QQQ Options History — February 2020 In February 2020, QQQ traded between $202.10 and $236.96. ATM implied volatility averaged 21.0%, placing in the 54.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.9% (HV 20d: 18.1%). Max pain ranged from $217.00 to $223.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.76.
Notable Days 2020-02-27 : Highest Volume — 1,773,952 contracts2020-02-27 : Largest IV spike — 26.8% change2020-02-25 : Highest IV Rank — 100.0%2020-02-28 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $226.57 $202.10 $236.96 $222.25 $202.10 Max Pain $220.37 $217.00 $223.00 $218.00 $221.00 ATM IV 21.0% 15.7% 44.1% 18.7% 44.1% Expected Move 6.2% 4.5% 14.1% 5.3% 14.1% HV 20d 18.1% 13.9% 27.9% 13.9% 27.9% HV 60d 13.0% 10.7% 18.8% 10.7% 18.8% IV Rank 54.7% 29.2% 100.0% 50.8% 100.0% IV Percentile 70.5% 44.4% 100.0% 74.2% 100.0% Term Structure -0.3% -2.0% 0.2% -0.2% -2.0% VWIV 23.1% 16.7% 50.2% 20.1% 50.2% Skew 25d 7.7% 5.2% 18.1% 7.3% 18.1% Skew 10d 14.3% 9.9% 29.6% 13.4% 29.6% Call IV 25d 17.7% 13.5% 36.8% 15.4% 36.8% Put IV 25d 25.3% 18.7% 54.9% 22.6% 54.9% Bid-Ask Spread % 2.07 1.22 6.54 1.41 6.54 Gamma HHI 0.04 0.03 0.05 0.03 0.04 Net GEX -82.2M -1.71B 1.16B -533.7M -1.46B Net DEX -7.85B -29.60B 40.48B -4.47B 40.48B Net VEX -111.0M -134.7M -97.0M -110.3M -134.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.76 1.25 2.25 2.00 1.89 Total Volume 980,547.947 507,513 1,773,952 531,098 1,621,384 Total OI 6,422,014.053 5,610,736 7,313,114 5,610,736 7,173,292
Daily Data (19 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 2020-02-03 $222.25 $218.00 18.7% 5.3% 13.9% 50.8% 20.1% 7.3% -0.2% -533.7M -4.47B -110.3M 2.00 1.41 N/A N/A 177,154 353,944 1,733,754 3,876,982 2020-02-04 $227.58 $218.00 16.7% 4.6% 16.0% 36.2% 18.4% 6.3% -0.1% 374.8M -15.49B -100.4M 1.70 1.45 N/A N/A 315,072 536,933 1,768,082 3,940,117 2020-02-05 $228.24 $220.00 17.0% 4.6% 16.0% 38.4% 17.0% 5.9% -0.1% 350.3M -16.31B -100.1M 1.70 1.22 N/A N/A 291,041 495,212 1,818,439 4,075,763 2020-02-06 $229.88 $217.00 16.4% 4.7% 15.8% 34.2% 18.0% 5.5% 0.0% 611.7M -19.45B -100.8M 1.56 1.52 N/A N/A 253,545 396,246 1,908,525 4,257,603 2020-02-07 $229.28 $218.00 17.3% 5.0% 15.9% 40.8% 20.2% 5.9% -0.1% 193.2M -17.10B -106.8M 2.17 1.61 N/A N/A 230,604 501,267 1,936,995 4,399,257 2020-02-10 $231.44 $218.00 17.4% 5.0% 16.0% 41.3% 18.9% 5.9% -0.0% 287.8M -19.53B -100.0M 1.28 1.61 N/A N/A 222,571 284,942 1,873,523 4,137,694 2020-02-11 $232.08 $219.00 17.4% 5.0% 15.8% 41.8% 19.2% 6.0% -0.0% 421.7M -20.92B -101.3M 1.36 1.85 N/A N/A 367,979 499,602 1,969,795 4,240,899 2020-02-12 $234.12 $220.00 15.7% 4.5% 15.9% 29.2% 18.4% 5.2% 0.1% 1.16B -26.00B -97.0M 1.73 1.51 N/A N/A 222,352 385,224 2,117,478 4,373,053 2020-02-13 $233.78 $220.00 16.1% 4.6% 15.8% 32.1% 16.7% 5.4% 0.0% 770.7M -24.13B -102.3M 1.37 1.47 N/A N/A 287,711 394,295 2,155,900 4,483,382 2020-02-14 $234.21 $220.00 15.8% 4.6% 15.6% 29.9% 18.5% 5.4% 0.2% 1.00B -25.89B -102.3M 2.25 1.28 N/A N/A 224,591 506,037 2,246,552 4,619,622 2020-02-18 $234.88 $220.00 16.5% 4.7% 15.6% 34.7% 18.9% 6.0% 0.1% 706.9M -24.60B -102.8M 1.68 1.49 N/A N/A 237,866 399,078 2,164,497 4,472,603 2020-02-19 $236.96 $222.00 16.2% 4.7% 15.8% 32.9% 18.7% 5.5% 0.1% 933.8M -29.60B -100.6M 1.25 1.57 N/A N/A 266,558 334,354 2,253,590 4,627,480 2020-02-20 $234.62 $223.00 17.4% 5.0% 16.4% 41.8% 19.1% 6.5% 0.0% 465.3M -23.71B -108.9M 1.87 1.82 N/A N/A 354,561 663,554 2,311,778 4,736,389 2020-02-21 $230.00 $223.00 20.5% 5.9% 18.2% 64.2% 21.5% 8.0% -0.3% -927.0M -11.02B -118.9M 2.08 1.88 N/A N/A 503,264 1,047,090 2,400,305 4,912,809 2020-02-24 $222.56 $223.00 25.0% 7.4% 21.6% 96.9% 27.5% 10.6% -0.9% -1.28B 12.26B -128.3M 1.78 2.11 N/A N/A 533,711 952,042 1,932,009 3,801,676 2020-02-25 $216.14 $223.00 28.7% 8.6% 23.1% 100.0% 30.4% 10.5% -0.9% -1.48B 22.09B -129.2M 2.03 3.00 N/A N/A 582,836 1,182,999 2,130,411 3,941,191 2020-02-26 $216.76 $222.00 27.6% 8.3% 22.3% 93.7% 29.4% 9.5% -0.8% -1.45B 20.22B -132.1M 1.71 2.66 N/A N/A 454,141 776,699 2,330,581 4,119,058 2020-02-27 $208.03 $222.00 35.0% 10.8% 26.4% 100.0% 38.2% 12.2% -1.1% -1.71B 34.08B -132.2M 1.96 3.34 N/A N/A 598,508 1,175,444 2,484,376 4,292,807 2020-02-28 $202.10 $221.00 44.1% 14.1% 27.9% 100.0% 50.2% 18.1% -2.0% -1.46B 40.48B -134.7M 1.89 6.54 N/A N/A 561,986 1,059,398 2,715,469 4,457,823
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