QQQJ Options History — December 2020

In December 2020, QQQJ traded between $29.11 and $31.35. ATM implied volatility averaged 25.1%. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 12.7% (HV 20d: 12.3%). Max pain ranged from $26.00 to $31.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.09.

Notable Days

  • 2020-12-21: Highest Volume — 28,524 contracts
  • 2020-12-09: Largest IV spike — 36.9% change
  • 2020-12-11: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.31$29.11$31.35$29.23$30.88
Max Pain$28.82$26.00$31.00$26.00$30.00
ATM IV25.1%17.9%30.0%17.9%24.8%
Expected Move7.3%5.1%8.6%5.1%7.1%
HV 20d12.3%11.5%13.5%12.2%13.2%
Term Structure0.6%-8.2%3.9%3.6%3.4%
VWIV25.4%20.8%29.3%20.8%25.0%
Skew 25d3.4%-0.8%6.8%-0.4%5.1%
Skew 10d4.6%-5.1%10.8%6.9%9.3%
Call IV 25d24.4%21.3%28.4%21.3%24.1%
Put IV 25d27.8%20.8%32.0%20.8%29.2%
Bid-Ask Spread %49.9835.9570.2261.0965.10
Gamma HHI0.260.190.310.210.27
Net GEX2.3M984.7K4.0M984.7K3.9M
Net DEX-39.0M-73.8M-16.7M-16.7M-65.8M
Net VEX-206.4K-398.1K-73.9K-73.9K-393.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.010.390.020.16
Total Volume4,745.45561028,5242,6982,419
Total OI35,641.77313,36269,40613,36269,406

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$29.23$26.0017.9%5.1%0.0%0.0%20.8%-0.4%3.6%984.7K-16.7M-73.9K0.0261.09N/AN/A2,6494912,424938
2020-12-02$29.11$27.0020.4%5.9%0.0%0.0%23.5%-0.8%3.3%999.7K-16.8M-83.3K0.3947.83N/AN/A44017014,069977
2020-12-03$29.46$28.0020.6%6.9%0.0%0.0%24.4%1.2%3.8%1.1M-19.0M-88.8K0.1244.96N/AN/A1,17513714,3061,164
2020-12-04$29.84$28.0022.8%6.7%0.0%0.0%24.0%-0.1%0.6%1.1M-20.4M-93.5K0.0547.78N/AN/A2,83113214,6211,302
2020-12-07$29.87$28.0022.8%7.2%0.0%0.0%25.2%5.9%0.0%1.3M-21.9M-99.6K0.0735.95N/AN/A1,56711516,4551,322
2020-12-08$30.02$28.0020.1%6.4%0.0%0.0%23.3%5.5%-0.7%1.4M-23.2M-105.0K0.0143.44N/AN/A1,5891317,2081,399
2020-12-09$29.53$28.0027.6%7.9%0.0%0.0%25.6%2.8%-0.7%1.3M-21.2M-105.6K0.0347.31N/AN/A2,4556417,8721,415
2020-12-10$29.88$28.0026.9%7.7%0.0%0.0%27.3%5.3%-1.3%1.5M-23.9M-115.4K0.0544.94N/AN/A2,13811419,5721,463
2020-12-11$29.91$28.0030.0%8.6%0.0%0.0%29.3%2.9%-4.7%1.6M-25.9M-123.9K0.2347.20N/AN/A1,10024920,8081,574
2020-12-14$29.95$29.0026.7%7.7%0.0%0.0%25.7%4.7%-0.0%1.7M-26.9M-125.0K0.1041.67N/AN/A2,73728421,2311,785
2020-12-15$30.22$29.0025.6%7.3%0.0%0.0%24.6%4.9%1.7%1.8M-29.3M-141.4K0.3044.82N/AN/A1,45943423,2751,857
2020-12-16$30.36$29.0025.3%7.3%0.0%0.0%24.2%5.5%2.2%1.9M-30.7M-148.0K0.0248.16N/AN/A5,37211723,9922,259
2020-12-17$30.73$29.0024.7%7.1%12.2%0.0%23.7%6.8%-8.2%2.3M-35.7M-169.2K0.0448.44N/AN/A3,71115527,9152,366
2020-12-18$30.91$29.0024.1%6.9%11.8%0.0%24.9%4.4%-0.6%2.8M-38.8M-186.8K0.0344.70N/AN/A5,08314729,5072,388
2020-12-21$30.88$29.0028.1%8.0%11.6%0.0%27.5%5.9%2.5%1.7M-41.1M-216.4K0.0149.28N/AN/A28,30821631,3371,680
2020-12-22$31.29$29.0029.2%8.4%11.8%0.0%28.4%3.2%0.9%3.3M-66.0M-357.4K0.0239.80N/AN/A11,30326652,8121,841
2020-12-23$31.35$30.0028.0%8.0%11.5%0.0%28.0%4.7%1.5%4.0M-73.8M-394.7K0.1554.52N/AN/A6,4821,00360,5902,054
2020-12-24$31.18$30.0029.4%8.4%11.7%0.0%26.8%2.3%0.1%3.8M-69.9M-398.1K0.0656.70N/AN/A2,89116863,1653,046
2020-12-28$30.85$31.0026.3%7.6%12.8%0.0%26.2%0.1%2.5%3.8M-65.3M-375.1K0.0558.40N/AN/A6,56430063,1163,147
2020-12-29$30.59$31.0024.3%7.0%13.4%0.0%25.2%1.1%3.9%3.6M-61.6M-371.5K0.1357.24N/AN/A4,61358764,6053,230
2020-12-30$30.85$30.0026.0%7.5%13.5%0.0%24.8%3.2%0.0%3.9M-65.0M-375.4K0.0670.22N/AN/A2,63116365,0603,566
2020-12-31$30.88$30.0024.8%7.1%13.2%0.0%25.0%5.1%3.4%3.9M-65.8M-393.3K0.1665.10N/AN/A2,09132865,8063,600