QQQ Options History — July 2020 In July 2020, QQQ traded between $251.39 and $267.04. ATM implied volatility averaged 28.6%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 7.5% (HV 20d: 21.0%). Max pain ranged from $237.00 to $256.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.91.
Notable Days 2020-07-24 : Highest Volume — 1,700,356 contracts2020-07-13 : Largest IV spike — 17.1% change2020-07-14 : Highest IV Rank — 34.5%2020-07-14 : Largest Expected Move — 9.5%Monthly Statistics Metric Avg Min Max Open Close Price $259.85 $251.39 $267.04 $251.39 $264.79 Max Pain $249.45 $237.00 $256.00 $237.00 $256.00 ATM IV 28.6% 24.8% 34.1% 25.7% 25.5% Expected Move 8.1% 6.3% 9.5% 6.7% 7.1% HV 20d 21.0% 16.5% 25.7% 25.7% 20.8% HV 60d 22.9% 21.3% 25.0% 24.9% 21.4% IV Rank 26.0% 20.2% 34.5% 21.5% 21.2% IV Percentile 73.4% 60.3% 84.9% 68.7% 60.3% Term Structure -0.1% -0.7% 0.5% 0.1% 0.5% VWIV 30.4% 25.6% 37.0% 25.9% 26.6% Skew 25d 8.6% 7.8% 9.9% 8.9% 8.0% Skew 10d 16.0% 14.3% 18.1% 17.2% 14.3% Call IV 25d 24.8% 21.6% 29.8% 21.9% 21.9% Put IV 25d 33.5% 29.8% 39.5% 30.8% 29.8% Bid-Ask Spread % 2.09 1.62 3.25 1.99 1.89 Gamma HHI 0.03 0.02 0.06 0.03 0.06 Net GEX -324.7M -1.87B 506.3M 411.9M 506.3M Net DEX -15.02B -25.18B 705.4M -15.86B -18.26B Net VEX -208.2M -229.8M -172.2M -177.1M -223.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.91 1.34 2.72 1.69 1.34 Total Volume 1,017,782.636 599,150 1,700,356 733,599 1,350,389 Total OI 7,416,893.545 6,136,247 8,455,064 6,136,247 8,455,064
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 2020-07-01 $251.39 $237.00 25.7% 6.7% 25.7% 21.5% 25.9% 8.9% 0.1% 411.9M -15.86B -177.1M 1.69 1.99 N/A N/A 272,811 460,788 2,050,493 4,085,754 2020-07-02 $252.81 $238.00 24.8% 6.3% 25.2% 20.2% 25.6% 8.3% 0.2% 504.8M -17.43B -177.5M 1.73 1.84 N/A N/A 342,581 592,683 2,094,317 4,210,842 2020-07-06 $257.96 $240.00 26.4% 7.6% 25.1% 22.6% 30.1% 8.0% -0.0% 279.1M -20.84B -172.2M 1.64 1.62 N/A N/A 371,513 607,617 2,050,714 4,222,870 2020-07-07 $257.53 $240.00 28.1% 7.9% 25.1% 25.2% 29.8% 8.2% -0.1% 84.8M -19.04B -182.0M 1.84 1.62 N/A N/A 334,286 616,268 2,150,420 4,408,715 2020-07-08 $259.36 $245.00 27.7% 7.9% 25.0% 24.6% 28.9% 8.3% -0.2% 62.7M -20.97B -185.4M 1.98 1.82 N/A N/A 231,355 458,902 2,255,255 4,605,974 2020-07-09 $261.90 $245.00 29.5% 8.3% 24.9% 27.5% 31.4% 9.6% -0.4% 195.6M -23.29B -191.4M 2.20 2.15 N/A N/A 390,264 859,368 2,313,739 4,751,892 2020-07-10 $263.67 $247.00 28.5% 8.1% 16.5% 25.9% 31.7% 9.3% -0.4% 354.1M -25.18B -194.2M 2.72 2.51 N/A N/A 278,208 756,872 2,400,770 5,061,206 2020-07-13 $260.44 $250.00 33.4% 9.4% 17.5% 33.4% 35.3% 9.9% -0.4% -306.5M -17.18B -205.9M 2.03 3.25 N/A N/A 506,881 1,029,446 2,346,089 4,976,957 2020-07-14 $259.29 $250.00 34.1% 9.5% 17.7% 34.5% 37.0% 9.7% -0.6% -547.2M -14.25B -221.1M 2.40 2.13 N/A N/A 361,827 867,788 2,554,478 5,254,014 2020-07-15 $260.87 $250.00 32.4% 9.1% 17.1% 31.9% 33.8% 9.5% -0.7% -517.9M -16.46B -218.6M 1.65 1.86 N/A N/A 388,410 640,786 2,587,601 5,376,653 2020-07-16 $259.23 $250.00 30.7% 8.6% 17.4% 29.3% 31.4% 8.6% -0.7% -748.1M -14.62B -219.0M 1.58 2.05 N/A N/A 351,092 554,597 2,669,017 5,534,453 2020-07-17 $259.62 $250.00 27.4% 7.8% 17.4% 24.2% 28.9% 8.1% -0.2% -561.9M -16.43B -215.1M 1.54 2.46 N/A N/A 349,244 538,408 2,747,047 5,658,890 2020-07-20 $267.04 $252.00 26.8% 7.6% 19.5% 23.2% 28.2% 7.8% -0.0% 101.6M -20.51B -204.9M 1.86 2.26 N/A N/A 326,485 605,960 2,355,278 4,417,700 2020-07-21 $264.39 $253.00 28.2% 8.1% 20.1% 25.5% 30.3% 7.9% -0.0% -274.1M -16.01B -214.1M 2.17 1.99 N/A N/A 277,059 600,303 2,443,814 4,627,115 2020-07-22 $264.81 $255.00 27.1% 7.8% 19.9% 23.7% 30.0% 7.8% 0.1% -293.3M -15.96B -216.9M 1.64 2.09 N/A N/A 246,623 403,869 2,513,424 4,791,894 2020-07-23 $258.04 $255.00 28.9% 8.3% 21.0% 26.5% 29.9% 8.8% -0.0% -1.33B -4.56B -227.0M 1.68 2.25 N/A N/A 525,721 884,281 2,577,097 4,928,629 2020-07-24 $255.14 $255.00 29.8% 8.5% 21.6% 27.8% 32.5% 8.8% -0.0% -1.87B 705.4M -229.8M 2.08 2.22 N/A N/A 552,107 1,148,249 2,738,816 5,084,498 2020-07-27 $260.15 $255.00 28.3% 8.1% 21.4% 25.6% 30.5% 8.7% 0.1% -649.8M -9.66B -225.9M 1.97 1.80 N/A N/A 297,861 586,315 2,664,374 5,023,666 2020-07-28 $257.35 $255.00 29.1% 8.4% 22.0% 26.7% 29.7% 8.3% -0.1% -1.04B -4.71B -227.5M 1.62 2.04 N/A N/A 242,772 393,047 2,753,112 5,117,860 2020-07-29 $259.92 $255.00 27.6% 7.9% 21.1% 24.4% 30.1% 8.3% -0.0% -755.9M -9.42B -225.4M 2.08 1.82 N/A N/A 194,254 404,896 2,813,511 5,265,041 2020-07-30 $261.01 $255.00 28.3% 8.2% 20.3% 25.6% 30.4% 8.8% 0.0% -741.9M -10.57B -225.3M 2.67 2.27 N/A N/A 324,352 864,680 2,834,393 5,398,212 2020-07-31 $264.79 $256.00 25.5% 7.1% 20.8% 21.2% 26.6% 8.0% 0.5% 506.3M -18.26B -223.5M 1.34 1.89 N/A N/A 578,065 772,324 2,893,996 5,561,068
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