QQQ Options History — August 2020 In August 2020, QQQ traded between $265.70 and $296.40. ATM implied volatility averaged 25.6%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 5.9% (HV 20d: 19.7%). Max pain ranged from $249.00 to $265.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.01.
Notable Days 2020-08-27 : Highest Volume — 1,637,559 contracts2020-08-27 : Largest IV spike — 9.1% change2020-08-31 : Highest IV Rank — 26.9%2020-08-31 : Largest Expected Move — 8.1%Monthly Statistics Metric Avg Min Max Open Close Price $278.16 $265.70 $296.40 $269.76 $296.40 Max Pain $255.67 $249.00 $265.00 $256.00 $265.00 ATM IV 25.6% 23.7% 29.2% 26.2% 29.2% Expected Move 7.3% 6.7% 8.1% 7.3% 8.1% HV 20d 19.7% 16.1% 22.9% 20.6% 16.1% HV 60d 20.9% 20.5% 21.6% 21.6% 20.6% IV Rank 21.4% 18.5% 26.9% 22.3% 26.9% IV Percentile 59.7% 52.0% 75.0% 63.1% 75.0% Term Structure 0.4% -0.1% 0.9% -0.1% 0.6% VWIV 28.2% 25.2% 31.9% 27.9% 31.2% Skew 25d 8.0% 7.0% 9.3% 8.3% 7.9% Skew 10d 15.3% 13.7% 17.0% 15.2% 15.8% Call IV 25d 22.5% 20.7% 26.2% 22.7% 26.2% Put IV 25d 30.5% 27.8% 34.2% 31.0% 34.1% Bid-Ask Spread % 1.84 1.43 2.90 1.80 1.84 Gamma HHI 0.03 0.02 0.05 0.02 0.02 Net GEX 310.2M -747.4M 980.0M 265.5M 261.7M Net DEX -28.36B -38.88B -11.18B -23.21B -38.88B Net VEX -230.2M -251.3M -218.5M -218.5M -248.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.01 1.57 3.12 1.57 1.93 Total Volume 950,277.333 524,650 1,637,559 896,516 873,457 Total OI 8,509,074.333 7,585,386 9,420,398 7,690,097 8,463,141
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 2020-08-03 $269.76 $256.00 26.2% 7.3% 20.6% 22.3% 27.9% 8.3% -0.1% 265.5M -23.21B -218.5M 1.57 1.80 N/A N/A 348,935 547,581 2,665,107 5,024,990 2020-08-04 $269.54 $258.00 25.7% 7.2% 20.6% 21.6% 27.9% 7.9% 0.0% 172.3M -22.16B -221.4M 2.10 1.65 N/A N/A 182,487 384,079 2,739,385 5,174,272 2020-08-05 $270.74 $259.00 24.6% 6.7% 20.5% 19.8% 27.3% 7.7% 0.2% 293.9M -23.62B -221.2M 3.12 1.56 N/A N/A 155,404 485,137 2,785,220 5,316,272 2020-08-06 $274.46 $249.00 24.5% 7.3% 20.8% 19.8% 30.4% 7.8% 0.2% 600.1M -29.12B -222.4M 2.07 2.00 N/A N/A 365,883 759,164 2,831,384 5,435,726 2020-08-07 $271.60 $250.00 25.4% 7.5% 21.2% 21.0% 31.9% 8.1% 0.1% -103.4M -23.25B -230.9M 2.06 2.19 N/A N/A 447,030 920,828 2,857,759 5,607,736 2020-08-10 $269.64 $250.00 25.5% 7.6% 20.8% 21.2% 27.7% 8.6% 0.9% -145.5M -18.79B -233.8M 1.63 1.81 N/A N/A 301,255 490,501 2,846,391 5,472,436 2020-08-11 $265.70 $250.00 27.1% 7.9% 21.5% 23.7% 29.5% 9.3% 0.7% -747.4M -11.18B -239.4M 2.12 2.16 N/A N/A 253,272 536,371 2,911,609 5,579,854 2020-08-12 $272.04 $250.00 25.4% 7.5% 22.9% 21.0% 28.6% 8.1% 0.7% 248.8M -23.53B -233.2M 1.86 2.02 N/A N/A 289,894 539,378 2,982,237 5,688,027 2020-08-13 $272.64 $250.00 25.8% 7.5% 22.7% 21.8% 27.0% 7.9% 0.6% 252.8M -24.75B -232.1M 1.80 1.98 N/A N/A 346,742 625,842 3,023,153 5,808,565 2020-08-14 $271.53 $251.00 25.3% 7.4% 22.8% 20.9% 27.5% 7.5% 0.7% -193.9M -22.52B -235.7M 1.79 1.75 N/A N/A 266,984 479,119 3,091,862 6,027,413 2020-08-17 $275.60 $252.00 24.3% 7.0% 21.2% 19.4% 27.2% 7.7% 0.7% 718.0M -30.01B -224.4M 1.90 1.68 N/A N/A 180,889 343,761 2,972,826 5,781,894 2020-08-18 $278.21 $252.00 23.7% 6.8% 20.9% 18.5% 25.2% 7.0% 0.7% 980.0M -33.94B -219.7M 1.79 1.58 N/A N/A 258,499 462,006 2,987,754 5,864,283 2020-08-19 $276.56 $255.00 24.4% 7.0% 21.2% 19.6% 27.9% 8.1% 0.5% 494.8M -29.55B -225.5M 2.77 1.74 N/A N/A 228,792 634,132 3,011,729 5,994,112 2020-08-20 $280.30 $256.00 23.9% 6.8% 18.7% 18.8% 27.1% 8.1% 0.8% 792.2M -35.48B -223.2M 2.40 1.84 N/A N/A 281,236 674,254 3,040,629 6,149,325 2020-08-21 $281.51 $257.00 24.3% 6.9% 17.8% 19.4% 27.4% 7.8% 0.8% 657.7M -37.33B -227.8M 1.74 1.70 N/A N/A 426,879 743,927 3,070,659 6,349,739 2020-08-24 $283.15 $260.00 25.5% 7.1% 17.0% 21.3% 27.1% 8.4% 0.0% 90.7M -26.97B -227.0M 1.80 1.43 N/A N/A 368,083 663,575 2,528,545 5,056,841 2020-08-25 $285.70 $260.00 24.5% 6.8% 16.1% 19.7% 26.8% 8.4% 0.2% 251.4M -30.12B -226.3M 2.01 1.45 N/A N/A 320,137 643,238 2,615,295 5,223,924 2020-08-26 $291.58 $261.00 26.2% 7.4% 16.9% 22.4% 28.4% 8.0% 0.0% 498.4M -37.61B -228.7M 1.77 1.88 N/A N/A 566,591 1,002,524 2,741,509 5,398,748 2020-08-27 $291.74 $263.00 28.6% 7.9% 17.0% 26.0% 29.7% 8.6% 0.1% 309.8M -35.98B -243.7M 2.23 2.90 N/A N/A 507,565 1,129,994 2,864,117 5,713,943 2020-08-28 $292.95 $265.00 27.9% 7.6% 16.6% 24.9% 28.7% 7.6% 0.3% 816.3M -37.61B -251.3M 1.75 1.60 N/A N/A 335,194 585,205 2,985,121 6,007,029 2020-08-31 $296.40 $265.00 29.2% 8.1% 16.1% 26.9% 31.2% 7.9% 0.6% 261.7M -38.88B -248.6M 1.93 1.84 N/A N/A 297,675 575,782 2,869,173 5,593,968
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