QQQ Options History — November 2021

In November 2021, QQQ traded between $386.62 and $403.85. ATM implied volatility averaged 18.5%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 7.0% (HV 20d: 11.5%). Max pain ranged from $362.00 to $380.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.48.

Notable Days

2021-11-05: Highest Volume — 2,275,456 contracts
2021-11-26: Largest IV spike — 15.3% change
2021-11-30: Highest IV Rank — 49.2%
2021-11-30: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$395.83	$386.62	$403.85	$386.62	$393.99
Max Pain	$372.95	$362.00	$380.00	$374.00	$380.00
ATM IV	18.5%	15.3%	23.4%	15.9%	23.4%
Expected Move	5.4%	4.2%	7.0%	4.5%	7.0%
HV 20d	11.5%	9.8%	16.0%	11.7%	16.0%
HV 60d	15.0%	14.5%	16.2%	14.5%	16.2%
IV Rank	24.2%	8.1%	49.2%	8.8%	49.2%
IV Percentile	37.1%	6.0%	74.6%	13.5%	74.6%
Term Structure	0.1%	-0.7%	0.7%	0.5%	0.3%
VWIV	21.3%	16.6%	26.9%	18.3%	26.9%
Skew 25d	6.0%	4.5%	9.6%	5.0%	8.8%
Skew 10d	12.3%	9.4%	18.1%	10.5%	16.3%
Call IV 25d	16.3%	13.6%	19.6%	13.9%	19.6%
Put IV 25d	22.3%	18.6%	28.3%	19.0%	28.3%
Bid-Ask Spread %	2.04	1.37	3.49	1.73	1.96
Gamma HHI	0.03	0.02	0.06	0.04	0.02
Net GEX	326.0M	-2.40B	2.50B	1.19B	-1.58B
Net DEX	-45.37B	-69.16B	-14.30B	-41.41B	-20.54B
Net VEX	-347.7M	-381.9M	-319.9M	-337.0M	-366.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.48	1.07	1.81	1.32	1.68
Total Volume	1,590,708.476	956,370	2,275,456	1,220,717	1,867,052
Total OI	9,452,888.619	8,689,581	10,328,468	8,689,581	9,145,967

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
2021-11-01	$386.62	$374.00	15.9%	4.5%	11.7%	8.8%	18.3%	5.0%	0.5%	1.19B	-41.41B	-337.0M	1.32	1.73	N/A	N/A	527,021	693,696	2,895,089	5,794,492
2021-11-02	$389.40	$375.00	15.9%	4.5%	10.9%	9.3%	19.2%	5.0%	0.5%	1.25B	-45.10B	-334.3M	1.07	1.58	N/A	N/A	543,915	584,047	2,898,007	5,825,988
2021-11-03	$393.18	$375.00	15.3%	4.2%	10.9%	8.1%	16.6%	5.0%	-0.2%	1.67B	-54.53B	-319.9M	1.47	2.06	N/A	N/A	550,374	809,934	2,953,332	6,001,520
2021-11-04	$397.61	$362.00	16.7%	5.1%	10.8%	15.4%	19.7%	4.5%	-0.4%	1.44B	-60.04B	-323.7M	1.30	2.06	N/A	N/A	848,595	1,106,417	2,967,256	6,052,978
2021-11-05	$398.69	$365.00	17.1%	5.3%	10.2%	17.0%	19.3%	4.5%	0.4%	1.22B	-60.00B	-337.2M	1.14	1.37	N/A	N/A	1,064,768	1,210,688	3,128,205	6,393,880
2021-11-08	$397.83	$368.00	17.7%	5.4%	9.8%	20.3%	20.5%	4.9%	0.4%	275.5M	-53.99B	-342.0M	1.21	1.60	N/A	N/A	554,236	671,156	3,194,308	6,216,285
2021-11-09	$395.13	$368.00	18.9%	5.6%	9.8%	26.1%	21.7%	5.6%	0.4%	-16.9M	-46.37B	-359.8M	1.76	2.15	N/A	N/A	521,292	916,016	3,273,440	6,231,406
2021-11-10	$388.82	$370.00	19.9%	5.8%	12.2%	31.3%	24.5%	6.0%	-0.3%	-1.76B	-28.42B	-371.4M	1.77	1.99	N/A	N/A	755,237	1,337,932	3,372,571	6,387,944
2021-11-11	$390.73	$370.00	18.6%	5.5%	11.0%	24.7%	21.1%	5.7%	-0.3%	-600.8M	-36.32B	-363.4M	1.76	1.37	N/A	N/A	408,099	716,733	3,386,268	6,453,619
2021-11-12	$394.61	$370.00	17.4%	5.2%	11.2%	18.5%	19.1%	4.9%	0.7%	1.00B	-50.35B	-351.3M	1.15	1.94	N/A	N/A	716,896	827,016	3,449,700	6,592,140
2021-11-15	$394.07	$370.00	18.7%	5.5%	10.9%	25.2%	19.5%	5.3%	0.4%	-111.0M	-49.26B	-339.3M	1.50	1.80	N/A	N/A	520,539	780,782	3,377,471	6,408,844
2021-11-16	$397.78	$370.00	18.0%	5.2%	11.1%	21.6%	19.9%	5.3%	0.4%	971.0M	-57.20B	-336.5M	1.30	1.92	N/A	N/A	415,646	540,724	3,392,579	6,443,078
2021-11-17	$398.17	$370.00	18.1%	5.2%	11.1%	22.1%	19.8%	5.2%	-0.2%	1.37B	-57.79B	-335.8M	1.58	1.89	N/A	N/A	482,514	761,027	3,465,903	6,555,010
2021-11-18	$402.03	$372.00	17.6%	5.1%	11.3%	19.9%	20.5%	6.0%	-0.3%	1.78B	-66.28B	-328.9M	1.53	1.93	N/A	N/A	592,144	903,460	3,407,417	6,687,965
2021-11-19	$403.85	$375.00	17.6%	5.1%	10.5%	19.7%	20.2%	6.3%	0.3%	2.50B	-69.16B	-339.7M	1.72	2.05	N/A	N/A	599,265	1,028,020	3,510,750	6,817,718
2021-11-22	$402.23	$378.00	18.9%	5.4%	10.6%	26.5%	21.4%	6.5%	0.2%	75.7M	-43.92B	-347.0M	1.53	2.59	N/A	N/A	865,463	1,326,381	2,990,789	5,820,736
2021-11-23	$396.90	$380.00	20.4%	5.8%	12.0%	33.9%	23.9%	7.3%	-0.7%	-1.47B	-27.24B	-363.7M	1.81	2.51	N/A	N/A	764,764	1,386,728	3,044,907	6,023,562
2021-11-24	$398.51	$380.00	19.9%	5.7%	12.0%	31.2%	23.0%	7.2%	-0.6%	-182.4M	-32.47B	-370.3M	1.41	2.68	N/A	N/A	730,410	1,027,679	3,198,214	6,235,044
2021-11-26	$392.38	$380.00	22.9%	6.8%	13.5%	46.5%	26.9%	9.6%	0.4%	-2.40B	-14.30B	-381.9M	1.62	3.49	N/A	N/A	554,514	900,812	3,145,366	6,230,980
2021-11-29	$399.85	$380.00	20.4%	6.1%	14.9%	34.0%	25.3%	7.8%	0.4%	225.3M	-38.03B	-352.0M	1.53	2.12	N/A	N/A	787,105	1,205,781	3,084,507	6,055,426
2021-11-30	$393.99	$380.00	23.4%	7.0%	16.0%	49.2%	26.9%	8.8%	0.3%	-1.58B	-20.54B	-366.8M	1.68	1.96	N/A	N/A	695,431	1,171,621	3,079,477	6,066,490