QQQ Options History — December 2023 In December 2023, QQQ traded between $385.44 and $411.75. ATM implied volatility averaged 14.9%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.3% (HV 20d: 11.6%). Max pain ranged from $365.00 to $384.78. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.32.
Notable Days 2023-12-14 : Highest Volume — 3,923,878 contracts2023-12-08 : Largest IV drop — 6.6% change2023-12-26 : Highest IV Rank — 9.7%2023-12-04 : Largest Expected Move — 4.6%Monthly Statistics Metric Avg Min Max Open Close Price $400.76 $385.44 $411.75 $389.70 $409.57 Max Pain $374.08 $365.00 $384.78 $365.00 $384.78 ATM IV 14.9% 13.9% 15.9% 15.0% 14.7% Expected Move 4.2% 3.9% 4.6% 4.5% 3.9% HV 20d 11.6% 9.6% 14.5% 14.1% 10.1% HV 60d 16.7% 15.6% 17.6% 17.5% 15.6% IV Rank 4.6% 0.0% 9.7% 2.4% 5.4% IV Percentile 2.7% 0.0% 7.1% 1.6% 2.8% Term Structure 0.4% -0.1% 0.8% 0.2% 0.8% VWIV 15.6% 14.5% 17.6% 16.3% 14.5% Skew 25d 2.3% 1.8% 2.7% 2.2% 2.4% Skew 10d 5.2% 4.4% 6.1% 5.1% 5.7% Call IV 25d 14.0% 13.1% 14.9% 14.2% 13.4% Put IV 25d 16.2% 15.2% 17.4% 16.4% 15.8% Bid-Ask Spread % 1.17 0.86 1.43 1.24 1.15 Gamma HHI 0.04 0.02 0.10 0.04 0.02 Net GEX 2.30B -1.23B 5.39B 1.91B 2.68B Net DEX -68.46B -107.64B 0 -62.55B -107.64B Net VEX -367.4M -623.1M 0 -400.8M -623.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.32 1.04 1.83 1.30 1.31 Total Volume 3,126,473.55 2,051,142 3,923,878 2,970,304 2,758,983 Total OI 11,624,118.45 0 17,639,644 12,718,134 17,639,644
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 2023-12-01 $389.70 $365.00 15.0% 4.5% 14.1% 2.4% 16.3% 2.2% 0.2% 1.91B -62.55B -400.8M 1.30 1.24 N/A N/A 1,290,704 1,679,600 4,480,158 8,237,976 2023-12-04 $385.90 $370.00 15.7% 4.6% 14.4% 7.3% 17.6% 2.6% 0.5% -1.23B -43.91B -408.7M 1.13 0.90 N/A N/A 1,740,067 1,973,571 4,364,842 8,017,965 2023-12-05 $386.65 $370.00 15.7% 4.6% 14.4% 7.1% 16.7% 2.5% 0.4% 698.5M -49.01B -413.2M 1.10 0.86 N/A N/A 1,504,042 1,652,379 4,492,852 8,231,329 2023-12-06 $385.44 $370.00 15.8% 4.6% 13.9% 7.6% 16.5% 2.2% 0.4% -676.1M -44.74B -410.3M 1.14 0.96 N/A N/A 1,560,546 1,771,802 4,534,731 8,286,019 2023-12-07 $390.52 $370.00 15.9% 4.6% 14.5% 8.2% 16.9% 2.3% 0.4% 2.98B -64.66B -402.8M 1.51 0.92 N/A N/A 1,274,826 1,929,993 4,567,911 8,359,518 2023-12-08 $392.33 $370.00 14.8% 4.4% 13.9% 1.1% 15.8% 2.0% 0.5% 2.82B -70.81B -390.7M 1.37 1.00 N/A N/A 1,356,125 1,860,774 4,590,422 8,474,099 2023-12-11 $395.44 $370.00 15.1% 4.3% 11.9% 2.9% 15.9% 2.2% -0.0% 3.72B -81.38B -370.9M 1.53 1.03 N/A N/A 1,299,817 1,986,311 4,537,885 8,299,750 2023-12-12 $398.38 $370.00 14.1% 4.1% 12.0% 0.0% 14.8% 2.1% 0.1% 4.53B -90.14B -354.6M 1.32 1.22 N/A N/A 1,298,785 1,716,991 4,596,729 8,511,457 2023-12-13 $403.10 $370.00 14.2% 4.0% 10.4% 0.1% 14.8% 1.9% -0.0% 5.39B -103.02B -352.7M 1.04 1.43 N/A N/A 1,801,723 1,864,972 4,665,515 8,593,293 2023-12-14 $403.02 $372.00 13.9% 4.0% 10.4% 0.0% 15.2% 1.8% -0.1% 4.23B -101.07B -359.5M 1.07 1.22 N/A N/A 1,899,367 2,024,511 4,757,219 8,782,450 2023-12-15 $405.19 $375.00 13.9% 4.0% 10.4% 0.0% 14.7% 2.1% 0.1% 4.23B -106.81B -360.0M 1.24 1.21 N/A N/A 1,489,132 1,841,512 4,813,319 8,966,749 2023-12-18 $407.48 $375.00 14.1% 4.0% 10.4% 1.5% 15.3% 2.1% 0.7% 2.90B -61.96B -351.4M 1.40 1.26 N/A N/A 1,247,249 1,746,073 3,324,344 6,406,526 2023-12-19 $408.56 $376.00 14.1% 4.0% 9.6% 1.4% 15.4% 1.8% 0.8% 2.85B -66.86B -343.2M 1.31 1.29 N/A N/A 1,306,357 1,708,093 3,400,521 6,496,055 2023-12-20 $404.28 $380.00 14.7% 4.2% 10.0% 5.7% 15.3% 2.5% 0.8% -887.9M -47.80B -377.8M 1.40 1.38 N/A N/A 1,633,575 2,285,239 3,580,344 6,673,010 2023-12-21 $407.75 $380.00 15.3% 4.3% 10.2% 9.3% 15.5% 2.5% 0.6% 2.16B -62.54B -365.2M 1.42 1.25 N/A N/A 1,460,727 2,067,879 3,702,286 6,759,337 2023-12-22 $408.30 $380.00 15.2% 4.3% 10.1% 8.8% 15.7% 2.3% 0.6% 1.89B -62.64B -371.2M 1.40 1.38 N/A N/A 1,160,274 1,619,769 3,693,127 6,879,335 2023-12-26 $411.15 $380.00 15.3% 4.2% 10.2% 9.7% 15.7% 2.7% 0.6% 3.68B -70.88B -345.9M 1.31 1.36 N/A N/A 888,762 1,162,380 3,602,611 6,679,954 2023-12-27 $410.69 $0.00 14.8% 4.1% 10.2% 6.4% 14.9% 2.6% 0.7% 0 0 0 1.27 1.14 N/A N/A 912,237 1,160,974 0 0 2023-12-28 $411.75 $379.78 14.8% 4.0% 10.2% 6.2% 14.9% 2.4% 0.8% 2.14B -70.82B -345.6M 1.83 1.19 N/A N/A 915,016 1,678,334 3,670,761 6,812,326 2023-12-29 $409.57 $384.78 14.7% 3.9% 10.1% 5.4% 14.5% 2.4% 0.8% 2.68B -107.64B -623.1M 1.31 1.15 N/A N/A 1,196,130 1,562,853 6,419,553 11,220,091
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