QQQ Options History — April 2020 In April 2020, QQQ traded between $181.64 and $219.75. ATM implied volatility averaged 37.7%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 17.6% (HV 20d: 55.3%). Max pain ranged from $200.00 to $208.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.77.
Notable Days 2020-04-14 : Highest Volume — 950,640 contracts2020-04-24 : Largest IV drop — 12.7% change2020-04-01 : Highest IV Rank — 62.0%2020-04-01 : Largest Expected Move — 15.7%Monthly Statistics Metric Avg Min Max Open Close Price $205.53 $181.64 $219.75 $181.64 $218.44 Max Pain $203.57 $200.00 $208.00 $205.00 $208.00 ATM IV 37.7% 28.9% 51.9% 51.9% 30.8% Expected Move 10.9% 8.5% 15.7% 15.7% 9.1% HV 20d 55.3% 37.2% 73.3% 70.1% 37.2% HV 60d 49.1% 45.9% 50.8% 45.9% 50.5% IV Rank 40.1% 26.5% 62.0% 62.0% 29.4% IV Percentile 88.8% 82.9% 95.2% 95.2% 83.7% Term Structure -0.5% -1.0% 0.3% -0.9% 0.2% VWIV 40.9% 33.2% 56.8% 56.8% 33.6% Skew 25d 13.5% 10.5% 20.2% 20.2% 11.2% Skew 10d 23.9% 19.8% 31.6% 30.8% 20.6% Call IV 25d 31.4% 24.3% 42.0% 42.0% 25.5% Put IV 25d 45.0% 35.3% 62.2% 62.2% 36.7% Bid-Ask Spread % 2.16 1.66 3.17 3.17 2.18 Gamma HHI 0.03 0.02 0.08 0.04 0.03 Net GEX -157.6M -719.9M 261.7M -555.0M -177.9M Net DEX 1.98B -11.63B 24.91B 23.88B -6.61B Net VEX -132.3M -147.2M -113.7M -116.2M -147.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.77 1.09 2.60 1.39 2.06 Total Volume 674,218.333 395,719 950,640 669,841 558,503 Total OI 6,427,793.429 5,534,774 7,479,158 6,031,194 6,559,826
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 2020-04-01 $181.64 $205.00 51.9% 15.7% 70.1% 62.0% 56.8% 20.2% -0.9% -555.0M 23.88B -116.2M 1.39 3.17 N/A N/A 279,821 390,020 2,437,799 3,593,395 2020-04-02 $184.93 $205.00 45.6% 12.7% 70.4% 52.3% 48.9% 18.0% -0.7% -544.9M 21.33B -116.6M 2.60 2.62 N/A N/A 185,156 481,585 2,520,545 3,645,698 2020-04-03 $181.92 $203.00 43.8% 12.3% 70.3% 49.5% 48.7% 16.4% -0.6% -719.9M 24.91B -113.7M 1.76 2.48 N/A N/A 268,845 473,348 2,577,255 3,921,035 2020-04-06 $195.18 $203.00 38.4% 10.9% 73.3% 41.1% 40.3% 14.3% -0.3% -297.1M 11.35B -124.2M 1.22 1.90 N/A N/A 301,006 368,702 2,461,505 3,891,663 2020-04-07 $198.08 $200.00 40.5% 11.3% 72.7% 44.3% 41.1% 14.6% -0.8% -154.8M 7.82B -130.8M 1.09 2.64 N/A N/A 357,829 389,923 2,548,626 4,000,269 2020-04-08 $199.67 $200.00 39.0% 11.0% 71.7% 42.0% 41.5% 13.9% -0.8% -113.5M 6.43B -133.1M 1.83 2.27 N/A N/A 188,545 345,137 2,612,469 4,213,660 2020-04-09 $200.51 $200.00 38.1% 10.7% 64.8% 40.7% 43.8% 13.4% -0.7% -188.7M 5.51B -132.9M 1.72 2.18 N/A N/A 325,588 560,356 2,638,134 4,326,054 2020-04-13 $202.72 $200.00 37.4% 10.6% 63.6% 39.7% 40.8% 13.1% -0.2% -161.7M 3.97B -129.0M 1.58 1.79 N/A N/A 202,494 320,686 2,520,674 4,295,096 2020-04-14 $211.96 $200.00 34.8% 9.9% 60.3% 35.6% 38.5% 10.5% -0.7% 182.5M -8.63B -130.6M 1.84 2.00 N/A N/A 334,383 616,257 2,598,589 4,390,350 2020-04-15 $209.96 $202.00 37.5% 10.8% 60.2% 39.8% 39.5% 12.1% -0.7% 33.7M -4.83B -136.1M 1.45 1.98 N/A N/A 217,047 314,397 2,650,984 4,597,377 2020-04-16 $212.64 $203.00 36.9% 10.6% 53.7% 38.8% 41.1% 12.3% 0.1% 136.4M -8.53B -136.7M 1.72 2.14 N/A N/A 296,500 510,217 2,693,127 4,654,014 2020-04-17 $214.47 $205.00 35.2% 10.1% 50.1% 36.2% 37.4% 11.8% -0.5% 261.7M -11.63B -134.4M 1.29 2.00 N/A N/A 372,892 481,218 2,750,514 4,728,644 2020-04-20 $213.28 $205.00 39.2% 11.4% 45.9% 42.4% 42.2% 14.6% -1.0% -91.1M -3.09B -138.0M 1.90 1.92 N/A N/A 149,248 283,768 1,942,081 3,592,693 2020-04-21 $205.67 $205.00 42.0% 12.2% 47.6% 46.7% 45.4% 14.6% -1.0% -359.4M 4.44B -138.1M 1.83 1.66 N/A N/A 319,738 583,982 1,984,139 3,684,358 2020-04-22 $211.71 $205.00 38.4% 11.2% 41.4% 41.1% 40.8% 13.8% -0.9% -110.6M -2.20B -139.9M 1.79 1.75 N/A N/A 141,591 254,128 2,068,391 3,793,401 2020-04-23 $211.24 $205.00 37.4% 10.9% 41.5% 39.6% 39.1% 13.1% -0.7% -168.2M -1.63B -138.8M 1.51 2.08 N/A N/A 234,465 355,170 2,089,200 3,878,508 2020-04-24 $214.18 $205.00 32.7% 9.4% 41.3% 32.3% 35.7% 11.4% -0.4% 26.6M -5.29B -134.2M 1.86 2.16 N/A N/A 199,162 371,425 2,119,894 3,929,182 2020-04-27 $215.81 $205.00 30.6% 8.9% 41.0% 29.1% 35.3% 11.4% 0.3% -39.6M -5.95B -131.0M 2.06 2.11 N/A N/A 219,375 450,818 2,025,219 3,720,957 2020-04-28 $212.40 $205.00 32.5% 9.8% 41.2% 32.1% 36.0% 11.9% 0.1% -300.5M -665.3M -137.6M 2.44 2.21 N/A N/A 208,941 509,785 2,066,016 3,957,580 2020-04-29 $219.75 $206.00 28.9% 8.5% 42.2% 26.5% 33.2% 11.0% 0.3% 33.1M -9.05B -139.9M 2.16 2.22 N/A N/A 233,303 503,231 2,140,137 4,164,604 2020-04-30 $218.44 $208.00 30.8% 9.1% 37.2% 29.4% 33.6% 11.2% 0.2% -177.9M -6.61B -147.2M 2.06 2.18 N/A N/A 182,579 375,924 2,159,544 4,400,282
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