QQQ Options History — January 2021

In January 2021, QQQ traded between $308.03 and $329.01. ATM implied volatility averaged 26.2%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 10.0% (HV 20d: 16.1%). Max pain ranged from $300.00 to $315.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.96.

Notable Days

  • 2021-01-08: Highest Volume — 1,700,088 contracts
  • 2021-01-27: Largest IV spike — 30.0% change
  • 2021-01-27: Highest IV Rank — 29.2%
  • 2021-01-27: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$318.09$308.03$329.01$309.20$315.48
Max Pain$310.47$300.00$315.00$300.00$315.00
ATM IV26.2%23.1%33.5%27.2%32.4%
Expected Move7.5%6.6%9.7%7.7%9.3%
HV 20d16.1%12.8%22.7%12.8%22.7%
HV 60d21.2%19.2%21.9%21.8%19.9%
IV Rank18.9%14.1%29.2%21.2%27.4%
IV Percentile36.8%16.7%77.4%46.0%68.3%
Term Structure0.1%-0.3%0.6%-0.0%-0.0%
VWIV28.4%24.6%36.1%28.1%35.5%
Skew 25d9.1%7.4%13.0%10.3%13.0%
Skew 10d17.4%14.3%24.5%18.4%24.5%
Call IV 25d22.3%20.2%28.5%22.5%26.5%
Put IV 25d31.4%27.8%40.2%32.8%39.5%
Bid-Ask Spread %1.491.092.141.322.09
Gamma HHI0.020.020.040.020.02
Net GEX-468.4M-1.95B809.4M-949.9M-1.95B
Net DEX-12.73B-26.49B8.66B-7.12B8.66B
Net VEX-275.0M-318.9M-249.3M-258.6M-318.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.961.152.931.981.97
Total Volume994,000.526607,7251,700,0881,029,5121,677,799
Total OI7,984,220.4216,869,6769,289,5467,532,6898,067,559

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$309.20$300.0027.2%7.7%12.8%21.2%28.1%10.3%-0.0%-949.9M-7.12B-258.6M1.981.32N/AN/A345,985683,5272,336,9495,195,740
2021-01-05$311.46$305.0025.8%7.4%13.0%18.9%28.1%9.6%0.1%-854.9M-11.03B-257.3M2.081.09N/AN/A208,696435,0552,437,7445,435,035
2021-01-06$308.03$305.0026.2%7.4%13.6%19.5%26.2%9.1%0.0%-1.63B-4.25B-261.4M1.852.12N/AN/A416,070771,6902,489,1505,604,859
2021-01-07$315.49$306.0023.9%6.9%15.9%15.9%26.4%7.5%0.3%100.1M-21.37B-249.3M2.341.36N/AN/A285,420667,8832,558,4255,715,295
2021-01-08$318.85$307.0023.9%6.9%13.5%15.9%24.6%8.1%0.3%809.4M-26.49B-250.9M2.721.28N/AN/A457,4041,242,6842,610,3545,838,734
2021-01-11$314.57$308.0026.9%7.6%14.6%20.8%29.8%9.4%-0.3%-486.9M-14.72B-265.9M2.931.43N/AN/A253,610742,7812,558,9545,797,554
2021-01-12$314.24$310.0026.1%7.4%14.3%19.4%28.7%8.9%-0.3%-717.0M-13.27B-268.5M2.251.24N/AN/A230,324517,7692,636,6316,034,217
2021-01-13$316.61$310.0024.9%7.1%14.2%17.5%26.4%8.7%-0.2%-3.2M-18.56B-267.3M1.731.25N/AN/A258,788448,1142,691,4956,193,585
2021-01-14$315.26$310.0025.8%7.3%14.1%19.0%28.3%8.6%-0.3%-596.5M-14.52B-272.2M1.821.43N/AN/A266,096484,0522,740,3116,354,701
2021-01-15$312.00$310.0026.3%7.5%14.4%19.8%26.8%9.4%-0.3%-1.57B-7.76B-279.1M1.751.51N/AN/A391,614684,7772,806,8866,482,660
2021-01-19$316.61$312.0024.3%7.0%15.3%16.6%27.8%8.6%0.4%-586.5M-7.14B-271.4M2.131.36N/AN/A194,200413,5252,178,0534,691,623
2021-01-20$324.58$312.0023.1%6.6%17.1%14.1%26.7%7.6%0.6%439.8M-19.84B-262.9M1.661.34N/AN/A413,814687,3702,218,0064,807,765
2021-01-21$326.90$314.0023.3%6.6%17.2%14.5%26.7%7.4%0.6%622.6M-21.89B-267.5M2.101.23N/AN/A400,983840,1642,281,1824,915,835
2021-01-22$326.37$315.0023.5%6.7%17.3%14.9%26.4%8.0%0.6%284.3M-18.65B-282.0M1.151.33N/AN/A348,924402,9112,393,9485,234,425
2021-01-25$327.54$315.0025.1%7.0%17.2%15.3%27.1%8.1%0.3%62.7M-18.33B-280.8M1.261.93N/AN/A418,763528,4882,323,5544,970,981
2021-01-26$329.01$315.0025.8%7.3%17.2%16.5%29.0%7.9%0.3%123.5M-19.85B-285.3M1.921.21N/AN/A213,564409,0192,420,5415,104,698
2021-01-27$318.90$315.0033.5%9.7%20.8%29.2%36.1%11.7%-0.1%-1.15B458.9M-315.4M1.562.14N/AN/A468,265729,3372,462,3285,223,414
2021-01-28$322.56$315.0029.3%8.3%21.1%22.4%30.7%10.7%0.3%-850.6M-6.24B-310.0M2.041.61N/AN/A311,689634,8562,540,1925,346,805
2021-01-29$315.48$315.0032.4%9.3%22.7%27.4%35.5%13.0%-0.0%-1.95B8.66B-318.9M1.972.09N/AN/A564,5321,113,2672,584,1825,483,377