QQQ Options History — November 2020 In November 2020, QQQ traded between $268.71 and $299.03. ATM implied volatility averaged 25.8%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 4.8% (HV 20d: 30.6%). Max pain ranged from $274.00 to $280.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.66.
Notable Days 2020-11-05 : Highest Volume — 1,385,272 contracts2020-11-04 : Largest IV drop — 12.1% change2020-11-02 : Highest IV Rank — 40.2%2020-11-02 : Largest Expected Move — 11.9%Monthly Statistics Metric Avg Min Max Open Close Price $290.15 $268.71 $299.03 $268.71 $299.03 Max Pain $277.25 $274.00 $280.00 $280.00 $280.00 ATM IV 25.8% 20.9% 37.8% 37.8% 22.4% Expected Move 7.6% 6.0% 11.9% 11.9% 6.6% HV 20d 30.6% 22.9% 32.7% 27.9% 22.9% HV 60d 30.5% 28.3% 31.0% 29.0% 28.3% IV Rank 21.7% 14.2% 40.2% 40.2% 16.4% IV Percentile 39.6% 23.4% 86.5% 86.5% 24.2% Term Structure 0.1% -0.8% 1.6% -0.8% 1.6% VWIV 29.0% 23.9% 42.6% 42.6% 24.9% Skew 25d 7.3% 5.0% 10.6% 10.6% 5.0% Skew 10d 14.1% 9.9% 19.6% 19.6% 10.4% Call IV 25d 22.7% 19.3% 32.1% 32.1% 20.5% Put IV 25d 30.1% 24.6% 42.7% 42.7% 25.5% Bid-Ask Spread % 2.47 1.55 3.67 1.76 1.55 Gamma HHI 0.03 0.02 0.04 0.03 0.03 Net GEX -141.9M -1.27B 1.14B -1.15B 493.9M Net DEX -18.60B -30.51B 10.96B 10.96B -28.90B Net VEX -255.5M -275.1M -234.5M -267.9M -234.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.66 1.16 2.39 1.77 1.69 Total Volume 840,686.35 545,814 1,385,272 788,471 691,471 Total OI 8,701,966.55 7,858,451 9,497,482 7,946,975 8,017,572
Daily Data (20 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 2020-11-02 $268.71 $280.00 37.8% 11.9% 27.9% 40.2% 42.6% 10.6% -0.8% -1.15B 10.96B -267.9M 1.77 1.76 N/A N/A 285,111 503,360 2,800,193 5,146,782 2020-11-03 $275.76 $280.00 33.7% 10.6% 29.0% 33.9% 38.6% 10.5% -0.4% -873.6M 710.7M -262.3M 1.61 2.38 N/A N/A 276,642 444,457 2,800,193 5,146,782 2020-11-04 $286.64 $280.00 29.6% 8.9% 31.4% 27.6% 34.2% 8.6% 0.1% -55.5M -17.73B -258.6M 1.66 3.34 N/A N/A 489,184 812,375 2,962,164 5,364,510 2020-11-05 $293.34 $274.00 28.7% 8.3% 32.4% 26.1% 31.3% 8.3% 0.1% 377.1M -27.88B -257.1M 1.72 3.67 N/A N/A 508,883 876,389 3,055,614 5,572,502 2020-11-06 $295.18 $275.00 26.4% 7.7% 32.1% 22.7% 34.5% 7.7% 0.3% 523.2M -30.19B -258.6M 2.39 2.33 N/A N/A 329,128 787,780 3,145,731 5,845,905 2020-11-09 $291.55 $275.00 26.3% 7.6% 30.3% 22.5% 28.9% 6.6% 0.3% -165.9M -21.74B -258.3M 2.11 3.22 N/A N/A 383,013 806,676 3,025,731 5,568,249 2020-11-10 $283.94 $275.00 28.1% 8.1% 31.7% 25.2% 29.6% 7.9% 0.1% -1.27B -3.65B -274.0M 1.81 2.63 N/A N/A 473,673 859,169 3,106,641 5,856,576 2020-11-11 $289.73 $275.00 26.4% 7.7% 32.5% 22.6% 28.5% 7.0% 0.3% -527.8M -16.63B -271.1M 1.60 2.97 N/A N/A 271,905 435,573 3,195,355 5,981,148 2020-11-12 $287.79 $275.00 27.6% 8.0% 32.4% 24.5% 30.0% 7.8% 0.3% -954.6M -11.99B -275.1M 1.87 3.49 N/A N/A 304,284 568,800 3,228,909 6,055,157 2020-11-13 $291.30 $275.00 25.4% 7.4% 32.7% 21.1% 27.1% 7.4% 0.5% -184.2M -20.54B -267.4M 1.72 3.06 N/A N/A 289,856 499,342 3,295,037 6,117,181 2020-11-16 $292.26 $275.00 24.1% 7.0% 31.8% 19.1% 26.6% 7.4% -0.1% -106.1M -21.93B -254.4M 1.43 2.42 N/A N/A 248,567 354,953 3,142,790 5,895,464 2020-11-17 $292.26 $276.00 23.8% 6.8% 31.8% 18.6% 27.1% 7.2% -0.1% -123.3M -22.19B -253.2M 1.85 2.46 N/A N/A 196,009 362,629 3,190,336 5,966,120 2020-11-18 $291.06 $278.00 23.7% 6.8% 31.8% 18.5% 25.2% 7.0% 0.0% -312.3M -20.10B -251.9M 1.43 2.27 N/A N/A 283,803 405,548 3,222,115 6,030,150 2020-11-19 $292.43 $278.00 23.0% 6.6% 31.8% 17.4% 27.1% 7.2% -0.1% -17.6M -23.01B -250.5M 1.67 1.97 N/A N/A 250,858 419,430 3,270,282 6,109,482 2020-11-20 $291.35 $278.00 22.6% 6.5% 31.8% 16.8% 25.1% 6.8% -0.0% -464.4M -20.82B -249.2M 1.39 2.35 N/A N/A 341,947 474,796 3,306,116 6,191,366 2020-11-23 $290.68 $278.00 22.4% 6.4% 31.0% 16.5% 24.2% 7.3% -0.1% -299.6M -15.83B -244.4M 1.63 1.79 N/A N/A 289,504 471,435 2,855,524 5,002,927 2020-11-24 $294.55 $278.00 21.8% 6.2% 31.0% 15.5% 24.0% 5.7% -0.0% 378.4M -23.11B -242.1M 1.36 1.95 N/A N/A 300,746 408,584 2,919,886 5,125,268 2020-11-25 $296.76 $280.00 20.9% 6.0% 27.9% 14.2% 23.9% 5.3% 0.1% 763.6M -26.96B -240.4M 1.16 1.81 N/A N/A 259,957 302,076 2,976,431 5,231,450 2020-11-27 $298.69 $280.00 21.5% 6.2% 27.5% 15.1% 25.9% 5.5% 0.1% 1.14B -30.51B -238.5M 1.38 2.04 N/A N/A 229,384 316,430 3,020,101 5,295,591 2020-11-30 $299.03 $280.00 22.4% 6.6% 22.9% 16.4% 24.9% 5.0% 1.6% 493.9M -28.90B -234.5M 1.69 1.55 N/A N/A 256,694 434,777 2,903,692 5,113,880
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