QQQ Options History — September 2020 In September 2020, QQQ traded between $264.85 and $303.15. ATM implied volatility averaged 33.5%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 1.0% (HV 20d: 32.5%). Max pain ranged from $265.00 to $285.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.57.
Notable Days 2020-09-04 : Highest Volume — 3,265,121 contracts2020-09-03 : Largest IV spike — 17.1% change2020-09-08 : Highest IV Rank — 42.0%2020-09-03 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $276.39 $264.85 $303.15 $299.49 $277.96 Max Pain $279.00 $265.00 $285.00 $265.00 $278.00 ATM IV 33.5% 30.2% 39.0% 30.2% 30.5% Expected Move 9.4% 8.1% 11.1% 8.2% 8.1% HV 20d 32.5% 16.1% 37.7% 16.1% 37.2% HV 60d 25.0% 20.7% 26.7% 20.7% 26.5% IV Rank 33.6% 28.4% 42.0% 28.4% 29.0% IV Percentile 80.7% 70.6% 89.3% 77.8% 70.6% Term Structure 0.5% -1.0% 2.9% 0.7% 2.9% VWIV 34.1% 28.9% 40.5% 30.5% 28.9% Skew 25d 8.3% 6.8% 10.4% 6.8% 8.2% Skew 10d 14.9% 10.6% 18.7% 13.9% 15.2% Call IV 25d 29.5% 26.6% 34.4% 27.2% 26.6% Put IV 25d 37.8% 34.0% 44.6% 34.0% 34.8% Bid-Ask Spread % 2.52 1.63 4.37 2.11 2.09 Gamma HHI 0.03 0.02 0.05 0.02 0.03 Net GEX -956.9M -2.05B 363.2M 363.2M 24.5M Net DEX -4.11B -45.36B 14.55B -42.40B -9.23B Net VEX -275.9M -300.4M -252.8M -252.8M -267.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.57 1.08 2.03 1.70 1.15 Total Volume 1,418,671 597,060 3,265,121 1,179,559 1,172,523 Total OI 9,385,886.048 8,142,242 10,615,924 8,773,713 8,585,330
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 2020-09-01 $299.49 $265.00 30.2% 8.2% 16.1% 28.4% 30.5% 6.8% 0.7% 363.2M -42.40B -252.8M 1.70 2.11 N/A N/A 436,778 742,781 2,954,659 5,819,054 2020-09-02 $303.15 $267.00 33.1% 9.0% 16.2% 33.0% 34.0% 8.2% 0.6% 318.7M -45.36B -261.9M 1.69 2.60 N/A N/A 565,169 954,813 3,072,518 6,043,705 2020-09-03 $286.51 $283.00 38.8% 11.1% 27.1% 41.8% 40.5% 10.2% 0.0% -1.33B -14.38B -299.9M 1.86 2.67 N/A N/A 984,198 1,826,888 3,270,736 6,308,173 2020-09-04 $284.87 $285.00 37.4% 10.6% 26.9% 39.6% 38.6% 10.4% -0.2% -1.68B -12.50B -300.4M 2.03 4.37 N/A N/A 1,076,030 2,189,091 3,551,902 6,528,685 2020-09-08 $270.92 $283.00 39.0% 10.9% 32.6% 42.0% 38.4% 8.2% -1.0% -1.28B 6.25B -287.8M 1.60 2.60 N/A N/A 610,324 978,219 3,428,185 6,125,332 2020-09-09 $278.29 $283.00 36.0% 10.2% 33.4% 37.5% 37.0% 9.1% -0.3% -781.4M -8.67B -283.4M 1.08 2.26 N/A N/A 596,275 646,961 3,605,165 6,215,798 2020-09-10 $272.91 $282.00 36.1% 10.2% 33.3% 37.6% 35.7% 7.8% -0.5% -1.41B 2.09B -284.9M 1.71 4.07 N/A N/A 601,021 1,024,825 3,734,416 6,376,740 2020-09-11 $269.99 $282.00 33.5% 9.5% 33.5% 33.6% 34.2% 7.5% -0.5% -2.05B 9.74B -280.0M 1.70 3.47 N/A N/A 657,176 1,114,930 3,836,662 6,546,734 2020-09-14 $275.73 $280.00 31.1% 8.9% 34.3% 30.0% 31.4% 7.9% 0.3% -967.5M -6.43B -273.5M 1.53 2.66 N/A N/A 348,969 535,236 3,702,604 6,345,738 2020-09-15 $278.07 $282.00 32.1% 9.2% 34.0% 31.4% 32.8% 8.3% 0.2% -798.3M -10.71B -275.4M 1.73 2.53 N/A N/A 305,023 526,337 3,744,996 6,452,701 2020-09-16 $275.57 $281.00 32.9% 9.4% 34.0% 32.7% 34.0% 8.2% 0.1% -1.22B -4.95B -276.6M 1.93 2.82 N/A N/A 337,921 651,426 3,798,979 6,568,741 2020-09-17 $269.45 $280.00 33.9% 9.7% 34.9% 34.2% 34.7% 8.1% 0.3% -2.05B 8.41B -274.7M 1.94 2.81 N/A N/A 606,701 1,176,987 3,835,175 6,638,185 2020-09-18 $267.22 $280.00 33.0% 9.5% 34.5% 32.8% 33.8% 8.1% 0.1% -1.88B 12.53B -272.4M 1.47 2.68 N/A N/A 733,807 1,081,621 3,925,939 6,689,985 2020-09-21 $266.23 $280.00 33.5% 9.6% 34.4% 33.6% 35.0% 8.2% 0.4% -1.33B 13.33B -270.9M 1.37 1.79 N/A N/A 528,778 725,829 3,019,073 5,123,169 2020-09-22 $272.96 $279.00 31.5% 8.9% 35.7% 30.5% 33.6% 7.8% 0.6% -577.9M 434.5M -273.2M 1.34 2.28 N/A N/A 466,088 626,670 3,146,792 5,186,112 2020-09-23 $264.85 $279.00 33.6% 9.6% 36.8% 33.8% 32.9% 8.3% 0.4% -1.37B 14.55B -271.8M 1.48 1.83 N/A N/A 451,719 666,419 3,230,303 5,264,765 2020-09-24 $265.89 $278.00 34.0% 9.6% 35.8% 34.3% 35.2% 8.8% 0.4% -1.26B 12.69B -275.3M 1.56 1.68 N/A N/A 530,938 825,916 3,306,482 5,374,499 2020-09-25 $271.41 $277.00 31.3% 8.7% 36.9% 30.3% 32.1% 7.9% 1.0% -366.9M 1.44B -274.5M 1.47 1.81 N/A N/A 459,584 673,799 3,352,838 5,522,430 2020-09-28 $276.76 $277.00 30.7% 8.4% 37.7% 29.3% 31.3% 7.5% 2.9% -186.0M -7.48B -268.6M 1.44 2.11 N/A N/A 310,746 446,515 3,066,044 5,306,156 2020-09-29 $275.98 $278.00 31.4% 8.6% 37.3% 30.3% 30.9% 8.0% 2.8% -241.9M -5.62B -268.3M 1.29 1.63 N/A N/A 260,677 336,383 3,110,300 5,387,807 2020-09-30 $277.96 $278.00 30.5% 8.1% 37.2% 29.0% 28.9% 8.2% 2.9% 24.5M -9.23B -267.0M 1.15 2.09 N/A N/A 545,445 627,078 3,153,335 5,431,995
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