QQQ Options History — October 2020 In October 2020, QQQ traded between $268.24 and $295.54. ATM implied volatility averaged 33.6%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 6.6% (HV 20d: 27.0%). Max pain ranged from $276.00 to $280.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.42.
Notable Days 2020-10-02 : Highest Volume — 1,715,563 contracts2020-10-28 : Largest IV spike — 15.6% change2020-10-28 : Highest IV Rank — 41.5%2020-10-28 : Largest Expected Move — 11.7%Monthly Statistics Metric Avg Min Max Open Close Price $283.09 $268.24 $295.54 $281.49 $268.24 Max Pain $279.00 $276.00 $280.00 $278.00 $280.00 ATM IV 33.6% 30.5% 38.6% 32.0% 38.2% Expected Move 9.7% 8.3% 11.7% 8.3% 11.6% HV 20d 27.0% 22.4% 37.2% 37.2% 28.7% HV 60d 27.4% 26.5% 29.1% 26.5% 29.1% IV Rank 33.8% 28.9% 41.5% 31.2% 40.8% IV Percentile 78.1% 67.9% 88.5% 75.4% 87.3% Term Structure -0.1% -1.0% 2.9% 2.9% -0.1% VWIV 35.0% 30.3% 41.2% 30.5% 40.9% Skew 25d 8.5% 7.3% 10.7% 7.7% 10.7% Skew 10d 15.0% 13.0% 19.2% 13.7% 19.2% Call IV 25d 29.4% 26.7% 33.5% 27.7% 32.4% Put IV 25d 37.9% 34.7% 43.4% 35.3% 43.1% Bid-Ask Spread % 1.83 1.37 2.25 2.25 2.16 Gamma HHI 0.03 0.02 0.06 0.02 0.03 Net GEX -316.4M -1.79B 1.25B 40.8M -1.79B Net DEX -11.08B -32.64B 16.39B -13.71B 16.39B Net VEX -266.1M -275.0M -255.2M -267.1M -270.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.42 1.08 1.86 1.19 1.68 Total Volume 949,773 565,070 1,715,563 921,123 1,552,530 Total OI 8,362,700.364 7,511,095 9,332,312 8,126,628 8,371,448
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 2020-10-01 $281.49 $278.00 32.0% 8.3% 37.2% 31.2% 30.5% 7.7% 2.9% 40.8M -13.71B -267.1M 1.19 2.25 N/A N/A 421,475 499,648 2,983,874 5,142,754 2020-10-02 $275.51 $278.00 33.0% 8.4% 32.4% 32.8% 30.3% 7.3% 2.9% -770.1M -2.44B -271.6M 1.43 2.19 N/A N/A 704,699 1,010,864 3,105,646 5,240,467 2020-10-05 $280.04 $276.00 33.5% 9.8% 33.0% 33.5% 36.0% 8.6% 0.1% -75.9M -10.68B -274.0M 1.28 1.51 N/A N/A 256,760 327,775 3,078,140 5,261,817 2020-10-06 $275.10 $276.00 35.7% 10.2% 28.2% 37.0% 36.3% 9.1% -0.3% -698.8M -1.74B -274.4M 1.52 1.69 N/A N/A 360,291 549,356 3,115,121 5,344,327 2020-10-07 $280.26 $276.00 34.5% 9.8% 27.3% 35.1% 34.7% 9.2% -0.1% -84.0M -10.48B -271.2M 1.26 1.44 N/A N/A 300,649 379,783 3,149,286 5,462,497 2020-10-08 $281.24 $276.00 33.0% 9.5% 26.3% 32.8% 35.6% 8.3% 0.1% 170.9M -13.14B -265.5M 1.69 1.57 N/A N/A 269,551 454,306 3,186,124 5,526,648 2020-10-09 $285.35 $279.00 30.5% 8.8% 26.3% 28.9% 32.5% 8.0% 0.2% 1.25B -20.74B -261.4M 1.12 1.64 N/A N/A 467,008 525,196 3,223,259 5,655,056 2020-10-12 $294.68 $279.00 32.3% 9.1% 27.6% 31.8% 35.0% 8.2% -0.4% 909.1M -32.64B -255.2M 1.31 2.16 N/A N/A 664,368 867,231 3,088,664 5,440,250 2020-10-13 $295.54 $280.00 32.7% 9.2% 27.5% 32.4% 34.5% 7.8% -0.6% 536.5M -32.42B -256.1M 1.73 1.90 N/A N/A 393,949 680,749 3,110,126 5,718,582 2020-10-14 $292.96 $280.00 32.5% 9.1% 27.5% 32.1% 34.1% 7.6% -0.7% 268.2M -27.47B -261.5M 1.48 1.72 N/A N/A 311,711 462,013 3,172,626 5,923,260 2020-10-15 $290.40 $280.00 32.8% 9.3% 26.2% 32.5% 34.0% 7.4% -0.6% 6.9M -22.78B -261.1M 1.44 1.83 N/A N/A 405,364 583,590 3,208,952 5,983,370 2020-10-16 $289.83 $280.00 32.4% 9.2% 25.9% 31.9% 34.3% 7.9% -0.5% 26.3M -22.13B -263.8M 1.24 2.16 N/A N/A 431,903 534,068 3,277,709 6,054,603 2020-10-19 $283.90 $280.00 34.2% 9.8% 27.3% 34.7% 34.2% 8.4% -0.9% -590.8M -8.28B -267.8M 1.45 2.14 N/A N/A 335,413 484,774 2,692,399 4,818,696 2020-10-20 $285.46 $280.00 33.1% 9.5% 26.1% 33.0% 33.6% 8.3% -0.8% -525.6M -10.59B -265.5M 1.08 2.01 N/A N/A 345,396 373,805 2,782,805 4,915,883 2020-10-21 $284.78 $280.00 32.7% 9.4% 23.2% 32.3% 33.3% 8.6% -1.0% -637.8M -9.54B -265.3M 1.67 1.79 N/A N/A 211,658 353,412 2,828,452 4,982,046 2020-10-22 $284.40 $280.00 32.2% 9.3% 23.2% 31.6% 33.1% 8.0% -0.9% -752.8M -8.97B -263.9M 1.43 1.53 N/A N/A 307,184 438,298 2,854,709 5,080,708 2020-10-23 $284.45 $280.00 31.3% 9.0% 22.4% 30.2% 33.3% 8.0% -0.8% -577.7M -9.23B -262.4M 1.20 1.66 N/A N/A 316,047 379,028 2,916,130 5,168,288 2020-10-26 $279.18 $280.00 35.4% 10.5% 22.6% 36.6% 37.8% 9.0% -0.3% -876.5M -2.05B -263.1M 1.39 1.83 N/A N/A 412,197 573,766 2,755,818 4,971,935 2020-10-27 $283.10 $280.00 33.4% 10.0% 23.0% 33.5% 35.7% 9.3% -0.2% -573.8M -8.17B -265.0M 1.86 1.37 N/A N/A 226,401 422,225 2,889,660 5,086,327 2020-10-28 $273.57 $280.00 38.6% 11.7% 26.1% 41.5% 41.2% 9.9% -0.4% -1.32B 7.85B -275.0M 1.33 2.06 N/A N/A 533,216 707,894 2,915,959 5,202,881 2020-10-29 $278.43 $280.00 36.2% 11.0% 26.5% 37.7% 39.7% 10.4% -0.3% -894.9M -772.9M -273.6M 1.45 1.60 N/A N/A 432,630 626,825 2,999,241 5,292,865 2020-10-30 $268.24 $280.00 38.2% 11.6% 28.7% 40.8% 40.9% 10.7% -0.1% -1.79B 16.39B -270.8M 1.68 2.16 N/A N/A 578,439 974,091 3,012,135 5,359,313
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