QQQ Options History — November 2023 In November 2023, QQQ traded between $357.25 and $390.99. ATM implied volatility averaged 16.3%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 3.1% (HV 20d: 19.4%). Max pain ranged from $355.00 to $365.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.28.
Notable Days 2023-11-10 : Highest Volume — 4,289,446 contracts2023-11-02 : Largest IV drop — 6.9% change2023-11-01 : Highest IV Rank — 24.2%2023-11-01 : Largest Expected Move — 5.7%Monthly Statistics Metric Avg Min Max Open Close Price $380.37 $357.25 $390.99 $357.25 $387.44 Max Pain $360.29 $355.00 $365.00 $360.00 $365.00 ATM IV 16.3% 14.7% 19.5% 19.5% 15.1% Expected Move 4.8% 4.2% 5.7% 5.7% 4.6% HV 20d 19.4% 14.9% 22.3% 20.0% 14.9% HV 60d 18.3% 17.5% 19.1% 18.1% 17.5% IV Rank 5.6% 0.0% 24.2% 24.2% 3.2% IV Percentile 4.3% 0.0% 33.3% 33.3% 2.0% Term Structure 0.2% -0.1% 0.5% 0.2% 0.2% VWIV 17.4% 15.4% 20.6% 20.6% 16.6% Skew 25d 3.0% 2.3% 4.4% 4.4% 2.7% Skew 10d 6.4% 4.8% 8.7% 8.7% 5.3% Call IV 25d 15.0% 13.6% 17.2% 17.2% 14.2% Put IV 25d 18.0% 16.3% 21.6% 21.6% 16.9% Bid-Ask Spread % 1.30 1.03 1.46 1.33 1.20 Gamma HHI 0.04 0.03 0.10 0.04 0.04 Net GEX 1.57B -1.39B 4.44B -333.1M -1.35B Net DEX -57.72B -88.82B -1.08B -1.08B -51.54B Net VEX -405.0M -457.7M -365.9M -457.7M -403.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.28 1.02 1.43 1.26 1.09 Total Volume 3,211,127.429 1,183,416 4,289,446 3,640,879 3,516,432 Total OI 12,845,484.905 11,920,688 14,030,293 12,640,771 12,502,439
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 2023-11-01 $357.25 $360.00 19.5% 5.7% 20.0% 24.2% 20.6% 4.4% 0.2% -333.1M -1.08B -457.7M 1.26 1.33 N/A N/A 1,612,997 2,027,882 4,657,654 7,983,117 2023-11-02 $363.31 $355.00 18.2% 5.4% 20.9% 15.5% 20.3% 3.8% 0.3% 791.1M -23.56B -448.4M 1.42 1.03 N/A N/A 1,497,091 2,122,361 4,706,641 8,052,617 2023-11-03 $367.97 $355.00 17.3% 5.2% 20.5% 9.8% 19.3% 3.6% 0.5% 1.78B -39.72B -441.3M 1.43 1.24 N/A N/A 1,480,786 2,111,859 4,768,573 8,209,443 2023-11-06 $368.43 $355.00 17.4% 5.2% 20.5% 10.8% 19.4% 3.9% 0.5% 779.4M -32.74B -438.7M 1.16 1.22 N/A N/A 1,392,320 1,621,484 4,643,188 8,029,880 2023-11-07 $373.43 $355.00 17.0% 5.0% 20.8% 8.2% 18.1% 3.5% 0.5% 2.25B -50.02B -426.6M 1.40 1.20 N/A N/A 1,551,607 2,165,881 4,675,190 8,141,592 2023-11-08 $373.12 $355.00 16.7% 4.9% 20.8% 6.1% 18.1% 3.3% 0.5% 690.6M -47.06B -424.1M 1.38 1.21 N/A N/A 1,298,195 1,796,379 4,755,371 8,328,396 2023-11-09 $369.80 $355.00 17.7% 5.2% 21.0% 12.4% 18.7% 3.8% 0.4% -1.39B -28.14B -438.7M 1.34 1.24 N/A N/A 1,719,996 2,312,981 4,850,701 8,413,823 2023-11-10 $378.32 $358.00 16.6% 4.9% 21.8% 5.6% 17.9% 2.9% 0.5% 3.36B -68.11B -415.4M 1.38 1.38 N/A N/A 1,803,986 2,485,460 4,888,791 8,532,747 2023-11-13 $377.78 $360.00 17.2% 5.0% 21.3% 10.7% 18.1% 3.1% 0.1% 2.11B -60.08B -406.7M 1.27 1.38 N/A N/A 1,321,177 1,682,777 4,814,150 8,336,219 2023-11-14 $385.89 $360.00 16.3% 4.7% 22.3% 3.8% 17.3% 2.3% 0.1% 4.13B -88.82B -382.0M 1.17 1.36 N/A N/A 1,728,257 2,013,411 4,862,234 8,452,987 2023-11-15 $385.77 $360.00 16.0% 4.6% 21.5% 2.1% 16.5% 2.5% 0.1% 3.00B -84.17B -388.0M 1.28 1.46 N/A N/A 1,533,698 1,960,490 5,038,102 8,609,492 2023-11-16 $385.98 $360.00 15.9% 4.6% 21.1% 1.2% 17.0% 2.6% 0.2% 2.26B -80.90B -406.4M 1.38 1.43 N/A N/A 1,212,868 1,678,553 5,095,469 8,816,660 2023-11-17 $385.63 $360.00 15.8% 4.5% 20.3% 0.3% 16.2% 2.4% 0.2% 1.65B -81.09B -396.8M 1.37 1.37 N/A N/A 1,104,917 1,512,732 5,107,157 8,923,136 2023-11-20 $390.99 $363.00 15.7% 4.5% 20.6% 0.0% 16.2% 2.7% 0.0% 3.17B -80.26B -365.9M 1.19 1.29 N/A N/A 1,331,407 1,590,775 4,364,464 7,758,165 2023-11-21 $388.13 $365.00 16.0% 4.6% 20.9% 1.8% 16.9% 2.7% -0.1% 958.9M -63.73B -391.3M 1.29 1.38 N/A N/A 1,150,469 1,487,166 4,408,068 7,848,573 2023-11-22 $390.18 $365.00 15.1% 4.3% 17.7% 0.0% 15.4% 3.0% 0.0% 4.44B -73.53B -375.1M 1.07 1.42 N/A N/A 1,563,609 1,665,489 4,483,318 7,955,612 2023-11-24 $389.14 $365.00 14.8% 4.2% 15.4% 0.0% 15.5% 2.7% -0.1% 825.8M -65.79B -380.7M 1.02 1.37 N/A N/A 585,634 597,782 4,412,496 7,965,333 2023-11-27 $389.80 $365.00 14.9% 4.3% 15.4% 0.7% 15.9% 2.8% 0.1% 1.79B -64.44B -366.2M 1.17 1.33 N/A N/A 1,247,324 1,454,035 4,223,677 7,697,011 2023-11-28 $389.63 $365.00 14.7% 4.2% 15.2% 0.0% 15.4% 2.6% 0.1% 965.5M -63.99B -370.0M 1.41 1.17 N/A N/A 1,264,627 1,777,623 4,296,147 7,860,724 2023-11-29 $389.69 $365.00 15.0% 4.4% 15.3% 2.0% 16.1% 2.6% 0.1% 1.18B -63.44B -382.3M 1.31 1.23 N/A N/A 1,497,018 1,954,141 4,361,543 7,924,283 2023-11-30 $387.44 $365.00 15.1% 4.6% 14.9% 3.2% 16.6% 2.7% 0.2% -1.35B -51.54B -403.4M 1.09 1.20 N/A N/A 1,679,303 1,837,129 4,432,105 8,070,334
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