QQQ Options History — September 2023 In September 2023, QQQ traded between $353.82 and $378.83. ATM implied volatility averaged 18.6%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.1% (HV 20d: 17.4%). Max pain ranged from $360.00 to $372.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.29.
Notable Days 2023-09-29 : Highest Volume — 4,387,873 contracts2023-09-21 : Largest IV spike — 10.6% change2023-09-26 : Highest IV Rank — 29.6%2023-09-26 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $367.68 $353.82 $378.83 $377.26 $358.32 Max Pain $370.35 $360.00 $372.00 $360.00 $369.00 ATM IV 18.6% 15.8% 22.3% 16.9% 20.5% Expected Move 5.3% 4.5% 6.4% 4.5% 5.8% HV 20d 17.4% 14.4% 18.7% 17.8% 14.6% HV 60d 16.8% 16.7% 17.0% 16.9% 16.7% IV Rank 10.9% 0.0% 29.6% 0.0% 21.8% IV Percentile 18.7% 0.0% 46.0% 0.0% 40.9% Term Structure 0.2% 0.0% 0.4% 0.2% 0.2% VWIV 19.0% 16.1% 22.4% 16.1% 20.3% Skew 25d 4.2% 3.3% 5.3% 3.3% 4.8% Skew 10d 8.9% 6.9% 10.5% 6.9% 9.2% Call IV 25d 16.5% 14.3% 19.4% 15.3% 17.8% Put IV 25d 20.7% 17.7% 24.6% 18.5% 22.7% Bid-Ask Spread % 1.20 1.03 1.40 1.33 1.40 Gamma HHI 0.04 0.03 0.15 0.03 0.04 Net GEX -2.45B -5.16B 1.16B 502.0M -2.68B Net DEX -13.11B -61.36B 39.11B -61.18B 14.75B Net VEX -486.7M -499.9M -465.2M -491.8M -493.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.29 1.01 1.62 1.38 1.37 Total Volume 3,384,472.75 2,635,914 4,387,873 2,900,918 4,387,873 Total OI 13,531,375.75 11,707,457 15,331,972 15,032,162 12,722,221
Daily Data (20 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 2023-09-01 $377.26 $360.00 16.9% 4.5% 17.8% 0.0% 16.1% 3.3% 0.2% 502.0M -61.18B -491.8M 1.38 1.33 N/A N/A 1,220,165 1,680,753 5,041,197 9,990,965 2023-09-05 $378.83 $370.00 17.4% 5.1% 17.7% 2.7% 18.8% 3.8% 0.1% 967.0M -60.22B -481.2M 1.40 1.15 N/A N/A 1,099,233 1,536,681 4,858,777 9,647,427 2023-09-06 $374.42 $372.00 18.1% 5.3% 18.1% 5.9% 19.2% 4.1% 0.1% -2.22B -40.57B -494.8M 1.42 1.10 N/A N/A 1,304,888 1,858,993 4,896,124 9,740,892 2023-09-07 $372.43 $372.00 18.0% 5.2% 17.9% 5.6% 19.3% 4.1% 0.1% -2.46B -30.21B -499.9M 1.33 1.11 N/A N/A 1,444,059 1,921,050 4,907,692 9,778,746 2023-09-08 $372.06 $370.00 17.7% 5.1% 17.8% 4.2% 18.2% 3.9% 0.2% -1.42B -34.01B -494.9M 1.21 1.14 N/A N/A 1,296,040 1,563,400 5,008,457 9,863,198 2023-09-11 $377.19 $370.00 17.0% 4.9% 18.3% 0.8% 17.6% 3.9% 0.1% 1.16B -57.40B -476.0M 1.31 1.20 N/A N/A 1,304,761 1,706,033 4,960,327 9,758,411 2023-09-12 $372.94 $372.00 17.6% 5.1% 18.5% 3.5% 18.0% 3.9% 0.0% -2.88B -35.89B -486.1M 1.32 1.20 N/A N/A 1,359,331 1,790,591 4,984,768 9,904,078 2023-09-13 $373.94 $372.00 16.8% 4.8% 18.1% 0.0% 17.7% 3.6% 0.1% -1.04B -42.04B -474.2M 1.62 1.30 N/A N/A 1,301,832 2,113,755 5,088,741 10,070,379 2023-09-14 $377.57 $372.00 15.8% 4.5% 18.0% 0.0% 16.3% 3.4% 0.0% 885.8M -61.36B -465.2M 1.56 1.38 N/A N/A 1,313,390 2,055,248 5,089,094 10,105,248 2023-09-15 $370.56 $372.00 17.0% 4.9% 18.7% 5.7% 17.6% 3.8% 0.1% -5.10B -21.60B -481.7M 1.09 1.14 N/A N/A 2,029,278 2,208,001 5,094,300 10,237,672 2023-09-18 $370.11 $372.00 17.4% 5.0% 18.7% 7.6% 18.3% 4.0% 0.4% -2.85B -3.63B -475.0M 1.30 1.28 N/A N/A 1,173,649 1,520,630 3,958,297 7,749,160 2023-09-19 $370.06 $372.00 17.5% 5.0% 18.1% 7.7% 18.6% 3.9% 0.4% -2.63B -5.47B -476.2M 1.17 1.23 N/A N/A 1,523,449 1,777,843 3,988,651 7,835,571 2023-09-20 $365.37 $372.00 18.3% 5.3% 18.6% 11.7% 18.5% 3.9% 0.3% -4.30B 11.39B -482.4M 1.01 1.35 N/A N/A 1,366,190 1,373,154 4,040,856 7,928,778 2023-09-21 $358.87 $371.00 20.3% 5.8% 18.4% 20.5% 20.7% 4.8% 0.2% -5.16B 31.78B -488.9M 1.27 1.03 N/A N/A 1,759,094 2,228,907 4,160,708 7,871,069 2023-09-22 $358.85 $370.00 20.0% 5.7% 16.8% 19.1% 20.7% 4.8% 0.2% -4.21B 25.11B -494.8M 1.31 1.11 N/A N/A 1,606,488 2,111,265 4,274,998 7,996,437 2023-09-25 $358.75 $370.00 20.6% 5.9% 16.5% 22.1% 20.9% 5.0% 0.1% -3.87B 22.15B -491.1M 1.25 1.07 N/A N/A 1,407,511 1,754,316 4,089,953 7,858,004 2023-09-26 $353.82 $370.00 22.3% 6.4% 16.9% 29.6% 22.4% 5.3% 0.0% -5.07B 39.11B -496.1M 1.15 1.03 N/A N/A 1,757,566 2,026,553 4,153,080 8,007,119 2023-09-27 $354.24 $370.00 21.8% 6.3% 14.4% 27.6% 19.9% 5.0% 0.1% -4.42B 32.61B -496.0M 1.22 1.18 N/A N/A 1,886,898 2,295,090 4,307,137 8,060,972 2023-09-28 $358.01 $369.00 20.5% 5.8% 14.9% 21.8% 20.8% 4.9% 0.2% -2.31B 14.53B -494.7M 1.15 1.31 N/A N/A 1,690,132 1,935,365 4,453,836 8,144,175 2023-09-29 $358.32 $369.00 20.5% 5.8% 14.6% 21.8% 20.3% 4.8% 0.2% -2.68B 14.75B -493.6M 1.37 1.40 N/A N/A 1,855,224 2,532,649 4,534,217 8,188,004
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