QQQ Options History — June 2020 In June 2020, QQQ traded between $234.04 and $249.27. ATM implied volatility averaged 27.1%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 5.5% (HV 20d: 21.7%). Max pain ranged from $215.00 to $237.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.72.
Notable Days 2020-06-11 : Highest Volume — 1,481,410 contracts2020-06-11 : Largest IV spike — 31.1% change2020-06-11 : Highest IV Rank — 32.2%2020-06-11 : Largest Expected Move — 9.2%Monthly Statistics Metric Avg Min Max Open Close Price $241.30 $234.04 $249.27 $234.04 $246.86 Max Pain $230.82 $215.00 $237.00 $215.00 $237.00 ATM IV 27.1% 22.0% 32.6% 24.8% 27.1% Expected Move 7.7% 6.3% 9.2% 7.2% 7.2% HV 20d 21.7% 18.1% 25.3% 18.2% 25.3% HV 60d 36.6% 28.2% 47.8% 47.8% 28.2% IV Rank 23.7% 15.8% 32.2% 20.2% 23.7% IV Percentile 75.3% 67.5% 83.3% 73.0% 72.6% Term Structure 0.2% -0.6% 0.9% 0.3% -0.0% VWIV 29.2% 24.3% 33.9% 28.9% 28.1% Skew 25d 8.9% 6.6% 11.1% 8.9% 9.4% Skew 10d 16.8% 12.2% 21.1% 16.9% 17.2% Call IV 25d 23.4% 19.5% 28.4% 20.7% 23.2% Put IV 25d 32.3% 26.1% 38.8% 29.7% 32.6% Bid-Ask Spread % 2.11 1.25 4.43 1.25 1.77 Gamma HHI 0.03 0.02 0.05 0.02 0.03 Net GEX 47.7M -688.2M 790.1M 94.8M 244.5M Net DEX -16.74B -30.71B -3.09B -15.57B -12.62B Net VEX -170.2M -189.2M -147.6M -149.3M -179.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.72 1.12 2.58 2.58 1.69 Total Volume 870,833.682 486,700 1,481,410 593,118 636,899 Total OI 7,416,833.909 5,783,774 8,700,965 6,956,399 6,401,757
Daily Data (22 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 2020-06-01 $234.04 $215.00 24.8% 7.2% 18.2% 20.2% 28.9% 8.9% 0.3% 94.8M -15.57B -149.3M 2.58 1.25 N/A N/A 165,514 427,604 2,223,689 4,732,710 2020-06-02 $234.49 $215.00 24.1% 7.0% 18.1% 19.2% 26.4% 8.7% -0.0% 17.1M -15.79B -150.3M 2.21 1.42 N/A N/A 151,529 335,171 2,247,269 4,937,799 2020-06-03 $237.07 $215.00 22.7% 6.4% 18.1% 17.0% 25.4% 8.1% 0.1% 247.1M -19.69B -148.5M 2.56 1.58 N/A N/A 177,917 455,253 2,288,710 5,025,515 2020-06-04 $234.30 $225.00 23.9% 7.0% 18.9% 18.9% 26.6% 7.9% -0.0% -189.2M -14.67B -154.3M 2.12 1.61 N/A N/A 298,510 632,232 2,322,245 5,190,024 2020-06-05 $239.22 $227.00 22.0% 6.3% 19.7% 15.8% 24.3% 6.6% -0.1% 516.5M -23.17B -147.6M 1.78 2.07 N/A N/A 393,440 698,988 2,389,897 5,361,254 2020-06-08 $241.00 $228.00 22.7% 6.5% 19.4% 16.9% 26.4% 6.7% 0.2% 285.3M -23.69B -148.6M 1.49 1.60 N/A N/A 261,134 388,275 2,332,662 5,244,609 2020-06-09 $243.62 $228.00 24.3% 7.0% 19.4% 19.4% 27.0% 7.3% 0.1% 413.9M -27.12B -151.6M 2.04 1.82 N/A N/A 448,732 914,422 2,425,912 5,325,555 2020-06-10 $246.84 $230.00 24.9% 7.1% 18.1% 20.3% 27.5% 7.2% 0.1% 464.5M -30.71B -156.7M 1.69 4.43 N/A N/A 464,050 784,800 2,536,992 5,569,106 2020-06-11 $235.52 $234.00 32.6% 9.2% 23.8% 32.2% 33.7% 10.4% -0.6% -688.2M -8.03B -187.4M 1.75 2.41 N/A N/A 539,528 941,882 2,653,312 5,792,261 2020-06-12 $235.14 $235.00 31.3% 8.9% 23.6% 30.1% 33.9% 11.1% -0.3% -663.3M -9.05B -186.5M 1.90 2.84 N/A N/A 445,269 845,737 2,774,123 5,758,073 2020-06-15 $237.78 $235.00 29.6% 8.5% 23.8% 27.6% 33.0% 10.2% 0.6% -146.9M -15.05B -179.2M 1.12 2.00 N/A N/A 360,890 405,037 2,639,702 5,595,133 2020-06-16 $241.81 $235.00 28.7% 8.2% 22.7% 26.1% 30.5% 9.2% 0.4% 148.5M -22.27B -179.0M 1.39 2.75 N/A N/A 345,761 479,620 2,717,847 5,660,413 2020-06-17 $243.55 $235.00 28.6% 8.2% 22.8% 26.0% 31.4% 9.1% 0.5% 262.6M -25.27B -177.5M 1.51 2.06 N/A N/A 242,104 365,419 2,756,378 5,728,343 2020-06-18 $243.88 $235.00 27.4% 7.8% 22.5% 24.1% 29.6% 8.3% 0.9% 322.4M -25.81B -175.3M 1.52 2.24 N/A N/A 244,969 372,312 2,762,762 5,794,565 2020-06-19 $244.45 $235.00 27.0% 7.7% 22.0% 23.6% 28.4% 8.6% 0.8% 790.1M -26.90B -176.0M 1.35 2.29 N/A N/A 422,795 570,310 2,808,137 5,892,828 2020-06-22 $246.45 $235.00 28.0% 7.9% 22.1% 25.1% 29.4% 9.2% 0.3% 106.2M -12.24B -175.5M 1.67 1.87 N/A N/A 211,853 353,269 1,934,517 3,849,257 2020-06-23 $249.27 $235.00 27.4% 7.6% 22.2% 24.1% 28.6% 9.1% 0.5% 193.5M -14.97B -175.6M 1.86 1.89 N/A N/A 333,282 620,957 1,995,480 3,989,440 2020-06-24 $244.58 $236.00 29.6% 8.3% 23.6% 27.6% 30.3% 9.7% 0.2% -269.3M -7.72B -186.8M 1.57 2.11 N/A N/A 411,725 645,300 2,077,100 4,182,222 2020-06-25 $245.35 $236.00 29.0% 8.1% 23.6% 26.7% 31.1% 9.4% 0.3% -107.8M -9.43B -186.6M 1.37 2.00 N/A N/A 307,006 421,824 2,163,400 4,278,250 2020-06-26 $241.46 $236.00 31.2% 8.7% 24.4% 30.0% 31.3% 10.4% 0.2% -645.4M -3.09B -189.2M 1.28 2.22 N/A N/A 428,835 550,483 2,212,096 4,338,062 2020-06-29 $241.81 $236.00 29.7% 8.2% 24.4% 27.7% 30.4% 10.2% -0.1% -348.0M -5.37B -182.9M 1.31 2.08 N/A N/A 284,929 372,775 2,114,194 4,146,746 2020-06-30 $246.86 $237.00 27.1% 7.2% 25.3% 23.7% 28.1% 9.4% -0.0% 244.5M -12.62B -179.1M 1.69 1.77 N/A N/A 237,210 399,689 2,162,331 4,239,426
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