61 $197.00 16.0% 4.7% 9.0% 15.5% 17.6% 6.0% 0.4% -167.5M -6.26B -93.7M 1.32 1.88 N/A N/A 159,304 210,354 2,062,874 4,080,272 2019-12-05 $202.85 $195.00 15.5% 4.7% 8.8% 13.5% 16.8% 5.9% 0.5% -162.6M -6.54B -92.8M 1.71 1.99 N/A N/A 112,824 193,360 2,124,972 4,146,086 2019-12-06 $205.10 $195.00 14.0% 4.3% 9.5% 6.9% 17.2% 5.2% 0.7% 750.2M -13.06B -87.2M 1.73 1.86 N/A N/A 177,859 307,615 2,161,647 4,224,618 2019-12-09 $204.32 $195.00 15.2% 4.6% 9.6% 12.0% 17.6% 6.0% 0.6% 176.1M -9.51B -85.8M 2.07 1.68 N/A N/A 110,130 228,152 2,065,897 4,080,998 2019-12-10 $203.74 $195.00 15.9% 4.6% 9.7% 14.9% 17.7% 6.2% 0.1% -185.4M -7.48B -88.1M 1.98 1.79 N/A N/A 103,922 205,534 2,105,099 4,165,391 2019-12-11 $204.90 $195.00 14.9% 4.4% 9.8% 10.9% 17.6% 6.0% 0.5% 257.5M -10.76B -83.9M 2.94 1.69 N/A N/A 86,506 254,235 2,130,360 4,216,686 2019-12-12 $206.51 $195.00 14.0% 4.1% 10.1% 6.9% 16.2% 5.5% 0.3% 880.5M -14.84B -80.3M 1.89 2.24 N/A N/A 209,114 394,635 2,154,296 4,278,448 2019-12-13 $207.25 $195.00 12.6% 3.7% 10.1% 1.3% 14.8% 4.9% 0.6% 1.32B -17.14B -75.7M 1.56 2.09 N/A N/A 235,472 366,821 2,194,008 4,354,342 2019-12-16 $209.15 $195.00 11.9% 3.5% 10.4% 0.0% 13.7% 4.2% 0.4% 1.52B -20.17B -71.0M 1.42 1.74 N/A N/A 257,870 365,475 2,136,819 4,255,489 2019-12-17 $209.28 $195.00 12.1% 3.5% 10.4% 0.9% 12.7% 4.3% 0.3% 1.44B -20.04B -73.2M 1.36 1.65 N/A N/A 146,820 200,081 2,216,855 4,392,209 2019-12-18 $209.76 $197.00 12.0% 3.4% 10.4% 0.3% 13.9% 4.3% 0.3% 1.50B -20.88B -74.2M 2.63 1.65 N/A N/A 130,966 344,571 2,271,926 4,469,184 2019-12-19 $210.68 $198.00 11.7% 3.3% 9.8% 0.0% 13.9% 4.1% 0.4% 1.63B -22.27B -76.7M 2.00 1.95 N/A N/A 132,063 263,556 2,300,356 4,634,040 2019-12-20 $211.57 $199.00 11.7% 3.3% 9.8% 0.0% 13.4% 4.0% 0.4% 1.41B -24.08B -76.6M 1.70 1.95 N/A N/A 216,450 367,277 2,337,307 4,755,141 2019-12-23 $211.74 $202.00 12.3% 3.5% 9.7% 2.3% 13.3% 4.7% 1.0% 530.2M -9.10B -77.9M 1.09 1.58 N/A N/A 225,520 244,924 1,473,006 3,513,458 2019-12-24 $211.79 $204.00 12.3% 3.4% 9.1% 2.3% 13.3% 4.8% 1.1% 413.8M -9.05B -81.8M 2.50 1.83 N/A N/A 42,901 107,145 1,577,702 3,634,198 2019-12-26 $213.47 $204.00 12.7% 3.4% 9.4% 4.3% 13.3% 4.5% 1.1% 800.6M -12.95B -75.2M 2.15 1.70 N/A N/A 137,993 296,627 1,586,576 3,683,293 2019-12-27 $213.39 $205.00 14.1% 3.8% 9.3% 11.1% 14.7% 5.0% 0.9% 529.9M -11.51B -82.3M 1.27 1.72 N/A N/A 260,908 330,898 1,622,475 3,790,381 2019-12-30 $212.15 $205.00 15.6% 4.3% 9.5% 18.9% 15.2% 5.8% 0.2% -58.5M -7.85B -84.5M 1.05 1.63 N/A N/A 294,995 308,713 1,601,418 3,695,258 2019-12-31 $212.49 $205.00 14.8% 4.0% 8.5% 16.1% 14.6% 5.5% 0.3% 208.9M -8.95B -84.0M 2.29 1.63 N/A N/A 123,509 282,278 1,724,821 3,800,893
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