QQQ Options History — September 2022 In September 2022, QQQ traded between $269.06 and $310.34. ATM implied volatility averaged 31.9%, placing in the 67.2% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 2.9% (HV 20d: 28.9%). Max pain ranged from $296.00 to $320.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.41.
Notable Days 2022-09-23 : Highest Volume — 3,559,415 contracts2022-09-13 : Largest IV spike — 15.3% change2022-09-27 : Highest IV Rank — 84.4%2022-09-27 : Largest Expected Move — 10.6%Monthly Statistics Metric Avg Min Max Open Close Price $288.75 $269.06 $310.34 $297.59 $269.06 Max Pain $310.38 $296.00 $320.00 $320.00 $296.00 ATM IV 31.9% 26.7% 36.2% 30.9% 34.4% Expected Move 9.2% 7.8% 10.6% 9.0% 10.2% HV 20d 28.9% 23.8% 32.0% 24.9% 31.5% HV 60d 28.7% 27.6% 30.9% 30.9% 28.6% IV Rank 67.2% 46.6% 84.4% 63.9% 77.5% IV Percentile 78.3% 54.0% 95.6% 75.0% 90.5% Term Structure -0.2% -1.0% 0.8% -0.9% 0.7% VWIV 32.4% 27.5% 36.9% 32.5% 35.1% Skew 25d 6.9% 5.9% 8.0% 7.0% 7.2% Skew 10d 12.5% 10.6% 14.8% 12.9% 13.5% Call IV 25d 28.4% 24.0% 31.9% 27.9% 30.4% Put IV 25d 35.3% 30.2% 39.8% 34.9% 37.6% Bid-Ask Spread % 1.08 0.77 1.59 0.91 0.94 Gamma HHI 0.06 0.05 0.11 0.05 0.07 Net GEX -3.09B -4.66B -902.6M -3.50B -2.98B Net DEX 63.00B 19.51B 84.12B 64.11B 76.06B Net VEX -370.1M -385.3M -350.3M -385.2M -350.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.41 1.02 1.79 1.40 1.33 Total Volume 2,810,829.429 1,757,230 3,559,415 2,771,953 2,994,464 Total OI 11,890,411.238 10,571,548 13,204,884 11,754,321 11,980,729
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 2022-09-01 $297.59 $320.00 30.9% 9.0% 24.9% 63.9% 32.5% 7.0% -0.9% -3.50B 64.11B -385.2M 1.40 0.91 N/A N/A 1,154,330 1,617,623 4,300,752 7,453,569 2022-09-02 $293.99 $320.00 31.1% 9.0% 25.1% 64.6% 31.2% 6.9% 0.2% -4.35B 72.42B -378.9M 1.25 0.77 N/A N/A 1,465,919 1,826,801 4,550,434 7,697,233 2022-09-06 $293.45 $312.00 32.0% 8.9% 25.1% 68.4% 32.1% 7.2% 0.4% -3.80B 70.77B -368.8M 1.52 1.26 N/A N/A 1,184,073 1,800,626 4,337,912 7,503,204 2022-09-07 $299.33 $312.00 30.0% 8.4% 26.4% 59.7% 29.0% 7.1% -0.7% -2.49B 52.26B -379.1M 1.20 1.15 N/A N/A 1,191,909 1,435,339 4,472,103 7,647,389 2022-09-08 $299.16 $310.00 29.1% 8.2% 23.8% 55.9% 30.2% 6.7% -0.7% -2.75B 51.80B -376.9M 1.41 1.14 N/A N/A 974,477 1,371,879 4,549,487 7,622,730 2022-09-09 $307.32 $310.00 26.7% 7.8% 26.2% 46.6% 29.1% 6.1% 0.4% -902.6M 24.51B -385.3M 1.57 1.12 N/A N/A 1,093,673 1,718,617 4,768,480 7,785,909 2022-09-12 $310.34 $310.00 27.7% 8.0% 25.3% 50.6% 27.5% 5.9% 0.4% -1.43B 19.51B -380.7M 1.18 1.08 N/A N/A 1,200,278 1,420,970 4,598,278 7,719,769 2022-09-13 $293.08 $318.00 32.0% 9.1% 31.2% 67.7% 31.0% 7.3% 0.8% -3.78B 73.22B -374.0M 1.72 1.59 N/A N/A 1,099,129 1,894,536 4,697,146 7,811,640 2022-09-14 $296.34 $316.00 31.1% 8.8% 31.8% 64.0% 31.4% 6.9% -0.8% -3.57B 63.52B -379.8M 1.79 1.27 N/A N/A 1,011,453 1,807,193 4,965,071 8,041,630 2022-09-15 $291.59 $316.00 30.8% 8.8% 32.0% 62.7% 31.5% 6.8% -0.8% -4.35B 76.64B -370.0M 1.61 1.35 N/A N/A 1,015,453 1,632,976 4,892,699 8,059,743 2022-09-16 $288.63 $316.00 31.5% 9.1% 31.8% 65.8% 31.7% 6.7% 0.2% -4.66B 84.12B -367.3M 1.71 1.14 N/A N/A 1,234,135 2,115,420 5,082,532 8,122,352 2022-09-19 $290.60 $315.00 31.1% 8.9% 31.6% 64.2% 32.3% 6.1% 0.1% -2.74B 54.57B -370.4M 1.60 0.88 N/A N/A 919,913 1,468,467 3,815,663 6,755,885 2022-09-20 $289.57 $312.00 32.2% 9.3% 30.4% 68.6% 32.7% 6.0% 0.2% -2.82B 54.30B -376.7M 1.28 0.91 N/A N/A 771,810 985,420 3,904,208 6,819,555 2022-09-21 $284.03 $310.00 33.3% 9.6% 30.8% 73.1% 32.6% 6.6% -0.9% -3.40B 67.04B -367.2M 1.02 1.35 N/A N/A 1,539,978 1,567,796 4,079,308 6,918,738 2022-09-22 $282.64 $310.00 31.4% 9.1% 30.6% 65.1% 31.5% 6.0% -0.8% -3.42B 68.15B -363.6M 1.20 0.97 N/A N/A 1,183,341 1,415,772 4,229,906 6,933,502 2022-09-23 $275.45 $308.00 33.4% 9.8% 30.6% 73.2% 34.0% 6.9% 0.2% -3.78B 81.77B -355.7M 1.46 1.09 N/A N/A 1,447,748 2,111,667 4,509,207 7,107,223 2022-09-26 $275.24 $305.00 35.0% 10.3% 28.3% 79.8% 36.1% 7.2% 0.4% -3.01B 73.12B -355.1M 1.31 0.98 N/A N/A 1,292,969 1,699,455 4,414,597 6,914,803 2022-09-27 $274.14 $302.00 36.2% 10.6% 28.3% 84.4% 36.9% 7.9% 0.4% -2.64B 70.89B -354.3M 1.23 0.93 N/A N/A 1,139,218 1,396,582 4,488,778 6,836,991 2022-09-28 $280.70 $300.00 33.9% 9.8% 29.9% 75.2% 35.2% 7.8% -0.9% -1.72B 52.66B -374.1M 1.54 0.82 N/A N/A 1,283,650 1,976,823 4,683,265 6,981,617 2022-09-29 $271.57 $300.00 35.4% 10.4% 31.6% 81.2% 36.5% 8.0% -1.0% -2.73B 71.44B -359.3M 1.29 0.98 N/A N/A 1,121,676 1,443,860 4,707,584 6,937,015 2022-09-30 $269.06 $296.00 34.4% 10.2% 31.5% 77.5% 35.1% 7.2% 0.7% -2.98B 76.06B -350.3M 1.33 0.94 N/A N/A 1,284,789 1,709,675 4,915,275 7,065,454
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