QQQ Options History — March 2021 In March 2021, QQQ traded between $301.57 and $323.32. ATM implied volatility averaged 26.5%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 0.4% (HV 20d: 26.9%). Max pain ranged from $317.00 to $320.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.67.
Notable Days 2021-03-04 : Highest Volume — 2,902,934 contracts2021-03-18 : Largest IV spike — 14.6% change2021-03-04 : Highest IV Rank — 20.4%2021-03-04 : Largest Expected Move — 9.0%Monthly Statistics Metric Avg Min Max Open Close Price $314.69 $301.57 $323.32 $323.32 $319.61 Max Pain $319.57 $317.00 $320.00 $317.00 $319.00 ATM IV 26.5% 22.2% 32.1% 24.9% 22.2% Expected Move 7.6% 6.2% 9.0% 7.1% 6.2% HV 20d 26.9% 19.1% 31.0% 20.5% 26.0% HV 60d 22.1% 18.6% 23.5% 18.6% 23.5% IV Rank 11.9% 4.9% 20.4% 7.5% 4.9% IV Percentile 37.2% 4.0% 67.5% 25.0% 4.0% Term Structure -0.0% -0.8% 0.5% 0.2% 0.2% VWIV 28.1% 24.8% 32.0% 29.0% 24.8% Skew 25d 8.3% 5.9% 11.8% 9.0% 6.4% Skew 10d 14.9% 11.1% 20.6% 16.8% 11.5% Call IV 25d 23.0% 19.8% 26.8% 21.3% 19.8% Put IV 25d 31.3% 26.2% 38.5% 30.2% 26.2% Bid-Ask Spread % 1.97 1.38 3.31 1.87 1.66 Gamma HHI 0.04 0.03 0.05 0.03 0.03 Net GEX -2.30B -4.11B -336.9M -1.71B -336.9M Net DEX 14.74B -3.32B 45.10B 1.84B -706.0M Net VEX -345.9M -359.5M -331.6M -339.5M -331.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.67 1.31 2.19 2.19 1.52 Total Volume 1,412,803.391 755,732 2,902,934 1,007,276 1,320,405 Total OI 9,531,574.13 8,233,939 10,898,174 8,892,985 9,125,318
Daily Data (23 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 2021-03-01 $323.32 $317.00 24.9% 7.1% 20.5% 7.5% 29.0% 9.0% 0.2% -1.71B 1.84B -339.5M 2.19 1.87 N/A N/A 315,615 691,661 2,653,952 6,239,033 2021-03-02 $319.74 $317.00 26.3% 7.6% 19.1% 10.1% 27.3% 9.6% -0.1% -2.25B 9.74B -342.5M 1.42 1.93 N/A N/A 339,443 483,660 2,710,343 6,346,874 2021-03-03 $310.86 $319.00 29.3% 8.7% 20.4% 15.5% 31.4% 10.1% -0.5% -3.48B 30.36B -349.3M 2.04 2.42 N/A N/A 605,305 1,234,565 2,828,761 6,490,431 2021-03-04 $303.99 $320.00 32.1% 9.0% 21.6% 20.4% 32.0% 11.8% -0.8% -3.85B 45.10B -353.7M 1.79 2.72 N/A N/A 1,041,187 1,861,747 2,951,362 6,591,274 2021-03-05 $309.26 $320.00 28.6% 8.1% 22.6% 14.2% 29.8% 10.3% -0.6% -2.94B 29.63B -354.3M 1.45 2.45 N/A N/A 993,501 1,441,583 3,126,187 6,728,860 2021-03-08 $301.57 $320.00 31.2% 8.7% 23.7% 18.8% 29.9% 10.1% -0.7% -2.88B 40.19B -349.2M 1.31 3.31 N/A N/A 511,761 670,349 2,977,398 6,465,160 2021-03-09 $312.30 $320.00 28.7% 8.2% 27.4% 14.5% 30.6% 10.6% -0.0% -1.88B 16.48B -357.5M 1.94 2.09 N/A N/A 535,532 1,037,611 3,121,604 6,583,575 2021-03-10 $311.60 $320.00 28.4% 8.1% 27.3% 13.9% 29.8% 9.5% -0.2% -2.48B 19.48B -359.5M 2.04 2.03 N/A N/A 439,087 897,394 3,186,767 6,922,895 2021-03-11 $318.54 $320.00 26.4% 7.6% 28.7% 10.2% 29.1% 8.9% 0.1% -1.28B 1.43B -354.2M 1.63 1.68 N/A N/A 536,582 872,972 3,222,803 7,069,605 2021-03-12 $315.32 $320.00 27.5% 7.9% 28.7% 12.3% 28.3% 8.5% 0.1% -2.01B 10.46B -355.2M 1.92 1.77 N/A N/A 524,509 1,009,352 3,272,241 7,235,827 2021-03-15 $317.77 $320.00 25.8% 7.4% 28.8% 9.2% 28.0% 7.8% 0.0% -1.80B 4.77B -341.4M 1.59 1.79 N/A N/A 292,286 463,446 3,115,608 6,890,942 2021-03-16 $321.20 $320.00 25.9% 7.4% 29.2% 9.4% 28.1% 8.1% 0.0% -1.18B -3.18B -340.5M 1.88 1.68 N/A N/A 550,341 1,033,170 3,184,748 6,972,312 2021-03-17 $321.66 $320.00 25.1% 7.2% 29.2% 8.1% 26.3% 7.1% 0.1% -1.30B -3.32B -339.2M 1.70 1.95 N/A N/A 608,251 1,036,344 3,221,466 7,196,907 2021-03-18 $312.24 $320.00 28.8% 8.3% 30.8% 14.6% 29.5% 8.2% -0.2% -3.80B 25.80B -352.7M 1.48 2.01 N/A N/A 666,956 985,714 3,276,851 7,386,827 2021-03-19 $314.01 $320.00 26.1% 7.5% 31.0% 12.7% 27.7% 6.7% 0.0% -4.11B 19.92B -346.5M 1.63 1.59 N/A N/A 617,818 1,005,753 3,411,391 7,486,783 2021-03-22 $318.90 $320.00 24.1% 6.9% 30.4% 9.0% 26.2% 6.6% 0.5% -1.21B 4.23B -338.0M 1.41 1.82 N/A N/A 429,022 606,853 2,548,434 5,685,505 2021-03-23 $317.11 $320.00 24.9% 7.2% 30.5% 11.8% 26.5% 6.8% 0.3% -1.74B 8.87B -340.8M 1.53 1.74 N/A N/A 339,716 520,107 2,648,477 5,833,950 2021-03-24 $313.04 $320.00 26.0% 7.5% 30.7% 15.2% 27.3% 7.1% 0.2% -2.51B 18.01B -342.9M 1.55 1.51 N/A N/A 468,941 727,774 2,703,684 5,948,102 2021-03-25 $312.07 $320.00 25.1% 7.2% 28.6% 12.7% 26.9% 6.2% 0.3% -3.08B 20.27B -347.4M 1.60 2.11 N/A N/A 624,915 999,909 2,816,077 6,116,641 2021-03-26 $313.68 $320.00 23.4% 6.7% 28.2% 7.8% 24.9% 5.9% 0.3% -3.03B 15.46B -340.0M 1.69 1.88 N/A N/A 556,831 942,540 2,906,478 6,238,189 2021-03-29 $315.62 $319.00 24.5% 7.2% 27.6% 10.9% 27.5% 7.4% -0.2% -1.85B 10.75B -341.8M 1.57 1.88 N/A N/A 328,108 515,568 2,726,774 6,090,667 2021-03-30 $314.35 $319.00 24.0% 6.9% 27.4% 10.7% 25.8% 7.2% -0.0% -2.21B 13.37B -337.9M 1.45 1.38 N/A N/A 330,989 479,305 2,784,053 6,185,069 2021-03-31 $319.61 $319.00 22.2% 6.2% 26.0% 4.9% 24.8% 6.4% 0.2% -336.9M -706.0M -331.6M 1.52 1.66 N/A N/A 523,031 797,374 2,852,409 6,272,909
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