QQQ Options History — January 2024 In January 2024, QQQ traded between $396.38 and $427.55. ATM implied volatility averaged 16.0%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.9% (HV 20d: 14.2%). Max pain ranged from $384.78 to $412.78. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.15.
Notable Days 2024-01-19 : Highest Volume — 4,501,615 contracts2024-01-16 : Largest IV spike — 8.1% change2024-01-17 : Highest IV Rank — 22.1%2024-01-30 : Largest Expected Move — 5.0%Monthly Statistics Metric Avg Min Max Open Close Price $412.86 $396.38 $427.55 $401.00 $417.50 Max Pain $404.04 $384.78 $412.78 $384.78 $412.78 ATM IV 16.0% 15.1% 17.0% 16.4% 16.9% Expected Move 4.6% 4.3% 5.0% 4.4% 5.0% HV 20d 14.2% 12.8% 15.7% 13.1% 14.9% HV 60d 15.2% 13.5% 16.5% 16.2% 13.9% IV Rank 15.0% 8.8% 22.1% 16.6% 21.3% IV Percentile 13.3% 7.1% 22.2% 13.1% 22.2% Term Structure 0.1% -0.2% 0.3% 0.2% 0.1% VWIV 16.7% 15.3% 18.1% 15.3% 17.8% Skew 25d 2.8% 2.0% 3.8% 3.2% 2.8% Skew 10d 6.1% 4.3% 8.5% 5.9% 5.5% Call IV 25d 14.8% 13.9% 15.7% 15.0% 15.7% Put IV 25d 17.6% 16.7% 19.1% 18.1% 18.5% Bid-Ask Spread % 1.09 0.92 1.28 1.20 1.20 Gamma HHI 0.03 0.02 0.05 0.03 0.02 Net GEX 888.8M -3.11B 4.84B -2.76B -3.11B Net DEX -50.45B -100.18B -18.68B -23.99B -18.93B Net VEX -373.4M -398.4M -346.3M -382.5M -397.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.15 0.94 1.35 1.06 1.19 Total Volume 3,426,517.048 2,608,079 4,501,615 3,512,990 3,854,145 Total OI 10,464,887.952 8,976,788 11,780,719 10,072,080 10,056,839
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 2024-01-02 $401.00 $384.78 16.4% 4.4% 13.1% 16.6% 15.3% 3.2% 0.2% -2.76B -23.99B -382.5M 1.06 1.20 N/A N/A 1,703,782 1,809,208 3,510,434 6,561,646 2024-01-03 $398.52 $384.78 16.7% 4.4% 12.8% 18.5% 15.6% 3.3% 0.1% -2.86B -18.68B -395.2M 0.94 1.18 N/A N/A 1,715,066 1,612,883 3,746,168 6,717,767 2024-01-04 $397.28 $399.78 16.6% 4.9% 12.9% 17.9% 17.4% 3.1% 0.1% -2.40B -19.27B -397.0M 1.00 1.07 N/A N/A 1,493,157 1,493,790 3,849,165 6,733,375 2024-01-05 $396.38 $399.78 16.2% 4.7% 12.9% 15.5% 17.0% 2.8% 0.2% -1.99B -19.11B -398.4M 1.13 1.28 N/A N/A 1,512,674 1,702,119 3,890,658 6,808,696 2024-01-08 $404.56 $399.78 15.8% 4.6% 14.0% 13.0% 16.7% 2.9% 0.3% 2.69B -51.80B -380.0M 1.35 0.98 N/A N/A 1,504,897 2,033,019 3,815,534 6,749,900 2024-01-09 $405.14 $399.78 15.6% 4.5% 13.9% 12.0% 16.2% 2.9% 0.2% 1.26B -51.59B -384.1M 1.04 1.05 N/A N/A 1,506,299 1,560,476 3,911,569 7,012,130 2024-01-10 $408.07 $400.00 15.4% 4.5% 13.9% 11.2% 16.2% 2.8% 0.2% 3.26B -62.26B -376.4M 0.99 1.11 N/A N/A 1,667,370 1,657,122 3,956,147 7,057,739 2024-01-11 $408.82 $404.78 15.2% 4.4% 13.7% 9.6% 16.0% 2.7% 0.2% 2.25B -63.36B -384.6M 1.21 1.02 N/A N/A 1,787,477 2,166,874 4,138,835 7,349,355 2024-01-12 $409.47 $404.78 15.1% 4.3% 13.1% 8.8% 16.0% 2.8% 0.1% 3.40B -64.21B -380.6M 1.28 1.00 N/A N/A 1,381,411 1,772,194 4,124,239 7,429,218 2024-01-16 $408.88 $404.78 16.3% 4.7% 13.2% 17.4% 16.9% 3.4% -0.1% 1.18B -58.45B -372.7M 1.31 1.01 N/A N/A 1,546,801 2,023,439 3,991,676 7,280,547 2024-01-17 $406.63 $405.00 17.0% 4.9% 13.2% 22.1% 18.1% 3.8% -0.2% -1.04B -47.60B -386.5M 1.18 0.99 N/A N/A 1,637,254 1,935,348 4,061,119 7,396,309 2024-01-18 $413.08 $405.00 16.5% 4.7% 14.2% 18.5% 16.9% 3.3% -0.2% 4.13B -76.28B -370.2M 1.19 1.02 N/A N/A 1,794,715 2,131,999 4,127,491 7,465,238 2024-01-19 $421.08 $405.78 15.9% 4.6% 15.7% 14.6% 17.1% 2.6% -0.1% 4.84B -100.18B -350.4M 1.17 1.16 N/A N/A 2,073,986 2,427,629 4,171,832 7,608,887 2024-01-22 $421.96 $409.78 15.8% 4.6% 15.0% 13.9% 16.7% 2.5% 0.1% 2.05B -54.86B -352.4M 1.01 0.92 N/A N/A 1,596,350 1,610,081 3,041,053 5,935,735 2024-01-23 $423.03 $410.00 15.3% 4.4% 14.8% 9.9% 15.9% 2.4% 0.1% 2.41B -56.09B -346.3M 1.16 1.05 N/A N/A 1,206,625 1,401,454 3,138,218 6,048,235 2024-01-24 $426.60 $410.00 15.5% 4.5% 15.0% 11.2% 16.5% 2.2% 0.1% 3.11B -63.10B -351.0M 1.08 1.08 N/A N/A 1,925,210 2,087,057 3,216,721 6,174,586 2024-01-25 $425.56 $410.00 15.8% 4.6% 15.0% 13.9% 16.6% 2.2% 0.1% 647.5M -56.30B -352.3M 1.17 1.06 N/A N/A 1,551,924 1,819,604 3,281,059 6,354,939 2024-01-26 $423.50 $410.78 15.8% 4.6% 15.1% 13.4% 16.6% 2.0% 0.1% -811.4M -47.99B -371.3M 1.27 1.04 N/A N/A 1,504,856 1,906,462 3,377,941 6,485,720 2024-01-29 $427.55 $411.00 16.0% 4.7% 15.4% 15.3% 17.0% 2.2% 0.2% 2.05B -56.17B -357.0M 1.35 1.25 N/A N/A 1,286,965 1,736,539 3,215,339 6,277,599 2024-01-30 $425.38 $411.78 16.6% 5.0% 15.4% 19.4% 18.1% 2.2% -0.0% 349.0M -49.13B -356.4M 1.07 1.24 N/A N/A 1,362,958 1,455,639 3,277,189 6,415,800 2024-01-31 $417.50 $412.78 16.9% 5.0% 14.9% 21.3% 17.8% 2.8% 0.1% -3.11B -18.93B -397.2M 1.19 1.20 N/A N/A 1,763,277 2,090,868 3,373,729 6,683,110
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