QQQ Options History — May 2020 In May 2020, QQQ traded between $212.79 and $232.79. ATM implied volatility averaged 28.3%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 0.1% (HV 20d: 28.4%). Max pain ranged from $209.00 to $215.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.87.
Notable Days 2020-05-13 : Highest Volume — 1,214,116 contracts2020-05-13 : Largest IV spike — 16.4% change2020-05-13 : Highest IV Rank — 33.5%2020-05-01 : Largest Expected Move — 9.9%Monthly Statistics Metric Avg Min Max Open Close Price $224.57 $212.79 $232.79 $212.79 $232.79 Max Pain $211.60 $209.00 $215.00 $209.00 $215.00 ATM IV 28.3% 24.4% 33.4% 33.3% 24.4% Expected Move 8.2% 7.1% 9.9% 9.9% 7.1% HV 20d 28.4% 21.2% 39.1% 39.1% 21.2% HV 60d 50.5% 48.1% 51.6% 50.8% 48.1% IV Rank 25.5% 19.6% 33.5% 33.3% 19.6% IV Percentile 79.3% 72.6% 84.9% 84.9% 72.6% Term Structure 0.1% -0.4% 0.8% 0.1% -0.4% VWIV 31.4% 27.4% 41.7% 36.7% 27.5% Skew 25d 10.0% 8.4% 12.2% 12.2% 8.5% Skew 10d 18.7% 16.3% 22.1% 22.1% 17.0% Call IV 25d 23.8% 21.2% 27.8% 27.8% 21.2% Put IV 25d 33.8% 29.7% 40.0% 40.0% 29.7% Bid-Ask Spread % 1.79 1.43 2.66 1.90 2.18 Gamma HHI 0.03 0.02 0.06 0.06 0.05 Net GEX 11.8M -722.4M 470.5M -722.4M 466.2M Net DEX -9.78B -17.45B 1.60B 1.60B -15.36B Net VEX -147.5M -154.5M -138.3M -149.8M -150.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.87 1.20 3.90 2.01 1.99 Total Volume 769,919.05 534,886 1,214,116 871,126 862,144 Total OI 6,855,377.1 6,185,159 7,633,488 6,672,416 7,257,428
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 2020-05-01 $212.79 $209.00 33.3% 9.9% 39.1% 33.3% 36.7% 12.2% 0.1% -722.4M 1.60B -149.8M 2.01 1.90 N/A N/A 289,319 581,807 2,200,526 4,471,890 2020-05-04 $214.99 $210.00 32.6% 9.5% 38.1% 32.3% 41.7% 11.9% 0.3% -284.9M -1.54B -146.7M 3.90 1.47 N/A N/A 157,372 613,899 2,088,426 4,181,351 2020-05-05 $217.38 $210.00 30.6% 9.0% 30.4% 29.1% 38.1% 11.0% 0.4% -148.1M -4.71B -146.6M 2.74 1.86 N/A N/A 213,861 585,149 2,136,069 4,288,053 2020-05-06 $219.28 $210.00 30.4% 9.0% 30.2% 28.9% 33.9% 11.0% 0.5% -80.7M -6.76B -148.2M 1.64 1.74 N/A N/A 216,271 354,886 2,181,203 4,614,850 2020-05-07 $221.58 $210.00 29.0% 8.6% 30.2% 26.7% 33.2% 10.5% 0.7% 105.5M -10.04B -147.5M 1.31 1.59 N/A N/A 286,547 376,546 2,244,406 4,618,773 2020-05-08 $224.64 $210.00 25.8% 7.7% 30.4% 21.7% 30.2% 9.1% 0.8% 470.5M -15.45B -144.0M 1.99 1.67 N/A N/A 290,540 579,078 2,350,361 4,717,517 2020-05-11 $227.25 $210.00 25.8% 7.5% 30.4% 21.7% 28.7% 9.2% 0.4% 439.5M -17.45B -138.3M 1.38 1.93 N/A N/A 249,680 344,673 2,292,510 4,706,322 2020-05-12 $223.46 $210.00 28.7% 8.3% 27.7% 26.2% 30.4% 10.1% 0.1% 28.0M -11.13B -145.2M 1.88 2.66 N/A N/A 254,763 479,059 2,313,383 4,810,802 2020-05-13 $218.01 $210.00 33.4% 9.5% 29.1% 33.5% 34.0% 12.1% -0.1% -451.4M -1.91B -154.5M 1.95 2.10 N/A N/A 411,139 802,977 2,362,988 4,956,760 2020-05-14 $220.72 $210.00 30.6% 8.8% 29.0% 29.1% 32.7% 11.7% 0.0% -239.8M -6.46B -153.4M 1.50 1.94 N/A N/A 390,921 587,720 2,455,646 5,054,065 2020-05-15 $222.32 $210.00 30.0% 8.6% 29.0% 28.1% 32.9% 11.0% 0.2% 9.8M -9.64B -152.2M 1.33 1.68 N/A N/A 366,716 489,045 2,496,251 5,137,237 2020-05-18 $228.28 $210.00 26.1% 7.5% 30.1% 22.2% 30.5% 9.3% 0.2% 189.9M -11.82B -142.8M 1.89 1.43 N/A N/A 256,168 484,629 2,017,639 4,167,520 2020-05-19 $228.36 $212.00 27.0% 7.7% 26.3% 23.5% 29.4% 9.0% 0.2% 116.8M -11.43B -145.6M 2.00 1.99 N/A N/A 183,969 367,841 2,057,504 4,323,797 2020-05-20 $231.37 $213.00 26.0% 7.5% 25.0% 22.0% 27.4% 8.5% 0.2% 266.1M -15.18B -143.1M 1.80 1.48 N/A N/A 191,340 343,546 2,105,425 4,423,975 2020-05-21 $229.25 $213.00 27.2% 7.8% 25.3% 23.8% 29.2% 8.7% 0.2% -3.1M -11.64B -149.4M 1.93 1.78 N/A N/A 237,676 458,481 2,154,486 4,560,616 2020-05-22 $229.39 $215.00 26.6% 7.6% 25.1% 22.9% 27.9% 8.4% 0.3% 38.7M -11.71B -151.4M 1.20 1.59 N/A N/A 279,553 334,132 2,227,609 4,675,907 2020-05-26 $229.12 $215.00 25.9% 7.4% 25.1% 21.8% 27.4% 8.9% -0.4% 39.3M -11.49B -142.4M 1.56 1.56 N/A N/A 252,196 393,969 2,137,092 4,460,708 2020-05-27 $230.03 $215.00 25.5% 7.3% 24.1% 21.2% 27.8% 8.9% -0.4% 984.3K -11.77B -146.1M 1.75 1.56 N/A N/A 360,643 630,276 2,218,413 4,576,891 2020-05-28 $230.39 $215.00 26.4% 7.6% 21.3% 22.6% 27.5% 9.5% -0.4% -4.6M -11.81B -151.7M 1.60 1.78 N/A N/A 322,712 517,138 2,281,788 4,781,355 2020-05-29 $232.79 $215.00 24.4% 7.1% 21.2% 19.6% 27.5% 8.5% -0.4% 466.2M -15.36B -150.7M 1.99 2.18 N/A N/A 288,725 573,419 2,334,964 4,922,464
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