QQQ Options History — September 2021 In September 2021, QQQ traded between $359.08 and $382.32. ATM implied volatility averaged 18.0%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 5.6% (HV 20d: 12.4%). Max pain ranged from $360.00 to $375.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.59.
Notable Days 2021-09-28 : Highest Volume — 2,417,039 contracts2021-09-20 : Largest IV spike — 39.3% change2021-09-20 : Highest IV Rank — 40.2%2021-09-20 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $373.38 $359.08 $382.32 $380.98 $359.08 Max Pain $372.86 $360.00 $375.00 $360.00 $370.00 ATM IV 18.0% 14.7% 23.7% 15.2% 23.3% Expected Move 5.2% 4.0% 6.9% 4.0% 6.8% HV 20d 12.4% 9.8% 16.7% 10.0% 16.6% HV 60d 11.9% 10.8% 13.9% 11.1% 13.9% IV Rank 17.2% 4.0% 40.2% 5.8% 38.5% IV Percentile 23.8% 1.6% 60.3% 3.2% 60.3% Term Structure 0.0% -0.5% 0.7% 0.0% -0.5% VWIV 19.9% 17.1% 25.6% 17.1% 24.3% Skew 25d 7.9% 6.0% 11.2% 6.0% 9.4% Skew 10d 15.9% 12.6% 22.2% 14.7% 17.4% Call IV 25d 14.8% 12.4% 18.9% 13.2% 18.9% Put IV 25d 22.7% 18.6% 30.2% 19.2% 28.4% Bid-Ask Spread % 1.65 1.12 2.57 1.37 2.12 Gamma HHI 0.03 0.03 0.06 0.03 0.04 Net GEX -1.95B -4.94B 475.5M 475.5M -4.32B Net DEX -12.31B -42.10B 29.83B -42.10B 29.26B Net VEX -339.3M -364.6M -305.5M -305.5M -364.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.59 1.11 2.11 1.89 1.52 Total Volume 1,478,186.19 958,007 2,417,039 1,331,642 1,693,809 Total OI 8,812,089.571 7,651,166 10,053,716 8,477,341 8,941,813
Daily Data (21 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 2021-09-01 $380.98 $360.00 15.2% 4.0% 10.0% 5.8% 17.1% 6.0% 0.0% 475.5M -42.10B -305.5M 1.89 1.37 N/A N/A 460,415 871,227 2,730,578 5,746,763 2021-09-02 $380.02 $370.00 15.3% 4.6% 10.1% 6.3% 18.6% 6.4% -0.2% 352.4M -39.02B -313.2M 1.81 1.12 N/A N/A 387,310 700,483 2,742,540 5,820,271 2021-09-03 $381.57 $370.00 14.7% 4.4% 9.9% 4.0% 18.3% 6.2% 0.4% -814.7K -40.13B -318.4M 1.46 1.27 N/A N/A 503,878 735,014 2,822,843 6,090,100 2021-09-07 $382.32 $370.00 15.8% 4.6% 9.9% 8.2% 17.6% 7.4% -0.3% -387.9M -40.86B -306.7M 1.63 1.21 N/A N/A 437,131 714,429 2,739,244 5,865,877 2021-09-08 $380.43 $371.00 16.2% 4.8% 9.8% 10.0% 18.9% 6.8% -0.2% -590.8M -34.18B -319.9M 2.11 1.43 N/A N/A 542,429 1,143,166 2,798,299 6,004,900 2021-09-09 $380.18 $374.00 16.4% 4.8% 9.8% 11.0% 18.0% 7.2% -0.3% -877.5M -32.06B -324.3M 1.75 1.47 N/A N/A 348,105 609,902 2,847,207 6,084,746 2021-09-10 $376.90 $373.00 17.9% 5.3% 10.4% 16.7% 19.3% 8.0% 0.3% -2.86B -19.43B -351.1M 2.02 2.13 N/A N/A 527,805 1,065,789 2,939,026 6,577,906 2021-09-13 $375.65 $373.00 17.5% 5.1% 10.5% 15.3% 20.3% 8.3% 0.3% -2.15B -15.88B -345.3M 1.58 1.72 N/A N/A 667,487 1,055,952 2,908,921 6,500,097 2021-09-14 $374.68 $375.00 17.4% 5.0% 10.6% 14.8% 19.3% 8.0% 0.3% -2.53B -15.06B -346.3M 1.52 1.25 N/A N/A 445,155 674,759 2,966,598 6,616,519 2021-09-15 $378.32 $375.00 15.7% 4.5% 10.2% 8.1% 17.4% 7.1% -0.2% -1.11B -28.54B -333.2M 1.59 1.40 N/A N/A 557,575 886,065 3,042,558 6,760,376 2021-09-16 $378.51 $375.00 15.3% 4.4% 10.1% 6.5% 17.2% 7.0% -0.2% -1.18B -28.39B -333.9M 1.30 1.55 N/A N/A 535,506 698,161 3,048,790 6,782,884 2021-09-17 $373.79 $375.00 17.0% 4.9% 11.3% 13.3% 18.4% 7.8% 0.3% -3.80B -12.17B -346.4M 1.11 1.45 N/A N/A 800,582 885,049 3,124,781 6,928,935 2021-09-20 $363.55 $375.00 23.7% 6.9% 14.9% 40.2% 25.6% 11.2% 0.2% -3.00B 17.50B -362.4M 1.49 2.07 N/A N/A 927,279 1,376,974 2,411,035 5,240,131 2021-09-21 $366.86 $375.00 21.5% 6.2% 14.2% 31.2% 23.0% 9.6% -0.1% -3.15B 11.55B -357.1M 1.56 1.78 N/A N/A 465,508 726,269 2,489,166 5,333,283 2021-09-22 $370.20 $375.00 19.0% 5.4% 14.6% 21.3% 20.3% 8.5% -0.4% -2.39B -223.8M -352.2M 1.48 1.74 N/A N/A 534,129 792,248 2,652,013 5,515,404 2021-09-23 $373.35 $375.00 16.8% 4.7% 14.9% 12.3% 18.4% 7.3% -0.2% -1.20B -10.11B -345.9M 1.38 1.56 N/A N/A 551,901 762,154 2,701,046 5,539,070 2021-09-24 $373.64 $375.00 15.6% 4.3% 14.7% 7.7% 19.0% 6.9% 0.7% -943.5M -11.48B -343.2M 1.58 1.85 N/A N/A 459,826 727,382 2,761,678 5,656,278 2021-09-27 $370.62 $375.00 17.4% 4.8% 14.5% 14.9% 18.5% 7.5% 0.4% -2.46B -2.49B -342.0M 1.32 1.76 N/A N/A 640,244 848,342 2,662,192 5,563,201 2021-09-28 $360.45 $375.00 23.2% 6.8% 16.7% 37.9% 24.3% 9.1% 0.3% -3.99B 25.47B -356.0M 1.74 2.57 N/A N/A 881,527 1,535,512 2,716,236 5,702,316 2021-09-29 $359.93 $374.00 23.2% 6.7% 16.7% 38.0% 24.6% 9.6% -0.5% -4.94B 29.83B -356.9M 1.48 1.89 N/A N/A 751,829 1,113,603 2,797,691 5,880,569 2021-09-30 $359.08 $370.00 23.3% 6.8% 16.6% 38.5% 24.3% 9.4% -0.5% -4.32B 29.26B -364.6M 1.52 2.12 N/A N/A 673,184 1,020,625 2,907,016 6,034,797
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