QQQ Options History — August 2021 In August 2021, QQQ traded between $363.55 and $380.49. ATM implied volatility averaged 16.0%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 4.5% (HV 20d: 11.5%). Max pain ranged from $347.00 to $358.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.50.
Notable Days 2021-08-16 : Highest Volume — 1,532,732 contracts2021-08-27 : Largest IV drop — 15.5% change2021-08-19 : Highest IV Rank — 18.3%2021-08-19 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $369.73 $363.55 $380.49 $364.20 $379.99 Max Pain $353.00 $347.00 $358.00 $354.00 $358.00 ATM IV 16.0% 13.7% 18.9% 17.8% 14.5% Expected Move 4.5% 3.7% 5.5% 4.9% 3.8% HV 20d 11.5% 9.1% 13.7% 13.6% 10.0% HV 60d 12.3% 11.0% 15.2% 15.2% 11.1% IV Rank 5.5% 0.0% 18.3% 11.6% 3.2% IV Percentile 5.8% 0.0% 22.6% 13.1% 1.2% Term Structure 0.1% -1.0% 0.7% 0.4% 0.2% VWIV 18.2% 15.2% 21.7% 18.5% 15.2% Skew 25d 6.4% 5.2% 8.2% 6.7% 6.3% Skew 10d 13.5% 9.7% 16.9% 14.0% 14.1% Call IV 25d 13.5% 11.6% 15.6% 15.0% 12.6% Put IV 25d 19.9% 17.5% 23.7% 21.7% 18.9% Bid-Ask Spread % 1.44 1.07 1.76 1.65 1.07 Gamma HHI 0.04 0.03 0.07 0.03 0.04 Net GEX 84.2M -2.90B 1.88B -533.6M 913.1M Net DEX -29.54B -45.38B -14.56B -21.54B -41.90B Net VEX -315.6M -335.8M -293.8M -325.9M -300.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.50 1.17 1.99 1.17 1.79 Total Volume 1,127,554.864 800,083 1,532,732 954,275 918,198 Total OI 8,363,747.773 7,657,294 9,342,370 7,780,487 8,176,005
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 2021-08-02 $364.20 $354.00 17.8% 4.9% 13.6% 11.6% 18.5% 6.7% 0.4% -533.6M -21.54B -325.9M 1.17 1.65 N/A N/A 439,669 514,606 2,621,289 5,159,198 2021-08-03 $366.46 $355.00 16.7% 4.3% 13.7% 6.9% 17.2% 6.2% 0.4% 521.6M -27.30B -320.8M 1.24 1.66 N/A N/A 421,481 521,691 2,698,260 5,252,577 2021-08-04 $367.68 $355.00 16.7% 4.2% 13.7% 6.7% 16.8% 6.3% -0.5% 1.24B -30.01B -320.9M 1.42 1.64 N/A N/A 380,515 541,528 2,760,615 5,375,258 2021-08-05 $369.27 $347.00 16.1% 4.9% 13.4% 4.2% 19.8% 6.0% -0.6% 1.88B -34.67B -317.8M 1.49 1.21 N/A N/A 322,195 481,222 2,783,960 5,406,794 2021-08-06 $367.82 $348.00 15.3% 4.7% 13.3% 1.2% 19.0% 5.3% -0.3% 687.5M -30.64B -315.7M 1.25 1.17 N/A N/A 533,314 666,001 2,815,625 5,503,093 2021-08-09 $368.74 $350.00 15.3% 4.7% 13.3% 1.0% 20.5% 5.3% 0.5% 399.1M -31.70B -309.0M 1.99 1.54 N/A N/A 353,629 702,148 2,699,734 5,321,727 2021-08-10 $366.65 $350.00 16.3% 4.9% 13.4% 5.1% 19.0% 5.6% 0.5% -551.8M -25.64B -317.1M 1.40 1.61 N/A N/A 447,285 625,077 2,761,983 5,485,208 2021-08-11 $366.07 $350.00 16.2% 4.8% 13.4% 4.8% 18.2% 5.9% -0.2% -2.13B -23.60B -318.0M 1.43 1.76 N/A N/A 582,130 833,292 2,837,571 5,692,794 2021-08-12 $367.65 $350.00 15.6% 4.7% 13.0% 2.1% 19.3% 5.6% -0.3% -596.6M -27.11B -318.5M 1.76 1.52 N/A N/A 336,275 591,620 2,838,896 5,784,215 2021-08-13 $368.58 $350.00 14.5% 4.4% 12.6% 0.0% 17.5% 5.2% 0.5% 733.5M -30.95B -315.0M 1.29 1.60 N/A N/A 349,192 450,891 2,927,562 5,952,661 2021-08-16 $368.35 $352.00 15.5% 4.6% 11.3% 4.2% 18.7% 5.9% 0.5% 326.4M -29.77B -313.8M 1.41 1.48 N/A N/A 636,332 896,400 2,839,064 5,824,734 2021-08-17 $364.73 $353.00 17.5% 5.1% 10.0% 12.4% 19.6% 7.0% 0.4% -1.69B -19.05B -322.8M 1.30 1.56 N/A N/A 598,259 774,902 2,862,827 5,870,820 2021-08-18 $363.55 $354.00 18.6% 5.3% 10.1% 16.8% 20.6% 7.5% -0.3% -2.90B -14.56B -331.6M 1.48 1.44 N/A N/A 457,757 678,278 2,958,452 6,088,165 2021-08-19 $364.21 $354.00 18.9% 5.5% 9.7% 18.3% 21.7% 8.2% -0.3% -1.97B -17.14B -335.8M 1.99 1.37 N/A N/A 506,631 1,006,374 3,009,221 6,168,754 2021-08-20 $367.90 $354.00 16.2% 4.7% 9.2% 7.1% 18.8% 7.7% 0.6% 768.9M -29.42B -327.2M 1.47 1.40 N/A N/A 521,985 766,548 3,073,083 6,269,287 2021-08-23 $373.45 $355.00 15.1% 4.3% 10.7% 2.6% 17.1% 6.5% 0.7% 584.6M -32.59B -309.9M 1.17 1.23 N/A N/A 681,760 797,811 2,509,105 5,148,189 2021-08-24 $374.32 $355.00 15.3% 4.2% 9.4% 3.5% 17.5% 6.5% 0.4% 837.8M -34.80B -305.1M 1.39 1.35 N/A N/A 346,809 482,005 2,521,750 5,217,204 2021-08-25 $375.01 $355.00 14.9% 4.0% 9.1% 1.7% 16.7% 6.9% -0.2% 1.20B -35.72B -307.0M 1.39 1.37 N/A N/A 410,589 572,663 2,646,020 5,427,828 2021-08-26 $372.57 $355.00 16.2% 4.5% 9.5% 7.1% 18.2% 7.9% -1.0% -65.0M -27.42B -320.4M 1.91 1.48 N/A N/A 401,867 765,700 2,639,144 5,459,474 2021-08-27 $376.38 $355.00 13.7% 3.7% 9.6% 0.0% 16.0% 5.9% 0.4% 942.6M -38.97B -297.5M 1.71 1.40 N/A N/A 446,214 762,979 2,679,578 5,688,766 2021-08-30 $380.49 $357.00 14.1% 3.7% 10.1% 1.7% 15.4% 5.4% 0.2% 1.27B -45.38B -293.8M 1.53 1.14 N/A N/A 507,064 775,321 2,658,933 5,587,028 2021-08-31 $379.99 $358.00 14.5% 3.8% 10.0% 3.2% 15.2% 6.3% 0.2% 913.1M -41.90B -300.7M 1.79 1.07 N/A N/A 329,145 589,053 2,640,010 5,535,995
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