QQQ Options History — December 2020 In December 2020, QQQ traded between $301.17 and $313.10. ATM implied volatility averaged 23.6%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 9.3% (HV 20d: 14.3%). Max pain ranged from $276.00 to $296.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.96.
Notable Days 2020-12-09 : Highest Volume — 1,233,088 contracts2020-12-09 : Largest IV spike — 11.4% change2020-12-11 : Highest IV Rank — 21.7%2020-12-11 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $307.47 $301.17 $313.10 $303.27 $312.96 Max Pain $285.59 $276.00 $296.00 $280.00 $296.00 ATM IV 23.6% 22.0% 25.8% 22.5% 23.6% Expected Move 6.7% 6.0% 7.4% 6.6% 6.4% HV 20d 14.3% 11.8% 23.0% 23.0% 11.9% HV 60d 24.3% 21.9% 28.4% 28.4% 21.9% IV Rank 17.7% 13.0% 21.7% 16.6% 15.6% IV Percentile 26.0% 16.3% 38.1% 24.6% 22.6% Term Structure 0.7% -0.1% 2.0% 1.7% 0.6% VWIV 26.3% 22.7% 29.1% 26.1% 27.6% Skew 25d 7.6% 4.3% 9.6% 4.4% 8.9% Skew 10d 14.2% 8.9% 17.1% 9.6% 16.1% Call IV 25d 20.6% 18.9% 22.4% 21.2% 19.8% Put IV 25d 28.2% 25.0% 30.8% 25.6% 28.7% Bid-Ask Spread % 2.14 1.42 4.08 1.83 2.00 Gamma HHI 0.04 0.03 0.06 0.04 0.04 Net GEX 440.5M -793.4M 1.26B 842.0M 215.6M Net DEX -28.50B -43.27B -13.50B -34.93B -17.46B Net VEX -240.0M -255.7M -224.8M -235.1M -255.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.96 1.41 3.15 1.41 2.71 Total Volume 805,487.182 478,481 1,233,088 992,479 743,336 Total OI 8,514,911.682 7,214,619 9,979,081 8,204,173 8,157,313
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 2020-12-01 $303.27 $280.00 22.5% 6.6% 23.0% 16.6% 26.1% 4.4% 1.7% 842.0M -34.93B -235.1M 1.41 1.83 N/A N/A 412,373 580,106 2,968,296 5,235,877 2020-12-02 $303.59 $280.00 22.4% 6.5% 21.9% 16.5% 25.5% 4.3% 1.8% 879.6M -35.65B -235.1M 1.71 1.78 N/A N/A 237,006 406,158 3,029,169 5,377,973 2020-12-03 $304.18 $276.00 22.7% 6.9% 17.8% 16.9% 25.7% 4.3% 2.0% 990.5M -35.60B -239.5M 1.45 2.88 N/A N/A 308,988 449,260 3,084,462 5,511,118 2020-12-04 $305.04 $278.00 22.4% 6.8% 16.2% 16.5% 27.0% 5.0% 1.9% 1.19B -36.74B -238.3M 1.66 2.19 N/A N/A 321,965 535,158 3,108,957 5,601,340 2020-12-07 $306.57 $280.00 23.1% 6.8% 16.1% 17.5% 26.6% 6.4% 0.3% 422.4M -36.83B -232.2M 2.49 1.94 N/A N/A 172,053 428,398 2,988,318 5,576,589 2020-12-08 $308.40 $280.00 22.5% 6.6% 15.3% 16.6% 25.1% 5.7% 0.4% 629.1M -40.03B -224.8M 1.67 2.06 N/A N/A 179,395 299,086 3,028,927 5,689,789 2020-12-09 $301.51 $280.00 25.1% 7.3% 14.3% 20.6% 27.6% 8.0% 0.2% -563.5M -25.13B -241.0M 1.66 4.08 N/A N/A 463,492 769,596 3,045,412 5,771,931 2020-12-10 $303.15 $280.00 25.1% 7.3% 12.8% 20.7% 28.4% 7.7% 0.3% -201.0M -29.66B -238.5M 2.26 1.84 N/A N/A 310,978 702,111 3,160,908 5,940,050 2020-12-11 $301.17 $280.00 25.8% 7.4% 12.8% 21.7% 28.3% 8.0% 0.3% -793.4M -25.02B -243.2M 1.81 2.06 N/A N/A 331,768 601,516 3,233,468 6,049,639 2020-12-14 $304.15 $280.00 25.5% 7.3% 12.6% 21.3% 26.0% 8.6% -0.1% 261.6M -32.46B -232.6M 1.53 1.88 N/A N/A 276,250 421,709 3,142,761 5,915,212 2020-12-15 $306.85 $281.00 24.4% 7.0% 12.8% 19.5% 26.7% 9.1% 0.1% 697.2M -37.16B -229.8M 1.71 2.35 N/A N/A 282,513 484,407 3,220,380 6,030,844 2020-12-16 $309.54 $284.00 23.7% 6.8% 13.0% 18.5% 29.1% 8.8% 0.2% 1.13B -41.90B -228.3M 2.11 2.63 N/A N/A 301,256 634,753 3,273,564 6,186,293 2020-12-17 $310.51 $286.00 23.3% 6.7% 12.7% 17.8% 28.4% 8.6% 0.1% 1.26B -43.27B -228.3M 2.09 2.39 N/A N/A 305,664 640,069 3,333,499 6,402,836 2020-12-18 $308.36 $287.00 24.2% 6.9% 13.2% 19.3% 26.6% 9.6% 0.1% 457.7M -37.66B -237.0M 1.51 2.95 N/A N/A 423,731 640,741 3,391,826 6,587,255 2020-12-21 $308.35 $292.00 24.6% 7.1% 13.0% 19.9% 26.2% 9.2% 0.7% -177.2M -13.50B -245.4M 1.92 1.91 N/A N/A 302,390 582,041 2,334,731 4,879,888 2020-12-22 $309.32 $292.00 24.3% 7.0% 12.9% 18.7% 26.7% 8.8% 0.8% 33.0M -15.28B -250.2M 1.87 1.84 N/A N/A 232,323 434,989 2,425,540 4,998,902 2020-12-23 $309.46 $293.00 23.1% 6.5% 12.4% 16.8% 26.7% 8.1% 1.0% 120.9M -15.42B -250.9M 2.04 1.80 N/A N/A 239,942 490,584 2,474,796 5,105,144 2020-12-24 $309.23 $293.00 22.5% 6.3% 12.3% 15.4% 24.9% 8.1% 1.1% 44.6M -14.69B -253.8M 2.45 1.76 N/A N/A 143,591 352,269 2,548,014 5,211,065 2020-12-28 $312.76 $295.00 22.0% 6.0% 12.6% 13.0% 22.7% 8.3% 0.7% 896.9M -20.25B -243.0M 1.56 1.42 N/A N/A 252,519 394,347 2,469,854 5,105,574 2020-12-29 $313.10 $295.00 23.0% 6.2% 12.6% 14.6% 23.1% 8.6% 0.6% 713.0M -19.55B -248.5M 2.37 1.90 N/A N/A 243,041 575,623 2,502,582 5,282,930 2020-12-30 $312.90 $295.00 23.0% 6.2% 11.8% 14.6% 23.7% 8.5% 0.6% 642.6M -18.78B -249.0M 3.15 1.64 N/A N/A 195,905 617,318 2,542,955 5,402,076 2020-12-31 $312.96 $296.00 23.6% 6.4% 11.9% 15.6% 27.6% 8.9% 0.6% 215.6M -17.46B -255.7M 2.71 2.00 N/A N/A 200,091 543,245 2,598,303 5,559,010
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